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 811-21494
---------------------
Nuveen Floating Rate Income Fund
------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
-------------------
Date of fiscal year end: July 31
------------------
Date of reporting period: January 31, 2006
------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
SEMIANNUAL REPORT January 31, 2006
Nuveen Investments
Exchange-Traded
Closed-End
Funds
NUVEEN SENIOR
INCOME FUND
NSL
NUVEEN FLOATING
RATE INCOME FUND
JFR
NUVEEN FLOATING
RATE INCOME
OPPORTUNITY FUND
JRO
Photo of: Man, woman and child at the beach.
Photo of: A child.
HIGH CURRENT INCOME
FROM PORTFOLIOS OF
SENIOR CORPORATE LOANS
Logo: NUVEEN Investments
Photo of: Woman
Photo of: Man and child
Photo of: Woman
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Logo: NUVEEN Investments
Photo of: Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
Chairman's
LETTER TO SHAREHOLDERS
I am very pleased to report that over the six-month period covered by this
report, your Fund continued to provide you with attractive monthly income from a
portfolio primarily composed of senior corporate loans. For more information on
your Fund's performance, please read the Portfolio Managers' Comments, the
Distribution and Share Price Information, and the Performance Overview sections
of this report.
Portfolio diversification is a recognized way to try to reduce some of the risk
that comes with investing. Since one part of your portfolio may be going up when
another is going down, portfolio diversification may help smooth your investment
returns over time. In addition to providing regular monthly income, a senior
loan investment like your Fund may help you achieve and benefit from greater
portfolio diversification. Your financial advisor can explain these advantages
in more detail. I encourage you to contact him or her for more information on
this and other important investment strategies.
"PORTFOLIO DIVERSIFICATION IS A RECOGNIZED WAY TO TRY TO REDUCE SOME OF THE RISK
THAT COMES WITH INVESTING."
As you look through this report, be sure to review the inside front cover. This
contains information on how you can receive future Fund reports and other Fund
information faster by using e-mails and the Internet. Sign up is quick and easy
- just follow the step-by-step instructions.
At Nuveen Investments, our mission continues to be to assist you and your
financial advisor by offering investment services and products that can help you
to secure your financial objectives. We are grateful that you have chosen us as
a partner as you pursue your financial goals, and we look forward to continuing
to earn your trust in the months and years ahead.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
March 15, 2006
Nuveen Investments Exchange-Traded Closed-End Funds (NSL, JFR, JRO)
Portfolio Managers'
COMMENTS
The Funds' investment portfolios are managed by Gunther Stein and Lenny Mason of
Symphony Asset Management, LLC, an affiliate of Nuveen Investments. Gunther and
Lenny have more than 25 years of combined investment management experience, much
of it in evaluating and purchasing senior corporate loans and other high-yield
debt. Here Gunther and Lenny talk about their management strategies and the
performances of the Funds for the six-month period ended January 31, 2006.
WHAT STRATEGIES AND TACTICS DID YOU USE TO MANAGE THE FUNDS' ASSETS OVER THE
COURSE OF THIS SIX-MONTH REPORTING PERIOD?
Over this period, we continued to view the leveraged loan market favorably but,
given the current credit environment, we continued to take a defensive stance in
positioning the portfolios. The loan market continued to demonstrate many
positive characteristics that we thought made the asset class attractive. Market
liquidity was better than it had ever been, investor appetite remained strong
and many high quality deals were coming to market. Strong investor demand,
however, also allowed many deals to be structured with aggressive leverage
levels. It was this environment and market dynamic that led us to avoid credits
we felt were too aggressively leveraged or did not have a sound credit profile.
We did not feel that it was the appropriate time to reach for yield or become
involved with what we considered to be marginal credits.
We continued to avoid most automotive-related companies even though many were
trading at seemingly attractive high yields. We also avoided many small loans
that support leveraged buyouts, as we feel that market liquidity could be
challenged if the credit experiences any negative events. We were focused on
adding high quality new-issue loans at par as we did not believe that paying
premiums for loans was prudent in the current environment.
We also continued to avoid the vast majority of second lien loans. At current
trading levels, we did not believe that most second lien loans compensated
investors for the risk these credits pose over a credit cycle. Should the
economy weaken, we believe that second lien loans could see significant downside
from current levels.
4
HOW DID THE FUNDS PERFORM?
The performance of each Fund over the six-month period ended January 31, 2006,
as well as the performance of a comparative index, is shown in the nearby chart.
TOTAL RETURN ON NET ASSET VALUE
For periods ended January 31, 2006*
6-MONTHS 1-YEAR 5-YEAR
--------------------------------------------------------------------------------
NSL 2.82% 5.17% 6.99%
--------------------------------------------------------------------------------
JFR 2.93% 5.58% NA
--------------------------------------------------------------------------------
JRO 3.14% 6.08% NA
--------------------------------------------------------------------------------
CSFB Leveraged
Loan Index1 3.02% 5.83% 5.17%
--------------------------------------------------------------------------------
* Six-month returns are cumulative; returns for one year and five years are
annualized.
Past performance does not guarantee future results. Currently performance may be
higher or lower than the data shown. Returns do not reflect the deduction of
taxes that a shareholder may have to pay on Fund distributions or upon the sale
of Fund shares.
For more information, please see the individual Performance Overview pages in
this report.
Over the six-month reporting period, JRO slightly outperformed the unmanaged,
unleveraged CSFB Leveraged Loan Index. NSL and JFR slightly underperformed the
CSFB index during this period.
One of the primary factors benefiting the performance of all of these Funds over
this reporting period relative to that of the CSFB index was the Funds' use of
financial leverage. While leveraging can add volatility to a Fund's NAV and
share price, this can also provide opportunities for additional income and total
return for common shareholders when short-term interest rates paid by the Funds
on their FundPreferred(R) shares are less than the returns the Funds are earning
from the adjustable rate loans in their portfolios.
As noted earlier, each Fund's portfolio was relatively defensive in nature,
avoiding higher volatility areas like the automotive sector and second tier
loans. In all three portfolios, the positions we held during the course of
reporting period had relatively stable prices and delivered returns generally
consistent with their coupons.
1 The CSFB Leveraged Loan Index is a representative, unmanaged index of
tradable, senior, U.S. dollar-denominated leveraged loans. It is not
possible to invest directly in an Index.
5
Each Fund had holdings that constrained the Fund's performance over this
reporting period. In NSL, one issuer that had a negative impact on the portfolio
was Primedia. The equity sponsors of the company proposed splitting it up into
two smaller companies, and Primedia issues traded down as a result as questions
arose about the company's ultimate capital structure and leverage. In JFR,
issues from Georgia Pacific (which is now being acquired by Koch Industries)
traded down after the announcement of the leveraged buyout. In JRO, Resorts
International had a negative impact on the portfolio.
6
Dividend and Share Price
INFORMATION
As noted, each of these Funds uses financial leverage in an effort to enhance
its dividend-paying capabilities. While this strategy adds volatility to a
Fund's net asset value (NAV) and share price, it generally works to enhance the
amount of income a Fund has to distribute to its common shareholders, as long as
the dividend rates the Fund pays to its preferred shareholders are less than the
interest rates the Fund receives from its portfolio of loans.
Since each of these Funds invests in adjustable rate loans, their income streams
typically can be expected to rise or fall over time to reflect the movement of
shorter-term market interest rates. These rates generally were rising over this
six-month reporting period, and this led to two monthly dividend increases in
JFR and JRO. NSL maintained a stable dividend over this six-month period.
All of these Funds seek to pay stable dividends at rates that reflect each
Fund's past results, and projected future performance. During certain periods,
each Fund may pay dividends at a rate that may be more or less than the amount
of net investment income actually earned by the Fund during the period. If a
Fund has cumulatively earned more than it has paid in dividends, it holds the
excess in reserve as undistributed net investment income (UNII), which is part
of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in
excess of its earnings, the excess constitutes negative UNII that is likewise
reflected in the Fund's NAV. Each Fund will, over time, pay all of its net
investment income as dividends to shareholders. As of January 31, 2006, NSL had
a positive UNII balance for financial reporting purposes and a positive UNII
balance, based on our best estimates, for tax purposes. As of January 31, 2006,
JFR and JRO had negative UNII balances for financial reporting purposes and
positive UNII balances, based on our best estimates, for tax purposes.
As of January 31, 2006, the Funds' share prices were trading at discounts to
their NAVs as shown in the accompanying chart:
6-MONTH
1/31/2006 PERIOD AVERAGE
FUND DISCOUNT DISCOUNT
--------------------------------------------------------------------------------
NSL -4.52% -3.08%
--------------------------------------------------------------------------------
JFR -7.91% -8.31%
--------------------------------------------------------------------------------
JRO -7.48% -9.08%
--------------------------------------------------------------------------------
7
Nuveen Senior Income Fund
NSL
Performance
OVERVIEW As of January 31, 2006
Pie Chart:
PORTFOLIO ALLOCATION
(as a % of total investments)
Variable Rate Senior Loan Interests 86.8%
Corporate Bonds 8.9%
Short-Term Investments 4.0%
Other 0.3%
Bar Chart:
2005-2006 MONTHLY DIVIDENDS PER SHARE
Feb 0.048
Mar 0.051
Apr 0.051
May 0.051
Jun 0.051
Jul 0.051
Aug 0.051
Sep 0.051
Oct 0.051
Nov 0.051
Dec 0.051
Jan 0.051
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
2/01/05 9.79
9.79
9.76
9.75
9.74
9.79
9.79
9.77
9.72
9.74
9.69
9.69
9.59
9.54
9.49
9.48
9.55
9.51
9.57
9.65
9.66
9.64
9.65
9.71
9.72
9.79
9.74
9.62
9.6
9.53
9.53
9.59
9.53
9.51
9.18
9.23
9.28
9.14
9.13
9.1
9.16
9.17
9.19
9.26
9.26
9.26
9.24
9.22
9.24
9.26
9.21
9.04
9.09
9.16
8.96
9.01
9.07
9.06
9.2
9.08
9.01
9.16
9.16
9.2
9.27
9.29
9.15
9.04
9.09
9.1
9.05
9
8.97
8.9
8.87
8.85
8.8
8.82
8.8
8.74
8.64
8.67
8.7
8.79
8.86
8.8
8.81
8.78
8.82
8.81
8.8
8.8
8.76
8.67
8.61
8.63
8.69
8.62
8.66
8.65
8.58
8.57
8.55
8.67
8.64
8.71
8.83
8.8
8.79
8.84
8.81
8.84
8.87
8.74
8.83
8.84
8.78
8.83
8.9
8.87
8.92
8.95
8.93
8.92
8.94
8.97
8.97
8.95
8.96
8.89
8.88
8.98
8.96
8.95
8.9
8.9
8.87
8.84
8.82
8.79
8.71
8.71
8.72
8.74
8.75
8.74
8.69
8.7
8.74
8.75
8.74
8.67
8.72
8.71
8.76
8.8
8.72
8.66
8.58
8.6
8.6
8.57
8.56
8.45
8.35
8.24
8.29
8.28
8.27
8.24
8.29
8.32
8.26
8.25
8.22
8.23
8.26
8.29
8.15
8.04
8.06
7.88
7.95
7.94
7.93
7.97
7.98
8.09
8.05
8.03
8.03
8.03
8.04
8.02
8.09
8.06
8.04
8.03
8.05
7.99
7.95
7.89
7.87
7.81
7.85
7.85
7.8
7.71
7.68
7.71
7.68
7.73
7.69
7.71
7.7
7.71
7.7
7.65
7.76
7.75
7.75
7.7
7.7
7.68
7.67
7.63
7.63
7.58
7.61
7.61
7.69
7.72
7.75
7.74
7.74
7.74
7.87
7.95
7.96
7.98
8.07
8.07
8.06
8.06
8.02
8.01
7.93
7.96
8
7.98
7.98
8.04
8.05
8.04
1/31/06 8.03
FUND SNAPSHOT
------------------------------------
Common Share Price $8.03
------------------------------------
Common Share
Net Asset Value $8.41
------------------------------------
Premium/(Discount) to NAV -4.52%
------------------------------------
Latest Dividend $0.0510
------------------------------------
Market Yield 7.62%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $250,678
------------------------------------
AVERAGE ANNUALIZED TOTAL RETURN
(Inception 10/26/99)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -7.02% 2.82%
------------------------------------
1-Year -11.60% 5.17%
------------------------------------
5-Year 3.12% 6.99%
------------------------------------
Since
Inception 4.57% 6.42%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Media 16.9%
------------------------------------
Hotels, Restaurants & Leisure 13.6%
------------------------------------
Health Care
Providers & Services 6.5%
------------------------------------
Auto Components 5.6%
------------------------------------
Real Estate 4.8%
------------------------------------
Commercial Services & Supplies 3.8%
------------------------------------
Household Durables 3.6%
------------------------------------
Containers & Packaging 3.4%
------------------------------------
Oil, Gas & Consumable Fuels 3.2%
------------------------------------
Chemicals 2.7%
------------------------------------
Building Products 2.4%
------------------------------------
Specialty Retail 2.3%
------------------------------------
Diversified
Telecommunication Services 2.3%
------------------------------------
Textiles, Apparel &
Luxury Goods 2.2%
------------------------------------
Beverages 1.9%
------------------------------------
IT Services 1.8%
------------------------------------
Insurance 1.6%
------------------------------------
Food Products 1.5%
------------------------------------
Aerospace & Defense 1.5%
------------------------------------
Airlines 1.5%
------------------------------------
Wireless
Telecommunication Services 1.5%
------------------------------------
Short-Term Investments 4.0%
------------------------------------
Other 11.4%
------------------------------------
TOP FIVE ISSUERS (EXCLUDING
SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------
Century Cable Holdings LLC 2.3%
------------------------------------
Federal-Mogul Corporation 2.3%
------------------------------------
Graham Packaging Company, L.P. 2.2%
------------------------------------
Primedia Inc. 2.1%
------------------------------------
LNR Property Corporation 2.0%
------------------------------------
8
Nuveen Floating Rate Income Fund
JFR
Performance
OVERVIEW As of January 31, 2006
Pie Chart:
PORTFOLIO ALLOCATION
(as a % of total investments)
Variable Rate Senior Loan Interests 84.0%
Corporate Bonds 10.9%
Short-Term Investments 5.0%
Other 0.1%
Bar Chart:
2005-2006 MONTHLY DIVIDENDS PER SHARE
Feb 0.07
Mar 0.076
Apr 0.076
May 0.076
Jun 0.076
Jul 0.076
Aug 0.076
Sep 0.079
Oct 0.079
Nov 0.079
Dec 0.082
Jan 0.082
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
2/01/05 14.44
14.48
14.46
14.54
14.6
14.64
14.63
14.61
14.5
14.32
14.34
14.31
14.21
14.3
14.2
14.26
14.35
14.3
14.49
14.56
14.58
14.65
14.7
14.76
14.83
14.88
14.85
14.76
14.88
14.72
14.66
14.64
14.69
14.68
14.63
14.65
14.52
14.45
14.48
14.67
14.71
14.78
14.78
14.71
14.8
14.8
14.79
14.79
14.77
14.59
14.35
14.1
14.14
14.2
14.16
14.29
14.3
14.19
14.13
14.34
14.5
14.46
14.46
14.47
14.32
14.48
14.49
14.26
14.28
14.44
14.31
14.39
13.95
14
13.98
13.85
13.65
13.72
13.78
13.54
13.47
13.58
13.67
13.98
14
13.88
13.9
13.91
13.87
13.78
13.72
13.73
13.71
13.55
13.45
13.48
13.44
13.4
13.35
13.32
13.33
13.33
13.33
13.4
13.35
13.48
13.57
13.55
13.52
13.51
13.6
13.5
13.51
13.38
13.45
13.48
13.45
13.58
13.62
13.65
13.64
13.65
13.61
13.64
13.65
13.69
13.69
13.69
13.7
13.67
13.69
13.61
13.58
13.54
13.54
13.44
13.4
13.39
13.4
13.4
13.37
13.4
13.39
13.38
13.41
13.37
13.33
13.3
13.3
13.36
13.41
13.43
13.32
13.32
13.46
13.45
13.43
13.4
13.36
13.36
13.36
13.33
13.39
13.33
13.25
13.07
13.09
12.94
12.96
12.92
13.07
13.09
13.19
13.19
13.05
13.1
13.12
13.07
12.87
12.78
12.73
12.63
12.62
12.48
12.37
12.46
12.54
12.59
12.59
12.69
12.71
12.7
12.69
12.58
12.62
12.63
12.66
12.67
12.59
12.53
12.47
12.32
12.35
12.28
12.26
12.33
12.37
12.24
12.29
12.28
12.32
12.37
12.32
12.33
12.34
12.4
12.42
12.42
12.54
12.64
12.55
12.28
12.38
12.32
12.33
12.31
12.34
12.3
12.32
12.36
12.51
12.47
12.5
12.59
12.59
12.63
12.76
12.81
12.83
12.87
12.98
12.93
12.93
12.95
12.93
12.83
12.85
12.78
12.82
12.9
12.96
12.95
12.86
12.95
1/31/06 12.93
FUND SNAPSHOT
------------------------------------
Common Share Price $12.93
------------------------------------
Common Share
Net Asset Value $14.04
------------------------------------
Premium/(Discount) to NAV -7.91%
------------------------------------
Latest Dividend $0.0820
------------------------------------
Market Yield 7.61%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $663,684
------------------------------------
AVERAGE ANNUALIZED TOTAL RETURN
(Inception 3/25/04)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -1.98% 2.93%
------------------------------------
1-Year -3.83% 5.58%
------------------------------------
Since
Inception -1.91% 4.88%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Media 19.7%
------------------------------------
Hotels, Restaurants & Leisure 10.4%
------------------------------------
Real Estate 6.1%
------------------------------------
Chemicals 5.5%
------------------------------------
Health Care Providers
& Services 5.1%
------------------------------------
Containers & Packaging 4.1%
------------------------------------
IT Services 3.6%
------------------------------------
Household Durables 3.4%
------------------------------------
Building Products 3.2%
------------------------------------
Commercial Services & Supplies 3.1%
------------------------------------
Auto Components 2.9%
------------------------------------
Oil, Gas & Consumable Fuels 2.1%
------------------------------------
Diversified
Telecommunication Services 1.9%
------------------------------------
Insurance 1.7%
------------------------------------
Machinery 1.6%
------------------------------------
Metals & Mining 1.5%
------------------------------------
Multi-Utilities 1.4%
------------------------------------
Paper & Forest Products 1.3%
------------------------------------
Trading Companies &
Distributors 1.2%
------------------------------------
Pharmaceuticals 1.1%
------------------------------------
Airlines 1.1%
------------------------------------
Short-Term Investments 5.0%
------------------------------------
Other 13.0%
------------------------------------
TOP FIVE ISSUERS (EXCLUDING
SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------
Charter Communications
Operating, LLC 2.5%
------------------------------------
Metro-Goldwyn-Mayer
Studios, Inc. 2.4%
------------------------------------
Century Cable Holdings LLC 2.3%
------------------------------------
LNR Property Corporation 2.2%
------------------------------------
Graham Packaging Company, L.P. 2.2%
------------------------------------
9
Nuveen Floating Rate Income Opportunity Fund
JRO
Performance
OVERVIEW As of January 31, 2006
Pie Chart:
PORTFOLIO ALLOCATION
(as a % of total investments)
Variable Rate Senior Loan Interests 82.5%
Corporate Bonds 11.7%
Short-Term Investments 3.8%
Convertible Bonds 1.6%
Other 0.4%
Bar Chart:
2005-2006 MONTHLY DIVIDENDS PER SHARE
Feb 0.076
Mar 0.076
Apr 0.076
May 0.076
Jun 0.076
Jul 0.076
Aug 0.076
Sep 0.08
Oct 0.08
Nov 0.08
Dec 0.085
Jan 0.085
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
2/01/05 14.73
14.77
14.68
14.7
14.72
14.67
14.65
14.63
14.59
14.48
14.38
14.35
14.31
14.38
14.29
14.21
14.28
14.31
14.4
14.4
14.48
14.49
14.56
14.59
14.56
14.54
14.57
14.41
14.39
14.32
14.36
14.39
14.23
14.16
14.12
13.95
13.97
13.63
13.97
14.16
14.24
14.2
14.2
14.22
14.24
14.17
13.93
13.88
14
13.89
13.7
13.64
13.59
13.67
13.75
13.67
13.47
13.53
13.5
13.78
13.91
13.9
13.9
13.88
13.65
13.72
13.66
13.69
13.68
13.77
13.65
13.62
13.48
13.47
13.3
13.23
13.2
13.21
13.18
12.98
12.91
13.06
13.13
13.18
13.19
13.25
13.26
13.35
13.37
13.31
13.3
13.41
13.28
13.14
13.15
13.21
13.22
13.11
13.18
13.3
13.25
13.16
13.11
13.2
13.22
13.27
13.3
13.34
13.34
13.34
13.35
13.36
13.27
13.13
13.15
13.17
13.22
13.29
13.22
13.24
13.21
13.2
13.24
13.34
13.41
13.41
13.41
13.46
13.34
13.33
13.31
13.34
13.4
13.36
13.37
13.25
13.2
13.12
13.15
13.09
13.09
13.14
13.09
13.12
13.06
13
12.95
13.02
12.96
13.04
13.05
13.09
13.19
13.17
13.18
13.2
13.21
13.15
13.16
13.11
13.06
13.07
12.96
12.97
12.86
12.77
12.75
12.73
12.82
12.83
12.98
12.96
12.87
12.95
12.84
12.81
12.93
12.87
12.73
12.6
12.65
12.56
12.45
12.35
12.31
12.47
12.5
12.57
12.6
12.77
12.67
12.74
12.66
12.63
12.71
12.67
12.67
12.65
12.64
12.62
12.54
12.47
12.41
12.21
12.28
12.21
12.2
12.22
12.22
12.25
12.28
12.25
12.37
12.32
12.33
12.43
12.4
12.43
12.5
12.58
12.51
12.27
12.29
12.28
12.41
12.38
12.34
12.28
12.32
12.42
12.44
12.45
12.48
12.49
12.49
12.57
12.64
12.75
12.73
12.78
12.91
12.86
12.89
12.87
12.83
12.82
12.8
12.8
12.78
12.86
12.81
12.82
12.88
12.94
1/31/06 12.98
FUND SNAPSHOT
------------------------------------
Common Share Price $12.98
------------------------------------
Common Share
Net Asset Value $14.03
------------------------------------
Premium/(Discount) to NAV -7.48%
------------------------------------
Latest Dividend $0.0850
------------------------------------
Market Yield 7.86%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $398,413
------------------------------------
AVERAGE ANNUALIZED TOTAL RETURN
(Inception 7/27/04)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) 0.54% 3.14%
------------------------------------
1-Year -5.19% 6.08%
------------------------------------
Since
Inception -3.03% 4.90%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Media 19.0%
------------------------------------
Real Estate 7.2%
------------------------------------
Hotels, Restaurants & Leisure 6.7%
------------------------------------
Health Care Providers
& Services 5.7%
------------------------------------
Diversified
Telecommunication Services 4.9%
------------------------------------
Containers & Packaging 3.6%
------------------------------------
IT Services 3.6%
------------------------------------
Chemicals 3.3%
------------------------------------
Commercial Services & Supplies 3.1%
------------------------------------
Electric Utilities 2.9%
------------------------------------
Food & Staples Retailing 2.7%
------------------------------------
Machinery 2.6%
------------------------------------
Oil, Gas, & Consumable Fuels 2.6%
------------------------------------
Building Products 2.5%
------------------------------------
Household Durables 2.2%
------------------------------------
Textiles, Apparel &
Luxury Goods 2.2%
------------------------------------
Trading Companies &
Distributors 2.1%
------------------------------------
Auto Components 2.0%
------------------------------------
Household Products 1.6%
------------------------------------
Aerospace & Defense 1.5%
------------------------------------
Airlines 1.5%
------------------------------------
Short-Term Investments 3.8%
------------------------------------
Other 12.7%
------------------------------------
TOP FIVE ISSUERS (EXCLUDING
SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------
Cablevision Systems Corporation 2.9%
------------------------------------
LNR Property Corporation 2.8%
------------------------------------
Century Cable Holdings LLC 2.5%
------------------------------------
General Growth Properties, Inc. 2.4%
------------------------------------
Graham Packaging Company, L.P. 2.4%
------------------------------------
10
Special Shareholder
MEETING REPORT
The Shareholder Meeting was held at the offices of Nuveen Investments on
November 15, 2005.
NSL JFR JRO
------------------------------------------------------------------------------------------------------------------------------------
Common and Common and Common and
FundPreferred FundPreferred FundPreferred FundPreferred FundPreferred FundPreferred
shares shares shares shares shares shares
voting together voting together voting together voting together voting together voting together
as a class as a class as a class as a class as a class as a class
====================================================================================================================================
APPROVAL OF THE BOARD MEMBERS
WAS REACHED AS FOLLOWS:
Robert P. Bremner
For 26,787,226 -- 44,605,224 -- 26,043,948 --
Withhold 521,576 -- 603,139 -- 549,706 --
------------------------------------------------------------------------------------------------------------------------------------
Total 27,308,802 -- 45,208,363 -- 26,593,654 --
====================================================================================================================================
Lawrence H. Brown
For 26,812,572 -- 44,603,681 -- 26,043,554 --
Withhold 496,230 -- 604,682 -- 550,100 --
------------------------------------------------------------------------------------------------------------------------------------
Total 27,308,802 -- 45,208,363 -- 26,593,654 --
====================================================================================================================================
Jack B. Evans
For 26,812,418 -- 44,602,864 -- 26,044,504 --
Withhold 496,384 -- 605,499 -- 549,150 --
------------------------------------------------------------------------------------------------------------------------------------
Total 27,308,802 -- 45,208,363 -- 26,593,654 --
====================================================================================================================================
William C. Hunter
For 26,801,157 -- 44,596,037 -- 26,038,232 --
Withhold 507,645 -- 612,326 -- 555,422 --
------------------------------------------------------------------------------------------------------------------------------------
Total 27,308,802 -- 45,208,363 -- 26,593,654 --
====================================================================================================================================
David J. Kundert
For 26,796,391 -- 44,608,750 -- 26,045,612 --
Withhold 512,411 -- 599,613 -- 548,042 --
------------------------------------------------------------------------------------------------------------------------------------
Total 27,308,802 -- 45,208,363 -- 26,593,654 --
====================================================================================================================================
William J. Schneider
For -- 1,801 -- 14,790 -- 9,012
Withhold -- 13 -- 9 -- 27
------------------------------------------------------------------------------------------------------------------------------------
Total -- 1,814 -- 14,799 -- 9,039
====================================================================================================================================
Timothy R. Schwertfeger
For -- 1,801 -- 14,788 -- 9,011
Withhold -- 13 -- 11 -- 28
------------------------------------------------------------------------------------------------------------------------------------
Total -- 1,814 -- 14,799 -- 9,039
====================================================================================================================================
Judith M. Stockdale
For 26,800,191 -- 44,592,318 -- 26,034,250 --
Withhold 508,611 -- 616,045 -- 559,404 --
------------------------------------------------------------------------------------------------------------------------------------
Total 27,308,802 -- 45,208,363 -- 26,593,654 --
====================================================================================================================================
Eugene S. Sunshine
For 26,795,582 -- 44,600,222 -- 26,038,937 --
Withhold 513,220 -- 608,141 -- 554,717 --
------------------------------------------------------------------------------------------------------------------------------------
Total 27,308,802 -- 45,208,363 -- 26,593,654 --
====================================================================================================================================
11
Nuveen Senior Income Fund (NSL)
Portfolio of
INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 140.2% (86.8% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 2.4% (1.5% OF TOTAL INVESTMENTS)
$ 2,985 Mid-Western Aircraft Systems Inc., Term Loan B 6.850% 6/10/11 B1 $ 3,028,842
2,431 Vought Aircraft Industries, Inc., Term Loan 7.070% 12/22/11 B+ 2,457,582
545 Vought Aircraft Industries, Inc., Tranche B, 6.364% 12/22/10 B+ 552,273
Letter of Credit
------------------------------------------------------------------------------------------------------------------------------------
5,961 Total Aerospace & Defense 6,038,697
------------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 2.4% (1.5% OF TOTAL INVESTMENTS)
5,925 United Air Lines, Inc., Dip Term Loan (Tranche B), (7) 8.620% 5/25/06 N/R 5,973,202
------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 9.0% (5.6% OF TOTAL INVESTMENTS)
2,262 Accuride Corporation, Term Loan 6.552% 1/31/10 B+ 2,291,840
4,224 Federal-Mogul Corporation, Term Loan A, (7) 6.810% 2/24/04 N/R 3,938,017
5,551 Federal-Mogul Corporation, Term Loan B, (7) 7.060% 2/24/05 N/R 5,202,070
1,883 Gen Tek Inc., Term Loan B 7.094% 12/31/10 B2 1,901,383
2,000 Goodyear Tire & Rubber Company, Second Lien Term Loan 7.060% 4/30/10 B2 2,022,708
1,000 Goodyear Tire & Rubber Company, Term Loan 3.764% 4/30/10 B3 1,009,643
2,086 Metalforming Technologies, Inc., Term Loan A, (7) (8) 0.000% 9/30/07 N/R 677,940
811 Metalforming Technologies, Inc., Term Loan B, (PIK) (7) (8) 0.000% 9/30/07 N/R 263,659
3,042 Tenneco Automotive Inc., Term Loan B 6.630% 12/12/10 B+ 3,091,985
1,336 Tenneco Automotive Inc., Term Loan B-1 6.820% 12/12/10 B+ 1,358,254
723 United Components, Inc., Term Loan C 6.810% 6/30/10 B1 734,635
------------------------------------------------------------------------------------------------------------------------------------
24,918 Total Auto Components 22,492,134
------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES - 3.1% (1.9% OF TOTAL INVESTMENTS)
1,957 Constellation Brands, Inc., Term Loan 5.900% 11/30/11 BB 1,982,261
5,802 Dr Pepper/Seven Up Bottling Group, Inc., Term Loan B 6.481% 12/19/10 N/R 5,889,797
------------------------------------------------------------------------------------------------------------------------------------
7,759 Total Beverages 7,872,058
------------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 3.9% (2.4% OF TOTAL INVESTMENTS)
2,888 Euramax Holdings Inc., Term Loan B 7.241% 6/21/12 B- 2,878,386
1,975 Nortek, Inc., Term Loan B 6.948% 8/27/11 B 1,992,899
2,479 Stile Acquisition Corporation, Canadian Term Loan 6.629% 4/08/13 B2 2,421,550
2,483 Stile Acquisition Corporation, Term Loan B 6.629% 4/08/13 B2 2,425,676
------------------------------------------------------------------------------------------------------------------------------------
9,825 Total Building Products 9,718,511
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Ameritrade Holdings Corporation, Term Loan 6.040% 12/31/12 BB 2,012,750
------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 4.4% (2.7% OF TOTAL INVESTMENTS)
2,409 Celanese Holdings LLC, Term Loan C 6.527% 4/06/11 B+ 2,437,751
1,031 Huntsman International LLC, Term Loan 6.233% 8/16/12 BB- 1,038,175
12
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS (continued)
$ 3,970 Mosaic Company, Term Loan 6.185% 2/21/12 Ba2 $ 4,013,174
1,980 Rockwood Specialties Group, Inc., Term Loan E 6.668% 12/10/12 B+ 2,006,452
1,500 Wellman Inc., First Lien Term Loan 8.250% 2/10/09 B+ 1,522,500
------------------------------------------------------------------------------------------------------------------------------------
10,890 Total Chemicals 11,018,052
------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 6.1% (3.8% OF TOTAL INVESTMENTS)
2,963 Acco Brands, Term Loan B 6.246% 8/17/10 BB- 3,001,753
1,472 Allied Waste North America, Inc., Letter of Credit 6.030% 3/21/12 B1 1,485,326
3,790 Allied Waste North America, Inc., Term Loan B 6.348% 1/15/12 B1 3,824,204
3,940 National Equipment Services, Inc., Term Loan 10.470% 8/17/10 B3 4,006,488
2,000 Williams Scotsman, Inc., Term Loan B 6.910% 6/28/10 B2 2,027,083
1,000 Workflow Management, Inc., Term Loan 8.660% 10/17/10 B2 1,002,500
------------------------------------------------------------------------------------------------------------------------------------
15,165 Total Commercial Services & Supplies 15,347,354
------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Maxim Crane Works, Term Loan C 9.938% 1/28/12 N/R 2,055,834
------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 5.4% (3.4% OF TOTAL INVESTMENTS)
4,950 Graham Packaging Company, L.P., Term Loan B 6.915% 10/07/11 B 5,016,736
4,000 Graham Packaging Company, L.P., Term Loan C 8.813% 3/15/12 CCC+ 4,098,334
437 Smurfit-Stone Container Corporation, 2.100% 11/01/11 B+ 441,371
Deposit-Funded Commitment
1,809 Smurfit-Stone Container Corporation, Term Loan B 6.488% 11/01/11 B+ 1,828,526
538 Smurfit-Stone Container Corporation, Term Loan C 6.561% 11/01/11 B+ 544,273
193 Smurfit-Stone Container Corporation, Tranche C-1 6.813% 11/01/11 B+ 194,651
1,463 United States Can Company, Term Loan B 8.310% 1/15/10 B3 1,477,239
------------------------------------------------------------------------------------------------------------------------------------
13,390 Total Containers & Packaging 13,601,130
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 1.6% (1.0% OF TOTAL INVESTMENTS)
4,000 NASDAQ Stock Market, Inc., Term Loan 6.138% 12/08/11 Ba2 4,040,834
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.7% (2.3% OF TOTAL INVESTMENTS)
1,000 Fairpoint Communications, Inc., Term Loan 6.313% 2/15/12 B1 1,003,500
1,980 Intelsat, Ltd., Term Loan B 6.313% 7/06/11 B 2,001,656
800 Qwest Corporation, Term Loan A 9.220% 6/30/07 Ba3 820,150
5,000 Qwest Corporation, Term Loan B 6.950% 6/30/10 Ba3 5,073,438
5,000 WCI Capital Corporation, Term Loan B, (7) (8) 0.000% 9/30/07 N/R 275,000
------------------------------------------------------------------------------------------------------------------------------------
13,780 Total Diversified Telecommunication Services 9,173,744
------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.6% (0.3% OF TOTAL INVESTMENTS)
1,374 Allegheny Energy Supply Company, LLC, Term Loan C 5.883% 3/08/11 BB 1,387,422
------------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.9% (1.2% OF TOTAL INVESTMENTS)
2,993 Mueller Group, Inc., Term Loan 6.775% 10/03/12 B2 3,031,777
1,626 Sensus Metering Systems Inc., Term Loan B-1 6.839% 12/17/10 B2 1,643,872
210 Sensus Metering Systems Inc., Term Loan B-2 6.815% 12/17/10 B2 212,517
------------------------------------------------------------------------------------------------------------------------------------
4,829 Total Electrical Equipment 4,888,166
------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 2.4% (1.5% OF TOTAL INVESTMENTS)
5,000 Dole Holding Company, LLC, Term Loan 9.438% 7/21/10 B3 5,118,750
975 Michael Foods, Inc., Term Loan B 6.659% 11/20/10 B+ 988,865
------------------------------------------------------------------------------------------------------------------------------------
5,975 Total Food Products 6,107,615
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.7% (0.4% OF TOTAL INVESTMENTS)
1,749 Kinetic Concepts, Inc., Term Loan B-2 6.280% 8/11/10 Ba3 1,770,355
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 10.5% (6.5% OF TOTAL INVESTMENTS)
5,362 Community Health Systems, Inc., Term Loan 6.160% 8/19/11 BB- 5,438,648
4,988 Davita Inc., Term Loan B 6.762% 7/01/12 B1 5,064,579
1,970 IASIS Healthcare LLC, Term Loan B 6.777% 6/22/11 B+ 1,998,319
13
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES (continued)
$ 3,990 LifeCare Holdings Inc., Term Loan B, DD1 6.650% 8/11/12 B $ 3,615,106
2,154 Psychiatric Solutions Inc., Term Loan B 6.150% 7/01/12 B+ 2,185,705
2,978 Select Medical Corporation, Term Loan 6.122% 2/24/12 B1 2,952,687
4,958 Vanguard Health Holding Company, LLC, Replacement 6.950% 9/23/11 B 5,026,773
Term Loan
------------------------------------------------------------------------------------------------------------------------------------
26,400 Total Health Care Providers & Services 26,281,817
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 15.1% (9.4% OF TOTAL INVESTMENTS)
5,000 24 Hour Fitness Worldwide, Inc., Term Loan B 7.620% 6/08/12 B 5,070,835
1,811 Ameristar Casinos, Inc., Term Loan B 5.868% 10/06/12 Ba3 1,827,482
3,980 CCM Merger, Inc., Term Loan B 6.489% 7/26/12 B+ 4,008,361
1,980 Isle of Capri Casinos, Inc., Term Loan 6.290% 4/26/08 BB- 2,005,740
4,395 Jack in the Box Inc., Term Loan 5.922% 1/08/11 BB 4,441,850
7,990 OpBiz, LLC, Term Loan A 7.530% 8/31/10 B- 7,884,824
20 OpBiz, LLC, Term Loan B (PIK) 8.530% 8/31/10 B- 20,044
3,990 Penn National Gaming, Inc., Term Loan B 6.294% 10/03/12 BB- 4,047,356
2,000 Pinnacle Entertainment Inc., Term Loan 6.490% 12/14/11 B1 2,019,584
1,954 Resorts International Hotel and Casino Inc., Term Loan B 7.530% 3/22/12 CCC+ 1,921,098
2,405 Resorts International Hotel and Casino Inc., Term Loan C 12.027% 3/22/13 CCC+ 2,179,190
427 Venetian Casino Resort, LLC, Delayed Draw Term Loan 6.280% 6/15/11 BB- 431,591
2,073 Venetian Casino Resort, LLC, Term Loan 6.280% 6/15/11 BB- 2,093,214
------------------------------------------------------------------------------------------------------------------------------------
38,025 Total Hotels, Restaurants & Leisure 37,951,169
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 4.7% (2.9% OF TOTAL INVESTMENTS)
5,000 Armstrong Holdings Inc., Term Loan, WI/DD (7) (8) TBD TBD N/R 3,922,500
3,307 Sealy Mattress Company, Term Loan D 6.145% 4/06/12 B+ 3,347,033
4,500 Shea Homes Inc., Term Loan 6.260% 10/27/11 BB- 4,511,250
------------------------------------------------------------------------------------------------------------------------------------
12,807 Total Household Durables 11,780,783
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,965 Prestige Brands, Inc., Term Loan B 6.311% 4/06/11 B+ 1,984,650
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.4% (0.2% OF TOTAL INVESTMENTS)
553 Covanta Energy Corporation, Letter of Credit 4.527% 6/24/12 B+ 561,829
373 Covanta Energy Corporation, Term Loan B 7.523% 6/24/12 B+ 378,925
------------------------------------------------------------------------------------------------------------------------------------
926 Total Independent Power Producers & Energy Traders 940,754
------------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.6% (1.6% OF TOTAL INVESTMENTS)
6,570 Conseco, Inc., Term Loan 6.470% 6/22/10 B2 6,626,983
------------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 3.0% (1.8% OF TOTAL INVESTMENTS)
2,400 Fidelity National Information Services, Term Loan B 6.129% 3/09/13 Ba3 2,416,800
4,975 SunGard Data Systems Inc., Term Loan B 6.810% 2/11/13 B+ 5,032,004
------------------------------------------------------------------------------------------------------------------------------------
7,375 Total IT Services 7,448,804
------------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 0.4% (0.2% OF TOTAL INVESTMENTS)
995 Mega Bloks, Term Loan B 6.438% 9/30/10 BB- 1,008,681
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.1% (0.7% OF TOTAL INVESTMENTS)
964 Dresser-Rand Group, Inc., Term Loan 6.394% 10/10/10 B+ 980,960
1,797 Rexnord Corporation, Replacement Term Loan 6.492% 12/31/11 B+ 1,820,513
------------------------------------------------------------------------------------------------------------------------------------
2,761 Total Machinery 2,801,473
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 24.2% (15.0% OF TOTAL INVESTMENTS)
4,500 American Media Operations, Inc., Term Loan, WI/DD TBD TBD B 4,550,625
1,000 Blockbuster, Inc., Term Loan, WI/DD TBD TBD B- 971,250
6,000 Century Cable Holdings LLC, Discrectionary Term Loan, (7) 9.250% 12/31/09 N/R 5,839,500
2,000 Century Cable Holdings LLC, Revolver, (7) (9) 8.250% 10/25/10 N/R 1,936,000
1,640 Century Cable Holdings LLC, Revolver, (7) (9) 8.250% 10/25/10 N/R 1,587,520
4,919 Charter Communications Operating, LLC, Term Loan B 7.920% 4/07/11 B 4,958,851
2,270 Dex Media East LLC, Term Loan B 6.186% 11/10/08 BB 2,291,839
4,216 Dex Media West LLC, Term Loan B 6.252% 3/09/10 BB 4,260,331
14
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
MEDIA (continued)
$ 1,336 Emmis Operating Company, Term Loan 6.292% 11/10/11 B+ $ 1,344,338
500 Gray Television, Inc., Incremental Term Loan, WI/DD TBD TBD N/R 504,057
1,500 Gray Television, Inc., Term Loan B 6.030% 11/22/12 BB- 1,512,188
5,000 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 6.780% 4/08/12 B+ 5,057,385
6,000 Primedia Inc., Term Loan 6.648% 9/30/13 B 5,942,250
4,326 R. H. Donnelley Inc., Tranche D 6.259% 6/30/11 Ba3 4,364,057
2,978 Rainbow Media Holdings LLC, Term Loan 7.188% 3/31/12 Ba3 3,015,340
4,644 Regal Cinemas Corporation, Term Loan 6.527% 11/10/10 BB- 4,702,578
1,728 Sun Media Corporation, Term Loan B 6.668% 2/07/09 BB 1,752,803
3,000 UPC Financing Partnership, Term Loan H2 7.280% 9/30/12 B 3,036,696
2,944 WMG Acquisition Corp., Term Loan 6.509% 2/28/11 B+ 2,975,360
------------------------------------------------------------------------------------------------------------------------------------
60,501 Total Media 60,602,968
------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.1% (0.7% OF TOTAL INVESTMENTS)
2,605 Amsted Industries Incorporated, Term Loan B 7.104% 10/15/10 B1 2,644,917
------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 0.0% (0.0% OF TOTAL INVESTMENTS)
1,500 Sears Canada, Term Loan (5) 0.000% 12/15/12 BB+ 13,125
------------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 2.0% (1.2% OF TOTAL INVESTMENTS)
875 NRG Energy, Inc., Credit-Linked Deposit 4.527% 12/24/11 BB 878,190
4,000 NRG Energy, Inc., Term Loan, WI/DD TBD TBD BB- 4,044,584
------------------------------------------------------------------------------------------------------------------------------------
4,875 Total Multi-Utilities 4,922,774
------------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 5.2% (3.2% OF TOTAL INVESTMENTS)
4,000 Citgo Petroleum Corporation, Term Loan 5.915% 11/15/12 Ba1 4,042,502
800 Coffeyville Resources LLC, Letter of Credit 4.463% 6/24/13 B1 811,250
1,194 Coffeyville Resources LLC, Term Loan B 7.027% 7/08/12 B1 1,210,798
1,125 El Paso Corporation, Deposit-Funded Commitment 4.290% 11/23/09 B3 1,131,094
1,838 El Paso Corporation, Term Loan 7.313% 11/23/09 B3 1,852,174
774 Targa Resources Inc., Synthetic Letter of Credit 4.402% 10/10/12 B+ 782,903
3,218 Targa Resources Inc., Term Loan B 6.738% 10/10/12 B+ 3,253,942
------------------------------------------------------------------------------------------------------------------------------------
12,949 Total Oil, Gas & Consumable Fuels 13,084,663
------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 1.7% (1.0% OF TOTAL INVESTMENTS)
1,195 Boise Cascade Holdings, LLC, Term Loan D 6.290% 3/29/11 Ba3 1,212,442
2,985 NewPage Corporation, Term Loan B 7.563% 5/02/11 B 3,022,313
------------------------------------------------------------------------------------------------------------------------------------
4,180 Total Paper & Forest Products 4,234,755
------------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,985 Talecris Biotherapeutics Inc., Term Loan B 7.629% 3/31/10 N/R 1,980,038
------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 7.8% (4.8% OF TOTAL INVESTMENTS)
4,000 Capital Automotive LP., Term Loan 6.310% 12/16/10 BB+ 4,016,500
1,657 General Growth Properties, Inc., Term Loan A 6.220% 11/27/07 Ba2 1,660,248
4,957 General Growth Properties, Inc., Term Loan B 6.570% 11/12/08 Ba2 4,971,941
937 Lion Gables, Term Loan 6.161% 9/30/06 Ba2 943,422
4,900 LNR Property Corporation, Term Loan 7.278% 2/03/08 B2 4,941,959
3,000 LNR Property Corporation, Term Loan B 9.525% 2/03/08 B2 3,043,125
------------------------------------------------------------------------------------------------------------------------------------
19,451 Total Real Estate 19,577,195
------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 0.8% (0.6% OF TOTAL INVESTMENTS)
2,000 Avago Technologies Finance Pte. Ltd., Term Loan 6.821% 12/01/12 B+ 2,007,188
------------------------------------------------------------------------------------------------------------------------------------
15
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 3.7% (2.3% OF TOTAL INVESTMENTS)
$ 1,318 Micro Warehouse, Inc., Term Loan B, (7) (8) 0.000% 1/30/07 N/R $ 39,534
1,566 Movie Gallery Inc., Term Loan B 8.280% 4/27/11 B- 1,498,928
4,030 Norwood Promotional Products, Term Loan A 10.750% 8/16/09 N/R 4,049,713
5,633 Norwood Promotional Products, Term Loan B 6.000% 8/16/11 N/R 1,774,545
2,000 TravelCenters of America Inc., Term Loan 6.279% 6/30/11 B1 2,023,250
------------------------------------------------------------------------------------------------------------------------------------
14,547 Total Specialty Retail 9,385,970
------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 3.5% (2.2% OF TOTAL INVESTMENTS)
5,162 Jostens IH Corp., Term Loan C 6.777% 7/29/10 B+ 5,237,058
3,440 William Carter Company, Term Loan B 6.489% 7/14/12 B1 3,480,392
------------------------------------------------------------------------------------------------------------------------------------
8,602 Total Textiles, Apparel & Luxury Goods 8,717,450
------------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.6% (1.0% OF TOTAL INVESTMENTS)
1,980 Ashtead Group Public Limited Company, Term Loan 6.125% 11/12/09 Ba3 2,000,420
2,000 Brenntag Holdings, Term Loan, WI/DD TBD TBD B- 2,032,000
------------------------------------------------------------------------------------------------------------------------------------
3,980 Total Trading Companies & Distributors 4,032,420
------------------------------------------------------------------------------------------------------------------------------------
$ 364,539 Total Variable Rate Senior Loan Interests (cost $359,538,777) 351,526,435
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 14.5% (8.9% OF TOTAL INVESTMENTS)
HOTELS, RESTAURANTS & LEISURE - 6.8% (4.2% OF TOTAL INVESTMENTS)
$ 5,350 Mandalay Resort Group 6.450% 2/01/06 BB 5,350,000
7,000 MGM Grand, Inc. 9.750% 6/01/07 Ba3 7,385,000
1,500 Mirage Resorts 7.250% 10/15/06 BB 1,526,250
2,400 Park Place Entertainment 8.875% 9/15/08 BB+ 2,604,000
------------------------------------------------------------------------------------------------------------------------------------
16,250 Total Hotels, Restaurants & Leisure 16,865,250
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 1.2% (0.7% OF TOTAL INVESTMENTS)
3,000 Standard Pacific Corporation 6.500% 10/01/08 BB 3,007,500
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Navistar International, Series B 9.375% 6/01/06 BB- 2,030,000
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 3.1% (1.9% OF TOTAL INVESTMENTS)
1,930 AMC Entertainment 9.875% 2/01/12 B3 1,843,150
2,000 Cablevision Systems Corporation, Floating Rate Note, 9.310% 4/01/09 B+ 2,052,500
4.500% plus six-month LIBOR, 144A
1,543 Emmis Communications Corporation, Floating Rate Note, 10.555% 6/15/12 B- 1,552,500
5.875% plus three-month LIBOR
2,500 Primedia Inc., Floating Rate Note, 10.055% 5/15/10 B 2,428,125
5.375% plus three-month LIBOR
------------------------------------------------------------------------------------------------------------------------------------
7,973 Total Media 7,876,275
------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 0.2% (0.1% OF TOTAL INVESTMENTS)
500 Avago Technologies Finance Pte., Ltd., Floating Rate Note, 10.180% 6/01/13 B 508,750
5.500% plus three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 2.4% (1.5% OF TOTAL INVESTMENTS)
6,000 Dobson Communications Corporation, Floating Rate Note, 8.930% 10/15/12 CCC 5,940,000
4.250% plus three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------------
$ 35,723 Total Corporate Bonds (cost $36,557,376) 36,227,775
------------------------------------------------------------------------------------------------------------------------------------
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.4% (0.3% OF TOTAL INVESTMENTS)
150,000 ING Prime Rate Trust 1,041,000
------------------------------------------------------------------------------------------------------------------------------------
Total Investment Companies (cost $1,048,393) 1,041,000
------------------------------------------------------------------------------------------------------------------------------------
16
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 0.0% (0.0% OF TOTAL INVESTMENTS)
AUTO COMPONENTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
279,642 Metalforming Technologies, Inc., (7) (10) $ --
------------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (cost $0) --
------------------------------------------------------------------------------------------------------------------------------------
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
5,672 Reliant Energy, Inc. 34,741
------------------------------------------------------------------------------------------------------------------------------------
Total Warrants (cost $40,254) 34,741
====================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 6.5% (4.0% OF TOTAL INVESTMENTS)
Repurchase Agreement with State Street Bank,
dated 1/31/06, repurchase price $16,358,724,
collateralized by $17,090,000, U.S. Treasury Notes,
$ 16,357 4.125%, due 5/15/15, value $16,684.113 4.150% 2/01/06 16,356,838
============------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (cost $16,356,838) 16,356,838
====================================================================================================================
Total Investments (cost $413,541,638) - 161.6% 405,186,789
====================================================================================================================
Borrowings Payable - (41.1)% (6) (103,000,000)
====================================================================================================================
Other Assets Less Liabilities - (2.1)% (5,508,517)
====================================================================================================================
Preferred Shares, at Liquidation Value - (18.4)% (46,000,000)
====================================================================================================================
Net Assets Applicable to Common Shares - 100% $250,678,272
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically adjusted by
reference to a base short-term, floating lending rate plus
an assigned fixed rate. These floating lending rates are
generally (i) the lending rate referenced by the London
Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate
offered by one or more major United States banks. Senior
loans may be considered restricted in that the Fund
ordinarily is contractually obligated to receive approval
from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(3) Senior Loans in the Fund's portfolio 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 in the Fund's portfolio may
occur. As a result, the actual remaining maturity of Senior
Loans held in the Fund's portfolio may be substantially less
than the stated maturities shown.
(4) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below Baa by Moody's Investor Service, Inc.
or BBB by Standard & Poor's Group are considered to be below
investment grade.
(5) Position represents an unfunded loan commitment outstanding
at January 31, 2006.
(6) Borrowings payable as a percentage of total investments is
(25.4%).
(7) At or subsequent to January 31, 2006, this issue was under
the protection of the Federal Bankruptcy Court.
(8) Non-income producing security, in the case of a bond,
generally denotes that the issuer has defaulted on the
payment of principal or interest or has filed for
bankruptcy.
(9) Position represents a participation commitment outstanding
at January 31, 2006.
(10) Investment valued at fair value using methods determined in
good faith by, or at the discretion of, the Board of
Trustees.
WI/DD Investment purchased on a when-issued or delayed delivery
basis.
DD1 Portion of investment purchased on a delayed delivery basis.
N/R Investment is not rated.
144A Securities are exempt from registration under Rule 144A of
the Securities Act of 1933, as amended. These securities may
only be resold in transactions exempt from registration
which are normally those transactions with qualified
institutional buyers.
TBD Senior Loan purchased on a when-issued or delayed delivery
basis. Certain details associated with this purchase are not
known prior to the settlement date of the transaction. In
addition, Senior Loans typically trade without accrued
interest and therefore a weighted average coupon rate is not
available prior to settlement. At settlement, if still
unknown, the borrower or counterparty will provide the Fund
with the final weighted average coupon rate and maturity
date.
(PIK) In lien of cash payment, interest accrued on "Payment in
Kind" investment increases principal outstanding.
See accompanying notes to financial statements.
17
Nuveen Floating Rate Income Fund (JFR)
Portfolio of
INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 136.1% (84.0% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 1.4% (0.8% OF TOTAL INVESTMENTS)
$ 5,970 Mid-Western Aircraft Systems Inc., Term Loan B 6.850% 6/10/11 B1 $ 6,057,684
2,431 Vought Aircraft Industries, Inc., Term Loan 7.070% 12/22/11 B+ 2,457,582
545 Vought Aircraft Industries, Inc., Tranche B, 6.820% 12/22/10 B+ 552,273
Letter of Credit
------------------------------------------------------------------------------------------------------------------------------------
8,946 Total Aerospace & Defense 9,067,539
------------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 1.8% (1.1% OF TOTAL INVESTMENTS)
11,850 United Air Lines, Inc., Dip Term Loan (Tranche B), (6) 8.620% 5/25/06 N/R 11,946,403
------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 4.6% (2.9% OF TOTAL INVESTMENTS)
5,277 Accuride Corporation, Term Loan 6.552% 1/31/10 B+ 5,347,626
17,662 Federal-Mogul Corporation, Term Loan A, (6) 6.810% 2/24/04 N/R 16,464,296
2,000 Federal-Mogul Corporation, Term Loan B, (6) 7.060% 2/24/05 N/R 1,874,375
6,000 Goodyear Tire & Rubber Company, Second Lien Term Loan 7.060% 4/30/10 B2 6,068,124
1,000 Goodyear Tire & Rubber Company, Term Loan 3.764% 4/30/10 B3 1,009,643
------------------------------------------------------------------------------------------------------------------------------------
31,939 Total Auto Components 30,764,064
------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES - 1.7% (1.0% OF TOTAL INVESTMENTS)
2,348 Constellation Brands, Inc., Term Loan 5.900% 11/30/11 BB 2,378,715
8,685 Dr Pepper/Seven Up Bottling Group, Inc., Term Loan B 6.481% 12/19/10 N/R 8,815,977
------------------------------------------------------------------------------------------------------------------------------------
11,033 Total Beverages 11,194,692
------------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 5.1% (3.2% OF TOTAL INVESTMENTS)
14,813 Nortek, Inc., Term Loan B 6.948% 8/27/11 B 14,946,746
4,434 PP Holding Corporation, Term Loan 7.530% 11/12/11 B 4,414,134
7,437 Stile Acquisition Corporation, Canadian Term Loan 6.629% 4/08/13 B2 7,264,651
7,450 Stile Acquisition Corporation, Term Loan B 6.629% 4/08/13 B2 7,277,027
------------------------------------------------------------------------------------------------------------------------------------
34,134 Total Building Products 33,902,558
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.7% (1.0% OF TOTAL INVESTMENTS)
11,000 Ameritrade Holdings Corporation, Term Loan 6.040% 12/31/12 BB 11,070,125
------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 8.9% (5.5% OF TOTAL INVESTMENTS)
7,629 Celanese Holdings LLC, Term Loan C 6.527% 4/06/11 B+ 7,719,545
1,298 Headwaters Inc., Term Loan B 6.860% 4/30/11 B+ 1,309,769
12,775 Hercules Inc., Term Loan 6.309% 10/08/10 BB 12,942,634
11,031 Huntsman International LLC, Term Loan 6.233% 8/16/12 BB- 11,103,366
2,000 Ineos Group Holdings PLC, Term Loan B, WI/DD TBD TBD B+ 2,000,000
2,000 Ineos Group Holdings PLC, Term Loan C, WI/DD TBD TBD Ba3 2,000,000
1,028 JohnsonDiversey Inc., Term Loan 6.796% 12/16/11 B+ 1,038,874
7,880 Lyondell Citgo Refining LP, Term Loan 6.527% 5/21/07 N/R 7,958,800
12,870 Rockwood Specialties Group, Inc., Term Loan E 6.668% 12/10/12 B+ 13,041,937
------------------------------------------------------------------------------------------------------------------------------------
58,511 Total Chemicals 59,114,925
------------------------------------------------------------------------------------------------------------------------------------
18
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 5.0% (3.1% OF TOTAL INVESTMENTS)
$ 4,321 Allied Waste North America, Inc., Letter of Credit 6.030% 3/21/12 B1 $ 4,361,458
11,130 Allied Waste North America, Inc., Term Loan B 6.348% 1/15/12 B1 11,229,253
6,895 National Equipment Services, Inc., Term Loan 10.470% 8/17/10 B3 7,011,353
5,500 Williams Scotsman, Inc., Term Loan B 6.910% 6/28/10 B2 5,574,478
3,000 Workflow Management, Inc., Term Loan 8.660% 10/17/10 B2 3,007,500
1,990 Xerium Technologies Inc. Term Loan B 6.527% 5/18/12 B1 1,991,242
------------------------------------------------------------------------------------------------------------------------------------
32,836 Total Commercial Services & Supplies 33,175,284
------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 6.5% (4.0% OF TOTAL INVESTMENTS)
2,000 Amscan Holdings Inc., Term Loan B 7.510% 12/13/12 B3 1,980,833
4,922 BWAY Corporation, Term Loan B 6.563% 1/30/11 B+ 4,994,562
17,820 Graham Packaging Company, L.P., Term Loan B 6.915% 10/07/11 B 18,060,249
5,000 Graham Packaging Company, L.P., Term Loan C 8.813% 3/15/12 CCC+ 5,122,918
2,176 Owens-Illinois Group, Inc., Term Loan B 6.270% 4/01/08 N/R 2,189,324
699 Smurfit-Stone Container Corporation, 2.100% 11/01/11 B+ 706,194
Deposit-Funded Commitment
5,013 Smurfit-Stone Container Corporation, Term Loan B 6.488% 11/01/11 B+ 5,068,615
1,701 Smurfit-Stone Container Corporation, Term Loan C 6.561% 11/01/11 B+ 1,719,496
534 Smurfit-Stone Container Corporation, Tranche C-1 6.813% 11/01/11 B+ 539,565
2,440 United States Can Company, Term Loan B 8.310% 1/15/10 B3 2,464,565
------------------------------------------------------------------------------------------------------------------------------------
42,305 Total Containers & Packaging 42,846,321
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 1.1% (0.7% OF TOTAL INVESTMENTS)
3,960 EPCO Holdings Inc., Term Loan B 6.781% 8/18/10 B+ 4,018,473
3,000 NASDAQ Stock Market, Inc., Term Loan 6.138% 12/08/11 Ba2 3,030,626
------------------------------------------------------------------------------------------------------------------------------------
6,960 Total Diversified Financial Services 7,049,099
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 2.2% (1.4% OF TOTAL INVESTMENTS)
1,500 Fairpoint Communications, Inc., Term Loan 6.313% 2/15/12 B1 1,505,250
3,960 Intelsat, Ltd., Term Loan B 6.313% 7/06/11 B 4,003,313
2,000 Madison River Capital LLC, Term Loan 7.050% 7/29/12 B+ 2,020,625
5,500 Qwest Corporation, Term Loan B 6.950% 6/30/10 Ba3 5,580,781
1,450 Valor Telecommunications Enterprises, LLC, Term Loan 6.040% 2/14/12 BB- 1,456,684
------------------------------------------------------------------------------------------------------------------------------------
14,410 Total Diversified Telecommunication Services 14,566,653
------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 1.2% (0.7% OF TOTAL INVESTMENTS)
7,784 Allegheny Energy Supply Company, LLC, Term Loan 5.883% 3/08/11 BB 7,862,055
------------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.2% (0.8% OF TOTAL INVESTMENTS)
7,980 Mueller Group, Inc., Term Loan C 6.775% 10/03/12 B2 8,084,737
------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.3% (0.2% OF TOTAL INVESTMENTS)
2,000 Petroleum Geo-Services, Term Loan 7.000% 12/15/12 B+ 2,026,875
------------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 1.6% (1.0% OF TOTAL INVESTMENTS)
10,614 Jean Coutu Group, Inc., Term Loan B 6.937% 7/30/11 B2 10,752,489
------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,000 Dole Holding Company, LLC, Term Loan 9.438% 7/21/10 B3 5,118,750
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,152 Kinetic Concepts, Inc., Term Loan B-2 6.280% 8/11/10 Ba3 5,214,743
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 8.2% (5.1% OF TOTAL INVESTMENTS)
4,900 Beverly Enterprises, Inc., Term Loan B 7.025% 10/22/08 Ba3 4,908,967
14,767 Davita Inc., Term Loan B 6.762% 7/01/12 B1 14,995,127
13,789 IASIS Healthcare LLC, Term Loan B 6.777% 6/22/11 B+ 13,986,949
3,990 LifeCare Holdings Inc., Term Loan B 6.650% 8/11/12 B 3,615,106
1,050 LifePoint Hospitals Holdings, Inc., Term Loan B 6.185% 8/23/12 Ba3 1,057,831
2,978 Select Medical Corporation, Term Loan 6.122% 2/24/12 B1 2,952,687
19
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES (continued)
$ 12,900 Vanguard Health Holding Company, LLC, 6.950% 9/23/11 B $ 13,080,229
Replacement Term Loan
------------------------------------------------------------------------------------------------------------------------------------
54,374 Total Health Care Providers & Services 54,596,896
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 10.7% (6.6% OF TOTAL INVESTMENTS)
8,000 24 Hour Fitness Worldwide, Inc., Term Loan B 7.620% 6/08/12 B 8,113,336
3,189 Ameristar Casinos, Inc., Term Loan B 5.868% 10/06/12 Ba3 3,218,613
5,910 Boyd Gaming Corporation, Term Loan B 5.863% 6/30/11 BB 5,977,720
2,947 Jack in the Box Inc., Term Loan 5.922% 1/08/11 BB 2,978,684
14,481 OpBiz, LLC, Term Loan A 7.530% 8/31/10 B- 14,291,243
37 OpBiz, LLC, Term Loan B (PIK) 8.530% 8/31/10 B- 36,329
9,975 Penn National Gaming, Inc., Term Loan B 6.294% 10/03/12 BB- 10,118,391
6,068 Resorts International Hotel and Casino Inc., Term Loan B 7.530% 3/22/12 CCC+ 5,966,744
9,900 Universal City Development Partners, Ltd., Term Loan 6.504% 6/09/11 BB- 10,025,809
1,709 Venetian Casino Resort, LLC, Delayed Draw Term Loan 6.280% 6/15/11 BB- 1,726,362
8,291 Venetian Casino Resort, LLC, Term Loan 6.280% 6/15/11 BB- 8,372,858
------------------------------------------------------------------------------------------------------------------------------------
70,507 Total Hotels, Restaurants & Leisure 70,826,089
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 2.2% (1.4% OF TOTAL INVESTMENTS)
14,408 Sealy Mattress Company, Term Loan D 6.145% 4/06/12 B+ 14,584,005
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.5% (0.9% OF TOTAL INVESTMENTS)
9,950 Prestige Brands, Inc., Term Loan B 6.311% 4/06/11 B+ 10,049,488
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.4% (0.3% OF TOTAL INVESTMENTS)
1,659 Covanta Energy Corporation, Letter of Credit 4.527% 6/24/12 B+ 1,685,488
1,119 Covanta Energy Corporation, Term Loan B 7.523% 6/24/12 B+ 1,136,775
------------------------------------------------------------------------------------------------------------------------------------
2,778 Total Independent Power Producers & Energy Traders 2,822,263
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES - 0.2% (0.1% OF TOTAL INVESTMENTS)
998 Walter Industries Inc., Term Loan B 6.313% 10/03/12 B+ 1,011,527
------------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.8% (1.7% OF TOTAL INVESTMENTS)
18,441 Conseco, Inc., Term Loan 6.470% 6/22/10 B2 18,602,436
------------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 5.8% (3.6% OF TOTAL INVESTMENTS)
17,503 Fidelity National Information Services, Term Loan B 6.129% 3/09/13 Ba3 17,625,222
20,902 SunGard Data Systems Inc., Term Loan B 6.810% 2/11/13 B+ 21,141,982
------------------------------------------------------------------------------------------------------------------------------------
38,405 Total IT Services 38,767,204
------------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 0.2% (0.1% OF TOTAL INVESTMENTS)
995 Mega Bloks, Term Loan B 6.438% 9/30/10 BB- 1,008,681
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 0.6% (0.3% OF TOTAL INVESTMENTS)
1,446 Dresser-Rand Group, Inc., Term Loan 6.394% 10/10/10 B+ 1,471,440
2,232 Terex Corporation, Term Loan B 6.727% 7/03/09 B2 2,264,195
------------------------------------------------------------------------------------------------------------------------------------
3,678 Total Machinery 3,735,635
------------------------------------------------------------------------------------------------------------------------------------
MARINE - 0.8% (0.5% OF TOTAL INVESTMENTS)
4,925 Horizon Lines, LLC, Term Loan 6.780% 7/11/11 B 4,990,667
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 30.0% (18.5% OF TOTAL INVESTMENTS)
2,000 AMC Entertainment Inc., Term Loan, WI/DD TBD TBD B+ 2,020,208
2,000 American Media Operations, Inc., Term Loan, WI/DD TBD TBD B 2,022,500
994 Blockbuster, Inc., Term Loan, WI/DD TBD TBD B- 965,183
17,000 Century Cable Holdings, LLC, Discretionary Term Loan, (6) 9.250% 12/31/09 N/R 16,545,250
7,000 Century Cable Holdings, LLC, Revolver, (6) 8.250% 10/25/10 N/R 6,776,000
2,000 Century Cable Holdings, LLC, Term Loan, (6) 9.250% 6/30/09 N/R 1,951,041
16,985 Charter Communications, Operating LLC, Term Loan A 7.670% 4/27/10 B 17,075,639
20
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
MEDIA (continued)
$ 9,838 Charter Communications Operating, LLC, Term Loan B 7.920% 4/07/11 B $ 9,917,701
7,000 Clear Channel Entertainment, Term Loan 6.760% 6/20/13 B 7,010,938
2,219 Dex Media East LLC, Term Loan B 6.186% 11/10/08 BB 2,240,545
8,513 Dex Media West LLC, Term Loan B 6.252% 3/09/10 BB 8,601,977
4,667 DirecTV Group, Term Loan B 6.011% 4/13/13 BB 4,720,261
10,682 Emmis Operating Company, Term Loan 6.292% 11/10/11 B+ 10,749,650
998 Entravision Communications Corporation, Term Loan B 6.030% 3/21/13 B+ 1,005,189
25,000 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 6.780% 4/08/12 B+ 25,286,925
16,807 Panamsat Corporation, Term Loan B-1 6.489% 8/20/11 Ba3 17,025,963
6,500 Primedia Inc., Term Loan 6.648% 9/30/13 B 6,437,437
4,326 R. H. Donnelley Inc., Tranche D 6.259% 6/30/11 Ba3 4,364,057
4,963 Rainbow Media Holdings LLC, Term Loan 7.188% 3/31/12 Ba3 5,025,566
16,479 Regal Cinemas Corporation, Term Loan 6.527% 11/10/10 BB- 16,687,285
993 Spanish Broadcasting System Inc., Term Loan B 6.530% 6/10/12 B+ 1,006,767
11,000 UPC Financing Partnership, Term Loan H2 7.280% 9/30/12 B 11,134,552
20,612 WMG Acquisition Corp., Term Loan 6.509% 2/28/11 B+ 20,832,486
------------------------------------------------------------------------------------------------------------------------------------
198,576 Total Media 199,403,120
------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 2.4% (1.5% OF TOTAL INVESTMENTS)
3,853 Amsted Industries Incorporated, Term Loan B 7.104% 10/15/10 B1 3,912,002
11,761 Foundation PA Coal Company, Term Loan B 6.347% 7/30/11 BB- 11,974,617
------------------------------------------------------------------------------------------------------------------------------------
15,614 Total Metals & Mining 15,886,619
------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 1.5% (0.9% OF TOTAL INVESTMENTS)
9,494 Neiman Marcus Group Inc., Term Loan 6.947% 3/28/13 B+ 9,609,147
2,500 Sears Canada, Term Loan, (5) 0.000% 12/15/12 BB+ 21,875
------------------------------------------------------------------------------------------------------------------------------------
11,994 Total Multiline Retail 9,631,022
------------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 2.3% (1.4% OF TOTAL INVESTMENTS)
2,188 NRG Energy, Inc., Credit-Linked Deposit 4.527% 12/24/11 BB 2,195,476
13,000 NRG Energy, Inc., Term Loan, WI/DD TBD TBD BB- 13,144,898
------------------------------------------------------------------------------------------------------------------------------------
15,188 Total Multi-Utilities 15,340,374
------------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 3.4% (2.1% OF TOTAL INVESTMENTS)
3,000 Citgo Petroleum Corporation, Term Loan 5.915% 11/15/12 Ba1 3,031,877
800 Coffeyville Resources LLC, Letter of Credit 4.463% 6/24/13 B1 811,250
1,194 Coffeyville Resources LLC, Term Loan B 7.027% 7/08/12 B1 1,210,798
3,990 Complete Production Services, Term Loan 7.280% 8/18/12 B 4,038,630
1,875 El Paso Corporation, Deposit-Funded Commitment 4.290% 11/23/09 B3 1,885,156
8,943 El Paso Corporation, Term Loan 7.313% 11/23/09 B3 9,013,915
484 Targa Resources Inc., Synthetic Letter of Credit 4.402% 10/10/12 B+ 489,315
2,011 Targa Resources Inc., Term Loan B 6.738% 10/10/12 B+ 2,033,713
------------------------------------------------------------------------------------------------------------------------------------
22,297 Total Oil, Gas & Consumable Fuels 22,514,654
------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 1.3% (0.8% OF TOTAL INVESTMENTS)
4,716 Boise Cascade Holdings, LLC, Term Loan D 6.290% 3/29/11 Ba3 4,784,279
2,985 NewPage Corporation, Term Loan B 7.563% 5/02/11 B 3,022,313
1,000 White Birch Paper Company, Second Lien Term Loan 12.070% 3/31/13 B- 1,003,750
------------------------------------------------------------------------------------------------------------------------------------
8,701 Total Paper & Forest Products 8,810,342
------------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 1.8% (1.1% OF TOTAL INVESTMENTS)
4,963 Talecris Biotherapeutics Inc., Term Loan B 7.629% 3/31/10 N/R 4,950,094
845 Warner Chilcott Corporation, Dononex Delayed Draw 7.360% 1/18/12 B 846,315
169 Warner Chilcott Corporation, Dovobet Delayed Draw, (5) 0.000% 1/18/12 B 338
4,055 Warner Chilcott Corporation, Tranche B 7.140% 1/18/12 B 4,077,648
1,634 Warner Chilcott Corporation, Tranche C 7.277% 1/18/12 B 1,643,093
755 Warner Chilcott Corporation, Tranche D 7.277% 1/18/12 B 759,063
------------------------------------------------------------------------------------------------------------------------------------
12,421 Total Pharmaceuticals 12,276,551
------------------------------------------------------------------------------------------------------------------------------------
21
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 9.8% (6.1% OF TOTAL INVESTMENTS)
$ 10,000 Capital Automotive LP., Term Loan 6.310% 12/16/10 BB+ $ 10,041,250
20,606 General Growth Properties, Inc., Term Loan B 6.570% 11/12/08 Ba2 20,667,184
2,812 Lion Gables, Term Loan 6.161% 9/30/06 Ba2 2,830,267
21,559 LNR Property Corporation, Term Loan 7.278% 2/03/08 B2 21,744,621
2,000 LNR Property Corporation, Term Loan B 9.525% 2/03/08 B2 2,028,750
8,000 Macerich Company, Term Loan 5.938% 4/25/10 N/R 8,058,332
------------------------------------------------------------------------------------------------------------------------------------
64,977 Total Real Estate 65,370,404
------------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.8% (0.5% OF TOTAL INVESTMENTS)
781 Hertz Corporation, Delayed Draw Term Loan, (5) 2.250% 12/20/10 Ba2 10,689
667 Hertz Corporation, Synthetic Term Loan 4.500% 12/21/12 Ba2 676,894
4,552 Hertz Corporation, Term Loan 6.650% 12/21/12 Ba2 4,621,832
------------------------------------------------------------------------------------------------------------------------------------
6,000 Total Road & Rail 5,309,415
------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,566 Movie Gallery Inc., Term Loan B 8.280% 4/27/11 B- 1,498,928
3,000 Toys "R" Us, Inc., Term Loan 7.391% 7/12/10 B2 2,988,125
1,000 TravelCenters of America Inc., Term Loan 6.279% 6/30/11 B1 1,011,625
------------------------------------------------------------------------------------------------------------------------------------
5,566 Total Specialty Retail 5,498,678
------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.7% (0.4% OF TOTAL INVESTMENTS)
4,693 Jostens IH Corp., Term Loan C 6.777% 7/29/10 B+ 4,760,962
------------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 2.0% (1.2% OF TOTAL INVESTMENTS)
2,970 Ashtead Group Public Limited Company, Term Loan 6.125% 11/12/09 Ba3 3,000,628
2,000 Brenntag Holdings, Term Loan, WI/DD TBD TBD B- 2,032,000
1,219 United Rentals Inc., Credit Linked Deposit 5.590% 2/13/11 B2 1,234,009
6,998 United Rentals Inc., Term Loan B 6.790% 2/14/11 B2 7,085,876
------------------------------------------------------------------------------------------------------------------------------------
13,187 Total Trading Companies & Distributors 13,352,513
------------------------------------------------------------------------------------------------------------------------------------
$ 901,127 Total Variable Rate Senior Loan Interests (cost $897,167,150) 902,906,857
====================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 17.6% (10.9% OF TOTAL INVESTMENTS)
CONTAINERS & PACKAGING - 0.2% (0.1% OF TOTAL INVESTMENTS)
$ 1,500 Owens-Illinois Group Inc. 8.100% 5/15/07 B 1,537,500
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,000 Qwest Corporation, Floating Rate Note, 7.930% 6/15/13 BB 5,418,750
3.250% plus three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,000 Williams Companies Inc., Floating Rate Note, 6.680% 10/01/10 B+ 5,137,500
2.000% plus three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,528 Dole Foods Company 8.625% 5/01/09 B+ 1,568,110
1,780 Dole Foods Company 8.875% 3/15/11 B+ 1,813,375
------------------------------------------------------------------------------------------------------------------------------------
3,308 Total Food Products 3,381,485
------------------------------------------------------------------------------------------------------------------------------------
22
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 6.2% (3.8% OF TOTAL INVESTMENTS)
$ 9,505 Aztar Corporation 9.000% 8/15/11 Ba3 $ 10,134,706
5,425 MGM Grand, Inc. 9.750% 6/01/07 Ba3 5,723,375
2,000 Mirage Resorts 7.250% 10/15/06 BB 2,035,000
7,900 Mohegan Tribal Gaming Authority 8.000% 4/01/12 Ba3 8,364,125
2,000 Park Place Entertainment 8.500% 11/15/06 BBB- 2,046,902
12,076 Park Place Entertainment 9.375% 2/15/07 BB+ 12,574,135
------------------------------------------------------------------------------------------------------------------------------------
38,906 Total Hotels, Restaurants & Leisure 40,878,243
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 3.2% (2.0% OF TOTAL INVESTMENTS)
5,000 Beazer Homes USA, Inc. 8.375% 4/15/12 Ba1 5,250,000
2,000 K. Hovnanian Enterprises Inc. 10.500% 10/01/07 Ba1 2,170,000
8,000 K. Hovnanian Enterprises Inc. 8.000% 4/01/12 Ba1 8,360,000
5,000 KB Home 7.750% 2/01/10 Ba2 5,219,535
------------------------------------------------------------------------------------------------------------------------------------
20,000 Total Household Durables 20,999,535
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 2.0% (1.3% OF TOTAL INVESTMENTS)
13,400 Navistar International Corporation, Series B 9.375% 6/01/06 BB- 13,601,000
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 1.9% (1.2% OF TOTAL INVESTMENTS)
10,000 Cablevision Systems Corporation, Floating Rate Note, 9.310% 4/01/09 B+ 10,262,500
4.500% plus six-month LIBOR, 144A
2,571 Emmis Communications Corporation, Floating Rate Note, 10.555% 6/15/12 B- 2,587,500
5.875% plus three-month LIBOR
------------------------------------------------------------------------------------------------------------------------------------
12,571 Total Media 12,850,000
------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,000 Georgia Pacific Corporation 8.125% 5/15/11 B 5,112,500
------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.1% (0.6% OF TOTAL INVESTMENTS)
7,000 Avago Technologies Finance Pte., Ltd., Floating Rate Note, 10.180% 6/01/13 B 7,122,500
5.500% plus three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.1% (0.1% OF TOTAL INVESTMENTS)
1,000 Dobson Communications Corporation, Floating Rate Note, 8.930% 10/15/12 CCC 990,000
4.250% plus three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------------
$ 112,685 Total Corporate Bonds (cost $118,248,687) 117,029,013
------------------------------------------------------------------------------------------------------------------------------------
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.2% (0.1% OF TOTAL INVESTMENTS)
74,200 Eaton Vance Floating-Rate Income Trust Fund 1,317,792
------------------------------------------------------------------------------------------------------------------------------------
Total Investment Companies (cost $1,260,676) 1,317,792
------------------------------------------------------------------------------------------------------------------------------------
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
36,341 Reliant Energy, Inc. 222,589
------------------------------------------------------------------------------------------------------------------------------------
Total Warrants (cost $257,912) 222,589
------------------------------------------------------------------------------------------------------------------------------------
23
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS January 31, 2006 (Unaudited)
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 8.1% (5.0% OF TOTAL INVESTMENTS)
Repurchase Agreement with State Street Bank, dated 1/31/06,
repurchase price $53,982,182, collateralized by $56,395,000,
U.S. Treasury Notes, 4.125%, due 5/15/15,
$ 53,976 value $55,055,619 4.150% 2/01/06 $ 53,975,960
============------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (cost $53,975,960) 53,975,960
====================================================================================================================
Total Investments (cost $1,070,910,385) - 162.0% 1,075,452,211
====================================================================================================================
Other Assets Less Liabilities - (1.7)% (11,768,611)
====================================================================================================================
Preferred Shares, at Liquidation Value - (60.3)% (400,000,000)
====================================================================================================================
Net Assets Applicable to Common Shares - 100% $ 663,683,600
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically adjusted by
reference to a base short-term, floating lending rate plus
an assigned fixed rate. These floating lending rates are
generally (i) the lending rate referenced by the London
Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate
offered by one or more major United States banks. Senior
loans may be considered restricted in that the Fund
ordinarily is contractually obligated to receive approval
from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(3) Senior Loans in the Fund's portfolio 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 in the Fund's portfolio may
occur. As a result, the actual remaining maturity of Senior
Loans held in the Fund's portfolio may be substantially less
than the stated maturities shown.
(4) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below Baa by Moody's Investor Service, Inc.
or BBB by Standard & Poor's Group are considered to be below
investment grade.
(5) Position represents an unfunded loan commitment outstanding
at January 31, 2006.
(6) At or subsequent to January 31, 2006, this issue was under
the protection of the Federal Bankruptcy Court.
WI/DD Investment purchased on a when-issued or delayed delivery
basis.
N/R Investment is not rated.
144A Securities are exempt from registration under Rule 144A of
the Securities Act of 1933, as amended. These securities may
only be resold in transactions exempt from registration
which are normally those transactions with qualified
institutional buyers.
TBD Senior Loan purchased on a when-issued or delayed delivery
basis. Certain details associated with this purchase are not
known prior to the settlement date of the transaction. In
addition, Senior Loans typically trade without accrued
interest and therefore a weighted average coupon rate is not
available prior to settlement. At settlement, if still
unknown, the borrower or counterparty will provide the Fund
with the final weighted average coupon rate and maturity
date.
(PIK) In lien of cash payment, interest accrued on "Payment in
Kind" investment increases principal outstanding.
See accompanying notes to financial statements.
24
Nuveen Floating Rate Income Opportunity Fund (JRO)
Portfolio of
INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 132.9% (82.5% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 2.4% (1.5% OF TOTAL INVESTMENTS)
$ 9,396 K&F Industries, Inc., Term Loan B 6.867% 11/18/12 B2 $ 9,513,286
------------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 2.4% (1.5% OF TOTAL INVESTMENTS)
9,289 United Air Lines, Inc., Dip Term Loan (Tranche B), (6) 8.620% 5/25/06 N/R 9,364,285
------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 3.3% (2.0% OF TOTAL INVESTMENTS)
3,015 Accuride Corporation, Term Loan 6.552% 1/31/10 B+ 3,055,786
5,486 Federal-Mogul Corporation, Revolver, (5) (6) 6.310% 2/05/05 N/R 4,865,076
4,000 Goodyear Tire & Rubber Company, Second Lien Term Loan 7.060% 4/30/10 B2 4,045,416
1,000 Goodyear Tire & Rubber Company, Term Loan 3.764% 4/30/10 B3 1,009,643
------------------------------------------------------------------------------------------------------------------------------------
13,501 Total Auto Components 12,975,921
------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES - 1.3% (0.8% OF TOTAL INVESTMENTS)
5,213 Dr Pepper/Seven Up Bottling Group, Inc., Term Loan B 6.481% 12/19/10 N/R 5,292,353
------------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 4.0% (2.5% OF TOTAL INVESTMENTS)
9,875 Nortek, Inc., Term Loan B 6.948% 8/27/11 B 9,964,497
2,975 Stile Acquisition Corporation, Canadian Term Loan 6.629% 4/08/13 B2 2,905,860
2,980 Stile Acquisition Corporation, Term Loan B 6.629% 4/08/13 B2 2,910,811
------------------------------------------------------------------------------------------------------------------------------------
15,830 Total Building Products 15,781,168
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 0.8% (0.4% OF TOTAL INVESTMENTS)
3,000 Ameritrade Holdings Corporation, Term Loan 6.040% 12/31/12 BB 3,019,125
------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 5.3% (3.3% OF TOTAL INVESTMENTS)
4,417 Celanese Holdings LLC, Term Loan C 6.527% 4/06/11 B+ 4,469,210
1,298 Headwaters Inc., Term Loan B 6.860% 4/30/11 B+ 1,309,769
7,239 Huntsman International LLC, Term Loan 6.233% 8/16/12 BB- 7,286,892
1,272 JohnsonDiversey Inc., Delayed Draw Term Loan, (5) 0.000% 12/16/11 B+ 6,623
7,920 Rockwood Specialties Group, Inc., Term Loan E 6.668% 12/10/12 B+ 8,025,807
------------------------------------------------------------------------------------------------------------------------------------
22,146 Total Chemicals 21,098,301
------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 4.9% (3.1% OF TOTAL INVESTMENTS)
3,371 Allied Waste North America, Inc., Letter of Credit 6.030% 3/21/12 B1 3,402,747
8,684 Allied Waste North America, Inc., Term Loan B 6.348% 1/15/12 B1 8,760,903
4,932 National Equipment Services, Inc., Term Loan 10.470% 8/17/10 B3 5,015,640
2,500 Workflow Management, Inc., Term Loan 8.660% 10/17/10 B2 2,506,250
------------------------------------------------------------------------------------------------------------------------------------
19,487 Total Commercial Services & Supplies 19,685,540
------------------------------------------------------------------------------------------------------------------------------------
25
Nuveen Floating Rate Income Opportunity Fund (JRO) (continued)
Portfolio of INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 1.7% (1.1% OF TOTAL INVESTMENTS)
$ 2,000 Hughes Network Systems Inc., Term Loan B 8.375% 4/22/12 B $ 2,010,000
965 IPC Acquisition Corporation First Lien Term Loan 7.206% 8/05/11 B2 976,704
4,000 IPC Acquisition Corporation Second Lien Term Loan 11.700% 8/05/12 B- 3,940,000
------------------------------------------------------------------------------------------------------------------------------------
6,965 Total Communications Equipment 6,926,704
------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 5.8% (3.6% OF TOTAL INVESTMENTS)
1,000 Amscan Holdings Inc., Term Loan B 7.510% 12/13/12 B3 990,416
12,870 Graham Packaging Company, L.P., Term Loan B 6.915% 10/07/11 B 13,043,513
2,000 Graham Packaging Company, L.P., Term Loan C 8.813% 3/15/12 CCC+ 2,049,167
611 Smurfit-Stone Container Corporation, 2.100% 11/01/11 B+ 617,920
Deposit-Funded Commitment
4,387 Smurfit-Stone Container Corporation, Term Loan B 6.488% 11/01/11 B+ 4,435,038
1,488 Smurfit-Stone Container Corporation, Term Loan C 6.561% 11/01/11 B+ 1,504,559
467 Smurfit-Stone Container Corporation, Tranche C-1 6.813% 11/01/11 B+ 472,120
------------------------------------------------------------------------------------------------------------------------------------
22,823 Total Containers & Packaging 23,112,733
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 1.1% (0.7% OF TOTAL INVESTMENTS)
4,154 Alderwoods Group, Inc., Term Loan B-2 6.480% 9/29/08 B1 4,206,174
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.9% (2.4% OF TOTAL INVESTMENTS)
500 Fairpoint Communications, Inc., Term Loan 6.313% 2/15/12 B1 501,750
1,980 Intelsat, Ltd., Term Loan B 6.313% 7/06/11 B 2,001,656
8,500 Iowa Telecommunications Services, Inc., Term Loan B 6.295% 11/23/11 BB- 8,600,938
3,200 Qwest Corporation, Term Loan A 9.220% 6/30/07 Ba3 3,280,600
967 Valor Telecommunications Enterprises, LLC, Term Loan 6.040% 2/14/12 BB- 971,123
------------------------------------------------------------------------------------------------------------------------------------
15,147 Total Diversified Telecommunication Services 15,356,067
------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 4.6% (2.9% OF TOTAL INVESTMENTS)
6,411 Allegheny Energy Supply Company, LLC, Term Loan C 5.883% 3/08/11 BB 6,474,634
1,985 Murray Energy Corporation, Term Loan C 12.313% 1/28/11 N/R 2,039,588
2,901 Texas Genco LLC, Delayed Draw Term Loan 1.250% 12/14/11 BB 2,906,594
7,006 Texas Genco LLC, Term Loan 6.470% 12/14/11 BB 7,019,290
------------------------------------------------------------------------------------------------------------------------------------
18,303 Total Electric Utilities 18,440,106
------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.3% (0.1% OF TOTAL INVESTMENTS)
1,000 Petroleum Geo-Services, Term Loan 7.000% 12/15/12 B+ 1,013,438
------------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 1.7% (1.1% OF TOTAL INVESTMENTS)
6,769 Jean Coutu Group, Inc., Term Loan B 6.937% 7/30/11 B2 6,857,731
------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 1.7% (1.0% OF TOTAL INVESTMENTS)
6,500 Dole Holding Company, LLC, Term Loan 9.438% 7/21/10 B3 6,654,375
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.6% (0.3% OF TOTAL INVESTMENTS)
2,458 Kinetic Concepts, Inc., Term Loan B-2 6.280% 8/11/10 Ba3 2,488,115
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 9.0% (5.7% OF TOTAL INVESTMENTS)
7,238 Community Health Systems, Inc., Term Loan 6.160% 8/19/11 BB- 7,341,895
5,809 Davita Inc., Term Loan B 6.762% 7/01/12 B1 5,898,745
5,417 IASIS Healthcare LLC, Term Loan B 6.777% 6/22/11 B+ 5,495,236
1,050 LifePoint Hospitals Holdings, Inc., Term Loan B 6.185% 8/23/12 Ba3 1,057,831
1,500 Per-Se Technologies Inc., Term Loan 6.791% 1/06/13 B+ 1,516,875
14,858 Vanguard Health Holding Company, LLC, 6.950% 9/23/11 B 15,065,147
Replacement Term Loan
------------------------------------------------------------------------------------------------------------------------------------
35,872 Total Health Care Providers & Services 36,375,729
------------------------------------------------------------------------------------------------------------------------------------
26
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 6.5% (4.1% OF TOTAL INVESTMENTS)
$ 3,000 24 Hour Fitness Worldwide, Inc., Term Loan B 7.620% 6/08/12 B $ 3,042,501
9,988 OpBiz, LLC, Term Loan A 7.530% 8/31/10 B- 9,857,134
13 OpBiz, LLC, Term Loan B (PIK) 8.530% 8/31/10 B- 12,514
1,995 Penn National Gaming, Inc., Term Loan B 6.294% 10/03/12 BB- 2,023,678
3,848 Resorts International Hotel and Casino Inc., Term Loan C 12.027% 3/22/13 CCC+ 3,486,704
1,282 Venetian Casino Resort, LLC, Delayed Draw Term Loan 6.280% 6/15/11 BB- 1,294,772
6,218 Venetian Casino Resort, LLC, Term Loan 6.280% 6/15/11 BB- 6,279,643
------------------------------------------------------------------------------------------------------------------------------------
26,344 Total Hotels, Restaurants & Leisure 25,996,946
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 3.6% (2.2% OF TOTAL INVESTMENTS)
8,032 Jarden Corporation, Term Loan 6.527% 1/24/12 B+ 8,101,682
6,045 Sealy Mattress Company, Term Loan D 6.145% 4/06/12 B+ 6,118,501
------------------------------------------------------------------------------------------------------------------------------------
14,077 Total Household Durables 14,220,183
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 2.5% (1.6% OF TOTAL INVESTMENTS)
9,850 Prestige Brands, Inc., Term Loan B 6.311% 4/06/11 B+ 9,948,120
------------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 1.5% (0.9% OF TOTAL INVESTMENTS)
5,972 Conseco, Inc., Term Loan 6.470% 6/22/10 B2 6,024,507
------------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 5.8% (3.6% OF TOTAL INVESTMENTS)
12,840 Fidelity National Information Services, Term Loan B 6.129% 3/09/13 Ba3 12,929,880
9,950 SunGard Data Systems Inc., Term Loan B 6.810% 2/11/13 B+ 10,064,007
------------------------------------------------------------------------------------------------------------------------------------
22,790 Total IT Services 22,993,887
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.0% (0.5% OF TOTAL INVESTMENTS)
4,096 Dresser-Rand Group, Inc., Term Loan 6.394% 10/10/10 B+ 4,169,080
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 25.4% (15.8% OF TOTAL INVESTMENTS)
10,918 Alliance Atlantis Communications Inc., Term Loan C 6.068% 12/20/11 BB 11,019,852
2,500 American Lawyer Media, Inc., Second Lien Term Loan 10.277% 2/24/11 CCC 2,500,000
994 Blockbuster, Inc., Term Loan, WI/DD TBD TBD B- 965,183
9,000 Century Cable Holdings LLC, Revolver (6) 8.250% 10/25/10 N/R 8,712,000
7,500 Century Cable Holdings LLC, Discretionary Term Loan B, (6) 9.250% 12/31/09 N/R 7,299,375
11,985 Charter Communications Operating, LLC, Term Loan A 7.670% 4/27/10 B 12,048,986
1,972 Charter Communications Operating, LLC, Term Loan B 7.920% 4/07/11 B 1,988,512
5,000 Clear Channel Entertainment, Term Loan 6.760% 6/20/13 B 5,007,813
2,000 HIT Entertainment Inc., Second Lien Term Loan 9.970% 2/24/13 B 2,009,750
3,980 HIT Entertainment Inc., Term Loan B 6.860% 8/24/12 B 3,999,403
5,000 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 6.780% 4/08/12 B+ 5,057,385
3,000 NextMedia Operating Inc., Second Lien Term Loan 8.970% 11/15/12 CCC+ 3,045,000
10,890 Panamsat Corporation, Term Loan B-1 6.489% 8/20/11 Ba3 11,031,570
8,652 R. H. Donnelley Inc., Tranche D 6.259% 6/30/11 Ba3 8,728,113
4,963 Rainbow Media Holdings LLC, Term Loan 7.188% 3/31/12 Ba3 5,025,566
3,940 Regal Cinemas Corporation, Term Loan 6.527% 11/10/10 BB- 3,989,590
4,000 UPC Financing Partnership, Term Loan H2 7.280% 9/30/12 B 4,048,928
4,911 WMG Acquisition Corp., Term Loan 6.509% 2/28/11 B+ 4,963,893
------------------------------------------------------------------------------------------------------------------------------------
101,205 Total Media 101,440,919
------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 2.2% (1.3% OF TOTAL INVESTMENTS)
3,528 Amsted Industries Incorporated, Term Loan B 7.104% 10/15/10 B1 3,581,906
5,000 Foundation PA Coal Company, Term Loan B 6.347% 7/30/11 BB- 5,000,000
------------------------------------------------------------------------------------------------------------------------------------
8,528 Total Metals & Mining 8,581,906
------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 0.0% (0.0% OF TOTAL INVESTMENTS)
2,000 Sears Canada, Term Loan, (5) 0.000% 12/15/12 BB+ 17,500
------------------------------------------------------------------------------------------------------------------------------------
27
Nuveen Floating Rate Income Opportunity Fund (JRO) (continued)
Portfolio of INVESTMENTS January 31, 2006 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 2.3% (1.4% OF TOTAL INVESTMENTS)
$ 875 NRG Energy, Inc., Credit-Linked Deposit 4.527% 12/24/11 BB $ 878,190
8,000 NRG Energy, Inc., Term Loan, WI/DD TBD TBD BB- 8,089,168
------------------------------------------------------------------------------------------------------------------------------------
8,875 Total Multi-Utilities 8,967,358
------------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 4.3% (2.6% OF TOTAL INVESTMENTS)
800 Coffeyville Resources LLC, Letter of Credit 4.463% 6/24/13 B1 811,250
1,194 Coffeyville Resources LLC, Term Loan B 7.027% 7/08/12 B1 1,210,798
5,625 El Paso Corporation, Deposit-Funded Commitment 4.290% 11/23/09 B3 5,655,468
9,188 El Paso Corporation, Term Loan 7.313% 11/23/09 B3 9,260,871
------------------------------------------------------------------------------------------------------------------------------------
16,807 Total Oil, Gas & Consumable Fuels 16,938,387
------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 1.3% (0.8% OF TOTAL INVESTMENTS)
4,112 Boise Cascade Holdings, LLC, Term Loan D 6.290% 3/29/11 Ba3 4,171,962
1,000 White Birch Paper Company, Second Lien Term Loan 12.070% 3/31/13 B- 1,003,750
------------------------------------------------------------------------------------------------------------------------------------
5,112 Total Paper & Forest Products 5,175,712
------------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.7% (0.4% OF TOTAL INVESTMENTS)
2,978 Talecris Biotherapeutics Inc., Term Loan B 7.629% 3/31/10 N/R 2,970,056
------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 11.5% (7.2% OF TOTAL INVESTMENTS)
8,000 Capital Automotive LP., Term Loan 6.310% 12/16/10 BB+ 8,033,000
15,055 General Growth Properties, Inc., Term Loan B 6.570% 11/12/08 Ba2 15,099,504
12,740 LNR Property Corporation, Term Loan 7.278% 2/03/08 B2 12,849,094
5,000 LNR Property Corporation, Term Loan A 8.775% 2/03/08 B2 5,050,000
3,000 Promontory Club, Second Lien Term Loan 11.068% 7/28/11 B3 3,015,000
1,995 Promontory Club, Term Loan B 7.318% 8/31/10 B+ 1,995,000
------------------------------------------------------------------------------------------------------------------------------------
45,790 Total Real Estate 46,041,598
------------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.9% (0.6% OF TOTAL INVESTMENTS)
521 Hertz Corporation, Delayed Draw Term Loan, (5) 2.250% 12/20/10 Ba2 7,126
444 Hertz Corporation, Synthetic Term Loan 4.500% 12/21/12 Ba2 451,263
3,035 Hertz Corporation, Term Loan 6.650% 12/21/12 Ba2 3,081,221
------------------------------------------------------------------------------------------------------------------------------------
4,000 Total Road & Rail 3,539,610
------------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 1.1% (0.7% OF TOTAL INVESTMENTS)
4,331 Corel Corporation, First Lien Term Loan 8.760% 1/27/10 N/R 4,352,906
------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 1.5% (1.0% OF TOTAL INVESTMENTS)
4,000 FGX International Inc., Term Loan B 8.500% 12/14/12 B 4,130,000
2,000 Toys "R" Us, Inc., Term Loan 7.391% 7/12/10 B2 1,992,083
------------------------------------------------------------------------------------------------------------------------------------
6,000 Total Specialty Retail 6,122,083
------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 3.5% (2.2% OF TOTAL INVESTMENTS)
13,608 Jostens IH Corp., Term Loan C 6.777% 7/29/10 B+ 13,806,790
------------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 2.5% (1.6% OF TOTAL INVESTMENTS)
6,900 Ashtead Group Public Limited Company, Term Loan 6.125% 11/12/09 Ba3 6,971,459
3,000 Penhall, Term Loan 11.205% 11/01/10 N/R 3,030,000
------------------------------------------------------------------------------------------------------------------------------------
9,900 Total Trading Companies & Distributors 10,001,459
------------------------------------------------------------------------------------------------------------------------------------
$ 530,116 Total Variable Rate Senior Loan Interests (cost $526,945,153) 529,470,158
====================================================================================================================================
28
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS - 2.5% (1.6% OF TOTAL INVESTMENTS)
FOOD & STAPLES RETAILING - 2.5% (1.6% OF TOTAL INVESTMENTS)
$ 10,000 Stater Brothers Holdings, Floating Rate Note, 8.180% 6/15/10 BB- $ 10,100,000
3.500% plus three-month LIBOR
------------------------------------------------------------------------------------------------------------------------------------
$ 10,000 Total Convertible Bonds (cost $10,154,380) 10,100,000
====================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 18.9% (11.7% OF TOTAL INVESTMENTS)
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.0% (2.5% OF TOTAL INVESTMENTS)
$ 5,000 Intelsat, Ltd., Floating Rate Note, 9.685% 1/15/12 B+ 5,112,500
4.875% plus six-month LIBOR, 144A
10,000 Qwest Corporation, Floating Rate Note, 7.930% 6/15/13 BB 10,837,500
3.250% plus three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------------
15,000 Total Diversified Telecommunication Services 15,950,000
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 4.3% (2.6% OF TOTAL INVESTMENTS)
3,785 MGM Grand, Inc. 9.750% 6/01/07 Ba3 3,993,175
8,315 Mirage Resorts 7.250% 10/15/06 BB 8,460,513
4,440 Park Place Entertainment 8.500% 11/15/06 BBB- 4,544,122
------------------------------------------------------------------------------------------------------------------------------------
16,540 Total Hotels, Restaurants & Leisure 16,997,810
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 3.4% (2.1% OF TOTAL INVESTMENTS)
13,167 Navistar International, Series B 9.375% 6/01/06 BB- 13,364,505
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 5.1% (3.2% OF TOTAL INVESTMENTS)
18,000 Cablevision Systems Corporation, Floating Rate Note, 9.310% 4/01/09 B+ 18,472,500
4.500% plus six-month LIBOR, 144A
2,057 Emmis Communications Corporation, Floating Rate Note, 10.555% 6/15/12 B- 2,070,000
5.875% plus three-month LIBOR
------------------------------------------------------------------------------------------------------------------------------------
20,057 Total Media 20,542,500
------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.3% (0.8% OF TOTAL INVESTMENTS)
5,000 Avago Technologies Finance Pte., Ltd., Floating Rate 10.180% 6/01/13 B 5,087,500
Note, 5.500% plus three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 0.8% (0.5% OF TOTAL INVESTMENTS)
3,000 Neff Rental LLC/Neff Finance Corporation, Series 144A 11.250% 6/15/12 B- 3,217,500
------------------------------------------------------------------------------------------------------------------------------------
$ 72,764 Total Corporate Bonds (cost $74,473,123) 75,159,815
====================================================================================================================================
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.6% (0.4% OF TOTAL INVESTMENTS)
353,400 ING Prime Rate Trust 2,452,596
------------------------------------------------------------------------------------------------------------------------------------
Total Investment Companies (cost $2,402,169) 2,452,596
====================================================================================================================
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
26,022 Reliant Energy, Inc. 159,385
------------------------------------------------------------------------------------------------------------------------------------
Total Warrants (cost $184,678) 159,385
====================================================================================================================
29
Nuveen Floating Rate Income Opportunity Fund (JRO) (continued)
Portfolio of INVESTMENTS January 31, 2006 (Unaudited)
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 6.1% (3.8% OF TOTAL INVESTMENTS)
Repurchase Agreement with State Street Bank,
dated 1/31/06, repurchase price $24,158,952,
collateralized by $25,240,000 U.S. Treasury Notes,
$ 24,156 4.125%, due 5/15/15, value $24,640,550 4.150% 2/01/06 $ 24,156,167
============------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (cost $24,156,167) 24,156,167
====================================================================================================================
Total Investments (cost $638,315,670) - 161.0% 641,498,121
====================================================================================================================
Other Assets Less Liabilities - (0.8)% (3,085,453)
====================================================================================================================
Preferred Shares, at Liquidation Value - (60.2)% (240,000,000)
====================================================================================================================
Net Assets Applicable to Common Shares - 100% $ 398,412,668
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically adjusted by
reference to a base short-term, floating lending rate plus
an assigned fixed rate. These floating lending rates are
generally (i) the lending rate referenced by the London
Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate
offered by one or more major United States banks. Senior
loans may be considered restricted in that the Fund
ordinarily is contractually obligated to receive approval
from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(3) Senior Loans in the Fund's portfolio 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 in the Fund's portfolio may
occur. As a result, the actual remaining maturity of Senior
Loans held in the Fund's portfolio may be substantially less
than the stated maturities shown.
(4) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below Baa by Moody's Investor Service, Inc.
or BBB by Standard & Poor's Group are considered to be below
investment grade.
(5) Position represents an unfunded loan commitment outstanding
at January 31, 2006.
(6) At or subsequent to January 31, 2006, this issue was under
the protection of the Federal Bankruptcy Court.
WI/DD Investment purchased on a when-issued or delayed delivery
basis.
N/R Investment is not rated.
144A Securities are exempt from registration under Rule 144A of
the Securities Act of 1933, as amended. These securities may
only be resold in transactions exempt from registration
which are normally those transactions with qualified
institutional buyers.
TBD Senior Loan purchased on a when-issued or delayed delivery
basis. Certain details associated with this purchase are not
known prior to the settlement date of the transaction. In
addition, Senior Loans typically trade without accrued
interest and therefore a weighted average coupon rate is not
available prior to settlement. At settlement, if still
unknown, the borrower or counterparty will provide the Fund
with the final weighted average coupon rate and maturity
date.
(PIK) In lien of cash payment, interest accrued on "Payment in
Kind" investment increases principal outstanding.
See accompanying notes to financial statements.
30
Statement of
ASSETS AND LIABILITIES January 31, 2006 (Unaudited)
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $413,541,638, $1,070,910,385,
and $638,315,670, respectively) $405,186,789 $1,075,452,211 $641,498,121
Receivables:
Interest 3,211,055 8,571,518 5,255,877
Investments sold 9,958,280 4,475,357 1,097,164
Other assets 82,174 23,081 20,752
------------------------------------------------------------------------------------------------------------------------------------
Total assets 418,438,298 1,088,522,167 647,871,914
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Borrowings 103,000,000 -- --
Investments purchased 17,846,325 23,961,456 8,961,456
Accrued expenses:
Management fees 199,873 455,281 289,066
Interest on borrowings 384,217 -- --
Other 188,705 245,584 138,561
Preferred share dividends payable 140,906 176,246 70,163
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 121,760,026 24,838,567 9,459,246
------------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 46,000,000 400,000,000 240,000,000
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $250,678,272 $ 663,683,600 $398,412,668
====================================================================================================================================
Common shares outstanding 29,806,406 47,286,920 28,397,051
====================================================================================================================================
Net asset value per Common share outstanding (net assets applicable
to Common shares, divided by Common shares outstanding) $ 8.41 $ 14.04 $ 14.03
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 298,064 $ 472,869 $ 283,971
Paid-in surplus 282,980,099 667,328,897 400,578,690
Undistributed (Over-distribution of) net investment income 1,516,521 (5,302,667) (3,377,020)
Accumulated net realized gain (loss) from investments and SAMI transactions (25,761,563) (3,357,325)
(2,255,424)
Net unrealized appreciation (depreciation) of investments (8,354,849) 4,541,826 3,182,451
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $250,678,272 $ 663,683,600 $398,412,668
====================================================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
31
Statement of
OPERATIONS Six Months Ended January 31, 2006 (Unaudited)
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends and Interest $ 13,306,197 $ 32,230,428 $ 20,489,680
Fees 243,337 276,937 198,334
------------------------------------------------------------------------------------------------------------------------------------
Total investment income 13,549,534 32,507,365 20,688,014
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 1,695,808 4,427,439 2,686,029
Preferred shares - auction fees 58,951 518,234 310,483
Preferred shares - dividend disbursing agent fees 3,025 11,846 8,821
Shareholders' servicing agent fees and expenses 2,680 156 89
Interest expense 2,084,093 -- --
Commitment fees 183,113 -- --
Custodian's fees and expenses 70,749 226,688 142,547
Trustees' fees and expenses 2,877 11,623 7,148
Professional fees 60,708 58,738 42,367
Shareholders' reports - printing and mailing expenses 30,223 68,899 31,843
Stock exchange listing fees 5,836 18,781 5,525
Investor relations expense 24,562 89,345 41,174
Other expenses 530 27,424 18,178
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 4,223,155 5,459,173 3,294,204
Custodian fee credit (723) (3,478) (1,821)
Expense reimbursement (605,932) (1,717,115) (965,688)
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 3,616,500 3,738,580 2,326,695
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 9,933,034 28,768,785 18,361,319
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments (140,381) (471,443) (541,923
Net realized gain (loss) from SAMIs -- 63,959 --
Change in net unrealized appreciation (depreciation) of investments (1,749,400) (1,831,757) (961,424
Change in net unrealized appreciation (depreciation) of SAMIs -- (46,786) --
------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (1,889,781) (2,286,027) (1,503,347)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (877,216) (7,432,388) (4,436,380)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from operations $ 7,166,037 $ 19,050,370 $ 12,421,592
====================================================================================================================================
See accompanying notes to financial statements.
32
Statement of
CHANGES IN NET ASSETS (Unaudited)
FLOATING RATE FLOATING RATE
SENIOR INCOME (NSL) INCOME (JFR) INCOME OPPORTUNITY (JRO)
---------------------------- ------------------------------ -----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
1/31/06 7/31/05 1/31/06 7/31/05 1/31/06 7/31/05
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 9,933,034 $ 19,794,415 $ 28,768,785 $ 47,143,136 $ 18,361,319 $ 22,734,221
Net realized gain (loss)
from investments (140,381) 1,525,914 (471,443) 117,910 (541,923) 1,024,549
Net realized gain (loss) from SAMIs -- -- 63,959 70,815 -- --
Change in net unrealized appreciation
(depreciation) of investments (1,749,400) (1,775,441) (1,831,757) 4,701,658 (961,424) 4,143,874
Change in net unrealized appreciation
(depreciation) of SAMIs -- -- (46,786) 39,985 -- --
Distributions to Preferred Shareholders
from net investment income (877,216) (1,124,957) (7,432,388) (9,665,000) (4,436,380) (5,249,687)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets applicable
to Common shares from operations 7,166,037 18,419,931 19,050,370 42,408,504 12,421,592 22,652,957
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (9,120,655) (17,279,906) (22,555,861) (40,630,441) (13,800,966) (23,729,737)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable
to Common shares from distributions
to Common shareholders (9,120,655) (17,279,906) (22,555,861) (40,630,441) (13,800,966) (23,729,737)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common shares:
Net proceeds from sale of shares and
offering costs adjustments -- -- (2,399) 149,633 -- 22,239,818
Net proceeds from shares
issued to shareholders due to
reinvestment of distributions 35,007 179,443 -- 1,573,023 -- 522,315
Preferred shares offering costs
and adjustments -- -- (2,399) 83,802 -- (5,105,746)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares from
capital share transactions 35,007 179,443 (4,798) 1,806,458 -- 17,656,387
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets
applicable to Common shares (1,919,611) 1,319,468 (3,510,289) 3,584,521 (1,379,374) 16,579,607
Net assets applicable
to Common shares
at the beginning of period 252,597,883 251,278,415 667,193,889 663,609,368 399,792,042 383,212,435
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable
to Common shares
at the end of period $250,678,272 $252,597,883 $663,683,600 $667,193,889 $398,412,668 $399,792,042
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income
at the end of period $ 1,516,521 $ 1,581,358 $ (5,302,667) $ (4,083,203) $ (3,377,020) $ (3,500,993)
====================================================================================================================================
See accompanying notes to financial statements.
33
Statement of
CASH FLOWS Six Months Ended January 31, 2006 (Unaudited)
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
------------------------------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES:
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHARES FROM OPERATIONS $ 7,166,037 $ 19,050,370 $ 12,421,592
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 investment securities (100,173,227) (223,263,265) (110,587,709)
Proceeds from sales of investment securities 96,663,226 211,914,480 123,788,085
Proceeds from (Purchases of) short-term investment securities, net 16,957,607 39,275,392 1,067,316
Proceeds from closed SAMIs -- 62,879 --
Amortization/(Accretion) of premiums and discounts 563,406 1,566,066 1,138,930
(Increase) Decrease in receivable for interest (457,359) 81,882 (489,447)
(Increase) Decrease in receivable for investments sold (8,022,009) 2,139,257 4,339,336
(Increase) Decrease in other assets 3,950 73,857 (11,082)
Increase (Decrease) in payable for investments purchased (5,696,175) (31,609,794) (20,038,544)
Increase (Decrease) in interest on borrowings 92,163 -- --
Increase (Decrease) in accrued management fees 32,900 (6,826) (5,569)
Increase (Decrease) in accrued other liabilities (21,493) (33,319) (32,461)
Increase (Decrease) in Preferred share dividends payable 100,479 (12,651) (40,612)
Net realized (gain) loss from investments 140,381 471,443 541,923
Net realized (gain) loss from SAMIs -- (63,959) --
Net realized (gain) loss from paydowns (13,638) 1,036,304 747,784
Change in net unrealized (appreciation) depreciation of investments 1,749,400 1,831,757 961,424
Change in net unrealized (appreciation) depreciation of SAMIs -- 46,786 --
------------------------------------------------------------------------------------------------------------------------------------
Net cash provided by (used in) operating activities 9,085,648 22,560,659 13,800,966
------------------------------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (9,085,648) (22,555,861) (13,800,966)
Common shares offering costs adjustments -- (2,399) --
Preferred shares offering costs adjustments -- (2,399) --
------------------------------------------------------------------------------------------------------------------------------------
Net cash provided by (used in) financing activities (9,085,648) (22,560,659) (13,800,966)
------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN CASH -- -- --
Cash at the beginning of period -- -- --
------------------------------------------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ -- $ -- $ --
====================================================================================================================================
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid by Senior Income (NSL) for interest on bank borrowings during the six
months ended January 31, 2006, was $1,991,930. Non-cash financing activities not
included herein consist of reinvestments of Common share distributions of
$35,007, $0 and $0 for Senior Income (NSL), Floating Rate Income (JFR) and
Floating Rate Income Opportunity (JRO), respectively.
See accompanying notes to financial statements.
34
Notes to
FINANCIAL STATEMENTS (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The funds (the "Funds") covered in this report and their corresponding Common
share New York Stock Exchange symbols are Nuveen Senior Income Fund (NSL),
Nuveen Floating Rate Income Fund (JFR) and Nuveen Floating Rate Income
Opportunity Fund (JRO). The Funds are registered under the Investment Company
Act of 1940, as amended, as closed-end management investment companies.
Prior to the commencement of operations of Floating Rate Income (JFR) and
Floating Rate Income Opportunity (JRO), each Fund had no operations other than
those related to organizational matters, the initial capital contribution of
$100,275 per Fund by Nuveen Institutional Advisory Corp. ("NIAC") the Funds'
previous adviser and a wholly owned subsidiary of Nuveen Investments, Inc.
("Nuveen"). The recording of the organization expenses ($11,500 per Fund) and
their reimbursement by Nuveen Investments, LLC, also a wholly owned subsidiary
of Nuveen.
Each Fund seeks to provide a high level of current income by investing primarily
in senior loans whose interest rates float or adjust periodically based on a
benchmark interest rate index.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with U.S.
generally accepted accounting principles.
Investment Valuation
The prices of senior loans, bonds and other securities in the Funds' investment
portfolios, other than subordinated loans issued by middle market companies, are
generally provided by one or more independent pricing services approved by the
Funds' Board of Trustees. Floating Rate Income Opportunity (JRO) currently
expects that the independent pricing services will be unable to provide a market
based price for certain of the privately negotiated subordinated loans issued by
middle market companies. The pricing services, with input from Symphony Asset
Management, LLC (" Symphony"), an indirect wholly owned subsidiary of Nuveen,
and Nuveen Asset Management (the "Adviser"), a wholly owned subsidiary of
Nuveen, will estimate the fair value for such subordinated loans, subject to the
supervision of Symphony and the Adviser. Floating Rate Income Opportunity (JRO)
may engage an independent appraiser to periodically provide an independent
determination of the value, or an opinion with respect to the pricing services'
value, of such loans. The pricing services typically value exchange-listed
securities at the last sales price on that day; and value senior loans, bonds
and other securities traded in the over-the-counter market at the mean of the
highest bona fide bid and lowest bona fide asked prices when current quotations
are readily available. The pricing services or, in the absence of a pricing
service for a particular investment, the Board of Trustees of the Funds, or its
designee, may establish fair market value using a wide variety of market data
including yields or prices of investments of comparable quality, type of issue,
coupon, maturity and rating, indications of value from security dealers,
evaluations of anticipated cash flows or collateral, general market conditions
and other information and analysis, including the obligor's credit
characteristics considered relevant by the pricing service or the Board of
Trustees' designee. Short-term investments are valued at amortized cost, which
approximates market value.
The senior and subordinated loans in which the Funds invest are not listed on an
organized exchange and the secondary market for such investments may be less
liquid relative to markets for other fixed income securities. Consequently, the
value of senior and subordinated loans, determined as described above, may
differ significantly from the value that would have been determined had there
been an active market for that loan.
Investment Transactions
Investment transactions are recorded on a trade date basis. Trade date for
senior and subordinated loans purchased in the "primary market" is considered
the date on which the loan allocations are determined. Trade date for senior and
subordinated loans purchased in the "secondary market" is the date on which the
transaction is entered into. Realized gains and losses from investment
transactions are determined on the specific identification method. Investments
purchased on a when-issued or delayed delivery basis may have extended
settlement periods. Any investments so purchased are subject to market
fluctuation during this period. The Funds maintain liquid assets with a current
value at least equal to the amount of the when-issued and delayed delivery
purchase commitments. At January 31, 2006, Senior Income (NSL), Floating Rate
Income (JFR) and Floating Rate Income Opportunity (JRO) had outstanding
when-issued and delayed delivery purchase commitments of $17,672,725,
$23,961,456 and $8,961,456, respectively.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Interest income also includes paydown gains and losses on senior and
subordinated loans. Fee income consists primarily of amendment fees. Amendment
fees are earned as compensation for evaluating and accepting changes to the
original loan agreement and are recognized when received.
35
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
Professional Fees
Professional fees presented in the Statement of Operations consist of legal fees
incurred in the normal course of operations, audit fees, tax consulting fees
and, in some cases, workout expenditures. Workout expenditures are incurred in
an attempt to protect or enhance an investment, or to pursue other claims or
legal actions on behalf of Fund shareholders.
Federal Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund
intends to distribute substantially all net investment income and net capital
gains to shareholders and to otherwise comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies. Therefore, no federal income tax provision is required.
Dividends and Distributions to Common Shareholders
Each Fund declares monthly income distributions to Common shareholders. Net
realized capital gains from investment transactions, if any, are distributed to
shareholders not less frequently than annually. Furthermore, capital gains are
distributed only to the extent they exceed available capital loss carryforwards.
Distributions to Common shareholders are recorded on the ex-dividend date. The
amount and timing of distributions are determined in accordance with federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles.
Preferred Shares
Senior Income (NSL) has issued and outstanding 1,840 shares of Series TH,
Taxable Auctioned Preferred shares, $25,000 stated value per share, as a means
of effecting financial leverage. The dividend rate paid by the Fund is
determined every 28 days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period. Senior Income
(NSL)has also effected financial leverage by borrowing, as described in footnote
8.
Floating Rate Income (JFR) has issued and outstanding 4,000 shares of each
Series M, T, W and F, FundPreferred shares, $25,000 stated value per share, as a
means of effecting financial leverage. The dividend rate paid by the Fund is
determined every seven days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period.
Effective September 24, 2004, Floating Rate Income Opportunity (JRO) issued
3,200 shares of each Series M, TH and F, FundPreferred shares, $25,000 stated
value per share, as a means of effecting financial leverage. The dividend rate
paid by the Fund is determined every seven days, pursuant to a dutch auction
process overseen by the auction agent, and is payable at the end of each rate
period.
Select Aggregate Market Index
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) may invest
in Select Aggregate Market Indexes ("SAMI") to synthetically increase their
exposure to the senior secured loan market during a period when the Funds
otherwise would have excess uninvested cash. The SAMI is designed to replicate
the performance and risk of the CSFB Leveraged Loan Index. An investment in a
SAMI, when combined with high-grade short-term investments such as repurchase
agreements related to U.S. government securities in an amount equal to the
notional amount of the SAMI, is designed to provide an aggregate return
equivalent to an investment in a basket of senior secured bank loan debt
("Reference Obligations"), less certain costs.
Upon entering into a SAMI, the Funds may pay the counterparty a premium based on
the notional amount. The premium, if any, will be amortized over the life of the
SAMI and recorded in other assets in the Statement of Assets and Liabilities.
The Funds will receive from the counterparty a fixed-rate interest payment based
on the notional amount of the contract. In exchange for the interest payment,
the Funds protect the counterparty from the risk of loss at the time of a credit
event, such as a bankruptcy or default, affecting any of the Reference
Obligations. Interest is recorded on an accrual basis and included in the
Statement of Operations. The Funds are required to provide collateral to the
counterparty based on a percentage of the notional amount of the SAMI and has
instructed the custodian to segregate liquid assets with a current value at
least equal to the remaining notional amount of the SAMI. The SAMI is valued
daily and any change in value is recorded in "Change in net unrealized
appreciation (depreciation) of SAMI" in the Statement of Operations. Although
there are economic advantages of entering into SAMI transactions, there are also
additional risks, including but not limited to senior loan credit risk and the
inability of the counterparty to meet its interest payment obligations. Floating
Rate Income Opportunity (JRO) did not invest in a SAMI during the six months
ended January 31, 2006.
36
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Funds'
policy that its custodian take possession of the underlying collateral
securities, the fair value of which exceeds the principal amount of the
repurchase transaction, including accrued interest, at all times. If the seller
defaults, and the fair value of the collateral declines, realization of the
collateral may be delayed or limited.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on the Funds' cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Organization and Offering Costs
Nuveen Investments, LLC has agreed to reimburse all organization expenses
(approximately $11,500 per Fund) and pay all Common share offering costs (other
than the sales load) that exceed $.03 per Common share for Floating Rate Income
(JFR) and Floating Rate Income Opportunity (JRO). Floating Rate Income's (JFR)
and Floating Rate Income Opportunity's (JRO) share of Common share offering
costs ($1,066,755 and $812,340, respectively) were recorded as reductions of the
proceeds from the sale of Common shares.
Costs incurred by Floating Rate Income (JFR) and Floating Rate Income
Opportunity (JRO) in connection with their offering of FundPreferred shares
($8,343,597 and $5,105,746, respectively) were recorded as a reduction to
paid-in surplus.
Indemnifications
Under the Funds' organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Funds. In addition, in the normal course of business, the Funds
enter into contracts that provide general indemnifications to other parties. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds have not had prior claims or losses pursuant to
these contracts and expect the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets applicable to Common shares from operations during the
reporting period. Actual results may differ from those estimates.
2. FUND SHARES
Transactions in Common and Preferred shares were as follows:
FLOATING RATE FLOATING RATE
SENIOR INCOME (NSL) INCOME (JFR) INCOME OPPORTUNITY (JRO)
----------------------- ----------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
1/31/06 7/31/05 1/31/06 7/31/05 1/31/06 7/31/05
---------------------------------------------------------------------------------------------------------
Common shares:
Shares sold -- -- -- -- -- 1,553,100
Shares issued to
shareholders due to
reinvestment of
distributions 4,120 20,084 -- 111,210 -- 36,951
---------------------------------------------------------------------------------------------------------
4,120 20,084 -- 111,210 -- 1,590,051
---------------------------------------------------------------------------------------------------------
Preferred shares sold -- -- -- -- -- 9,600
=========================================================================================================
3. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments and SAMIs)
during the six months ended January 31, 2006, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
Purchases $100,173,227 $ 223,263,265 $110,587,709
Sales and maturities 96,663,226 211,914,480 123,788,085
===============================================================================================================
37
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
4. INCOME TAX INFORMATION
The following information is presented on an income tax basis. Differences
between amounts for financial statement and federal income tax purposes are
primarily due to the treatment of paydown gains and losses, timing differences
in recognizing certain gains and losses on investment transactions and for
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO)
recognition of premium amortization.
At January 31, 2006, the cost of investments was as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
Cost of investments $413,541,638 $1,074,775,496 $640,502,061
===============================================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments
at January 31, 2006, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $ 4,687,014 $7,732,543 $ 4,987,567
Depreciation (13,041,863) (7,055,828) (3,991,507)
---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $ (8,354,849) $ 676,715 $ 996,060
===============================================================================================================
The tax components of undistributed net ordinary income and net realized gains
at July 31, 2005, the Funds' last fiscal year end, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
Undistributed net ordinary income * $ 3,141,702 $ 3,566,259 $ 782,340
Undistributed net long-term capital gains -- -- --
===============================================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any. Undistributed net
ordinary income (on a tax basis) has not been reduced for the dividend
declared on July 1, 2005, paid on August 1, 2005.
The tax character of distributions paid during the fiscal year ended July 31,
2005, the Funds' last fiscal year end, was designated for purposes of the
dividends paid deduction as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
Distributions from net ordinary income * $18,143,299 $49,780,115 $26,710,473
Distributions from net long-term capital gains -- -- --
===============================================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any.
38
At July 31, 2005, the Funds' last fiscal year end, the Funds had unused capital
loss carryforwards available for federal income tax purposes to be applied
against future capital gains, if any. If not applied, the carryforwards will
expire as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------
Expiration year:
2010 $14,916,928 $ -- $ --
2011 10,704,254 -- --
2012 -- -- --
2013 -- 819,145 30,377
--------------------------------------------------------------------------------
Total $25,621,182 $ 819,145 $ 30,377
================================================================================
The following Funds elected to defer net realized losses from investments
incurred from November 1, 2004 through July 31, 2005 ("post-October losses") in
accordance with Federal income tax regulations. The following post-October
losses were treated as having arisen on the first day of the current fiscal
year.
FLOATING
FLOATING RATE
RATE INCOME
INCOME OPPORTUNITY
(JFR) (JRO)
--------------------------------------------------------------------------------
$2,068,644 $1,679,895
================================================================================
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Each Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by the
Adviser, and a specific fund-level component, based only on the amount of assets
within each individual fund. This pricing structure enables Nuveen fund
shareholders to benefit from growth in the assets within each individual fund as
well as from growth in the amount of complex-wide assets managed by the Adviser.
The annual fund-level fee, payable monthly, for each Fund is based upon the
average daily Managed Assets of each Fund as follows:
SENIOR INCOME (NSL)
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $1 billion .6500%
For the next $1 billion .6375
For the next $3 billion .6250
For the next $5 billion .6000
For Managed Assets over $10 billion .5750
================================================================================
FLOATING RATE INCOME (JFR)
FLOATING RATE INCOME OPPORTUNITY (JRO)
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $500 million .6500%
For the next $500 million .6250
For the next $500 million .6000
For the next $500 million .5750
For Managed Assets over $2 billion .5500
================================================================================
39
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
The annual complex-level fee, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of January 31, 2006, the complex-level fee was .1891%.
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion (2) .1400
================================================================================
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds in
the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level fee
rate for such complex-wide Managed Assets shall be .1400% until such time as
a different rate or rates is determined.
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Adviser has entered
into Sub-Advisory Agreements with Symphony under which Symphony manages the
investment portfolio of the Funds. Symphony is compensated for its services to
the Funds from the management fee paid to the Adviser.
The Funds pay no compensation directly to those of its Trustees who are
affiliated with the Adviser or to their officers, all of whom receive
remuneration for their services to the Funds from the Adviser or its affiliates.
The Board of Trustees has adopted a deferred compensation plan for independent
Trustees that enables Trustees to elect to defer receipt of all or a portion of
the annual compensation they are entitled to receive from certain Nuveen advised
Funds. Under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of select Nuveen advised Funds.
For the first ten years of Senior Income's (NSL) operations, the Adviser has
agreed to reimburse the Fund, as a percentage of average daily Managed Assets,
for fees and expenses in the amounts and for the time periods set forth below:
YEAR ENDING YEAR ENDING
OCTOBER 31, OCTOBER 31,
--------------------------------------------------------------------------------
1999* .45% 2005 .35%
2000 .45 2006 .25
2001 .45 2007 .15
2002 .45 2008 .10
2003 .45 2009 .05
2004 .45
================================================================================
* From the commencement of operations.
40
The Adviser has not agreed to reimburse Senior Income (NSL) for any portion of
its fees and expenses beyond October 31, 2009.
For the first eight years of Floating Rate Income's (JFR) operations, the
Adviser has agreed to reimburse the Fund, as a percentage of average daily
Managed Assets, for fees and expenses in the amounts and for the time periods
set forth below:
YEAR ENDING YEAR ENDING
MARCH 31, MARCH 31,
--------------------------------------------------------------------------------
2004* .32% 2009 .32%
2005 .32 2010 .24
2006 .32 2011 .16
2007 .32 2012 .08
2008 .32
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income (JFR) for any
portion of its fees and expenses beyond March 31, 2012.
For the first eight years of Floating Rate Income Opportunity's (JRO)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily Managed Assets, for fees and expenses in the amounts and for the
time periods set forth below:
YEAR ENDING YEAR ENDING
JULY 31, JULY 31,
--------------------------------------------------------------------------------
2004* .30% 2009 .30%
2005 .30 2010 .22
2006 .30 2011 .14
2007 .30 2012 .07
2008 .30
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO)
for any portion of its fees and expenses beyond July 31, 2012.
6. COMMITMENTS
Pursuant to the terms of certain of the variable rate senior loan agreements,
the Funds may have unfunded senior loan commitments. Each Fund will maintain
with the custodian, cash, liquid securities and/or liquid senior loans having an
aggregate value at least equal to the amount of unfunded senior loan
commitments. At January 31, 2006, Senior Income (NSL), Floating Rate Income
(JFR) and Floating Rate Income Opportunity (JRO) had unfunded senior loan
commitments of $1,500,000, $3,450,306 and $4,048,418, respectively.
7. SENIOR LOAN PARTICIPATION COMMITMENTS
With respect to the senior loans held in each Fund's portfolio, the Funds may:
1) invest in assignments; 2) act as a participant in primary lending syndicates;
or 3) invest in participations. If a Fund purchases a participation of a senior
loan interest, the Fund would typically enter into a contractual agreement with
the lender or other third party selling the participation, rather than directly
with the Borrower. As such, the Fund not only assumes the credit risk of the
Borrower, but also that of the Selling Participant or other persons
interpositioned between the Fund and the Borrower.
Senior Income (NSL) had the following participation commitments outstanding at
January 31, 2006:
COMMITMENT
COUNTERPARTY AMOUNT VALUE
--------------------------------------------------------------------------------
Bear, Stearns & Co., Inc. $2,000,000 $1,936,000
Morgan Stanley 1,640,000 1,587,520
================================================================================
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had no
such participation commitments outstanding at January 31, 2006.
8. BORROWINGS
In accordance with Senior Income's (NSL) current investment policies, the Fund
may utilize financial leverage for investment purposes in an amount currently
anticipated to represent approximately 40% of the Fund's total assets, and in no
event exceeding 50% of the Fund's total assets.
Senior Income (NSL) has entered into a commercial paper program ($110 million
maximum) with Bank One's conduit financing agency, Falcon Asset Securitization
Corp. ("Falcon"), whose sole purpose is the issuance of high grade commercial
paper. Falcon uses the proceeds to make advances to Senior Income (NSL) and to
many other borrowers who comprise Falcon's total borrowing base. For the six
months ended January 31, 2006, the average daily balance of borrowings under the
commercial paper program agreement was $103 million. The average annualized
interest rate for funding and program usage fees on such borrowings was 4.01%.
Senior Income (NSL) has also entered into a $110 million liquidity facility. If
the facility is utilized, interest on the borrowings would be charged a variable
interest rate. An unused commitment fee of .095% on 102% of the unused portion
of the $110 million facility is charged. There were no borrowings under the
revolving credit agreement during the six months ended January 31, 2006.
41
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
9. SUBSEQUENT EVENT -- DISTRIBUTIONS TO COMMON SHAREHOLDERS
The Funds declared Common share dividend distributions from their net investment
income which was paid on March 1, 2006, to shareholders of record on February
15, 2006, as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------
Dividend per share $.0510 $.0820 $.0850
================================================================================
42
Financial
HIGHLIGHTS (Unaudited)
43
Financial
HIGHLIGHTS (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------------------- ------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income(a) Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
SENIOR INCOME (NSL)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) $ 8.48 $ .33 $ (.06) $(.03) $ -- $ .24 $ (.31) $ -- $ (.31)
2005 8.44 .66 -- (.04) -- .62 (.58) -- (.58)
2004 7.84 .64 .50 (.02) -- 1.12 (.52) -- (.52)
2003 7.38 .60 .41 (.02) -- .99 (.53) -- (.53)
2002 8.13 .68 (.71) (.04) -- (.07) (.68) -- (.68)
2001 9.47 1.09 (1.29) (.09) -- (.29) (1.03) (.02) (1.05)
FLOATING RATE INCOME (JFR)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) 14.11 .61 (.04) (.16) -- .41 (.48) -- (.48)
2005 14.07 1.00 .10 (.20) -- .90 (.86) -- (.86)
2004(c) 14.33 .14 .04 (.02) -- .16 (.21) -- (.21)
FLOATING RATE INCOME OPPORTUNITY (JRO)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) 14.08 .65 (.05) (.16) -- .44 (.49) -- (.49)
2005 14.30 .80 .19 (.19) -- .80 (.84) -- (.84)
2004(d) 14.33 -- -- -- -- -- -- -- --
====================================================================================================================================
Total Returns
---------------------
Based
Offering on
Costs and Ending Common
Preferred Common Based Share
Share Share Ending on Net
Underwriting Net Asset Market Market Asset
Discounts Value Value Value** Value**
===================================================================================================
SENIOR INCOME (NSL)
---------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) $ -- $ 8.41 $ 8.03 (7.02)% 2.82%
2005 -- 8.48 8.97 (3.40) 7.53
2004 -- 8.44 9.91 24.50 14.61
2003 -- 7.84 8.43 25.93 14.25
2002 -- 7.38 7.20 (21.16) (.65)
2001 -- 8.13 9.96 15.35 (3.30)
FLOATING RATE
INCOME (JFR)
---------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) -- 14.04 12.93 (1.98) 2.93
2005 -- 14.11 13.69 (1.99) 6.56
2004(c) (.21) 14.07 14.85 .40 (.39)
FLOATING RATE INCOME
OPPORTUNITY (JRO)
---------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) -- 14.03 12.98 .54 3.14
2005 (.18) 14.08 13.41 (5.13) 4.47
2004(d) (.03) 14.30 15.01 .07 (.21)
===================================================================================================
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------
Before Credit/Reimbursement After Credit/Reimbursement***
----------------------------- ------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Ending Expenses Income to Expenses Income to
Net to Average Average to Average Average
Assets Net Assets Net Assets Net Assets Net Assets
Applicable Applicable Applicable Applicable Applicable Portfolio
to Common to Common to Common to Common to Common Turnover
Shares (000) Shares++ Shares++ Shares++ Shares++ Rate
============================================================================================================================
SENIOR INCOME (NSL)
----------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) $250,678 3.33%* 7.35%* 2.85%* 7.83%* 25%
2005 252,598 2.70 7.21 2.10 7.80 100
2004 251,278 2.23 7.10 1.50 7.83 91
2003 233,220 2.66 7.57 1.90 8.33 80
2002 219,459 3.12 8.20 2.37 8.95 64
2001 241,641 4.32 11.74 3.62 12.44 52
FLOATING RATE
INCOME (JFR)
----------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) 663,684 1.63* 8.07* 1.12* 8.59* 21
2005 667,194 1.60 6.56 1.09 7.07 74
2004(c) 663,609 1.37* 2.46* .93* 2.90* 14
FLOATING RATE INCOME
OPPORTUNITY (JRO)
----------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) 398,413 1.64* 8.66* 1.16* 9.14* 18
2005 399,792 1.53 5.25 1.08 5.70 58
2004(d) 383,212 1.28* (.01)* .98* .29* --
============================================================================================================================
Preferred Stock at End of Period Borrowings at End of Period
------------------------------------------------- -------------------------------
Aggregate Liquidation Asset Aggregate Asset
Amount and Market Coverage Amount Coverage
Outstanding (000) Value Per Share Per Share Outstanding (000) Per $1,000
SENIOR INCOME (NSL)
-------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(a) $46,000 $25,000 $161,238 $103,000 $3,880
2005 46,000 25,000 162,281 103,000 3,899
2004 46,000 25,000 161,564 103,000 3,886
2003 46,000 25,000 151,750 103,000 3,711
2002 46,000 25,000 144,271 103,000 3,577
2001 46,000 25,000 156,327 103,000 3,793
FLOATING RATE
INCOME (JFR)
-------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(a) 400,000 25,000 66,480 -- --
2005 400,000 25,000 66,700 -- --
2004(b) 400,000 25,000 66,476 -- --
FLOATING RATE
INCOME OPPORTUNITY
(JRO)
-------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(a) 240,000 25,000 66,501 -- --
2005 240,000 25,000 66,645 -- --
2004(c) -- -- -- -- --
===========================================================================================
* Annualized.
** Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and reinvested
capital gains distributions, if any, at the average price paid per share at
the time of reinvestment. Total Return on Common Share Net Asset Value is
the combination of changes in Common share net asset value, reinvested
dividend income at net asset value and reinvested capital gains
distributions at net asset value, if any. Total returns are not annualized.
*** After custodian fee credit and expense reimbursement from the Adviser,
where applicable.
+ The amounts shown are based on Common share equivalents.
++ o Ratios do not reflect the effect of dividend payments to Preferred
shareholders.
o Income ratios reflect income earned on assets attributable to
Preferred shares and bank borrowings, where applicable.
o With respect to Senior Income (NSL), each ratio includes the effect of
the interest expense paid on bank borrowings as follows:
Ratio of Interest
Expense to Average
Net Assets Applicable to
Common Shares
-------------------------
2006(a) 1.64%
2005 1.00
2004 .48
2003 .74
2002 1.09
2001 2.19
(a) Per share Net Investment Income is calculated using the average daily
shares method.
(b) For the six months ended January 31, 2006.
(c) For the period March 25, 2004 (commencement of operations) through July 31,
2004.
(d) For the period July 27, 2004 (commencement of operations) through July 31,
2004.
44-45 SPREAD
Reinvest Automatically
EASILY AND CONVENIENTLY
Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET
UP YOUR REINVESTMENT ACCOUNT.
NUVEEN EXCHANGE-TRADED CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN
Your Nuveen Exchange-Traded Closed-End Fund allows you to conveniently reinvest
dividends and/or capital gains distributions in additional fund shares.
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of compounding.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
EASY AND CONVENIENT
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
HOW SHARES ARE PURCHASED
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
greater of the net asset value or 95% of the then-current market price. If the
shares are trading at less than net asset value, shares for your account will be
purchased on the open market. Dividends and distributions received to purchase
shares in the open market will normally be invested shortly after the dividend
payment date. No interest will be paid on dividends and distributions awaiting
reinvestment. Because the market price of the shares may increase before
purchases are completed, the average purchase price per share may exceed the
market price at the time of valuation, resulting in the acquisition of fewer
shares than if the dividend or distribution had been paid in shares issued by
the Fund. A pro rata portion of any applicable brokerage commissions on open
market purchases will be paid by Plan participants. These commissions usually
will be lower than those charged on individual transactions.
FLEXIBLE
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
46
Other Useful
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
Each Fund's (i) quarterly portfolio of investments, (ii) information regarding
how the Funds voted proxies relating to portfolio securities held during the
12-month period ended June 30, 2005, and (iii) a description of the policies and
procedures that the Funds used to determine how to vote proxies relating to
portfolio securities are available without charge, upon request, by calling
Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at
www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
References Section at 450 Fifth Street NW, Washington, D.C. 20549.
GLOSSARY OF TERMS USED IN THIS REPORT
AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or market
price and reinvested dividends and capital gains distributions, if any) over the
time period being considered.
MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's
current annualized dividend divided by its current market price.
NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any MuniPreferred shares
issued in order to leverage the Fund) from its total assets and then dividing
the remainder by the number of shares outstanding. Fund NAVs are calculated at
the end of each business day.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Eugene S. Sunshine
FUND MANAGER
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust Company
Boston, MA
TRANSFER AGENT AND SHAREHOLDER SERVICES
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
LEGAL COUNSEL
Chapman and Cutler LLP
Chicago, IL
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Chicago, IL
Each Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the period covered by this report. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
47
Nuveen Investments:
SERVING Investors
For GENERATIONS
Photo of: 2 women looking at a photo album.
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past century,
Nuveen Investments has adhered to the belief that the best approach to investing
is to apply conservative risk-management principles to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity and
fixed-income solutions that are integral to a well-diversified core portfolio.
Our clients have come to appreciate this diversity, as well as our continued
adherence to proven, long-term investing principles.
WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS.
Managing more than $135 billion in assets, Nuveen Investments offers access to a
number of different asset classes and investing solutions through a variety of
products. Nuveen Investments markets its capabilities under four distinct
brands: Nuveen, a leader in fixed-income investments; NWQ, a leader in
value-style equities; Rittenhouse, a leader in growth-style equities; and
Symphony, a leading institutional manager of market-neutral alternative
investment portfolios.
FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS.
To learn more about the products and services Nuveen Investments offers, talk to
your financial advisor, or call us at (800) 257-8787. Please read the
information provided carefully before you invest.
Be sure to obtain a prospectus, where applicable. Investors should consider the
investment objective and policies, risk considerations, charges and expenses of
the Fund carefully before investing. The prospectus contains this and other
information relevant to an investment in the Fund. For a prospectus, please
contact your securities representative or Nuveen Investments, 333 W. Wacker Dr.,
Chicago, IL 60606. Please read the prospectus carefully before you invest or
send money.
o Share prices
o Fund details
Learn more o Daily financial news
about Nuveen Funds at o Investor education
WWW.NUVEEN.COM/ETF o Interactive planning tools
Logo: NUVEEN Investments
ESA-C-0106D
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's Board implemented after the registrant
last provided disclosure in response to this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of this report that includes the disclosure
required by this paragraph, based on their evaluation of the controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (the "Exchange Act")(17 CFR
240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that has materially affected, or
is reasonably likely to materially affect, the registrant's internal
control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable to
this filing.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Floating Rate Income Fund
-----------------------------------------------------------
By (Signature and Title)* /s/ Jessica R. Droeger
----------------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date: April 7, 2006
-------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Gifford R. Zimmerman
----------------------------------------------
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)
Date: April 7, 2006
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: April 7, 2006
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.