Nuveen Credit Strategies Income Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number  

  

811-21333

Nuveen Credit Strategies Income Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Name and address of agent for service)

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

Date of fiscal year end:    July 31                                

Date of reporting period:    July 31, 2015                   

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.


     LOGO
Closed-End Funds   

 

     Nuveen Investments
     Closed-End Funds

 

 

 

 

       

 

 

Annual Report  July 31, 2015

 

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

 


 

 

     

 

           
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LOGO


Table

of Contents

 

Chairman’s Letter to Shareholders

     4   

Portfolio Managers’ Comments

     5   

Fund Leverage

     9   

Common Share Information

     10   

Risk Considerations

     12   

Performance Overview and Holding Summaries

     14   

Shareholder Meeting Report

     24   

Report of Independent Registered Public Accounting Firm

     25   

Portfolios of Investments

     26   

Statement of Assets and Liabilities

     78   

Statement of Operations

     79   

Statement of Changes in Net Assets

     80   

Statement of Cash Flows

     83   

Financial Highlights

     84   

Notes to Financial Statements

     91   

Additional Fund Information

     110   

Glossary of Terms Used in this Report

     111   

Reinvest Automatically, Easily and Conveniently

     112   

Annual Investment Management Agreement Approval Process

     113   

Board Members & Officers

     121   

 

Nuveen Investments     3   


Chairman’s Letter

to Shareholders

 

LOGO

Dear Shareholders,

For better or for worse, the financial markets have spent the past year waiting for the U.S. Federal Reserve (Fed) to end its ultra-loose monetary policy. The policy has propped up stock and bond markets since the Great Recession, but the question remains: how will markets behave without its influence? This uncertainty has been a considerable source of volatility for stock and bond prices lately, despite the Fed carefully conveying its intention to raise rates slowly and only when the economy shows evidence of readiness.

A large consensus expects at least one rate hike before the end of 2015. After all, the U.S. has reached “full employment” by the Fed’s standards and growth has resumed – albeit unevenly. But the picture remains somewhat uncertain. Inflation has remained stubbornly low, most recently weighed down by an unexpectedly sharp decline in commodity prices since mid-2014. With the Fed poised to tighten and foreign central banks easing, the U.S. dollar has surged against other currencies, which has weighed on corporate earnings and further contributed to commodity price weakness. U.S. consumers have benefited from an improved labor market and lower prices at the gas pump, but the overall pace of economic expansion has been lackluster.

Nevertheless, the global recovery continues to be led by the United States. Policy makers around the world are deploying their available tools to try to bolster Europe and Japan’s fragile growth, and manage China’s slowdown. Contagion fears ebb and flow with the headlines about Greece and China. Greece reluctantly agreed to a third bailout package from the European Union in July and China’s central bank and government intervened aggressively to try to stem the sell-off in stock prices. But persistent structural problems in these economies will continue to garner market attention.

Wall Street is fond of saying “markets don’t like uncertainty,” and asset prices are likely to continue to churn in the current macro environment. In times like these, you can look to a professional investment manager with the experience and discipline to maintain the proper perspective on short-term events. And if the daily headlines do concern you, I encourage you to reach out to your financial advisor. Your financial advisor can help you evaluate your investment strategies in light of current events, your time horizon and risk tolerance. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

William J. Schneider

Chairman of the Board

September 21, 2015

 

 

  4      Nuveen Investments


Portfolio Managers’

Comments

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

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

Effective September 30, 2015 (subsequent to the close of this reporting period), NSL, JFR, JRO, JSD and JQC will be able to invest up to 5% in iBOXX Loan Total Return Swaps. For NSL, JFR and JRO, investment in iBOXX Loan Total Return Swaps will not count for the purpose of meeting the minimum 80% loan tests until after November 30, 2015.

Here the team discusses the U.S. economic and equity market conditions, their management strategies and the performance of the Funds for the twelve-month reporting period ended July 31, 2015.

What factors affected the U.S. economy and domestic and global markets during the twelve-month reporting period ended July 31, 2015?

During this reporting period, the U.S. economy continued to expand at a moderate pace. The Federal Reserve (Fed) maintained efforts to bolster growth and promote progress toward its mandates of maximum employment and price stability by holding the benchmark fed funds rate at the record low level of zero to 0.25% that it established in December 2008. At its October 2014 meeting, the Fed announced that it would end its bond-buying stimulus program as of November 1, 2014, after tapering its monthly asset purchases of mortgage-backed and longer-term Treasury securities from the original $85 billion per month to $15 billion per month over the course of seven consecutive meetings (December 2013 through September 2014). In making the announcement, the Fed cited substantial improvement in the outlook for the labor market since the inception of the current asset purchase program as well as sufficient underlying strength in the broader economy to support ongoing progress toward maximum employment in a context of price stability. The Fed also reiterated that it would continue to look at a wide range of factors, including labor market conditions, indicators of inflationary pressures and readings on financial developments, in determining future actions. Additionally, the Fed stated that it would likely maintain the current target range for the fed funds rate for a considerable time after the end of the asset purchase program, especially if projected inflation continues to run below the

 

 

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

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

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

 

Nuveen Investments     5   


Portfolio Managers’ Comments (continued)

 

Fed’s 2% longer run goal. However, if economic data shows faster progress, the Fed indicated that it could raise the fed funds rate sooner than expected.

The Fed changed its language slightly in December, indicating it would be “patient” in normalizing monetary policy. This shift helped ease investors’ worries that the Fed might raise rates too soon. However, as employment data released early in the year continued to look strong, anticipation began building that the Fed could raise its main policy rate as soon as June. As widely expected, after its March meeting, the Fed eliminated “patient” from its statement but also highlighted the policy makers’ less optimistic view of the economy’s overall health as well as downgraded their inflation projections. The Fed’s April meeting seemed to further signal that a June rate hike was off the table. While the Fed attributed the first quarter’s economic weakness to temporary factors, the meeting minutes from April revealed that many Committee members believed the economic data available in June would be insufficient to meet the Fed’s criteria for initiating a rate increase. The June meeting bore out that presumption, and the Fed decided to keep the target rate near zero. But the Committee also continued to telegraph the likelihood of at least one rate increase in 2015, which many analysts forecasted for September. During the September 2015 meeting (subsequent to the close of this reporting period), the Fed decided to keep the federal funds rate near zero despite broad speculation it would increase rates. The Committee said it will keep the rate near zero until the economy has seen further improvement toward reaching the Fed’s goals of maximum employment and inflation approaching two percent.

According to the government’s revised estimate, the U.S. economy increased at a 3.7% annualized rate in the second quarter of 2015, as measured by GDP, compared with a decrease of 0.6% in the first quarter of 2015 and increases of 5.0% in the third quarter 2014 and 2.2% in the fourth quarter 2014. The increase in real GDP in the second quarter reflected positive contributions from personal consumption expenditures, exports, state and local government spending, and residential fixed investment that were partly offset by negative contributions from federal government spending, private inventory investment, and nonresidential fixed investment. The Consumer Price Index (CPI) increased 0.1% year-over-year as of July 2015. The core CPI (which excludes food and energy) increased 0.1% during the same period, below the Fed’s unofficial longer term inflation objective of 2.0%. As of July 2015, the U.S. unemployment rate was 5.3%, a level not seen since mid-2008. This figure is also considered “full employment” by some Fed officials. The housing market continued to post consistent gains as of its most recent reading in June 2015. The average home price in the S&P/Case-Shiller Index of 20 major metropolitan areas rose 4.5% for the twelve months ended June 2015 (most recent data available at the time this report was prepared).

For the reporting period, assets across the credit risk spectrum posted positive returns as investor appetite for credit risk returned to the market and risk aversion appeared to subside. However, while broad market performance was admirable for the reporting period, it came with volatility as oil price moves continued to drive large swings in market sentiment, especially within high yield bond markets. Additionally concerns around the pace of domestic and global economic growth, continued signs of weakness out of China, Greece’s continuing debt crisis, a strengthening dollar and geopolitical concerns emanating from the Middle East appeared to further provoke market uncertainty. Also contributing to the volatility among risk assets was a dovish Fed and overall fluid expectations by market participants surrounding the timing of rate hikes in the U.S.

At the top of the capital structure, loan markets as measured by the Credit Suisse Leverage Loan Index posted positive returns for the reporting period and outperformed high yield bonds. On the heels of persistent technical weakness toward the end of 2014 the loan market had rallied closer to par by the end of the reporting period as the pace of retail outflows materially slowed and institutional demand, predominantly collateralized loan obligation (CLO) issuance, remained strong. In addition, the overall light supply in new issuance for the first quarter helped drive prices higher on continued demand for loan assets. Default rates remain below historical levels.

Moving down the capital structure to the high yield corporate bond markets, the reporting period also finished on a positive note. Following an intense bout of volatility and risk aversion led by the energy sector at the end of 2014, the high yield markets rebounded nicely. While the market remained wary of when oil prices would find a floor and the subsequent effect of lower oil prices on the credit worthiness of many energy sector names, the perception that lower oil prices ultimately would benefit the consumer led to outperformance. Default rates remain below historical levels.

 

  6      Nuveen Investments


 

What strategies were used to manage the Funds during the twelve-month reporting period ended July 31, 2015?

NSL, JFR and JRO have similar investment objectives and strategies. Each Fund is designed to seek a high level of current income by primarily investing in a portfolio of adjustable rate, senior secured corporate loans. The Funds also may invest in unsecured senior loans, other debt securities, equity securities and warrants acquired in connection with an investment in senior loans. A significant portion of each Fund’s assets may be invested in instruments that, at the time of investment, are rated below investment grade or are unrated but judged by Symphony to be of comparable quality to below investment grade.

JSD seeks to provide current income and the potential for capital appreciation. The Fund invests primarily in a blended portfolio of below investment grade adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may also make limited tactical investments in other types of debt instruments and may enter into tactical short positions consisting of primarily high yield debt. Under normal market conditions the Fund maintains a portfolio with an average duration that does not exceed two years.

JQC invests at least 70% of its assets in senior secured and second lien loans, and up to 30% of its assets opportunistically over the credit cycle in other types of securities across a company’s capital structure. These other securities primarily include income-oriented securities such as high yield corporate and convertible bonds as well as common stocks. The Fund maintained exposure to senior loans during the reporting period, while tactically allocating between high yield corporate bonds, equity securities and convertible bonds. Exposure consisted of mainly U.S. issuers, and was focused on companies that, in general, had high levels of tangible assets, predictable revenue streams, significant market share within their respective industries and positive free cash flow.

How did the Funds perform during this twelve-month reporting period ended July 31, 2015?

The tables in the Performance Overview and Holding Summaries section of this report provide total return performance for each Fund for the one-year, five-year, ten-year and/or since inception periods ended July 31, 2015. The Fund’s total return at net asset value (NAV) is compared with the performance of a corresponding market index. For the twelve-month reporting period ended July 31, 2015, NSL, JFR, JRO, JSD and JQC underperformed the Credit Suisse Leveraged Loan Index.

Across all five Funds, our top and bottom performing individual security positions and industry groups were similar. As a result, for NSL, JFR, JRO, JSD and JQC the hotels, restaurants & leisure, food & staples retailing and internet software & services industry groups contributed positively to absolute performance. However, these could not offset the Funds’ individual security positions in the oil, gas & consumable fuels and media industry groups, which contributed to the Funds’ underperformance. Overall, industry group and individual positions discussed were similarly weighted across all five Funds during the reporting period.

In the food & staples retailing industry, the loans of Albertson’s and US Foods benefited performance. In our opinion, this industry has historically been more defensive during periods of volatility. We believe these loans offer an attractive coupon relative to the rest of the industry and broad market. Both the industry and the companies performed well during the reporting period. We anticipate the loans will continue to be a core position in our portfolios in the near term. In addition, Drumm Investors LLC, (Golden Living), a health care facilities company, benefited performance as reimbursements stabilized and the company continued to perform. For JSD, our credit default swap position in Avon Products Inc. also contributed.

Specific holdings that detracted from performance included positions in Millennium Laboratories, Inc. Additionally, our energy holdings were key detractors for the reporting period. While we began reducing our exposure to the sector ahead of the steep decline in oil prices, we continued to maintain modest exposures that detracted from overall performance. Specifically, the loans of Fieldwood Energy, LLC and Drill Rigs Holdings Inc. weighed on performance during the reporting period. Also detracting from performance were the diversified media and entertainment company bonds of Clear Channel Communications, Inc. The loans and bonds were impacted as riskier assets experienced a sell-off during the second half of the reporting period.

 

Nuveen Investments     7   


Portfolio Managers’ Comments (continued)

 

In addition, spreads widened during the reporting period, negatively impacting performance as the market experienced increased volatility. The biggest drivers of the volatility were overall risk aversion and global macro concerns such as Greece potentially exiting the European Union and a weakening Chinese economy. The overall impact of these events were negative on credit risk assets.

Despite overall risk aversion spreading into loan markets, in our view, loans continue to be a compelling investment opportunity given their duration profile and overall lower sensitivity to Treasury rate volatility. We continue to believe that in the face of rising volatility around geopolitical risks and the prospect for the Fed raising interest rates at the end of 2015, that loans are positioned to perform well relative to other asset classes. We also feel the market volatility experienced in the wake of the global macro related issues, as opposed to underlying deterioration of credits in the names we hold, will continue in the near term and presents our strategies with compelling new investment opportunities.

For JSD we also continued to invest in credit default swaps, which were used to provide a benefit if particular bonds’ credit quality worsened. These contracts had a negligible effect on performance.

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

 

  8      Nuveen Investments


Fund

Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds relative to their benchmarks was the Funds’ use of leverage through the use of bank borrowings, Variable Rate Term Preferred (VRTP) Shares for NSL, JFR and JRO and reverse repurchase agreements for JQC. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income and total return for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by a Fund decline, the negative impact of these valuation changes on common share NAV and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when the prices of securities held by a Fund generally are rising. The Funds’ use of leverage had a positive impact on performance during this reporting period.

The Funds also used interest rate swap contracts to partially fix the interest cost of leverage, which as mentioned previously, is through bank borrowings and or VRTP Shares. During the reporting period, NSL, JFR, JRO and JQC unwound their respective swap contracts. JSD began the reporting period with three swap contracts, one of which matured and another was unwound prior to the end of the reporting period. The swap contracts held by NSL, JFR, JRO and JQC had an overall negligible impact on Fund performance, while JSD’s swap contracts detracted from overall Fund performance.

As of July 31, 2015, the Funds’ percentages of leverage are shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    38.14        38.18        38.21        31.18        37.30

Regulatory Leverage*

    38.14        38.18        38.21        31.18        32.25
* Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that increase the Fund’s investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

THE FUNDS’ REGULATORY LEVERAGE

Bank Borrowings

The Funds employ regulatory leverage through the use of bank borrowings. As of July 31, 2015, the Funds outstanding bank borrowings are as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Bank Borrowings

  $ 112,500,000         $ 270,300,000         $ 188,800,000         $ 85,200,000         $ 640,000,000   

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

Variable Rate Term Preferred Shares

In addition to bank borrowings, NSL, JFR, and JRO also issued VRTP Shares. As of July 31, 2015, the Funds’ outstanding VRTP Shares are as shown in the accompanying table.

 

     NSL        JFR        JRO  

VRTP Shares, at liquidation value

  $ 58,000,000         $ 139,000,000         $ 98,000,000   

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

 

Nuveen Investments     9   


Common Share

Information

 

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of July 31, 2015. Each Fund’s distribution levels may vary over time based on each Fund’s investment activity and portfolio investment value changes.

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

 

    Per Common Share Amounts  
Ex-Dividend Date   NSL        JFR        JRO        JSD        JQC  

August 2014

  $ 0.0350         $ 0.0600         $ 0.0630         $ 0.0970         $ 0.0435   

September

    0.0350           0.0600           0.0630           0.0970           0.0435   

October

    0.0350           0.0600           0.0630           0.0970           0.0435   

November

    0.0350           0.0600           0.0630           0.0970           0.0435   

December

    0.0350           0.0600           0.0630           0.0970           0.0435   

January

    0.0350           0.0600           0.0630           0.0970           0.0435   

February

    0.0350           0.0600           0.0630           0.0970           0.0485   

March

    0.0350           0.0600           0.0630           0.0970           0.0485   

April

    0.0350           0.0600           0.0630           0.0970           0.0485   

May

    0.0350           0.0600           0.0630           0.0970           0.0485   

June

    0.0350           0.0600           0.0630           0.0970           0.0500   

July 2015

    0.0350           0.0600           0.0630           0.0970           0.0500   

Long-Term Capital Gain*

  $         $         $         $ 0.0376         $   

Current Distribution Rate**

    6.62        6.75        6.99        7.09        6.98
* Distribution paid in December 2014.
** Current distribution rate is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price. The Fund’s monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the fiscal year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a return of capital for tax purposes.

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

As of July 31, 2015, all of the Funds had positive UNII balances for tax purposes. JQC had a positive UNII balance while the remaining four Funds had a negative UNII balance for financial reporting purposes.

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

 

  10      Nuveen Investments


COMMON SHARE REPURCHASES

During August 2015 (subsequent to the close of this reporting period), the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.

As of July 31, 2015, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares cumulatively repurchased and retired

    0           147,593           19,400           0           4,500,400   

Common shares authorized for repurchase

    3,865,000           5,515,000           3,850,000           1,010,000           13,605,000   

During the current reporting period, the Funds repurchased and retired common shares at a weighted average price per share and a weighted average discount per common share as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares repurchased and retired

    0           0           0           0           144,208   

Weighted average price per common share repurchased and retired

    $0           $0           $0           $0           $8.57   

Weighted average discount per common share repurchased and retired

    0        0        0        0        13.77

COMMON SHARE EQUITY SHELF PROGRAMS

During the reporting period, the following Funds were authorized to issue additional shares through their ongoing equity shelf programs. Under these programs, each Fund, subject to market conditions, may raise additional capital from time to time in varying amounts and offering methods at a net price or above the Fund’s net asset value (NAV) per common share. Under the equity shelf programs, the Funds were authorized to issue the following number of additional common shares:

 

     JSD        JQC  

Additional common shares authorized

    1,000,000           13,600,000   

During the current reporting period, the Funds did not sell any common shares through their equity shelf programs.

As of November 30, 2014, the Funds’ shelf offering registration statement are no longer effective. Therefore, the Funds may not issue additional common shares under their equity shelf programs until a new registration statement is effective.

OTHER COMMON SHARE INFORMATION

As of July 31, 2015, and during the current reporting period, the Funds’ common share prices were trading at a premium/(discount) to their common share NAVs as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common share NAV

    $7.16           $12.01           $12.05           $18.63           $9.88   

Common share price

    $6.34           $10.67           $10.82           $16.41           $8.59   

Premium/(Discount) to NAV

    (11.45 )%         (11.16 )%         (10.21 )%         (11.92 )%         (13.06 )% 

12-month average premium/(discount) to NAV

    (9.32 )%         (9.13 )%         (7.68 )%         (9.83 )%         (12.17 )% 

 

Nuveen Investments     11   


Risk

Considerations

 

Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation.

Nuveen Senior Income Fund (NSL)

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

Nuveen Floating Rate Income Fund (JFR)

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

Nuveen Floating Rate Income Opportunity Fund (JRO)

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

Nuveen Short Duration Credit Opportunities Fund (JSD)

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

 

  12      Nuveen Investments


 

Nuveen Credit Strategies Income Fund (JQC)

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

 

Nuveen Investments     13   


NSL

 

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

    Average Annual  
     1-Year        5-Year        10-Year  
NSL at Common Share NAV     0.96%           8.10%           6.00%   
NSL at Common Share Price     (3.25)%           5.26%           4.43%   
CSFB Leveraged Loan Index     2.29%           5.47%           4.67%   

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

Common Share Price Performance — Weekly Closing Price

LOGO

 

  14      Nuveen Investments


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     136.5%   
Common Stocks     1.6%   
$25 Par (or similar) Retail Preferred     0.0%   
Convertible Bonds     0.3%   
Corporate Bonds     18.4%   
Repurchase Agreements     14.2%   
Other Assets Less Liabilities     (9.3)%   
Net Assets Plus Borrowings and VRTP Shares, at Liquidation Value     161.7%   
Borrowings     (40.7)%   
VRTP Shares, at Liquidation Value     (21.0)%   
Net Assets     100%   

Top Five Issuers

(% of total long-term investments)

 

Albertson’s LLC     3.6%   
Clear Channel Communications, Inc.     3.0%   
Endo Health Solutions, Inc.     2.5%   
Valeant Pharmaceuticals International, Inc.     2.1%   
Dell, Inc.     2.0%   

Portfolio Composition

(% of total investments)

 

Media     11.0%   
Pharmaceuticals     6.5%   
Software     6.0%   
Hotels, Restaurants & Leisure     5.3%   
Health Care Equipment & Supplies     4.6%   
Food & Staples Retailing     4.6%   
Diversified Consumer Services     4.1%   
Diversified Telecommunication Services     3.9%   
Health Care Providers & Services     3.9%   
Food Products     3.9%   
Real Estate Investment Trust     3.0%   
Commercial Services & Supplies     2.3%   
Airlines     2.3%   
Semiconductors & Semiconductor Equipment     2.3%   
Insurance     2.1%   
Wireless Telecommunication Services     2.0%   
Technology Hardware, Storage & Peripherals     1.9%   
Automobiles     1.6%   
Communications Equipment     1.5%   
Other     18.9%   
Repurchase Agreements     8.3%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     7.4%   
BB or Lower     89.5%   
N/R (not rated)     3.1%   

Total

    100%   
 

 

Nuveen Investments     15   


JFR

 

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

    Average Annual  
     1-Year        5-Year        10-Year  
JFR at Common Share NAV     1.15%           7.95%           5.67%   
JFR at Common Share Price     (2.88)%           6.20%           5.18%   
CSFB Leveraged Loan Index     2.29%           5.47%           4.67%   

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

Common Share Price Performance — Weekly Closing Price

LOGO

 

  16      Nuveen Investments


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     128.1%   
Common Stocks     1.4%   
$25 Par (or similar) Retail Preferred     0.0%   
Convertible Bonds     0.2%   
Corporate Bonds     16.7%   
Asset-Backed Securities     6.2%   
Investment Companies     1.7%   
Repurchase Agreements     14.9%   
Other Assets Less Liabilities     (7.4)%   
Net Assets Plus Borrowings and VRTP Shares, at Liquidation Value     161.8%   
Borrowings     (40.8)%   
VRTP Shares, at Liquidation Value     (21.0)%   

Net Assets

    100%   

Top Five Issuers

(% of total long-term investments)

 

Albertson’s LLC     3.2%   
Clear Channel Communications, Inc.     2.7%   
Endo Health Solutions, Inc.     2.1%   
Valeant Pharmaceuticals International, Inc.     1.8%   
Dell, Inc.     1.7%   

Portfolio Composition

(% of total investments)

 

Media     11.2%   
Software     5.7%   
Pharmaceuticals     5.5%   
Health Care Providers & Services     4.6%   
Food & Staples Retailing     4.2%   
Diversified Telecommunication Services     4.0%   
Hotels, Restaurants & Leisure     4.0%   
Diversified Consumer Services     3.8%   
Health Care Equipment & Supplies     3.5%   
Food Products     3.2%   
Wireless Telecommunication Services     2.7%   
Real Estate Investment Trust     2.6%   
Commercial Services & Supplies     2.3%   
Semiconductors & Semiconductor Equipment     2.2%   
Airlines     2.0%   
Insurance     1.9%   
Automobiles     1.8%   
Technology Hardware, Storage & Peripherals     1.6%   
Oil, Gas & Consumable Fuels     1.4%   
Other     18.3%   
Asset-Backed Securities     3.7%   
Investment Companies     1.0%   
Repurchase Agreements     8.8%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     6.9%   
BB or Lower     90.0%   
N/R (not rated)     3.1%   

Total

    100%   
 

 

Nuveen Investments     17   


JRO

 

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

    Average Annual  
     1-Year        5-Year        10-Year  
JRO at Common Share NAV     1.03%           8.82%           6.37%   
JRO at Common Share Price     (6.74)%           6.09%           6.15%   
CSFB Leveraged Loan Index     2.29%           5.47%           4.67%   

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

Common Share Price Performance — Weekly Closing Price

LOGO

 

  18      Nuveen Investments


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     129.4%   
Common Stocks     1.6%   
$25 Par (or similar) Retail Preferred     0.0%   
Convertible Bonds     0.3%   
Corporate Bonds     18.9%   
Asset-Backed Securities     5.9%   
Repurchase Agreements     13.3%   
Other Assets Less Liabilities     (7.6)%   
Net Assets Plus Borrowings and VRTP Shares, at Liquidation Value     161.8%   
Borrowings     (40.7)%   
VRTP Shares, Liquidation Value     (21.1)%   
Net Assets     100%   

Top Five Issuers

(% of total long-term investments)

 

Clear Channel Communications, Inc.     3.3%   
Albertson’s LLC     3.0%   
Valeant Pharmaceuticals International, Inc.     2.0%   
Endo Health Solutions, Inc.     2.0%   
US Foods, Inc.     2.0%   

Portfolio Composition

(% of total investments)

 

Media     12.3%   
Software     6.2%   
Pharmaceuticals     5.6%   
Diversified Consumer Services     4.4%   
Diversified Telecommunication Services     4.3%   
Hotels, Restaurants & Leisure     4.0%   
Food & Staples Retailing     4.0%   
Health Care Providers & Services     3.9%   
Food Products     3.5%   
Health Care Equipment & Supplies     3.5%   
Real Estate Investment Trust     2.7%   
Commercial Services & Supplies     2.5%   
Wireless Telecommunication Services     2.3%   
Semiconductors & Semiconductor Equipment     2.2%   
Automobiles     2.2%   
Airlines     2.1%   
Insurance     1.9%   
Technology Hardware, Storage & Peripherals     1.6%   
Other     19.4%   
Asset-Backed Securities     3.5%   
Repurchase Agreements     7.9%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     7.3%   
BB or Lower     91.1%   
N/R (not rated)     1.6%   

Total

    100%   
 

 

Nuveen Investments     19   


JSD

 

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

    Average Annual  
     1-Year        Since
Inception
 
JSD at Common Share NAV     1.87%           7.12%   
JSD at Common Share Price     (3.27)%           3.14%   
CSFB Leveraged Loan Index     2.29%           4.53%   

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

Common Share Price Performance — Weekly Closing Price

LOGO

 

  20      Nuveen Investments


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     123.0%   
Common Stocks     0.6%   
Corporate Bonds     17.6%   
Repurchase Agreements     8.4%   
Other Assets Less Liabilities     (4.3)%   

Net Assets Plus Borrowings

    145.3%   
Borrowings     (45.3)%   

Net Assets

    100%   

Top Five Issuers

(% of total long-term
investments)1

 

Albertson’s LLC     4.3%   
Valeant Pharmaceuticals International, Inc.     3.1%   
Clear Channel Communications, Inc.     3.0%   
Communications Sales & Leasing, Inc.     2.3%   
Delta Air Lines, Inc.     2.3%   

Portfolio Composition

(% of total investments)1

 

Media     9.0%   
Software     6.9%   
Pharmaceuticals     5.9%   
Food & Staples Retailing     5.4%   
Health Care Providers & Services     5.0%   
Health Care Equipment & Supplies     5.0%   
Hotels, Restaurants & Leisure     4.4%   
Diversified Telecommunication Services     4.3%   
Real Estate Investment Trust     3.8%   
Diversified Consumer Services     3.6%   
Airlines     3.5%   
Food Products     2.7%   
Commercial Services & Supplies     2.6%   
Wireless Telecommunication Services     2.6%   
Internet Software & Services     2.2%   
Oil, Gas & Consumable Fuels     2.0%   
Leisure Products     2.0%   
Communications Equipment     1.9%   
Technology Hardware, Storage & Peripherals     1.8%   
Other     19.8%   
Repurchase Agreements     5.6%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     8.1%   
BB or Lower     91.1%   
N/R (not rated)     0.8%   

Total

    100%   
 

 

1 Excluding investments in derivatives.

 

Nuveen Investments     21   


JQC

 

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

    Average Annual  
     1-Year        5-Year        10-Year  
JQC at Common Share NAV     1.82%           8.57%           4.11%   
JQC at Common Share Price     1.02%           8.95%           4.50%   
CSFB Leveraged Loan Index     2.29%           5.47%           4.67%   

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

Common Share Price Performance — Weekly Closing Price

LOGO

 

  22      Nuveen Investments


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     114.9%   
Common Stocks     6.6%   
Exchange-Traded Funds     0.8%   
Convertible Preferred Securities     0.4%   
Corporate Bonds     31.8%   
Repurchase Agreements     5.4%   
Other Assets Less Liabilities     (0.4)%   
Net Assets Plus Borrowings and Reverse Repurchase Agreements     159.5%   
Borrowings     (47.6)%   
Reverse Repurchase Agreements     (11.9)%   

Net Assets

    100%   

Top Five Issuers

(% of total long-term investments)

 

First Data Corporation     2.4%   
Albertson’s LLC     2.0%   
US Foods, Inc.     2.0%   
Sprint Corporation     2.0%   
Communications Sales & Leasing, Inc.     2.0%   

Portfolio Composition

(% of total investments)

 

Software     10.2%   
Media     9.5%   
Hotels, Restaurants & Leisure     5.7%   
Diversified Telecommunication Services     5.4%   
Pharmaceuticals     5.1%   
Health Care Equipment & Supplies     4.5%   
Real Estate Investment Trust     4.3%   
Chemicals     3.8%   
Semiconductors & Semiconductor Equipment     3.8%   
Health Care Providers & Services     3.7%   
Wireless Telecommunication Services     3.4%   
Food & Staples Retailing     3.4%   
Specialty Retail     3.2%   
Diversified Consumer Services     3.2%   
Communications Equipment     2.6%   
Food Products     2.5%   
Consumer Finance     2.3%   
Other     20.0%   
Repurchase Agreements     3.4%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     6.9%   
BB or Lower     92.8%   
N/R (not rated)     0.3%   

Total

    100%   
 

 

Nuveen Investments     23   


Shareholder

Meeting Report

 

The annual meeting of shareholders was held in the offices of Nuveen Investments on March 26, 2015 for NSL, JFR, JRO, JSD and JQC; at this meeting the shareholders were asked to elect Board Members.

 

     NSL     JFR     JRO     JSD     JQC  
     Common and
Preferred
shares voting
together as a
class
    Preferred
Shares
    Common and
Preferred
shares voting
together as a
class
    Preferred
Shares
    Common and
Preferred
shares voting
together as a
class
    Preferred
Shares
    Common
Shares
    Common
Shares
 

Approval of the Board Members was reached as follows:

                       

William Adams IV

  

                     

For

    33,683,317               48,580,529               32,734,715               8,898,657          

Withhold

    599,202               817,190               1,061,675               133,328          

Total

    34,282,519               49,397,719               33,796,390               9,031,985          

Jack B. Evans

  

                     

For

    33,714,801               48,595,769               32,727,078               8,938,309        110,900,089   

Withhold

    567,718               801,950               1,069,312               93,676        6,584,067   

Total

    34,282,519               49,397,719               33,796,390               9,031,985        117,484,156   

William C. Hunter

  

                     

For

           580               1,390               980                 

Withhold

                                                       

Total

           580               1,390               980                 

David J. Kundert

  

                     

For

    33,698,308               48,579,068               32,699,606               8,916,924          

Withhold

    584,211               818,651               1,096,784               115,061          

Total

    34,282,519               49,397,719               33,796,390               9,031,985          

John K. Nelson

  

                     

For

    33,725,408               48,591,638               32,794,054               8,917,730          

Withhold

    557,111               806,081               1,002,336               114,255          

Total

    34,282,519               49,397,719               33,796,390               9,031,985          

William J. Schneider

  

                     

For

           580               1,390               980        8,930,019        110,897,345   

Withhold

                                              101,966        6,586,811   

Total

           580               1,390               980        9,031,985        117,484,156   

Thomas S. Schreier, Jr.

  

                     

For

    33,673,216               48,521,481               32,749,286               8,917,230        110,919,928   

Withhold

    609,303               876,238               1,047,104               114,755        6,564,228   

Total

    34,282,519               49,397,719               33,796,390               9,031,985        117,484,156   

Terence J. Toth

  

                     

For

    33,711,949               48,583,194               32,801,199               8,885,955          

Withhold

    570,570               814,525               995,191               146,030          

Total

    34,282,519               49,397,719               33,796,390               9,031,985          

 

  24      Nuveen Investments


Report of

Independent Registered Public Accounting Firm

 

To the Board of Trustees and Shareholders of

Nuveen Senior Income Fund

Nuveen Floating Rate Income Fund

Nuveen Floating Rate Income Opportunity Fund

Nuveen Short Duration Credit Opportunities Fund

Nuveen Credit Strategies Income Fund:

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, Nuveen Short Duration Credit Opportunities Fund and Nuveen Credit Strategies Income Fund (the “Funds”) as of July 31, 2015, and the related statements of operations, changes in net assets and cash flows and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets and the financial highlights for the periods presented through July 31, 2014, were audited by other auditors whose reports dated September 25, 2014, expressed unqualified opinions on those statements and those financial highlights.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2015, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of July 31, 2015, the results of their operations, the changes in their net assets, their cash flows and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Chicago, Illinois

September 29, 2015

 

Nuveen Investments     25   


NSL

 

Nuveen Senior Income Fund

  

Portfolio of Investments

   July 31, 2015

 

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

LONG-TERM INVESTMENTS – 156.8% (91.7% of Total Investments)

  

 

VARIABLE RATE SENIOR LOAN INTERESTS – 136.5% (79.8% of Total Investments) (4)

  

      Aerospace & Defense – 2.5% (1.4% of Total Investments)  
$ 1,829     

B/E Aerospace, Inc., Term Loan B, First Lien

    4.000%        12/16/21        BB+      $ 1,848,322   
  3,369     

Sequa Corporation, Term Loan B, (DD1)

    5.250%        6/19/17        B3        2,990,149   
  1,995     

Transdigm, Inc., Term Loan E, First Lien

    3.500%        5/16/22        Ba3        1,988,115   
  7,193     

Total Aerospace & Defense

                            6,826,586   
      Airlines – 3.9% (2.3% of Total Investments)  
  1,466     

American Airlines, Inc., Term Loan B, First Lien

    3.250%        6/27/20        BB+        1,461,350   
  2,000     

American Airlines, Inc., Term Loan B, First Lien

    3.500%        10/08/21        BB+        2,001,876   
  3,895     

Delta Air Lines, Inc., Term Loan B1

    3.250%        10/18/18        BBB        3,895,708   
  975     

Delta Air Lines, Inc., Term Loan B2

    2.438%        4/18/16        BBB        975,261   
  2,450     

US Airways, Inc., Term Loan B1

    3.500%        5/23/19        BB+        2,450,218   
  10,786     

Total Airlines

                            10,784,413   
      Automobiles – 2.8% (1.6% of Total Investments)  
  3,456     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%        12/31/18        BB+        3,459,274   
  3,341     

Formula One Group, Term Loan, First Lien

    4.750%        7/30/21        B        3,341,257   
  1,000     

Formula One Group, Term Loan, Second Lien

    7.750%        7/29/22        CCC+        1,000,938   
  7,797     

Total Automobiles

                            7,801,469   
      Building Products – 1.1% (0.6% of Total Investments)  
  1,588     

Gates Global LLC, Term Loan

    4.250%        7/06/21        B+        1,583,906   
  1,418     

Quikrete Holdings, Inc., Term Loan, First Lien

    4.000%        9/28/20        B+        1,420,456   
  3,006     

Total Building Products

                            3,004,362   
      Capital Markets – 0.5% (0.3% of Total Investments)  
  1,474     

Guggenheim Partners LLC, Initial Term Loan

    4.250%        7/22/20        N/R        1,482,270   
      Chemicals – 2.0% (1.2% of Total Investments)  
  1,542     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        1,542,876   
  335     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        336,118   
  1,595     

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB        1,615,405   
  975     

PQ Corporation, Term Loan B

    4.000%        8/07/17        B+        975,061   
  1,164     

Univar, Inc., Term Loan B, First Lien

    4.250%        6/24/22        BB–        1,168,031   
  5,611     

Total Chemicals

                            5,637,491   
      Commercial Services & Supplies – 3.6% (2.1% of Total Investments)  
  709     

Acosta, Inc., Term Loan B

    4.250%        9/26/21        B1        710,798   
  1,988     

CCS Income Trust, Term Loan, First Lien

    6.250%        5/12/18        B–        1,794,868   
  130     

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

    5.500%        7/02/20        N/R        88,547   
  224     

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

    2.000%        7/02/20        N/R        129,161   
  2,295     

iQor US, Inc., Term Loan, First Lien

    6.000%        4/01/21        B        2,077,284   
  250     

iQor US, Inc., Term Loan, Second Lien

    9.750%        4/01/22        CCC+        228,333   
  5,898     

Millennium Laboratories, Inc., Tranche B, Term Loan

    5.250%        4/16/21        CCC+        2,477,125   
  1,500     

Protection One, Inc., Term Loan, First Lien

    5.000%        6/18/21        B1        1,507,500   
  66     

Universal Services of America, Delayed Draw, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B        65,662   
  934     

Universal Services of America, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B        931,213   
  13,994     

Total Commercial Services & Supplies

                            10,010,491   
      Communications Equipment – 1.8% (1.1% of Total Investments)  
  2,663     

Avaya, Inc., Term Loan B3

    4.691%        10/26/17        B1        2,646,523   
  326     

Avaya, Inc., Term Loan B6

    6.500%        3/31/18        B1        324,211   
  1,083     

Commscope, Inc., Term Loan B, First Lien

    3.750%        5/28/22        BB        1,088,298   
  998     

Riverbed Technology, Inc., Term Loan B, First Lien

    6.000%        4/25/22        B1        1,011,571   
  5,070     

Total Communications Equipment

                            5,070,603   

 

  26      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Consumer Finance – 2.2% (1.3% of Total Investments)  
$ 1,500     

First Data Corporation, Term Loan B

    3.937%        6/24/22        BB–      $ 1,500,938   
  1,000     

First Data Corporation, Second New Dollar, Term Loan

    3.687%        3/24/17        BB–        999,922   
  3,500     

First Data Corporation, Term Loan

    3.687%        3/23/18        BB        3,495,898   
  6,000     

Total Consumer Finance

                            5,996,758   
      Containers & Packaging – 0.5% (0.3% of Total Investments)  
  1,287     

BWAY Holding Company, Term Loan B, First Lien

    5.500%        8/14/20        B2        1,296,049   
      Diversified Consumer Services – 6.5% (3.8% of Total Investments)  
  1,000     

AlixPartners LLP, Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B+        1,004,250   
  4,839     

Cengage Learning Acquisitions, Inc., Exit Term Loan

    7.000%        3/31/20        B+        4,867,660   
  2,902     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%        5/22/18        B+        2,914,408   
  3,712     

Hilton Hotels Corporation, Term Loan B2

    3.500%        10/25/20        BBB–        3,723,939   
  1,500     

Houghton Mifflin, Term Loan B, First Lien

    4.000%        5/28/21        BB        1,499,063   
  568     

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B        532,463   
  1,756     

New Albertson’s, Inc., Term Loan

    4.750%        6/24/21        Ba3        1,762,327   
  1,822     

ServiceMaster Company, Term Loan

    4.250%        7/01/21        B+        1,828,724   
  18,099     

Total Diversified Consumer Services

                            18,132,834   
      Diversified Financial Services – 0.7% (0.4% of Total Investments)  
  1,000     

MJ Acquisition Corp., Term Loan, First Lien

    4.000%        6/01/22        BB–        1,000,625   
  995     

Transdigm, Inc., Term Loan, Second Lien

    4.750%        11/12/21        N/R        999,198   
  1,995     

Total Diversified Financial Services

                            1,999,823   
      Diversified Telecommunication Services – 4.7% (2.8% of Total Investments)  
  858     

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

    4.000%        2/08/20        B        858,238   
  974     

Level 3 Financing, Inc., Term Loan B2

    3.500%        5/31/22        BB        971,248   
  1,667     

Level 3 Financing, Inc., Term Loan, Tranche B3

    4.000%        8/01/19        BB+        1,671,528   
  990     

TelX Group, Inc., Initial Term Loan, First Lien

    4.500%        4/09/20        B1        993,918   
  500     

TelX Group, Inc., Initial Term Loan, Second Lien

    7.500%        4/09/21        CCC        505,250   
  3,118     

WideOpenWest Finance LLC, Term Loan B

    4.500%        4/01/19        Ba3        3,126,192   
  1,849     

Ziggo N.V., Term Loan B1

    3.500%        1/15/22        BB–        1,843,389   
  1,191     

Ziggo N.V., Term Loan B2

    3.500%        1/15/22        BB–        1,187,915   
  1,960     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.500%        1/15/22        BB–        1,953,696   
  13,107     

Total Diversified Telecommunication Services

                            13,111,374   
      Electronic Equipment, Instruments & Components – 1.2% (0.7% of Total Investments)  
  1,540     

SMART Modular Technologies, Inc., Term Loan B

    8.250%        8/26/17        B        1,493,401   
  1,778     

TTM Technologies, Term Loan B

    6.000%        5/31/21        B+        1,765,925   
  3,318     

Total Electronic Equipment, Instruments & Components

                            3,259,326   
      Energy Equipment & Services – 1.4% (0.8% of Total Investments)  
  2,519     

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

    6.000%        3/31/21        B        1,970,477   
  347     

Dynamic Energy Services International LLC, Term Loan

    9.500%        3/06/18        B3        323,682   
  1,442     

Offshore Group Investment Limited, Term Loan B

    5.000%        10/25/17        CCC        888,665   
  739     

Pacific Drilling S.A., Term Loan B

    4.500%        6/03/18        B+        596,300   
  5,047     

Total Energy Equipment & Services

                            3,779,124   
      Food & Staples Retailing – 7.8% (4.6% of Total Investments)  
  2,474     

Albertson’s LLC, Term Loan B2

    5.375%        3/21/19        BB–        2,487,757   
  12,968     

Albertson’s LLC, Term Loan B4

    5.500%        8/25/21        BB–        13,037,499   
  2,357     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%        9/26/19        B–        2,364,173   
  2,000     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%        3/26/20        CCC        2,018,750   
  750     

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

    4.875%        6/21/21        BB        752,696   
  972     

Supervalu, Inc., New Term Loan

    4.500%        3/21/19        BB        977,085   
  21,521     

Total Food & Staples Retailing

                            21,637,960   
      Food Products – 6.6% (3.9% of Total Investments)  
  990     

Hearthside Group Holdings, Term Loan, First Lien

    4.500%        6/02/21        B1        991,510   
  4,000     

Jacobs Douwe Egberts, Term Loan B

    4.250%        7/23/21        BB        4,000,000   

 

Nuveen Investments     27   


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Food Products (continued)  
$ 2,175     

Pinnacle Foods Finance LLC, Term Loan G

    3.000%        4/29/20        BB+      $ 2,173,236   
  7,985     

US Foods, Inc., Incremental Term Loan

    4.500%        3/31/19        B2        8,020,339   
  3,230     

Wilton Products, Inc., Tranche B, Term Loan

    7.500%        8/30/18        B3        3,161,362   
  18,380     

Total Food Products

                            18,346,447   
      Health Care Equipment & Supplies – 4.4% (2.5% of Total Investments)                        
  583     

Ardent Medical Services, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B1        586,328   
  1,280     

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

    7.500%        7/02/18        B+        1,284,074   
  714     

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

    11.750%        1/02/19        CCC+        722,321   
  992     

CareCore National LLC, Term Loan

    5.500%        3/05/21        B        987,500   
  973     

ConvaTec Healthcare, Term Loan B

    4.250%        6/09/20        Ba2        971,629   
  2,106     

Kinetic Concepts, Inc., Incremental Term Loan E1

    4.500%        5/04/18        BB–        2,118,963   
  3,393     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        3,401,441   
  973     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        969,968   
  1,000     

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        1,007,500   
  12,014     

Total Health Care Equipment & Supplies

                            12,049,724   
      Health Care Providers & Services – 4.6% (2.7% of Total Investments)                        
  6     

Community Health Systems, Inc., Term Loan F

    3.534%        12/31/18        BB        5,702   
  527     

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB        528,661   
  1,054     

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB        1,059,831   
  2,302     

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

    3.500%        6/24/21        Ba1        2,310,138   
  3,506     

Drumm Investors LLC, Term Loan

    6.750%        5/04/18        B        3,552,506   
  578     

Genesis Healthcare LLC, Term Loan

    10.000%        12/04/17        B–        592,180   
  995     

Healogics, Inc., Term Loan, First Lien

    5.250%        7/01/21        B        996,219   
  1,721     

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

    5.500%        12/21/18        B1        1,726,756   
  500     

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

    9.750%        6/21/19        CCC+        505,000   
  868     

LHP Operations Co. LLC, Term Loan B

    9.000%        7/03/18        B2        851,056   
  596     

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        597,484   
  12,653     

Total Health Care Providers & Services

                            12,725,533   
      Health Care Technology – 0.5% (0.3% of Total Investments)                        
  1,329     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%        5/20/21        BB        1,335,916   
      Hotels, Restaurants & Leisure – 7.9% (4.6% of Total Investments)                        
  3,571     

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        3,583,085   
  3,359     

CCM Merger, Inc., Term Loan B

    4.500%        8/08/21        BB–        3,374,737   
  2,955     

CityCenter Holdings LLC, Term Loan

    4.250%        10/16/20        BB–        2,966,721   
  537     

Extended Stay America, Inc., Term Loan

    5.000%        6/24/19        BB+        545,877   
  1,663     

Intrawest Resorts Holdings, Inc., Term Loan B, First Lien

    4.750%        12/09/20        CCC        1,679,747   
  1,500     

Life Time Fitness, Inc., Term Loan B

    4.250%        6/10/22        BB–        1,499,688   
  1,463     

MGM Resorts International, Term Loan B

    3.500%        12/20/19        BB+        1,459,910   
  1,992     

Scientific Games Corporation, Term Loan B2

    6.000%        10/01/21        BB–        2,003,452   
  1,970     

Scientific Games Corporation, Term Loan

    6.000%        10/18/20        BB–        1,980,534   
  912     

Seaworld Parks and Entertainment, Inc., Term Loan B2

    3.000%        5/14/20        BB        887,587   
  1,818     

Station Casino LLC, Term Loan B

    4.250%        3/02/20        B+        1,824,014   
  21,740     

Total Hotels, Restaurants & Leisure

                            21,805,352   
      Household Durables – 0.2% (0.1% of Total Investments)  
  443     

Serta Simmons Holdings LLC, Term Loan

    4.250%        10/01/19        B+        444,337   
      Industrial Conglomerates – 0.5% (0.3% of Total Investments)  
  1,375     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%        11/26/20        B1        1,325,151   
      Insurance – 3.5% (2.1% of Total Investments)  
  1,726     

Alliant Holdings I LLC, Incremental Term Loan

    5.000%        12/23/19        B+        1,728,730   
  2,340     

Alliant Holdings I LLC, Initial Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B2        2,342,886   
  2,704     

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        B1        2,695,631   
  2,930     

USI Holdings Corporation, Initial Term Loan

    4.250%        12/27/19        B1        2,934,582   
  9,700     

Total Insurance

                            9,701,829   

 

  28      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Internet & Catalog Retail – 1.1% (0.6% of Total Investments)  
$ 2,985     

Travelport LLC, Term Loan B, First Lien

    5.750%        9/02/21        B      $ 2,999,615   
      Internet Software & Services – 1.7% (1.0% of Total Investments)                        
  491     

Sabre Inc., Term Loan B2

    4.000%        2/19/19        Ba3        493,952   
  116     

Sabre Inc., Term Loan C

    3.500%        2/19/18        Ba3        116,232   
  731     

Sabre Inc., Term Loan

    4.000%        2/19/19        Ba3        734,830   
  3,325     

Tibco Software, Inc., Term Loan B

    6.500%        12/04/20        B1        3,336,431   
  4,663     

Total Internet Software & Services

                            4,681,445   
      IT Services – 1.1% (0.6% of Total Investments)  
  2,082     

EIG Investors Corp., Term Loan

    5.000%        11/09/19        B        2,081,237   
  285     

VFH Parent LLC, New Term Loan

    5.250%        11/08/19        N/R        286,308   
  553     

Zayo Group LLC, Term Loan B

    3.216%        5/06/21        Ba2        551,820   
  2,920     

Total IT Services

                            2,919,365   
      Leisure Products – 2.3% (1.3% of Total Investments)  
  1,506     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%        5/28/21        Ba3        1,451,329   
  2,500     

Academy, Ltd., Term Loan B

    5.000%        7/01/22        B        2,512,110   
  688     

Bombardier Recreational Products, Inc., Term Loan B

    3.750%        1/30/19        BB–        690,668   
  1,173     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%        1/31/20        B1        1,184,845   
  500     

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

    6.250%        12/27/20        B–        502,500   
  6,367     

Total Leisure Products

                            6,341,452   
      Machinery – 0.8% (0.5% of Total Investments)  
  1,709     

Doosan Infracore International, Inc., Term Loan

    4.500%        5/27/21        BB–        1,720,920   
  498     

Rexnord LLC, Term Loan B

    4.000%        8/21/20        BB–        498,980   
  2,207     

Total Machinery

                            2,219,900   
      Media – 14.1% (8.3% of Total Investments)  
  3,500     

Cequel Communications LLC, Extended Term Loan, (WI/DD)

    TBD        TBD        N/R        3,489,790   
  1,290     

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

    4.250%        7/25/21        B1        1,290,250   
  950     

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

    7.500%        7/25/22        CCC+        945,844   
  639     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%        10/31/18        Caa1        576,511   
  1,485     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%        4/09/21        B+        1,277,100   
  1,000     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%        4/11/22        CCC+        733,333   
  3,000     

Charter Communications Operating Holdings LLC, Term Loan I, (WI/DD)

    TBD        TBD        N/R        3,009,912   
  2,111     

Clear Channel Communications, Inc. Term Loan E

    7.690%        7/30/19        CCC+        1,969,912   
  6,705     

Cumulus Media, Inc., Term Loan B, (DD1)

    4.250%        12/23/20        B+        6,202,331   
  1,257     

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

    4.750%        6/17/20        BB–        1,260,547   
  445     

Gray Television, Inc., Initial Term Loan

    3.750%        6/13/21        BB        446,680   
  990     

IMG Worldwide, Inc., First Lien

    5.250%        5/06/21        B1        992,970   
  2,228     

Interactive Data Corporation, Term Loan B

    4.750%        5/02/21        B+        2,238,916   
  750     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%        3/13/22        BB–        754,688   
  1,673     

McGraw-Hill Education Holdings LLC, Term Loan B

    4.750%        3/22/19        B+        1,682,567   
  973     

Mediacom Broadband LLC, Tranche G, Term Loan

    4.000%        1/20/20        BB+        975,337   
  1,600     

Numericable Group S.A., Term Loan B1

    4.500%        5/21/20        Ba3        1,607,088   
  1,385     

Numericable Group S.A., Term Loan B2

    4.500%        5/21/20        Ba3        1,390,350   
  1,654     

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.750%        8/14/20        B1        1,662,209   
  3,821     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%        3/01/20        B+        3,823,294   
  1,013     

Weather Channel Corporation, Term Loan, Second Lien

    7.000%        6/26/20        CCC+        951,766   
  1,304     

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

    3.750%        7/01/20        B+        1,293,546   
  263     

Yell Group PLC, Term Loan A2

    5.281%        3/01/19        N/R        505,591   
  21     

Yell Group PLC, Term Loan A2, (8)

    1.500%        3/03/19        N/R          
  756     

Yell Group PLC, Term Loan B2, PIK, (8)

    0.000%        3/03/24        N/R          
  40,813     

Total Media

                            39,080,532   
      Multiline Retail – 2.4% (1.4% of Total Investments)  
  998     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%        6/05/20        BB–        1,001,241   
  2,645     

Dollar Tree, Inc., Term Loan B1

    3.500%        7/06/22        BB+        2,655,469   
  830     

Dollar Tree, Inc., Term Loan B2

    4.250%        3/09/22        BB+        832,594   
  2,228     

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

    5.000%        6/20/19        B        2,231,677   
  6,701     

Total Multiline Retail

                            6,720,981   

 

Nuveen Investments     29   


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Oil, Gas & Consumable Fuels – 2.3% (1.3% of Total Investments)  
$ 562     

Western Refining, Inc., Term Loan B

    4.250%        11/12/20        BB–      $ 563,015   
  351     

Crestwood Holdings LLC, Term Loan B

    7.000%        6/19/19        B2        344,663   
  2,718     

Energy and Exploration Partners, Term Loan

    7.750%        1/22/19        N/R        2,254,356   
  916     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B2        506,565   
  1,402     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%        6/18/20        B        1,085,634   
  1,851     

Seadrill Partners LLC, Initial Term Loan

    4.000%        2/21/21        BB–        1,391,534   
  184     

Southcross Holdings Borrower L.P., Holdco Term Loan

    6.000%        8/04/21        B2        176,486   
  7,984     

Total Oil, Gas & Consumable Fuels

                            6,322,253   
      Pharmaceuticals – 9.5% (5.5% of Total Investments)  
  8,000     

Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)

    TBD        TBD        Ba1        8,015,000   
  3,000     

Endo Health Solutions, Inc., Term Loan B, (WI/DD)

    TBD        TBD        Ba1        3,017,577   
  2,000     

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

    0.000%        5/03/13        N/R        12,500   
  95     

Graceway Pharmaceuticals LLC, Term Loan, (5)

    0.000%        5/03/12        N/R        95,707   
  963     

Grifols, Inc., Term Loan

    3.190%        2/27/21        Ba1        967,365   
  1,776     

Par Pharmaceutical Companies, Inc., Term Loan B2

    4.000%        9/30/19        B1        1,777,099   
  308     

Par Pharmaceutical Companies, Inc., Term Loan B3

    4.250%        9/30/19        B1        307,851   
  990     

Patheon, Inc., Term Loan B

    4.250%        3/11/21        B1        987,967   
  2,799     

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

    4.000%        12/01/18        Ba2        2,803,405   
  2,322     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%        9/23/20        B+        2,333,601   
  1,412     

Therakos, Inc., Term Loan, First Lien

    7.000%        12/27/17        B        1,409,954   
  1,318     

Valeant Pharmaceuticals International, Inc., Term Loan E

    3.500%        8/05/20        BB+        1,321,438   
  3,092     

Valeant Pharmaceuticals International, Inc., Term Loan F

    4.000%        4/01/22        BB+        3,110,346   
  28,075     

Total Pharmaceuticals

                            26,159,810   
      Professional Services – 0.3% (0.2% of Total Investments)  
  774     

Ceridian Corporation, Term Loan B2

    4.500%        9/15/20        Ba3        771,511   
      Real Estate Investment Trust – 4.8% (2.8% of Total Investments)  
  8,100     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%        10/24/22        BBB–        7,907,625   
  2,444     

Realogy Corporation, Initial Term Loan B

    3.750%        3/05/20        BB        2,448,980   
  572     

Starwood Property Trust, Inc., Term Loan B

    3.500%        4/17/20        BB        570,342   
  2,431     

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.750%        12/18/20        B+        2,331,366   
  13,547     

Total Real Estate Investment Trust

                            13,258,313   
      Real Estate Management & Development – 1.4% (0.8% of Total Investments)  
  1,861     

Capital Automotive LP, Term Loan, Second Lien

    6.000%        4/30/20        B1        1,894,797   
  1,855     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        Ba2        1,865,779   
  3,716     

Total Real Estate Management & Development

                            3,760,576   
      Road & Rail – 0.4% (0.2% of Total Investments)  
  1,000     

Quality Distribution Inc., First Lien Term Loan, (WI/DD)

    TBD        TBD        B1        990,000   
      Semiconductors & Semiconductor Equipment – 3.3% (1.9% of Total Investments)  
  3,208     

Avago Technologies, Term Loan B

    3.750%        5/06/21        BBB–        3,216,607   
  3,433     

Freescale Semiconductor, Inc., Term Loan, Tranche B4

    4.250%        2/28/20        BB–        3,446,349   
  1,474     

Freescale Semiconductor, Inc., Term Loan, Tranche B5

    5.000%        1/15/21        BB–        1,483,514   
  969     

NXP Semiconductor LLC, Term Loan D

    3.250%        1/11/20        BBB–        968,541   
  9,084     

Total Semiconductors & Semiconductor Equipment

                            9,115,011   
      Software – 9.8% (5.7% of Total Investments)  
  1,179     

Blackboard, Inc., Term Loan B3

    4.750%        10/04/18        B+        1,181,341   
  2,091     

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B1        1,916,426   
  2,694     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%        12/15/21        B        2,635,533   
  1,002     

Datatel Parent Corp, Term Loan B1

    4.000%        7/19/18        BB–        1,005,005   
  1,045     

Emdeon Business Services LLC, Term Loan B2

    3.750%        11/02/18        Ba3        1,044,411   
  5,961     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5, (DD1)

    3.750%        6/03/20        Ba3        5,931,629   
  1,000     

Informatica Corp., Term Loan B, (WI/DD)

    TBD        TBD        B        1,001,979   
  792     

Micro Focus International PLC, Term Loan B

    5.250%        11/19/21        BB–        796,251   
  1,316     

Micro Focus International PLC, Term Loan C

    4.500%        11/20/19        BB–        1,318,169   

 

  30      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Software (continued)  
$ 3,404     

Misys PLC, Term Loan B, First Lien

    5.000%        12/12/18        B+      $ 3,417,652   
  2,448     

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

    4.000%        7/08/22        BB        2,471,129   
  404     

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

    4.000%        7/08/22        BB        407,329   
  872     

SunGard Data Systems, Inc., Term Loan E

    4.000%        3/08/20        BB        874,137   
  946     

Vertafore, Inc., Term Loan, First Lien

    4.250%        10/03/19        B+        948,655   
  2,111     

Zebra Technologies Corporation, Term Loan B, First Lien

    4.750%        10/27/21        BB+        2,139,313   
  27,265     

Total Software

                            27,088,959   
      Specialty Retail – 2.0% (1.2% of Total Investments)  
  1,568     

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

    4.000%        3/16/18        Ba3        1,552,775   
  1,347     

Petsmart, Inc., Term Loan B

    4.250%        3/11/22        BB–        1,353,435   
  337     

Pilot Travel Centers LLC, Term Loan B, First Lien

    4.250%        10/01/21        BB+        341,639   
  2,200     

Staples, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        BBB        2,203,355   
  5,452     

Total Specialty Retail

                            5,451,204   
      Technology Hardware, Storage & Peripherals – 3.2% (1.9% of Total Investments)  
  8,865     

Dell, Inc., Term Loan B2

    4.000%        4/29/20        BBB        8,873,287   
      Textiles, Apparel & Luxury Goods – 0.7% (0.4% of Total Investments)                        
  1,976     

Polymer Group, Inc., Initial Term Loan

    5.250%        12/19/19        B2        1,990,475   
      Trading Companies & Distributors – 1.8% (1.1% of Total Investments)  
  4,277     

HD Supply, Inc., Term Loan

    4.000%        6/28/18        BB–        4,289,084   
  833     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%        6/09/21        B–        826,796   
  5,110     

Total Trading Companies & Distributors

                            5,115,880   
      Transportation Infrastructure – 0.4% (0.3% of Total Investments)  
  67     

Ceva Group PLC, Canadian Term Loan

    6.500%        3/19/21        B2        61,576   
  387     

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

    6.500%        3/19/21        B2        357,141   
  371     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B2        342,946   
  534     

Ceva Group PLC, US Term Loan

    6.500%        3/19/21        B2        492,608   
  1,359     

Total Transportation Infrastructure

                            1,254,271   
      Wireless Telecommunication Services – 1.7% (1.0% of Total Investments)  
  869     

Asurion LLC, Term Loan B4, First Lien, (WI/DD)

    TBD        TBD        B        869,482   
  869     

Asurion LLC, Term Loan B1

    5.000%        5/24/19        Ba3        872,984   
  2,974     

Fairpoint Communications, Inc., Term Loan B

    7.500%        2/14/19        B        3,014,052   
  4,712     

Total Wireless Telecommunication Services

                            4,756,518   
$ 388,514     

Total Variable Rate Senior Loan Interests (cost $384,956,571)

                            377,436,580   
Shares     Description (1)                        Value  
 

COMMON STOCKS – 1.6% (0.9% of Total Investments)

  

      Diversified Consumer Services – 0.5% (0.3% of Total Investments)  
  53,514     

Cengage Learning Holdings II LP, (6), (7)

        $ 1,418,121   
  1,561,859     

Education Management Corporation, (6), (7)

                            15,619   
 

Total Diversified Consumer Services

                            1,433,740   
      Hotels, Restaurants & Leisure – 0.5% (0.3% of Total Investments)  
  40,968     

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

                            1,433,880   
      Media – 0.5% (0.3% of Total Investments)  
  3,479     

Cumulus Media, Inc., (6)

          5,740   
  6,268     

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

          491,255   
  18,422     

Tribune Media Company

          930,127   
  14,825     

Tribune Media Company, (8)

            
  4,605     

Tribune Publishing Company

                            68,568   
 

Total Media

                            1,495,690   

 

Nuveen Investments     31   


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Shares     Description (1)                        Value  
      Professional Services – 0.1% (0.0% of Total Investments)  
  47,152     

Vertrue, Inc., (6), (7)

                          $ 117,880   
      Software – 0.0% (0.0% of Total Investments)  
  291,294     

Eagle Topco LP, (6), (8)

                              
 

Total Common Stocks (cost $3,775,587)

                            4,481,190   
Shares     Description (1)   Coupon            Ratings (3)     Value  
 

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

  

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

Education Management Corporation

    7.500%                N/R      $ 43,450   
 

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

                            43,450   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
 

CONVERTIBLE BONDS – 0.3% (0.2% of Total Investments)

  

      Communications Equipment – 0.3% (0.2% of Total Investments)  
$ 850     

Nortel Networks Corp., (5)

    1.750%        4/15/12        N/R      $ 745,875   
$ 850     

Total Convertible Bonds (cost $710,500)

                            745,875   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
 

CORPORATE BONDS – 18.4% (10.8% of Total Investments)

  

      Commercial Services & Supplies – 0.3% (0.2% of Total Investments)  
$ 900     

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 900,000   
      Communications Equipment – 0.4% (0.3% of Total Investments)  
  1,500     

Avaya Inc., 144A

    10.500%        3/01/21        CCC+        1,218,750   
      Consumer Finance – 0.2% (0.1% of Total Investments)  
  402     

First Data Corporation, 144A

    7.375%        6/15/19        BB        419,326   
      Containers & Packaging – 0.3% (0.2% of Total Investments)  
  776     

Reynolds Group

    9.875%        8/15/19        CCC+        816,255   
      Diversified Telecommunication Services – 2.0% (1.2% of Total Investments)  
  750     

Frontier Communications Corporation

    6.875%        1/15/25        BB        638,438   
  300     

IntelSat Limited

    6.750%        6/01/18        CCC+        280,500   
  3,050     

IntelSat Limited

    7.750%        6/01/21        CCC+        2,424,750   
  2,650     

IntelSat Limited

    8.125%        6/01/23        CCC+        2,106,750   
  6,750     

Total Diversified Telecommunication Services

                            5,450,438   
      Health Care Equipment & Supplies – 3.6% (2.1% of Total Investments)  
  2,025     

Kinetic Concepts

    10.500%        11/01/18        B–        2,154,094   
  1,000     

Kinetic Concepts

    12.500%        11/01/19        CCC+        1,072,500   
  3,500     

Tenet Healthcare Corporation

    6.000%        10/01/20        Ba2        3,806,250   
  1,100     

Tenet Healthcare Corporation

    8.125%        4/01/22        B3        1,234,068   
  1,560     

THC Escrow Corporation II, 144A

    6.750%        6/15/23        B3        1,630,200   
  9,185     

Total Health Care Equipment & Supplies

                            9,897,112   
      Health Care Providers & Services – 2.1% (1.2% of Total Investments)  
  1,500     

Community Health Systems, Inc.

    5.125%        8/01/21        BB        1,556,250   
  2,400     

Community Health Systems, Inc.

    6.875%        2/01/22        B+        2,568,000   
  600     

IASIS Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        624,750   
  1,000     

Truven Health Analytics Inc.

    10.625%        6/01/20        CCC+        1,045,000   
  5,500     

Total Health Care Providers & Services

                            5,794,000   

 

  32      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)  
$ 275     

Scientific Games Corporation

    8.125%        9/15/18        B–      $ 265,375   
  1,550     

Scientific Games International Inc.

    10.000%        12/01/22        B        1,505,438   
  1,825     

Total Hotels, Restaurants & Leisure

                            1,770,813   
      Media – 4.2% (2.4% of Total Investments)  
  100     

CCO Safari II LLC, 144A

    3.579%        7/23/20        BBB–        100,295   
  1,524     

Clear Channel Communications, Inc.

    10.000%        1/15/18        CCC–        1,219,200   
  2,872     

Clear Channel Communications, Inc.

    9.000%        12/15/19        CCC+        2,760,710   
  6,340     

Clear Channel Communications, Inc.

    14.000%        2/01/21        CCC–        4,192,490   
  3,050     

Clear Channel Communications, Inc.

    9.000%        3/01/21        CCC+        2,760,250   
  500     

McGraw-Hill Global Education Holdings

    9.750%        4/01/21        BB        553,750   
  14,386     

Total Media

                            11,586,695   
      Pharmaceuticals – 1.6% (0.9% of Total Investments)  
  750     

Valeant Pharmaceuticals International, 144A

    6.750%        8/15/18        B1        787,969   
  2,000     

Valeant Pharmaceuticals International, 144A

    7.000%        10/01/20        B1        2,077,500   
  500     

Valeant Pharmaceuticals International, 144A

    7.250%        7/15/22        B1        527,500   
  1,000     

VPII Escrow Corporation, 144A

    7.500%        7/15/21        B1        1,085,000   
  4,250     

Total Pharmaceuticals

                            4,477,969   
      Real Estate Investment Trust – 0.3% (0.2% of Total Investments)  
  750     

iStar Financial Inc.

    4.000%        11/01/17        B+        736,875   
      Semiconductors & Semiconductor Equipment – 0.6% (0.3% of Total Investments)  
  1,075     

Advanced Micro Devices, Inc.

    7.750%        8/01/20        B–        723,608   
  1,200     

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–        828,000   
  2,275     

Total Semiconductors & Semiconductor Equipment

                            1,551,608   
      Software – 0.5% (0.3% of Total Investments)  
  1,330     

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        990,850   
  700     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%        10/15/19        CCC+        434,000   
  2,030     

Total Software

                            1,424,850   
      Wireless Telecommunication Services – 1.7% (1.0% of Total Investments)                        
  500     

FairPoint Communications Inc., 144A

    8.750%        8/15/19        B        525,000   
  500     

Sprint Corporation

    7.875%        9/15/23        B+        479,375   
  2,000     

Sprint Corporation

    7.125%        6/15/24        B+        1,830,000   
  1,750     

T-Mobile USA Inc.

    6.250%        4/01/21        BB        1,833,125   
  75     

T-Mobile USA Inc.

    6.731%        4/28/22        BB        79,500   
  75     

T-Mobile USA Inc.

    6.836%        4/28/23        BB        80,250   
  4,900     

Total Wireless Telecommunication Services

                            4,827,250   
$ 55,429     

Total Corporate Bonds (cost $54,843,363)

                            50,871,941   
 

Total Long-Term Investments (cost $444,290,240)

                            433,579,036   

 

Nuveen Investments     33   


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon     Maturity          Value  
 

SHORT-TERM INVESTMENTS – 14.2% (8.3% of Total Investments)

 
 

REPURCHASE AGREEMENTS – 14.2% (8.3% of Total Investments)

 
$ 39,279     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $39,279,324, collateralized by $40,065,000 U.S. Treasury Notes, 2.000%, due 7/31/22, value $40,065,000

    0.000%        8/03/15          $ 39,279,324   
 

Total Short-Term Investments (cost $39,279,324)

                        39,279,324   
 

Total Investments (cost $483,569,564) – 171.0%

                        472,858,360   
 

Borrowings – (40.7)% (9), (10)

                        (112,500,000
 

Variable Rate Term Preferred Shares, at Liquidation Value – (21.0)% (11)

                        (58,000,000
 

Other Assets Less Liabilities – (9.3)%

                        (25,828,139
 

Net Assets Applicable to Common Shares – 100%

                      $ 276,530,221   

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(9) Borrowings as a percentage of Total Investments is 23.8%.

 

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

 

(11) Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 12.3%.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

  34      Nuveen Investments


JFR

 

Nuveen Floating Rate Income Fund

  

Portfolio of Investments

   July 31, 2015

 

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

LONG-TERM INVESTMENTS – 154.3% (91.2% of Total Investments)

  

 

VARIABLE RATE SENIOR LOAN INTERESTS – 128.1% (75.7% of Total Investments) (4)

  

      Aerospace & Defense – 1.8% (1.1% of Total Investments)  
$ 4,269     

B/E Aerospace, Inc., Term Loan B, First Lien

    4.000%        12/16/21        BB+      $ 4,312,751   
  5,532     

Sequa Corporation, Term Loan B, (DD1)

    5.250%        6/19/17        B3        4,909,624   
  2,993     

Transdigm, Inc., Term Loan E, First Lien

    3.500%        5/16/22        Ba3        2,982,173   
  12,794     

Total Aerospace & Defense

                            12,204,548   
      Airlines – 3.4% (2.0% of Total Investments)  
  3,431     

American Airlines, Inc., Term Loan B, First Lien

    3.250%        6/27/20        BB+        3,419,683   
  3,000     

American Airlines, Inc., Term Loan B, First Lien

    3.500%        10/08/21        BB+        3,002,814   
  9,745     

Delta Air Lines, Inc., Term Loan B1

    3.250%        10/18/18        BBB        9,746,621   
  1,950     

Delta Air Lines, Inc., Term Loan B2

    2.438%        4/18/16        BBB        1,950,523   
  4,410     

US Airways, Inc., Term Loan B1

    3.500%        5/23/19        BB+        4,410,392   
  22,536     

Total Airlines

                            22,530,033   
      Automobiles – 3.0% (1.8% of Total Investments)  
  9,875     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%        12/31/18        BB+        9,883,641   
  7,795     

Formula One Group, Term Loan, First Lien

    4.750%        7/30/21        B        7,796,265   
  2,000     

Formula One Group, Term Loan, Second Lien

    7.750%        7/29/22        CCC+        2,001,876   
  19,670     

Total Automobiles

                            19,681,782   
      Building Products – 0.7% (0.4% of Total Investments)  
  2,779     

Gates Global LLC, Term Loan

    4.250%        7/06/21        B+        2,771,836   
  2,115     

Quikrete Holdings, Inc., Term Loan, First Lien

    4.000%        9/28/20        B+        2,118,787   
  4,894     

Total Building Products

                            4,890,623   
      Capital Markets – 0.9% (0.5% of Total Investments)  
  2,808     

Citco III Limited, Term Loan B

    4.250%        6/29/18        N/R        2,816,931   
  2,948     

Guggenheim Partners LLC, Initial Term Loan

    4.250%        7/22/20        N/R        2,964,539   
  5,756     

Total Capital Markets

                            5,781,470   
      Chemicals – 1.8% (1.0% of Total Investments)  
  2,748     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        2,749,941   
  597     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        599,080   
  2,319     

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB        2,348,569   
  2,438     

PQ Corporation, Term Loan B

    4.000%        8/07/17        B+        2,437,654   
  3,507     

Univar, Inc., Term Loan B, First Lien

    4.250%        6/24/22        BB–        3,517,932   
  11,609     

Total Chemicals

                            11,653,176   
      Commercial Services & Supplies – 3.8% (2.3% of Total Investments)  
  2,127     

Acosta, Inc., Term Loan B

    4.250%        9/26/21        B1        2,132,395   
  956     

ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2

    3.750%        10/09/19        B+        953,297   
  4,472     

CCS Income Trust, Term Loan, First Lien

    6.250%        5/12/18        B–        4,038,452   
  824     

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

    5.500%        7/02/20        N/R        559,821   
  1,415     

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

    2.000%        7/02/20        N/R        816,596   
  4,591     

iQor US, Inc., Term Loan, First Lien

    6.000%        4/01/21        B        4,154,568   
  500     

iQor US, Inc., Term Loan, Second Lien

    9.750%        4/01/22        CCC+        456,667   
  11,380     

Millennium Laboratories, Inc., Tranche B, Term Loan

    5.250%        4/16/21        CCC+        4,779,692   
  3,875     

Protection One, Inc., Term Loan, First Lien

    5.000%        6/18/21        B1        3,894,375   
  132     

Universal Services of America, Delayed Draw, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B        131,325   
  107     

Universal Services of America, Delayed Draw, Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        106,674   
  1,868     

Universal Services of America, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B        1,862,425   
  1,643     

Universal Services of America, Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        1,635,670   
  33,890     

Total Commercial Services & Supplies

                            25,521,957   

 

Nuveen Investments     35   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Communications Equipment – 1.7% (1.0% of Total Investments)  
$ 5,224     

Avaya, Inc., Term Loan B3

    4.691%        10/26/17        B1      $ 5,190,722   
  1,060     

Avaya, Inc., Term Loan B6

    6.500%        3/31/18        B1        1,054,872   
  1,896     

Commscope, Inc., Term Loan B, First Lien

    3.750%        5/28/22        BB        1,904,522   
  2,993     

Riverbed Technology, Inc., Term Loan B, First Lien

    6.000%        4/25/22        B1        3,034,715   
  11,173     

Total Communications Equipment

                            11,184,831   
      Consumer Finance – 1.8% (1.1% of Total Investments)                        
  2,500     

First Data Corporation, Term Loan B

    3.937%        6/24/22        BB–        2,501,562   
  2,000     

First Data Corporation, Second New Dollar, Term Loan

    3.687%        3/24/17        BB–        1,999,844   
  7,750     

First Data Corporation, Term Loan

    3.687%        3/23/18        BB        7,740,917   
  12,250     

Total Consumer Finance

                            12,242,323   
      Containers & Packaging – 1.1% (0.6% of Total Investments)  
  4,330     

BWAY Holding Company, Term Loan B, First Lien

    5.500%        8/14/20        B2        4,360,929   
  2,827     

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

    4.500%        12/01/18        B+        2,845,928   
  7,157     

Total Containers & Packaging

                            7,206,857   
      Diversified Consumer Services – 6.1% (3.6% of Total Investments)  
  1,750     

AlixPartners LLP, Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B+        1,757,438   
  7,953     

Cengage Learning Acquisitions, Inc., Exit Term Loan

    7.000%        3/31/20        B+        8,000,320   
  453     

Harland Clarke Holdings Corporation, Extended Term Loan

    5.532%        6/30/17        B+        454,144   
  3,304     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%        5/22/18        B+        3,318,174   
  1,444     

Harland Clarke Holdings Corporation, Term Loan B4

    6.000%        8/04/19        B+        1,448,487   
  9,923     

Hilton Hotels Corporation, Term Loan B2

    3.500%        10/25/20        BBB–        9,954,739   
  3,000     

Houghton Mifflin, Term Loan B, First Lien

    4.000%        5/28/21        BB        2,998,125   
  1,144     

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B        1,071,754   
  3,512     

New Albertson’s, Inc., Term Loan

    4.750%        6/24/21        Ba3        3,524,654   
  7,811     

ServiceMaster Company, Term Loan

    4.250%        7/01/21        B+        7,840,168   
  40,294     

Total Diversified Consumer Services

                            40,368,003   
      Diversified Financial Services – 0.7% (0.4% of Total Investments)  
  1,500     

MJ Acquisition Corp., Term Loan, First Lien

    4.000%        6/01/22        BB–        1,500,938   
  1,990     

Transdigm, Inc., Term Loan, Second Lien

    4.750%        11/12/21        N/R        1,998,396   
  1,000     

TransFirst, Inc., Term Loan, Second Lien

    9.000%        11/15/22        CCC+        1,004,750   
  4,490     

Total Diversified Financial Services

                            4,504,084   
      Diversified Telecommunication Services – 5.2% (3.1% of Total Investments)  
  1,716     

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

    4.000%        2/08/20        B        1,716,476   
  395     

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    3.750%        6/30/19        BB–        391,947   
  2,435     

Level 3 Financing, Inc., Term Loan B2

    3.500%        5/31/22        BB        2,428,121   
  3,667     

Level 3 Financing, Inc., Term Loan, Tranche B3

    4.000%        8/01/19        BB+        3,677,362   
  1,980     

TelX Group, Inc., Initial Term Loan, First Lien

    4.500%        4/09/20        B1        1,987,837   
  1,250     

TelX Group, Inc., Initial Term Loan, Second Lien

    7.500%        4/09/21        CCC        1,263,125   
  10,854     

WideOpenWest Finance LLC, Term Loan B

    4.500%        4/01/19        Ba3        10,882,001   
  4,437     

Ziggo N.V., Term Loan B1

    3.500%        1/15/22        BB–        4,424,134   
  2,860     

Ziggo N.V., Term Loan B2

    3.500%        1/15/22        BB–        2,850,996   
  4,703     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.500%        1/15/22        BB–        4,688,870   
  34,297     

Total Diversified Telecommunication Services

                            34,310,869   
      Electronic Equipment, Instruments & Components – 1.1% (0.6% of Total Investments)  
  4,175     

SMART Modular Technologies, Inc., Term Loan B

    8.250%        8/26/17        B        4,049,766   
  3,111     

TTM Technologies, Term Loan B

    6.000%        5/31/21        B+        3,090,369   
  7,286     

Total Electronic Equipment, Instruments & Components

                            7,140,135   
      Energy Equipment & Services – 1.1% (0.6% of Total Investments)  
  5,240     

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

    6.000%        3/31/21        B        4,099,282   
  656     

Dynamic Energy Services International LLC, Term Loan

    9.500%        3/06/18        B3        611,400   
  2,077     

Offshore Group Investment Limited, Term Loan B

    5.000%        10/25/17        CCC        1,279,968   
  1,231     

Pacific Drilling S.A., Term Loan B

    4.500%        6/03/18        B+        992,835   
  9,204     

Total Energy Equipment & Services

                            6,983,485   

 

  36      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Food & Staples Retailing – 7.1% (4.2% of Total Investments)  
$ 4,948     

Albertson’s LLC, Term Loan B2

    5.375%        3/21/19        BB–      $ 4,975,514   
  27,930     

Albertson’s LLC, Term Loan B4

    5.500%        8/25/21        BB–        28,080,764   
  3,237     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%        9/26/19        B–        3,246,428   
  4,000     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%        3/26/20        CCC        4,037,500   
  739     

Del Monte Foods Company, Term Loan, First Lien

    4.258%        2/18/21        B        718,434   
  1,500     

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

    5.750%        8/21/20        BB        1,517,812   
  1,675     

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

    4.875%        6/21/21        BB        1,681,020   
  3,114     

Supervalu, Inc., New Term Loan

    4.500%        3/21/19        BB        3,130,542   
  47,143     

Total Food & Staples Retailing

                            47,388,014   
      Food Products – 5.3% (3.2% of Total Investments)  
  1,980     

Hearthside Group Holdings, Term Loan, First Lien

    4.500%        6/02/21        B1        1,983,020   
  7,000     

Jacobs Douwe Egberts, Term Loan B

    4.250%        7/23/21        BB        7,000,000   
  4,778     

Pinnacle Foods Finance LLC, Term Loan G

    3.000%        4/29/20        BB+        4,774,137   
  16,835     

US Foods, Inc., Incremental Term Loan

    4.500%        3/31/19        B2        16,910,498   
  4,845     

Wilton Products, Inc., Tranche B, Term Loan

    7.500%        8/30/18        B3        4,742,044   
  35,438     

Total Food Products

                            35,409,699   
      Health Care Equipment & Supplies – 3.4% (2.0% of Total Investments)  
  583     

Ardent Medical Services, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B1        586,328   
  1,280     

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

    7.500%        7/02/18        B+        1,284,074   
  1,985     

CareCore National LLC, Term Loan

    5.500%        3/05/21        B        1,975,000   
  2,432     

ConvaTec Healthcare, Term Loan B

    4.250%        6/09/20        Ba2        2,429,072   
  6,772     

Kinetic Concepts, Inc., Incremental Term Loan E1

    4.500%        5/04/18        BB–        6,812,622   
  5,089     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        5,102,161   
  2,553     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        2,546,167   
  2,000     

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        2,015,000   
  22,694     

Total Health Care Equipment & Supplies

                            22,750,424   
      Health Care Providers & Services – 5.8% (3.4% of Total Investments)  
  1,990     

Acadia Healthcare, Inc., Term Loan B, First Lien

    4.250%        2/11/22        Ba2        2,008,656   
  1,739     

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB        1,744,367   
  3,478     

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB        3,497,014   
  3,625     

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

    3.500%        6/24/21        Ba1        3,638,014   
  12,541     

Drumm Investors LLC, Term Loan

    6.750%        5/04/18        B        12,708,429   
  1,444     

Genesis Healthcare LLC, Term Loan

    10.000%        12/04/17        B–        1,480,452   
  1,302     

HCA, Inc., Tranche B5, Term Loan

    2.940%        3/31/17        BBB–        1,304,872   
  2,487     

Healogics, Inc., Term Loan, First Lien

    5.250%        7/01/21        B        2,490,548   
  3,672     

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

    5.500%        12/21/18        B1        3,683,104   
  2,000     

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

    9.750%        6/21/19        CCC+        2,020,000   
  1,737     

LHP Operations Co. LLC, Term Loan B

    9.000%        7/03/18        B2        1,702,112   
  2,382     

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        2,389,935   
  38,397     

Total Health Care Providers & Services

                            38,667,503   
      Health Care Technology – 0.8% (0.5% of Total Investments)  
  5,141     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%        5/20/21        BB        5,167,195   
      Hotels, Restaurants & Leisure – 6.1% (3.6% of Total Investments)  
  7,856     

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        7,882,787   
  3,116     

CCM Merger, Inc., Term Loan B

    4.500%        8/08/21        BB–        3,130,221   
  5,228     

CityCenter Holdings LLC, Term Loan

    4.250%        10/16/20        BB–        5,248,814   
  586     

Extended Stay America, Inc., Term Loan

    5.000%        6/24/19        BB+        595,502   
  2,772     

Intrawest Resorts Holdings, Inc., Term Loan B, First Lien

    4.750%        12/09/20        CCC        2,799,577   
  2,250     

Life Time Fitness, Inc., Term Loan B

    4.250%        6/10/22        BB–        2,249,532   
  2,925     

MGM Resorts International, Term Loan B

    3.500%        12/20/19        BB+        2,919,820   
  4,481     

Scientific Games Corporation, Term Loan B2

    6.000%        10/01/21        BB–        4,505,887   
  3,940     

Scientific Games Corporation, Term Loan

    6.000%        10/18/20        BB–        3,961,067   
  3,282     

Seaworld Parks and Entertainment, Inc., Term Loan B2

    3.000%        5/14/20        BB        3,195,894   
  3,635     

Station Casino LLC, Term Loan B

    4.250%        3/02/20        B+        3,648,029   
  40,071     

Total Hotels, Restaurants & Leisure

                            40,137,130   

 

Nuveen Investments     37   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Household Durables – 0.6% (0.4% of Total Investments)                        
$ 2,435     

Serta Simmons Holdings LLC, Term Loan

    4.250%        10/01/19        B+      $ 2,443,855   
  1,655     

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

    3.500%        3/18/20        BB+        1,661,467   
  4,090     

Total Household Durables

                            4,105,322   
      Industrial Conglomerates – 0.3% (0.2% of Total Investments)                        
  2,291     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%        11/26/20        B1        2,208,585   
      Insurance – 3.2% (1.9% of Total Investments)                        
  3,940     

Alliant Holdings I LLC, Incremental Term Loan

    5.000%        12/23/19        B+        3,945,432   
  5,340     

Alliant Holdings I LLC, Initial Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B2        5,347,104   
  5,900     

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        B1        5,882,269   
  6,112     

USI Holdings Corporation, Initial Term Loan

    4.250%        12/27/19        B1        6,120,686   
  21,292     

Total Insurance

                            21,295,491   
      Internet & Catalog Retail – 1.3% (0.8% of Total Investments)  
  8,460     

Travelport LLC, Term Loan B, First Lien

    5.750%        9/02/21        B        8,501,414   
      Internet Software & Services – 1.9% (1.1% of Total Investments)  
  737     

Sabre Inc., Term Loan B2

    4.000%        2/19/19        Ba3        740,928   
  290     

Sabre Inc., Term Loan C

    3.500%        2/19/18        Ba3        290,581   
  3,413     

Sabre Inc., Term Loan

    4.000%        2/19/19        Ba3        3,429,208   
  7,897     

Tibco Software, Inc., Term Loan B

    6.500%        12/04/20        B1        7,924,024   
  12,337     

Total Internet Software & Services

                            12,384,741   
      IT Services – 0.8% (0.5% of Total Investments)                        
  3,794     

EIG Investors Corp., Term Loan

    5.000%        11/09/19        B        3,792,608   
  570     

VFH Parent LLC, New Term Loan

    5.250%        11/08/19        N/R        572,616   
  1,224     

Zayo Group LLC, Term Loan B

    3.750%        5/06/21        Ba2        1,222,115   
  5,588     

Total IT Services

                            5,587,339   
      Leisure Products – 2.1% (1.2% of Total Investments)  
  3,765     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%        5/28/21        Ba3        3,628,324   
  4,500     

Academy, Ltd., Term Loan B

    5.000%        7/01/22        B        4,521,798   
  1,594     

Bombardier Recreational Products, Inc., Term Loan B

    3.750%        1/30/19        BB–        1,599,004   
  3,177     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%        1/31/20        B1        3,208,955   
  1,000     

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

    6.250%        12/27/20        B–        1,005,000   
  14,036     

Total Leisure Products

                            13,963,081   
      Machinery – 0.6% (0.4% of Total Investments)  
  2,279     

Doosan Infracore International, Inc., Term Loan

    4.500%        5/27/21        BB–        2,294,452   
  1,832     

Rexnord LLC, Term Loan B

    4.000%        8/21/20        BB–        1,835,806   
  4,111     

Total Machinery

                            4,130,258   
      Media – 13.5% (8.0% of Total Investments)  
  7,500     

Cequel Communications LLC, Extended Term Loan, (WI/DD)

    TBD        TBD        N/R        7,478,122   
  3,126     

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

    4.250%        7/25/21        B1        3,126,375   
  2,200     

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

    7.500%        7/25/22        CCC+        2,190,375   
  1,743     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%        10/31/18        Caa1        1,572,981   
  1,980     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%        4/09/21        B+        1,702,800   
  2,000     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%        4/11/22        CCC+        1,466,666   
  5,000     

Charter Communications Operating Holdings LLC, Term Loan I, (WI/DD)

    TBD        TBD        N/R        5,016,520   
  1,038     

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

    6.940%        1/30/19        CCC+        955,408   
  2,718     

Clear Channel Communications, Inc. Term Loan E

    7.690%        7/30/19        CCC+        2,535,754   
  13,537     

Cumulus Media, Inc., Term Loan B, (DD1)

    4.250%        12/23/20        B+        12,521,282   
  3,772     

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

    4.750%        6/17/20        BB–        3,781,642   
  643     

EMI Music Publishing LLC, Term Loan B

    3.750%        6/29/18        BB–        644,094   
  890     

Gray Television, Inc., Initial Term Loan

    3.750%        6/13/21        BB        893,361   
  2,970     

IMG Worldwide, Inc., First Lien

    5.250%        5/06/21        B1        2,978,910   
  3,713     

Interactive Data Corporation, Term Loan B

    4.750%        5/02/21        B+        3,731,527   
  1,500     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%        3/13/22        BB–        1,509,375   

 

  38      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Media (continued)  
$ 3,346     

McGraw-Hill Education Holdings LLC, Term Loan B

    4.750%        3/22/19        B+      $ 3,365,132   
  1,945     

Mediacom Broadband LLC, Tranche G, Term Loan

    4.000%        1/20/20        BB+        1,950,674   
  3,201     

Numericable Group S.A., Term Loan B1

    4.500%        5/21/20        Ba3        3,214,176   
  2,769     

Numericable Group S.A., Term Loan B2

    4.500%        5/21/20        Ba3        2,780,701   
  3,308     

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.750%        8/14/20        B1        3,324,418   
  17,575     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%        3/01/20        B+        17,587,152   
  673     

Virgin Media Investment Holdings, Term Loan F, First Lien

    3.500%        6/30/23        BB–        671,954   
  1,520     

Weather Channel Corporation, Term Loan, Second Lien

    7.000%        6/26/20        CCC+        1,427,649   
  1,999     

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

    3.750%        7/01/20        B+        1,982,317   
  670     

Yell Group PLC, Term Loan A2

    5.281%        3/01/19        N/R        1,287,237   
  55     

Yell Group PLC, Term Loan A2, (8)

    1.500%        3/03/19        N/R          
  1,925     

Yell Group PLC, Term Loan B2, PIK, (8)

    0.000%        3/03/24        N/R          
  93,316     

Total Media

                            89,696,602   
      Multiline Retail – 2.2% (1.3% of Total Investments)  
  2,244     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%        6/05/20        BB–        2,252,791   
  6,430     

Dollar Tree, Inc., Term Loan B1

    3.500%        7/06/22        BB+        6,455,450   
  2,010     

Dollar Tree, Inc., Term Loan B2

    4.250%        3/09/22        BB+        2,016,281   
  4,084     

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

    5.000%        6/20/19        B        4,091,407   
  14,768     

Total Multiline Retail

                            14,815,929   
      Oil, Gas & Consumable Fuels – 2.4% (1.4% of Total Investments)  
  1,124     

Western Refining, Inc., Term Loan B

    4.250%        11/12/20        BB–        1,126,030   
  702     

Crestwood Holdings LLC, Term Loan B

    7.000%        6/19/19        B2        689,325   
  6,794     

Energy and Exploration Partners, Term Loan

    7.750%        1/22/19        N/R        5,635,891   
  867     

EP Energy LLC, Term Loan B3, Second Lien

    3.500%        5/24/18        Ba2        853,938   
  1,704     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B2        942,523   
  4,270     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%        6/18/20        B        3,305,777   
  3,852     

Seadrill Partners LLC, Initial Term Loan

    4.000%        2/21/21        BB–        2,896,497   
  428     

Southcross Holdings Borrower L.P., Holdco Term Loan

    6.000%        8/04/21        B2        411,801   
  19,741     

Total Oil, Gas & Consumable Fuels

                            15,861,782   
      Pharmaceuticals – 8.2% (4.9% of Total Investments)  
  15,000     

Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)

    TBD        TBD        Ba1        15,028,124   
  6,000     

Endo Health Solutions, Inc., Term Loan B, (WI/DD)

    TBD        TBD        Ba1        6,035,154   
  5,625     

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

    0.000%        5/03/13        N/R        35,156   
  51     

Graceway Pharmaceuticals LLC, Term Loan, (5)

    0.000%        5/03/12        N/R        51,125   
  1,181     

Grifols, Inc., Term Loan

    3.190%        2/27/21        Ba1        1,186,448   
  3,552     

Par Pharmaceutical Companies, Inc., Term Loan B2

    4.000%        9/30/19        B1        3,554,199   
  615     

Par Pharmaceutical Companies, Inc., Term Loan B3

    4.250%        9/30/19        B1        615,702   
  3,960     

Patheon, Inc., Term Loan B

    4.250%        3/11/21        B1        3,951,866   
  5,597     

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

    4.000%        12/01/18        Ba2        5,606,811   
  4,451     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%        9/23/20        B+        4,472,736   
  3,294     

Therakos, Inc., Term Loan, First Lien

    7.000%        12/27/17        B        3,289,893   
  2,639     

Valeant Pharmaceuticals International, Inc., Term Loan E

    3.500%        8/05/20        BB+        2,644,393   
  7,880     

Valeant Pharmaceuticals International, Inc., Term Loan F

    4.000%        4/01/22        BB+        7,926,365   
  59,845     

Total Pharmaceuticals

                            54,397,972   
      Professional Services – 0.2% (0.1% of Total Investments)  
  1,131     

Ceridian Corporation, Term Loan B2

    4.500%        9/15/20        Ba3        1,127,143   
      Real Estate Investment Trust – 4.2% (2.5% of Total Investments)  
  15,300     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%        10/24/22        BBB–        14,936,625   
  4,888     

Realogy Corporation, Initial Term Loan B

    3.750%        3/05/20        BB        4,897,961   
  2,292     

Starwood Property Trust, Inc., Term Loan B

    3.500%        4/17/20        BB        2,287,151   
  5,672     

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.750%        12/18/20        B+        5,440,523   
  28,152     

Total Real Estate Investment Trust

                            27,562,260   
      Real Estate Management & Development – 1.4% (0.8% of Total Investments)  
  3,723     

Capital Automotive LP, Term Loan, Second Lien

    6.000%        4/30/20        B1        3,789,595   

 

Nuveen Investments     39   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Real Estate Management & Development (continued)  
$ 5,608     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        Ba2      $ 5,640,252   
  9,331     

Total Real Estate Management & Development

                            9,429,847   
      Road & Rail – 0.3% (0.2% of Total Investments)                        
  2,000     

Quality Distribution Inc., First Lien Term Loan, (WI/DD)

    TBD        TBD        B1        1,980,000   
      Semiconductors & Semiconductor Equipment – 3.1% (1.8% of Total Investments)  
  7,080     

Avago Technologies, Term Loan B

    3.750%        5/06/21        BBB–        7,099,799   
  7,368     

Freescale Semiconductor, Inc., Term Loan, Tranche B4

    4.250%        2/28/20        BB–        7,397,143   
  2,948     

Freescale Semiconductor, Inc., Term Loan, Tranche B5

    5.000%        1/15/21        BB–        2,967,027   
  2,906     

NXP Semiconductor LLC, Term Loan D

    3.250%        1/11/20        BBB–        2,905,623   
  20,302     

Total Semiconductors & Semiconductor Equipment

                            20,369,592   
      Software – 9.2% (5.4% of Total Investments)                        
  3,089     

Blackboard, Inc., Term Loan B3

    4.750%        10/04/18        B+        3,095,541   
  5,655     

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B1        5,182,412   
  5,389     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%        12/15/21        B        5,271,067   
  3,007     

Datatel Parent Corp, Term Loan B1

    4.000%        7/19/18        BB–        3,016,818   
  4,684     

Emdeon Business Services LLC, Term Loan B2

    3.750%        11/02/18        Ba3        4,681,875   
  12,881     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5, (DD1)

    3.750%        6/03/20        Ba3        12,818,155   
  1,750     

Informatica Corp., Term Loan B, (WI/DD)

    TBD        TBD        B        1,753,463   
  2,816     

Micro Focus International PLC, Term Loan B

    5.250%        11/19/21        BB–        2,831,116   
  3,218     

Micro Focus International PLC, Term Loan C

    4.500%        11/20/19        BB–        3,222,191   
  6,321     

Misys PLC, Term Loan B, First Lien

    5.000%        12/12/18        B+        6,347,069   
  4,081     

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

    4.000%        7/08/22        BB        4,118,549   
  673     

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

    4.000%        7/08/22        BB        678,881   
  2,615     

SunGard Data Systems, Inc., Term Loan E

    4.000%        3/08/20        BB        2,622,410   
  5,278     

Zebra Technologies Corporation, Term Loan B, First Lien

    4.750%        10/27/21        BB+        5,348,281   
  61,457     

Total Software

                            60,987,828   
      Specialty Retail – 1.6% (0.9% of Total Investments)                        
  3,598     

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

    4.000%        3/16/18        Ba3        3,562,203   
  2,693     

Petsmart, Inc., Term Loan B

    4.250%        3/11/22        BB–        2,706,870   
  674     

Pilot Travel Centers LLC, Term Loan B, First Lien

    4.250%        10/01/21        BB+        683,279   
  3,400     

Staples, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        BBB        3,405,185   
  10,365     

Total Specialty Retail

                            10,357,537   
      Technology Hardware, Storage & Peripherals – 2.7% (1.6% of Total Investments)  
  17,731     

Dell, Inc., Term Loan B2

    4.000%        4/29/20        BBB        17,746,572   
      Textiles, Apparel & Luxury Goods – 0.7% (0.4% of Total Investments)  
  4,446     

Polymer Group, Inc., Initial Term Loan

    5.250%        12/19/19        B2        4,478,332   
      Trading Companies & Distributors – 1.9% (1.1% of Total Investments)  
  10,673     

HD Supply, Inc., Term Loan

    4.000%        6/28/18        BB–        10,702,480   
  1,666     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%        6/09/21        B–        1,653,591   
  12,339     

Total Trading Companies & Distributors

                            12,356,071   
      Transportation Infrastructure – 0.5% (0.3% of Total Investments)  
  167     

Ceva Group PLC, Canadian Term Loan

    6.500%        3/19/21        B2        153,940   
  967     

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

    6.500%        3/19/21        B2        892,851   
  929     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B2        857,365   
  1,333     

Ceva Group PLC, US Term Loan

    6.500%        3/19/21        B2        1,231,519   
  3,396     

Total Transportation Infrastructure

                            3,135,675   
      Wireless Telecommunication Services – 2.5% (1.5% of Total Investments)  
  4,781     

Asurion LLC, Term Loan B4, First Lien, (WI/DD)

    TBD        TBD        B        4,782,152   
  4,781     

Asurion LLC, Term Loan B1

    5.000%        5/24/19        Ba3        4,801,411   
  4,887     

Fairpoint Communications, Inc., Term Loan B

    7.500%        2/14/19        B        4,954,092   

 

  40      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Wireless Telecommunication Services (continued)                        
$ 2,000     

UPC Broadband Holding BV, Term Loan AH

    3.250%        6/30/21        BB      $ 1,987,858   
  16,449     

Total Wireless Telecommunication Services

  

            16,525,513   
$ 873,158     

Total Variable Rate Senior Loan Interests (cost $867,049,947)

  

            848,729,027   
Shares     Description (1)                        Value  
 

COMMON STOCKS – 1.4% (0.8% of Total Investments)

       
      Diversified Consumer Services – 0.4% (0.2% of Total Investments)  
  78,490     

Cengage Learning Holdings II LP, (6), (7)

        $ 2,079,985   
  9,876,769     

Education Management Corporation, (6), (7)

                            98,768   
 

Total Diversified Consumer Services

                            2,178,753   
      Hotels, Restaurants & Leisure – 0.2% (0.1% of Total Investments)  
  42,041     

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

          1,471,435   
  2,670     

Buffets Term Loan, (6), (7)

                            6,675   
 

Total Hotels, Restaurants & Leisure

                            1,478,110   
      Media – 0.8% (0.5% of Total Investments)  
  6,597     

Cumulus Media, Inc., (6)

          10,885   
  26,045     

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

          2,041,277   
  57,088     

Tribune Media Company

          2,882,373   
  45,942     

Tribune Media Company, (8)

            
  14,272     

Tribune Publishing Company

                            212,510   
 

Total Media

                            5,147,045   
      Professional Services – 0.0% (0.0% of Total Investments)  
  47,152     

Vertrue, Inc., (6), (7)

                            117,880   
      Software – 0.0% (0.0% of Total Investments)  
  743,286     

Eagle Topco LP, (6), (8)

                            1   
 

Total Common Stocks (cost $8,375,158)

                            8,921,789   
Shares     Description (1)   Coupon            Ratings (3)     Value  
 

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

  

      Diversified Consumer Services – 0.0% (0.0% of Total Investments)  
  10,989     

Education Management Corporation

    7.500%                N/R      $ 274,725   
 

Total $25 Par (or similar) Retail Preferred (cost $26,686)

                            274,725   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
 

CONVERTIBLE BONDS – 0.2% (0.1% of Total Investments)

  

      Communications Equipment – 0.2% (0.1% of Total Investments)  
$ 850     

Nortel Networks Corp., (5)

    1.750%        4/15/12        N/R      $ 745,875   
  1,000     

Nortel Networks Corp., (5)

    2.125%        4/15/14        N/R        879,375   
$ 1,850     

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

                            1,625,250   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
 

CORPORATE BONDS – 16.7% (9.9% of Total Investments)

  

      Commercial Services & Supplies – 0.1% (0.1% of Total Investments)  
$ 700     

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 700,000   

 

Nuveen Investments     41   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      Communications Equipment – 0.3% (0.2% of Total Investments)  
$ 2,500     

Avaya Inc., 144A

    10.500%        3/01/21        CCC+      $ 2,031,250   
      Consumer Finance – 0.2% (0.1% of Total Investments)  
  1,205     

First Data Corporation, 144A

    7.375%        6/15/19        BB        1,256,936   
      Containers & Packaging – 0.3% (0.2% of Total Investments)  
  1,715     

Reynolds Group

    9.875%        8/15/19        CCC+        1,803,966   
      Diversified Telecommunication Services – 1.6% (1.0% of Total Investments)  
  1,500     

Frontier Communications Corporation

    6.875%        1/15/25        BB        1,276,875   
  1,500     

IntelSat Limited

    6.750%        6/01/18        CCC+        1,402,500   
  5,750     

IntelSat Limited

    7.750%        6/01/21        CCC+        4,571,250   
  4,550     

IntelSat Limited

    8.125%        6/01/23        CCC+        3,617,250   
  13,300     

Total Diversified Telecommunication Services

                            10,867,875   
      Health Care Equipment & Supplies – 2.5% (1.4% of Total Investments)  
  3,250     

Kinetic Concepts

    10.500%        11/01/18        B–        3,457,188   
  2,000     

Kinetic Concepts

    12.500%        11/01/19        CCC+        2,145,000   
  1,000     

Tenet Healthcare Corporation

    6.750%        2/01/20        B3        1,057,500   
  4,000     

Tenet Healthcare Corporation

    6.000%        10/01/20        Ba2        4,350,000   
  1,650     

Tenet Healthcare Corporation

    8.125%        4/01/22        B3        1,851,102   
  3,335     

THC Escrow Corporation II, 144A

    6.750%        6/15/23        B3        3,485,075   
  15,235     

Total Health Care Equipment & Supplies

                            16,345,865   
      Health Care Providers & Services – 2.0% (1.2% of Total Investments)  
  4,000     

Community Health Systems, Inc.

    5.125%        8/01/21        BB        4,150,000   
  6,400     

Community Health Systems, Inc.

    6.875%        2/01/22        B+        6,848,000   
  1,200     

IASIS Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        1,249,500   
  1,000     

Truven Health Analytics Inc.

    10.625%        6/01/20        CCC+        1,045,000   
  12,600     

Total Health Care Providers & Services

                            13,292,500   
      Hotels, Restaurants & Leisure – 0.5% (0.3% of Total Investments)  
  275     

Scientific Games Corporation

    8.125%        9/15/18        B–        265,375   
  3,200     

Scientific Games International Inc.

    10.000%        12/01/22        B        3,108,000   
  3,475     

Total Hotels, Restaurants & Leisure

                            3,373,375   
      Media – 4.7% (2.8% of Total Investments)  
  1,000     

CCO Holdings LLC Finance Corporation

    5.750%        9/01/23        BB–        1,023,750   
  200     

CCO Safari II LLC, 144A

    3.579%        7/23/20        BBB–        200,591   
  1,762     

Clear Channel Communications, Inc.

    10.000%        1/15/18        CCC–        1,409,600   
  6,562     

Clear Channel Communications, Inc.

    9.000%        12/15/19        CCC+        6,307,723   
  10,734     

Clear Channel Communications, Inc.

    14.000%        2/01/21        CCC–        7,097,968   
  10,350     

Clear Channel Communications, Inc.

    9.000%        3/01/21        CCC+        9,366,750   
  2,000     

Dish DBS Corporation

    5.875%        7/15/22        BB–        1,990,000   
  1,500     

Dish DBS Corporation

    5.875%        11/15/24        BB–        1,455,000   
  1,875     

McGraw-Hill Global Education Holdings

    9.750%        4/01/21        BB        2,076,563   
  35,983     

Total Media

                            30,927,945   
      Pharmaceuticals – 1.1% (0.7% of Total Investments)  
  2,000     

Valeant Pharmaceuticals International, 144A

    6.750%        8/15/18        B1        2,101,250   
  1,000     

Valeant Pharmaceuticals International, 144A

    7.000%        10/01/20        B1        1,038,750   
  1,000     

Valeant Pharmaceuticals International, 144A

    7.250%        7/15/22        B1        1,055,000   
  3,000     

VPII Escrow Corporation, 144A

    7.500%        7/15/21        B1        3,255,000   
  7,000     

Total Pharmaceuticals

                            7,450,000   
      Real Estate Investment Trust – 0.2% (0.1% of Total Investments)  
  1,500     

IStar Financial Inc.

    4.000%        11/01/17        B+        1,473,750   
      Semiconductors & Semiconductor Equipment – 0.7% (0.4% of Total Investments)  
  500     

Advanced Micro Devices, Inc.

    6.750%        3/01/19        B–        363,750   

 

  42      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      Semiconductors & Semiconductor Equipment (continued)  
$ 2,800     

Advanced Micro Devices, Inc.

    7.750%        8/01/20        B–      $ 1,884,750   
  2,468     

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–        1,702,920   
  1,000     

Advanced Micro Devices, Inc.

    7.000%        7/01/24        B–        665,000   
  6,768     

Total Semiconductors & Semiconductor Equipment

                            4,616,420   
      Software – 0.4% (0.2% of Total Investments)  
  2,500     

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        1,862,500   
  1,500     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%        10/15/19        CCC+        930,000   
  4,000     

Total Software

                            2,792,500   
      Wireless Telecommunication Services – 2.1% (1.2% of Total Investments)  
  750     

FairPoint Communications Inc., 144A

    8.750%        8/15/19        B        787,500   
  7,750     

Sprint Corporation

    7.875%        9/15/23        B+        7,430,310   
  1,750     

Sprint Corporation

    7.125%        6/15/24        B+        1,601,250   
  3,750     

T-Mobile USA Inc.

    6.250%        4/01/21        BB        3,928,125   
  14,000     

Total Wireless Telecommunication Services

                            13,747,185   
$ 119,981     

Total Corporate Bonds (cost $118,797,655)

                            110,679,567   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      ASSET-BACKED SECURITIES – 6.2% (3.7% of Total Investments)  
$ 1,200     

Bluemountain Collateralized Loan Obligation, Series 2012 2A E14

    5.274%        11/20/24        BB      $ 1,156,472   
  2,500     

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

    5.787%        7/20/23        BB        2,417,067   
  500     

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

    5.287%        4/18/25        BB        465,144   
  1,750     

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

    4.889%        7/15/25        BB        1,583,344   
  1,000     

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

    5.332%        12/24/23        BB        942,369   
  1,500     

Flatiron Collateralized Loan Obligation Limited, Series 2011-1A

    4.689%        1/15/23        BB        1,368,984   
  500     

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

    5.289%        4/15/24        BB        462,863   
  2,700     

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    6.037%        10/19/22        BB        2,681,694   
  6,000     

LCM Limited Partnership, Collateralized Loan Obligation, 2015A

    5.282%        2/25/17        BB–        5,531,502   
  3,000     

LCM Limited Partnership, Collateralized Loan Obligation, Series 10AR, 144A

    5.789%        4/15/22        BB        3,039,753   
  1,500     

LCM Limited Partnership, Collateralized Loan Obligation, Series 11A

    5.437%        4/19/22        BB+        1,426,460   
  1,500     

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

    5.524%        4/22/22        BB        1,499,565   
  2,750     

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A

    5.802%        4/20/26        Ba3        2,559,939   
  1,500     

Madison Park Funding Limited, Series 2012-10A

    5.537%        1/20/25        BB        1,426,005   
  500     

North End CLO Limited, Loan Pool, 144A

    4.774%        7/17/25        BB        442,485   
  750     

Northwoods Capital Corporation, Collateralized Loan Obligations
2012-9A

    5.387%        1/18/24        BB–        681,434   
  3,000     

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

    5.774%        5/15/23        BB        2,900,610   
  800     

Oak Hill Credit Partners Series 2013-9A

    5.287%        10/20/25        BB–        747,843   
  3,360     

Oak Hill Credit Partners, Series 2012-7A

    5.276%        11/20/23        BB        3,166,010   
  3,000     

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

    5.276%        11/08/24        BB–        2,801,115   
  1,000     

Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A

    6.286%        12/15/22        BB        988,293   
  3,000     

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

    6.032%        5/24/23        BB        2,999,799   
$ 43,310     

Total Asset-Backed Securities (cost $40,100,244)

                            41,288,750   
Shares     Description (1), (9)                        Value  
      INVESTMENT COMPANIES – 1.7% (1.0% of Total Investments)  
  353,668     

Eaton Vance Floating-Rate Income Trust Fund

        $ 4,923,058   
  968,586     

Eaton Vance Senior Income Trust

                            6,034,291   
 

Total Investment Companies (cost $11,981,509)

                            10,957,349   
 

Total Long-Term Investments (cost $1,047,894,949)

                            1,022,476,457   

 

Nuveen Investments     43   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon     Maturity          Value  
 

SHORT-TERM INVESTMENTS – 14.9% (8.8% of Total Investments)

  

      REPURCHASE AGREEMENTS – 14.9% (8.8% of Total Investments)  
$ 98,944     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $98,943,902, collateralized by $100,925,000 U.S. Treasury Notes, 2.000%, due 7/31/22, value $100,925,000

    0.000%        8/03/15          $ 98,943,902   
 

Total Short-Term Investments (cost $98,943,902)

                        98,943,902   
 

Total Investments (cost $1,146,838,851) – 169.2%

                        1,121,420,359   
 

Borrowings – (40.8)% (10), (11)

                        (270,300,000
 

Variable Rate Term Preferred Shares, at Liquidation Value – (21.0)% (12)

                        (139,000,000
 

Other Assets Less Liabilities – (7.4)%

                        (49,318,917
 

Net Assets Applicable to Common Shares – 100%

                      $ 662,801,442   

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(10) Borrowings as a percentage of Total Investments is 24.1%.

 

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

 

(12) Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 12.4%.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

  44      Nuveen Investments


JRO

 

Nuveen Floating Rate Income Opportunity Fund

  

Portfolio of Investments

   July 31, 2015

 

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

LONG-TERM INVESTMENTS – 156.1% (92.1% of Total Investments)

  

 

VARIABLE RATE SENIOR LOAN INTERESTS – 129.4% (76.3% of Total Investments) (4)

  

      Aerospace & Defense – 2.3% (1.3% of Total Investments)  
$ 3,049     

B/E Aerospace, Inc., Term Loan B, First Lien

    4.000%        12/16/21        BB+      $ 3,080,536   
  4,576     

Sequa Corporation, Term Loan B, (DD1)

    5.250%        6/19/17        B3        4,060,824   
  3,406     

Transdigm, Inc., Term Loan E, First Lien

    3.500%        5/16/22        Ba3        3,394,120   
  11,031     

Total Aerospace & Defense

                            10,535,480   
      Airlines – 3.5% (2.1% of Total Investments)  
  2,449     

American Airlines, Inc., Term Loan B, First Lien

    3.250%        6/27/20        BB+        2,440,517   
  2,000     

American Airlines, Inc., Term Loan B, First Lien

    3.500%        10/08/21        BB+        2,001,876   
  5,840     

Delta Air Lines, Inc., Term Loan B1

    3.250%        10/18/18        BBB        5,841,112   
  2,925     

Delta Air Lines, Inc., Term Loan B2

    2.438%        4/18/16        BBB        2,925,784   
  2,940     

US Airways, Inc., Term Loan B1

    3.500%        5/23/19        BB+        2,940,262   
  16,154     

Total Airlines

                            16,149,551   
      Automobiles – 3.7% (2.2% of Total Investments)  
  9,875     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%        12/31/18        BB+        9,883,641   
  5,568     

Formula One Group, Term Loan, First Lien

    4.750%        7/30/21        B        5,568,761   
  1,500     

Formula One Group, Term Loan, Second Lien

    7.750%        7/29/22        CCC+        1,501,407   
  16,943     

Total Automobiles

                            16,953,809   
      Building Products – 0.7% (0.4% of Total Investments)  
  1,985     

Gates Global LLC, Term Loan

    4.250%        7/06/21        B+        1,979,883   
  1,170     

Quikrete Holdings, Inc., Term Loan, First Lien

    4.000%        9/28/20        B+        1,171,817   
  3,155     

Total Building Products

                            3,151,700   
      Capital Markets – 1.0% (0.6% of Total Investments)  
  2,808     

Citco III Limited, Term Loan B

    4.250%        6/29/18        N/R        2,816,931   
  1,965     

Guggenheim Partners LLC, Initial Term Loan

    4.250%        7/22/20        N/R        1,976,360   
  4,773     

Total Capital Markets

                            4,793,291   
      Chemicals – 1.2% (0.7% of Total Investments)  
  2,024     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        2,025,702   
  440     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        441,303   
  1,521     

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB        1,540,867   
  1,463     

PQ Corporation, Term Loan B

    4.000%        8/07/17        B+        1,462,592   
  5,448     

Total Chemicals

                            5,470,464   
      Commercial Services & Supplies – 4.0% (2.4% of Total Investments)  
  1,418     

Acosta, Inc., Term Loan B

    4.250%        9/26/21        B1        1,421,597   
  958     

ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2

    3.750%        10/09/19        B+        955,698   
  3,230     

CCS Income Trust, Term Loan, First Lien

    6.250%        5/12/18        B–        2,916,660   
  261     

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

    5.500%        7/02/20        N/R        177,093   
  448     

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

    2.000%        7/02/20        N/R        258,321   
  3,213     

iQor US, Inc., Term Loan, First Lien

    6.000%        4/01/21        B        2,908,198   
  333     

iQor US, Inc., Term Loan, Second Lien

    9.750%        4/01/22        CCC+        304,444   
  8,340     

Millennium Laboratories, Inc., Tranche B, Term Loan

    5.250%        4/16/21        CCC+        3,502,887   
  2,875     

Protection One, Inc., Term Loan, First Lien

    5.000%        6/18/21        B1        2,889,375   
  99     

Universal Services of America, Delayed Draw, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B        98,494   
  107     

Universal Services of America, Delayed Draw, Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        106,674   
  1,401     

Universal Services of America, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B        1,396,819   
  1,643     

Universal Services of America, Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        1,635,670   
  24,326     

Total Commercial Services & Supplies

                            18,571,930   

 

Nuveen Investments     45   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Communications Equipment – 1.9% (1.1% of Total Investments)  
$ 3,918     

Avaya, Inc., Term Loan B3

    4.691%        10/26/17        B1      $ 3,893,041   
  1,060     

Avaya, Inc., Term Loan B6

    6.500%        3/31/18        B1        1,054,872   
  1,625     

Commscope, Inc., Term Loan B, First Lien

    3.750%        5/28/22        BB        1,632,447   
  1,995     

Riverbed Technology, Inc., Term Loan B, First Lien

    6.000%        4/25/22        B1        2,023,143   
  8,598     

Total Communications Equipment

                            8,603,503   
      Consumer Finance – 2.3% (1.4% of Total Investments)  
  2,000     

First Data Corporation, Term Loan B

    3.937%        6/24/22        BB–        2,001,250   
  1,941     

First Data Corporation, Second New Dollar, Term Loan

    3.687%        3/24/17        BB–        1,941,176   
  6,750     

First Data Corporation, Term Loan

    3.687%        3/23/18        BB–        6,742,089   
  10,691     

Total Consumer Finance

                            10,684,515   
      Containers & Packaging – 0.7% (0.4% of Total Investments)  
  3,289     

BWAY Holding Company, Term Loan B, First Lien

    5.500%        8/14/20        B2        3,312,237   
      Diversified Consumer Services – 7.0% (4.1% of Total Investments)  
  1,250     

AlixPartners LLP, Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B+        1,255,312   
  6,795     

Cengage Learning Acquisitions, Inc., Exit Term Loan

    7.000%        3/31/20        B+        6,835,920   
  2,360     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%        5/22/18        B+        2,370,124   
  1,444     

Harland Clarke Holdings Corporation, Term Loan B4

    6.000%        8/04/19        B+        1,448,487   
  6,590     

Hilton Hotels Corporation, Term Loan B2

    3.500%        10/25/20        BBB–        6,610,782   
  2,500     

Houghton Mifflin, Term Loan B, First Lien

    4.000%        5/28/21        BB        2,498,438   
  821     

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B        769,306   
  2,634     

New Albertson’s, Inc., Term Loan

    4.750%        6/24/21        Ba3        2,643,490   
  7,985     

ServiceMaster Company, Term Loan

    4.250%        7/01/21        B+        8,015,259   
  32,379     

Total Diversified Consumer Services

                            32,447,118   
      Diversified Financial Services – 1.2% (0.7% of Total Investments)  
  1,500     

MJ Acquisition Corp., Term Loan, First Lien

    4.000%        6/01/22        BB–        1,500,938   
  1,500     

Protection One, Inc., Term Loan, Second Lien

    9.750%        6/17/22        B        1,488,750   
  1,493     

Transdigm, Inc., Term Loan, Second Lien

    4.750%        11/12/21        B        1,498,797   
  1,000     

TransFirst, Inc., Term Loan, Second Lien

    9.000%        11/15/22        CCC+        1,004,750   
  5,493     

Total Diversified Financial Services

                            5,493,235   
      Diversified Telecommunication Services – 5.3% (3.1% of Total Investments)  
  1,073     

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

    4.000%        2/08/20        B        1,072,798   
  209     

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    3.750%        6/30/19        BB–        207,556   
  1,948     

Level 3 Financing, Inc., Term Loan B2

    3.500%        5/31/22        BB        1,942,497   
  2,667     

Level 3 Financing, Inc., Term Loan, Tranche B3

    4.000%        8/01/19        BB        2,674,445   
  1,485     

TelX Group, Inc., Initial Term Loan, First Lien

    4.500%        4/09/20        B1        1,490,878   
  750     

TelX Group, Inc., Initial Term Loan, Second Lien

    7.500%        4/09/21        CCC        757,875   
  7,556     

WideOpenWest Finance LLC, Term Loan B

    4.500%        4/01/19        Ba3        7,575,239   
  3,328     

Ziggo N.V., Term Loan B1

    3.500%        1/15/22        BB–        3,318,101   
  2,145     

Ziggo N.V., Term Loan B2

    3.500%        1/15/22        BB–        2,138,247   
  3,527     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.500%        1/15/22        BB–        3,516,652   
  24,688     

Total Diversified Telecommunication Services

                            24,694,288   
      Electronic Equipment, Instruments & Components – 1.0% (0.6% of Total Investments)  
  2,400     

SMART Modular Technologies, Inc., Term Loan B

    8.250%        8/26/17        B        2,328,016   
  2,222     

TTM Technologies, Term Loan B

    6.000%        5/31/21        B+        2,207,407   
  4,622     

Total Electronic Equipment, Instruments & Components

                            4,535,423   
      Energy Equipment & Services – 1.2% (0.7% of Total Investments)  
  4,032     

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

    6.000%        3/31/21        B        3,154,207   
  656     

Dynamic Energy Services International LLC, Term Loan

    9.500%        3/06/18        B+        611,400   
  1,969     

Offshore Group Investment Limited, Term Loan B

    5.000%        10/25/17        CCC        1,213,496   
  985     

Pacific Drilling S.A., Term Loan B

    4.500%        6/03/18        B+        794,068   
  7,642     

Total Energy Equipment & Services

                            5,773,171   

 

  46      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Food & Staples Retailing – 6.8% (4.0% of Total Investments)  
$ 3,464     

Albertson’s LLC, Term Loan B2

    5.375%        3/21/19        BB–      $ 3,483,360   
  18,454     

Albertson’s LLC, Term Loan B4

    5.500%        8/25/21        BB–        18,553,362   
  3,289     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%        9/26/19        B–        3,299,066   
  2,500     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%        3/26/20        CCC        2,523,438   
  1,175     

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

    4.875%        6/21/21        B+        1,179,223   
  2,628     

Supervalu, Inc., New Term Loan

    4.500%        3/21/19        BB–        2,641,999   
  31,510     

Total Food & Staples Retailing

                            31,680,448   
      Food Products – 5.9% (3.5% of Total Investments)  
  1,485     

Hearthside Group Holdings, Term Loan, First Lien

    4.500%        6/02/21        B1        1,487,265   
  6,000     

Jacobs Douwe Egberts, Term Loan B

    4.250%        7/23/21        BB        6,000,000   
  1,925     

Pinnacle Foods Finance LLC, Term Loan G

    3.000%        4/29/20        BB+        1,923,396   
  14,089     

US Foods, Inc., Incremental Term Loan

    4.500%        3/31/19        B2        14,151,839   
  4,038     

Wilton Products, Inc., Tranche B, Term Loan

    7.500%        8/30/18        B3        3,951,703   
  27,537     

Total Food Products

                            27,514,203   
      Health Care Equipment & Supplies – 3.3% (1.9% of Total Investments)  
  714     

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

    11.750%        1/02/19        CCC+        722,321   
  1,489     

CareCore National LLC, Term Loan

    5.500%        3/05/21        B        1,481,250   
  1,946     

ConvaTec Healthcare, Term Loan B

    4.250%        6/09/20        Ba2        1,943,257   
  2,224     

Kinetic Concepts, Inc., Incremental Term Loan E1

    4.500%        5/04/18        BB–        2,237,426   
  4,241     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        4,251,801   
  2,553     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        2,546,167   
  2,000     

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        2,015,000   
  15,167     

Total Health Care Equipment & Supplies

                            15,197,222   
      Health Care Providers & Services – 4.5% (2.7% of Total Investments)  
  1,391     

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB        1,395,494   
  2,783     

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB        2,797,611   
  7,323     

Drumm Investors LLC, Term Loan

    6.750%        5/04/18        B        7,420,954   
  867     

Genesis Healthcare LLC, Term Loan

    10.000%        12/04/17        B–        888,271   
  1,492     

Healogics, Inc., Term Loan, First Lien

    5.250%        7/01/21        B        1,494,329   
  2,209     

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

    5.500%        12/21/18        B1        2,215,843   
  1,500     

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

    9.750%        6/21/19        CCC+        1,515,000   
  1,303     

LHP Operations Co. LLC, Term Loan B

    9.000%        7/03/18        B2        1,276,584   
  1,787     

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        1,792,451   
  20,655     

Total Health Care Providers & Services

                            20,796,537   
      Health Care Technology – 0.5% (0.3% of Total Investments)  
  2,121     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%        5/20/21        BB        2,132,026   
      Hotels, Restaurants & Leisure – 5.9% (3.5% of Total Investments)  
  5,714     

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        5,732,936   
  2,335     

CCM Merger, Inc., Term Loan B

    4.500%        8/08/21        BB–        2,346,116   
  3,864     

CityCenter Holdings LLC, Term Loan

    4.250%        10/16/20        BB–        3,879,558   
  391     

Extended Stay America, Inc., Term Loan

    5.000%        6/24/19        BB+        397,001   
  2,217     

Intrawest Resorts Holdings, Inc., Term Loan B, First Lien

    4.750%        12/09/20        CCC        2,239,662   
  1,750     

Life Time Fitness, Inc., Term Loan B

    4.250%        6/10/22        BB–        1,749,636   
  1,950     

MGM Resorts International, Term Loan B

    3.500%        12/20/19        BB        1,946,547   
  3,486     

Scientific Games Corporation, Term Loan B2

    6.000%        10/01/21        BB–        3,505,415   
  2,955     

Scientific Games Corporation, Term Loan

    6.000%        10/18/20        BB–        2,970,800   
  2,726     

Station Casino LLC, Term Loan B

    4.250%        3/02/20        B+        2,736,022   
  27,388     

Total Hotels, Restaurants & Leisure

                            27,503,693   
      Household Durables – 0.3% (0.2% of Total Investments)  
  886     

Serta Simmons Holdings LLC, Term Loan

    4.250%        10/01/19        B+        888,675   
  638     

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

    3.500%        3/18/20        BB+        640,738   
  1,524     

Total Household Durables

                            1,529,413   

 

Nuveen Investments     47   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Industrial Conglomerates – 0.2% (0.1% of Total Investments)  
$ 893     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%        11/26/20        B1      $ 861,237   
      Insurance – 3.2% (1.9% of Total Investments)  
  2,457     

Alliant Holdings I LLC, Incremental Term Loan

    5.000%        12/23/19        B+        2,460,688   
  3,330     

Alliant Holdings I LLC, Initial Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B        3,334,884   
  4,425     

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        B1        4,411,702   
  4,644     

USI Holdings Corporation, Initial Term Loan

    4.250%        12/27/19        B1        4,650,934   
  14,856     

Total Insurance

                            14,858,208   
      Internet & Catalog Retail – 1.1% (0.6% of Total Investments)  
  4,975     

Travelport LLC, Term Loan B, First Lien

    5.750%        9/02/21        B        4,999,358   
      Internet Software & Services – 2.2% (1.3% of Total Investments)  
  737     

Sabre Inc., Term Loan B2

    4.000%        2/19/19        Ba3        740,928   
  290     

Sabre Inc., Term Loan C

    3.500%        2/19/18        Ba3        290,581   
  3,413     

Sabre Inc., Term Loan

    4.000%        2/19/19        Ba3        3,429,208   
  5,819     

Tibco Software, Inc., Term Loan B

    6.500%        12/04/20        B1        5,838,755   
  10,259     

Total Internet Software & Services

                            10,299,472   
      IT Services – 0.8% (0.5% of Total Investments)  
  3,251     

EIG Investors Corp., Term Loan

    5.000%        11/09/19        B        3,249,931   
  246     

VFH Parent LLC, New Term Loan

    5.250%        11/08/19        N/R        247,600   
  65     

Zayo Group LLC, Term Loan B

    3.750%        5/06/21        Ba2        64,649   
  3,562     

Total IT Services

                            3,562,180   
      Leisure Products – 2.3% (1.3% of Total Investments)  
  2,259     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%        5/28/21        Ba3        2,176,994   
  4,000     

Academy, Ltd., Term Loan B

    5.000%        7/01/22        B        4,019,376   
  1,079     

Bombardier Recreational Products, Inc., Term Loan B

    3.750%        1/30/19        BB–        1,082,471   
  2,151     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%        1/31/20        B1        2,172,216   
  1,000     

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

    6.250%        12/27/20        B–        1,005,000   
  10,489     

Total Leisure Products

                            10,456,057   
      Machinery – 0.6% (0.3% of Total Investments)  
  1,709     

Doosan Infracore International, Inc., Term Loan

    4.500%        5/27/21        BB–        1,720,758   
  993     

Rexnord LLC, Term Loan B

    4.000%        8/21/20        BB–        994,556   
  2,702     

Total Machinery

                            2,715,314   
      Media – 14.8% (8.7% of Total Investments)  
  5,500     

Cequel Communications LLC, Extended Term Loan, (WI/DD)

    TBD        TBD        BB–        5,483,956   
  2,184     

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

    4.250%        7/25/21        B1        2,183,500   
  1,450     

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

    7.500%        7/25/22        CCC+        1,443,656   
  1,743     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%        10/31/18        B3        1,572,981   
  3,465     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%        4/09/21        B+        2,979,900   
  1,500     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%        4/11/22        CCC+        1,100,000   
  4,000     

Charter Communications Operating Holdings LLC, Term Loan I, (WI/DD)

    TBD        TBD        BBB        4,013,216   
  360     

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

    6.940%        1/30/19        CCC+        331,170   
  1,646     

Clear Channel Communications, Inc. Term Loan E

    7.690%        7/30/19        CCC+        1,535,687   
  10,716     

Cumulus Media, Inc., Term Loan B , (DD1)

    4.250%        12/23/20        B+        9,912,266   
  2,515     

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

    4.750%        6/17/20        BB–        2,521,095   
  191     

EMI Music Publishing LLC, Term Loan B

    3.750%        6/29/18        BB–        191,797   
  594     

Gray Television, Inc., Initial Term Loan

    3.750%        6/13/21        BB        595,574   
  1,980     

IMG Worldwide, Inc., First Lien

    5.250%        5/06/21        B1        1,985,940   
  3,218     

Interactive Data Corporation, Term Loan B

    4.750%        5/02/21        B+        3,233,990   
  1,125     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%        3/13/22        BB–        1,132,031   
  2,510     

McGraw-Hill Education Holdings LLC, Term Loan B

    4.750%        3/22/19        B+        2,523,849   
  2,463     

McGraw-Hill Education Holdings LLC, Term Loan B

    6.250%        12/18/19        BB–        2,482,508   
  1,945     

Mediacom Broadband LLC, Tranche G, Term Loan

    4.000%        1/20/20        BB+        1,950,674   
  3,734     

Numericable Group S.A., Term Loan B1

    4.500%        5/21/20        Ba3        3,749,872   
  3,231     

Numericable Group S.A., Term Loan B2

    4.500%        5/21/20        Ba3        3,244,151   

 

  48      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Media (continued)  
$ 2,205     

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.750%        8/14/20        B1      $ 2,216,278   
  8,405     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%        3/01/20        B+        8,411,247   
  1,520     

Weather Channel Corporation, Term Loan, Second Lien

    7.000%        6/26/20        CCC+        1,427,649   
  1,474     

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

    3.750%        7/01/20        B+        1,461,539   
  448     

Yell Group PLC, Term Loan A2

    5.281%        3/01/19        CCC+        859,939   
  36     

Yell Group PLC, Term Loan A2, (8)

    1.500%        3/03/19        CCC+          
  1,286     

Yell Group PLC, Term Loan B2, PIK, (8)

    0.000%        3/03/24        CCC–          
  71,444     

Total Media

                            68,544,465   
      Multiline Retail – 2.5% (1.5% of Total Investments)  
  1,746     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%        6/05/20        BB–        1,752,171   
  5,300     

Dollar Tree, Inc., Term Loan B1

    3.500%        7/06/22        BB+        5,320,977   
  1,650     

Dollar Tree, Inc., Term Loan B2

    4.250%        3/09/22        BB+        1,655,156   
  2,846     

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

    5.000%        6/20/19        B        2,851,587   
  11,542     

Total Multiline Retail

                            11,579,891   
      Oil, Gas & Consumable Fuels – 2.5% (1.5% of Total Investments)  
  843     

Western Refining, Inc., Term Loan B

    4.250%        11/12/20        BB–        844,522   
  712     

Crestwood Holdings LLC, Term Loan B

    7.000%        6/19/19        B2        698,467   
  5,435     

Energy and Exploration Partners, Term Loan

    7.750%        1/22/19        N/R        4,508,713   
  173     

EP Energy LLC, Term Loan B3, Second Lien

    3.500%        5/24/18        Ba2        170,788   
  1,630     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B2        901,823   
  2,748     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%        6/18/20        B        2,127,133   
  2,926     

Seadrill Partners LLC, Initial Term Loan

    4.000%        2/21/21        BB–        2,200,152   
  306     

Southcross Holdings Borrower L.P., Holdco Term Loan

    6.000%        8/04/21        B2        294,143   
  14,773     

Total Oil, Gas & Consumable Fuels

                            11,745,741   
      Pharmaceuticals – 8.0% (4.7% of Total Investments)  
  10,000     

Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)

    TBD        TBD        Ba1        10,018,749   
  4,500     

Endo Health Solutions, Inc., Term Loan B, (WI/DD)

    TBD        TBD        Ba1        4,526,366   
  3,125     

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

    0.000%        5/03/13        N/R        19,531   
  62     

Graceway Pharmaceuticals LLC, Term Loan, (5)

    0.000%        5/03/12        N/R        62,632   
  941     

Grifols, Inc., Term Loan

    3.190%        2/27/21        Ba1        945,243   
  2,220     

Par Pharmaceutical Companies, Inc., Term Loan B2

    4.000%        9/30/19        B1        2,221,374   
  384     

Par Pharmaceutical Companies, Inc., Term Loan B3

    4.250%        9/30/19        B1        384,814   
  2,970     

Patheon, Inc., Term Loan B

    4.250%        3/11/21        B1        2,963,900   
  2,479     

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

    4.000%        12/01/18        Ba2        2,483,222   
  3,677     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%        9/23/20        B+        3,694,869   
  1,882     

Therakos, Inc., Term Loan, First Lien

    7.000%        12/27/17        B        1,879,939   
  1,418     

Valeant Pharmaceuticals International, Inc., Term Loan E

    3.500%        8/05/20        BB+        1,421,523   
  6,484     

Valeant Pharmaceuticals International, Inc., Term Loan F

    4.000%        4/01/22        Ba1        6,521,693   
  40,142     

Total Pharmaceuticals

                            37,143,855   
      Professional Services – 0.0% (0.0% of Total Investments)  
  156     

Ceridian Corporation, Term Loan B2

    4.500%        9/15/20        Ba3        155,074   
      Real Estate Investment Trust – 4.2% (2.5% of Total Investments)  
  10,800     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%        10/24/22        BBB–        10,543,499   
  3,910     

Realogy Corporation, Initial Term Loan B

    3.750%        3/05/20        BB        3,918,369   
  1,427     

Starwood Property Trust, Inc., Term Loan B

    3.500%        4/17/20        BB        1,423,951   
  3,956     

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.750%        12/18/20        B+        3,794,315   
  20,093     

Total Real Estate Investment Trust

                            19,680,134   
      Real Estate Management & Development – 1.3% (0.8% of Total Investments)  
  2,482     

Capital Automotive LP, Term Loan, Second Lien

    6.000%        4/30/20        B1        2,526,396   
  3,381     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        Ba2        3,401,077   
  5,863     

Total Real Estate Management & Development

                            5,927,473   
      Road & Rail – 0.3% (0.2% of Total Investments)  
  1,500     

Quality Distribution Inc., First Lien Term Loan, (WI/DD)

    TBD        TBD        B1        1,485,000   

 

Nuveen Investments     49   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Semiconductors & Semiconductor Equipment – 3.0% (1.8% of Total Investments)  
$ 4,930     

Avago Technologies, Term Loan B

    3.750%        5/06/21        BBB–      $ 4,943,433   
  4,903     

Freescale Semiconductor, Inc., Term Loan, Tranche B4

    4.250%        2/28/20        B1        4,922,297   
  1,965     

Freescale Semiconductor, Inc., Term Loan, Tranche B5

    5.000%        1/15/21        B1        1,978,018   
  1,937     

NXP Semiconductor LLC, Term Loan D

    3.250%        1/11/20        BBB–        1,937,082   
  13,735     

Total Semiconductors & Semiconductor Equipment

                            13,780,830   
      Software – 10.1% (6.0% of Total Investments)  
  2,000     

Ascend Learning LLC, Term Loan, Second Lien

    9.500%        11/30/20        CCC+        1,998,750   
  3,482     

Blackboard, Inc., Term Loan B3

    4.750%        10/04/18        B+        3,488,801   
  4,229     

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B1        3,876,018   
  4,491     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%        12/15/21        B        4,392,555   
  1,623     

Datatel Parent Corp, Term Loan B1

    4.000%        7/19/18        BB–        1,628,187   
  2,907     

Emdeon Business Services LLC, Term Loan B2

    3.750%        11/02/18        Ba3        2,905,308   
  9,100     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5, (DD1)

    3.750%        6/03/20        Ba3        9,055,596   
  1,250     

Informatica Corp., Term Loan B, (WI/DD)

    TBD        TBD        B        1,252,474   
  1,232     

Micro Focus International PLC, Term Loan B

    5.250%        11/19/21        BB–        1,238,613   
  2,048     

Micro Focus International PLC, Term Loan C

    4.500%        11/20/19        BB–        2,050,485   
  4,619     

Misys PLC, Term Loan B, First Lien

    5.000%        12/12/18        B+        4,638,243   
  3,265     

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

    4.000%        7/08/22        BB        3,294,839   
  538     

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

    4.000%        7/08/22        BB        543,105   
  2,179     

SunGard Data Systems, Inc., Term Loan E

    4.000%        3/08/20        BB        2,185,342   
  4,223     

Zebra Technologies Corporation, Term Loan B, First Lien

    4.750%        10/27/21        BB+        4,278,625   
  47,186     

Total Software

                            46,826,941   
      Specialty Retail – 1.6% (0.9% of Total Investments)  
  1,938     

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

    4.000%        3/16/18        Ba3        1,918,148   
  2,244     

Petsmart, Inc., Term Loan B

    4.250%        3/11/22        BB–        2,255,725   
  449     

Pilot Travel Centers LLC, Term Loan B, First Lien

    4.250%        10/01/21        BB+        455,519   
  2,600     

Staples, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        BBB        2,603,965   
  7,231     

Total Specialty Retail

                            7,233,357   
      Technology Hardware, Storage & Peripherals – 2.8% (1.6% of Total Investments)  
  12,805     

Dell, Inc., Term Loan B2

    4.000%        4/29/20        BBB        12,816,969   
      Textiles, Apparel & Luxury Goods – 0.5% (0.3% of Total Investments)  
  2,470     

Polymer Group, Inc., Initial Term Loan

    5.250%        12/19/19        B2        2,488,489   
      Trading Companies & Distributors – 1.2% (0.7% of Total Investments)  
  4,498     

HD Supply, Inc., Term Loan

    4.000%        6/28/18        B+        4,510,097   
  1,250     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%        6/09/21        B–        1,240,193   
  5,748     

Total Trading Companies & Distributors

                            5,750,290   
      Transportation Infrastructure – 0.4% (0.2% of Total Investments)  
  100     

Ceva Group PLC, Canadian Term Loan

    6.500%        3/19/21        B2        92,364   
  580     

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

    6.500%        3/19/21        B2        535,711   
  557     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B2        514,419   
  800     

Ceva Group PLC, US Term Loan

    6.500%        3/19/21        B2        738,911   
  2,037     

Total Transportation Infrastructure

                            1,881,405   
      Wireless Telecommunication Services – 1.6% (1.0% of Total Investments)  
  2,173     

Asurion LLC, Term Loan B4, First Lien, (WI/DD)

    TBD        TBD        B        2,173,705   
  2,173     

Asurion LLC, Term Loan B1

    5.000%        5/24/19        Ba3        2,182,460   
  3,176     

Fairpoint Communications, Inc., Term Loan B

    7.500%        2/14/19        B        3,220,163   
  7,522     

Total Wireless Telecommunication Services

                            7,576,328   
$ 617,117     

Total Variable Rate Senior Loan Interests (cost $611,642,451)

                            599,891,325   

 

  50      Nuveen Investments


Shares     Description (1)                        Value  
 

COMMON STOCKS – 1.6% (1.0% of Total Investments)

  

      Diversified Consumer Services – 0.4% (0.3% of Total Investments)  
  71,949     

Cengage Learning Holdings II LP, (6), (7)

        $ 1,906,648   
  3,124,035     

Education Management Corporation, (6), (7)

                            31,240   
 

Total Diversified Consumer Services

                            1,937,888   
      Hotels, Restaurants & Leisure – 0.3% (0.2% of Total Investments)  
  42,041     

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

                            1,471,435   
      Media – 0.9% (0.5% of Total Investments)  
  5,752     

Cumulus Media, Inc., (6)

          9,491   
  23,363     

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

          1,831,075   
  44,843     

Tribune Media Company

          2,264,123   
  36,087     

Tribune Media Company, (8)

            
  11,210     

Tribune Publishing Company

                            166,917   
 

Total Media

                            4,271,606   
      Software – 0.0% (0.0% of Total Investments)  
  496,552     

Eagle Topco LP, (6), (8)

                            1   
 

Total Common Stocks (cost $6,653,411)

                            7,680,930   
Shares     Description (1)   Coupon            Ratings (3)     Value  
 

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

       
      Diversified Consumer Services – 0.0% (0.0% of Total Investments)                        
  3,476     

Education Management Corporation

    7.500%                N/R      $ 86,900   
 

Total $25 Par (or similar) Retail Preferred (cost $8,437)

                            86,900   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
 

CONVERTIBLE BONDS – 0.3% (0.2% of Total Investments)

  

      Communications Equipment – 0.3% (0.2% of Total Investments)  
$ 550     

Nortel Networks Corp., (5)

    1.750%        4/15/12        N/R      $ 482,625   
  1,000     

Nortel Networks Corp., (5)

    2.125%        4/15/14        N/R        879,375   
$ 1,550     

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

                            1,362,000   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
 

CORPORATE BONDS – 18.9% (11.1% of Total Investments)

  

      Commercial Services & Supplies – 0.2% (0.1% of Total Investments)  
$ 900     

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 900,000   
      Communications Equipment – 0.4% (0.2% of Total Investments)  
  2,000     

Avaya Inc., 144A

    10.500%        3/01/21        CCC+        1,625,000   
      Consumer Finance – 0.2% (0.1% of Total Investments)  
  803     

First Data Corporation, 144A

    7.375%        6/15/19        BB        837,609   
      Containers & Packaging – 0.3% (0.2% of Total Investments)  
  1,178     

Reynolds Group

    9.875%        8/15/19        CCC+        1,239,109   
      Diversified Telecommunication Services – 1.9% (1.1% of Total Investments)  
  1,000     

Frontier Communications Corporation

    6.875%        1/15/25        BB        851,250   
  1,400     

IntelSat Limited

    6.750%        6/01/18        CCC+        1,309,000   
  4,300     

IntelSat Limited

    7.750%        6/01/21        CCC+        3,418,500   
  4,100     

IntelSat Limited

    8.125%        6/01/23        CCC+        3,259,500   
  10,800     

Total Diversified Telecommunication Services

                            8,838,250   

 

Nuveen Investments     51   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      Health Care Equipment & Supplies – 2.6% (1.5% of Total Investments)  
$ 3,000     

Kinetic Concepts

    10.500%        11/01/18        B–      $ 3,191,250   
  2,000     

Kinetic Concepts

    12.500%        11/01/19        CCC+        2,145,000   
  3,000     

Tenet Healthcare Corporation

    6.000%        10/01/20        Ba2        3,262,500   
  1,100     

Tenet Healthcare Corporation

    8.125%        4/01/22        B3        1,234,068   
  2,225     

THC Escrow Corporation II, 144A

    6.750%        6/15/23        B3        2,325,125   
  11,325     

Total Health Care Equipment & Supplies

                            12,157,943   
      Health Care Providers & Services – 2.2% (1.3% of Total Investments)  
  3,000     

Community Health Systems, Inc.

    5.125%        8/01/21        BB        3,112,500   
  4,800     

Community Health Systems, Inc.

    6.875%        2/01/22        B+        5,136,000   
  900     

IASIS Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        937,125   
  1,000     

Truven Health Analytics Inc.

    10.625%        6/01/20        CCC+        1,045,000   
  9,700     

Total Health Care Providers & Services

                            10,230,625   
      Hotels, Restaurants & Leisure – 0.6% (0.3% of Total Investments)  
  275     

Scientific Games Corporation

    8.125%        9/15/18        B–        265,375   
  2,550     

Scientific Games International Inc.

    10.000%        12/01/22        B        2,476,688   
  2,825     

Total Hotels, Restaurants & Leisure

                            2,742,063   
      Machinery – 0.2% (0.1% of Total Investments)  
  1,030     

Xerium Technologies

    8.875%        6/15/18        B        1,060,900   
      Media – 5.2% (3.1% of Total Investments)  
  150     

CCO Safari II LLC, 144A

    3.579%        7/23/20        BBB–        150,443   
  1,714     

Clear Channel Communications, Inc.

    10.000%        1/15/18        CCC–        1,371,200   
  6,412     

Clear Channel Communications, Inc.

    9.000%        12/15/19        CCC+        6,163,535   
  10,718     

Clear Channel Communications, Inc.

    14.000%        2/01/21        CCC–        7,087,352   
  7,850     

Clear Channel Communications, Inc.

    9.000%        3/01/21        CCC+        7,104,250   
  1,200     

Expo Event Transco Inc., 144A

    9.000%        6/15/21        B–        1,233,000   
  1,000     

McGraw-Hill Global Education Holdings

    9.750%        4/01/21        BB        1,107,500   
  29,044     

Total Media

                            24,217,280   
      Pharmaceuticals – 1.4% (0.8% of Total Investments)  
  1,250     

Valeant Pharmaceuticals International, 144A

    6.750%        8/15/18        B1        1,313,281   
  2,000     

Valeant Pharmaceuticals International, 144A

    7.000%        10/01/20        B1        2,077,500   
  1,000     

Valeant Pharmaceuticals International, 144A

    7.250%        7/15/22        B1        1,055,000   
  2,000     

VPII Escrow Corporation, 144A

    7.500%        7/15/21        B1        2,170,000   
  6,250     

Total Pharmaceuticals

                            6,615,781   
      Real Estate Investment Trust – 0.3% (0.2% of Total Investments)  
  1,250     

iStar Financial Inc.

    4.000%        11/01/17        B+        1,228,125   
      Semiconductors & Semiconductor Equipment – 0.7% (0.4% of Total Investments)  
  500     

Advanced Micro Devices, Inc.

    6.750%        3/01/19        B–        363,750   
  2,050     

Advanced Micro Devices, Inc.

    7.750%        8/01/20        B–        1,379,906   
  2,200     

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–        1,518,000   
  4,750     

Total Semiconductors & Semiconductor Equipment

                            3,261,656   
      Software – 0.4% (0.3% of Total Investments)  
  1,750     

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        1,303,750   
  1,100     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%        10/15/19        CCC+        682,000   
  2,850     

Total Software

                            1,985,750   
      Specialty Retail – 0.1% (0.1% of Total Investments)  
  500     

99 Cents Only Stores

    11.000%        12/15/19        Caa1        410,000   
      Wireless Telecommunication Services – 2.2% (1.3% of Total Investments)  
  750     

FairPoint Communications Inc., 144A

    8.750%        8/15/19        B        787,500   
  6,000     

Sprint Corporation

    7.875%        9/15/23        B+        5,752,500   

 

  52      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      Wireless Telecommunication Services (continued)  
$ 500     

Sprint Corporation

    7.125%        6/15/24        B+      $ 457,500   
  2,750     

T-Mobile USA Inc.

    6.250%        4/01/21        BB        2,880,625   
  175     

T-Mobile USA Inc.

    6.731%        4/28/22        BB        185,500   
  175     

T-Mobile USA Inc.

    6.836%        4/28/23        BB        187,250   
  10,350     

Total Wireless Telecommunication Services

                            10,250,875   
$ 95,555     

Total Corporate Bonds (cost $94,131,297)

                            87,600,966   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      ASSET-BACKED SECURITIES – 5.9% (3.5% of Total Investments)                        
$ 800     

Bluemountain Collateralized Loan Obligation, Series 2012 2A E14

    5.274%        11/20/24        BB      $ 770,982   
  2,500     

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

    5.787%        7/20/23        BB        2,417,068   
  1,250     

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

    4.889%        7/15/25        BB        1,130,960   
  1,500     

Flatiron Collateralized Loan Obligation Limited, Series 2011-1A

    4.689%        1/15/23        BB        1,368,984   
  250     

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

    5.289%        4/15/24        BB        231,431   
  1,800     

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    6.037%        10/19/22        BB        1,787,796   
  4,000     

LCM Limited Partnership, Collateralized Loan Obligation, 2015A

    5.282%        2/25/17        BB–        3,687,668   
  2,000     

LCM Limited Partnership, Collateralized Loan Obligation, Series 10AR, 144A

    5.789%        4/15/22        BB        2,026,502   
  1,500     

LCM Limited Partnership, Collateralized Loan Obligation, Series 11A

    5.437%        4/19/22        BB+        1,426,460   
  1,500     

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

    5.524%        4/22/22        BB        1,499,565   
  1,250     

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A

    5.802%        4/20/26        Ba3        1,163,609   
  500     

North End CLO Limited, Loan Pool, 144A

    4.774%        7/17/25        BB        442,485   
  2,000     

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

    5.774%        5/15/23        BB        1,933,740   
  450     

Oak Hill Credit Partners Series 2013-9A

    5.287%        10/20/25        BB–        420,662   
  2,240     

Oak Hill Credit Partners, Series 2012-7A

    5.276%        11/20/23        BB        2,110,673   
  2,000     

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

    5.276%        11/08/24        BB–        1,867,410   
  1,000     

Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A

    6.286%        12/15/22        BB        988,293   
  2,000     

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

    6.032%        5/24/23        BB        1,999,865   
$ 28,540     

Total Asset-Backed Securities (cost $26,362,702)

                            27,274,153   
 

Total Long-Term Investments (cost $740,105,798)

                            723,896,274   
Principal
Amount (000)
    Description (1)   Coupon     Maturity            Value  
 

SHORT-TERM INVESTMENTS – 13.3% (7.9% of Total Investments)

       
      REPURCHASE AGREEMENTS – 13.3% (7.9% of Total Investments)                        
$ 61,801     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $61,801,154, collateralized by $62,260,000 U.S. Treasury Notes, 1.875%, due 6/30/20, value $63,038,250

    0.000%        8/03/15              $ 61,801,154   
 

Total Short-Term Investments (cost $61,801,154)

                            61,801,154   
 

Total Investments (cost $801,906,952) – 169.4%

                            785,697,428   
 

Borrowings – (40.7)% (9), (10)

                            (188,800,000
 

Variable Rate Term Preferred Shares, at Liquidation Value – (21.1)% (11)

                            (98,000,000
 

Other Assets Less Liabilities – (7.6)%

                            (35,168,626
 

Net Assets Applicable to Common Shares – 100%

                          $ 463,728,802   

 

Nuveen Investments     53   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2015

 

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(9) Borrowings as a percentage of Total Investments is 24.0%.

 

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

 

(11) Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 12.5%.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

  54      Nuveen Investments


JSD

 

Nuveen Short Duration Credit Opportunities Fund

  

Portfolio of Investments

   July 31, 2015

 

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

LONG-TERM INVESTMENTS – 141.2% (94.4% of Total Investments)

       
 

VARIABLE RATE SENIOR LOAN INTERESTS – 123.0% (82.2% of Total Investments) (4)

  

     
 

Aerospace & Defense – 2.1% (1.4% of Total Investments)

       
$ 1,829     

B/E Aerospace, Inc., Term Loan B, First Lien

    4.000%        12/16/21        BB+      $ 1,848,322   
  2,391     

Sequa Corporation, Term Loan B

    5.250%        6/19/17        B3        2,122,000   
  4,220     

Total Aerospace & Defense

                            3,970,322   
      Airlines – 5.2% (3.5% of Total Investments)                        
  983     

American Airlines, Inc., Term Loan B, First Lien

    3.250%        6/27/20        BB+        979,166   
  1,750     

American Airlines, Inc., Term Loan B, First Lien

    3.500%        10/08/21        BB+        1,751,642   
  3,120     

Delta Air Lines, Inc., Term Loan B1

    3.250%        10/18/18        BBB        3,120,487   
  975     

Delta Air Lines, Inc., Term Loan B2

    2.438%        4/18/16        BBB        975,261   
  1,920     

Delta Air Lines, Inc., Term Loan B

    3.250%        4/20/17        BBB        1,922,160   
  980     

US Airways, Inc., Term Loan B1

    3.500%        5/23/19        BB+        980,087   
  9,728     

Total Airlines

                            9,728,803   
      Automobiles – 2.4% (1.6% of Total Investments)                        
  988     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%        12/31/18        BB+        988,364   
  2,784     

Formula One Group, Term Loan, First Lien

    4.750%        7/30/21        B        2,784,380   
  750     

Formula One Group, Term Loan, Second Lien

    7.750%        7/29/22        CCC+        750,704   
  4,522     

Total Automobiles

                            4,523,448   
      Building Products – 0.6% (0.4% of Total Investments)                        
  1,191     

Gates Global LLC, Term Loan

    4.250%        7/06/21        B+        1,187,930   
      Chemicals – 0.8% (0.6% of Total Investments)                        
  965     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        965,652   
  210     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        210,369   
  399     

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB        403,851   
  1,574     

Total Chemicals

                            1,579,872   
      Commercial Services & Supplies – 3.1% (2.0% of Total Investments)                        
  709     

Acosta, Inc., Term Loan B

    4.250%        9/26/21        B1        710,798   
  1,491     

CCS Income Trust, Term Loan, First Lien

    6.250%        5/12/18        B–        1,346,151   
  1,836     

iQor US, Inc., Term Loan, First Lien

    6.000%        4/01/21        B        1,661,827   
  167     

iQor US, Inc., Term Loan, Second Lien

    9.750%        4/01/22        CCC+        152,222   
  2,027     

Millennium Laboratories, Inc., Tranche B, Term Loan

    5.250%        4/16/21        CCC+        851,203   
  66     

Universal Services of America, Delayed Draw, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B        65,662   
  934     

Universal Services of America, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B        931,213   
  7,230     

Total Commercial Services & Supplies

                            5,719,076   
      Communications Equipment – 2.7% (1.8% of Total Investments)                        
  1,524     

Avaya, Inc., Term Loan B3

    4.691%        10/26/17        B1        1,513,928   
  326     

Avaya, Inc., Term Loan B6

    6.500%        3/31/18        B1        324,211   
  1,083     

Commscope, Inc., Term Loan B, First Lien

    3.750%        5/28/22        BB        1,088,298   
  998     

Riverbed Technology, Inc., Term Loan B, First Lien

    6.000%        4/25/22        B1        1,011,571   
  1,140     

Telesat Canada Inc., Term Loan B

    3.500%        3/28/19        BB–        1,140,730   
  5,071     

Total Communications Equipment

                            5,078,738   
      Consumer Finance – 1.6% (1.1% of Total Investments)                        
  3,000     

First Data Corporation, Term Loan

    3.687%        3/23/18        BB–        2,996,484   
      Containers & Packaging – 1.2% (0.8% of Total Investments)                        
  1,089     

BWAY Holding Company, Term Loan B, First Lien

    5.500%        8/14/20        B2        1,096,657   

 

Nuveen Investments     55   


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Containers & Packaging (continued)                        
$ 1,095     

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

    4.500%        12/01/18        B+      $ 1,102,342   
  2,184     

Total Containers & Packaging

                            2,198,999   
      Diversified Consumer Services – 4.8% (3.2% of Total Investments)                        
  750     

AlixPartners LLP, Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B+        753,188   
  2,499     

Cengage Learning Acquisitions, Inc., Exit Term Loan

    7.000%        3/31/20        B+        2,513,957   
  2,522     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%        5/22/18        B+        2,532,543   
  492     

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B        461,038   
  878     

New Albertson’s, Inc., Term Loan

    4.750%        6/24/21        Ba3        881,163   
  1,822     

ServiceMaster Company, Term Loan

    4.250%        7/01/21        B+        1,828,724   
  8,963     

Total Diversified Consumer Services

                            8,970,613   
      Diversified Financial Services – 0.5% (0.4% of Total Investments)                        
  995     

Transdigm, Inc., Term Loan, Second Lien

    4.750%        11/12/21        B        999,198   
      Diversified Telecommunication Services – 4.4% (2.9% of Total Investments)                        
  858     

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

    4.000%        2/08/20        B        858,238   
  974     

Level 3 Financing, Inc., Term Loan B2

    3.500%        5/31/22        BB        971,248   
  470     

SBA Communication, Incremental Term Loan, Tranche B1

    3.250%        3/24/21        BB        467,746   
  990     

TelX Group, Inc., Initial Term Loan, First Lien

    4.500%        4/09/20        B1        993,918   
  2,934     

WideOpenWest Finance LLC, Term Loan B

    4.500%        4/01/19        Ba3        2,941,788   
  740     

Ziggo N.V., Term Loan B1

    3.500%        1/15/22        BB–        737,356   
  477     

Ziggo N.V., Term Loan B2

    3.500%        1/15/22        BB–        475,166   
  784     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.500%        1/15/22        BB–        781,478   
  8,227     

Total Diversified Telecommunication Services

                            8,226,938   
      Electronic Equipment, Instruments & Components – 1.3% (0.8% of Total Investments)              
  1,096     

SMART Modular Technologies, Inc., Term Loan B

    8.250%        8/26/17        B        1,062,964   
  1,333     

TTM Technologies, Term Loan B

    6.000%        5/31/21        B+        1,324,444   
  2,429     

Total Electronic Equipment, Instruments & Components

                            2,387,408   
      Energy Equipment & Services – 1.1% (0.7% of Total Investments)                        
  1,809     

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

    6.000%        3/31/21        B        1,415,214   
  1,054     

Offshore Group Investment Limited, Term Loan B

    5.000%        10/25/17        CCC        649,662   
  2,863     

Total Energy Equipment & Services

                            2,064,876   
      Food & Staples Retailing – 8.1% (5.4% of Total Investments)                        
  2,474     

Albertson’s LLC, Term Loan B2

    5.375%        3/21/19        BB–        2,487,757   
  8,978     

Albertson’s LLC, Term Loan B4

    5.500%        8/25/21        BB–        9,025,961   
  493     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%        9/26/19        B–        494,386   
  250     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%        3/26/20        CCC        252,344   
  985     

Del Monte Foods Company, Term Loan, First Lien

    4.258%        2/18/21        B        957,913   
  1,000     

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

    4.875%        6/21/21        B+        1,003,594   
  972     

Supervalu, Inc., New Term Loan

    4.500%        3/21/19        BB–        977,085   
  15,152     

Total Food & Staples Retailing

                            15,199,040   
      Food Products – 4.0% (2.7% of Total Investments)                        
  3,000     

Jacobs Douwe Egberts, Term Loan B

    4.250%        7/23/21        BB        3,000,000   
  3,371     

US Foods, Inc., Incremental Term Loan

    4.500%        3/31/19        B2        3,386,300   
  1,211     

Wilton Products, Inc., Tranche B, Term Loan

    7.500%        8/30/18        B3        1,185,511   
  7,582     

Total Food Products

                            7,571,811   
      Health Care Equipment & Supplies – 5.6% (3.7% of Total Investments)                        
  394     

Ardent Medical Services, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B1        396,838   
  867     

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

    7.500%        7/02/18        B+        869,085   
  714     

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

    11.750%        1/02/19        CCC+        722,321   
  1,741     

ConvaTec Healthcare, Term Loan B

    4.250%        6/09/20        Ba2        1,739,400   
  1,804     

Kinetic Concepts, Inc., Incremental Term Loan E1

    4.500%        5/04/18        BB-        1,814,562   
  2,968     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        2,976,261   
  973     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        969,968   

 

  56      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Health Care Equipment & Supplies (continued)                        
$ 1,000     

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1      $ 1,007,500   
  10,461     

Total Health Care Equipment & Supplies

                            10,495,935   
      Health Care Providers & Services – 6.2% (4.2% of Total Investments)                        
  1,584     

Amsurg Corporation, Term Loan

    3.750%        7/16/21        Ba2        1,589,693   
  50     

Community Health Systems, Inc., Term Loan F

    3.534%        12/31/18        BB        49,870   
  568     

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB        570,107   
  1,137     

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB        1,142,920   
  2,564     

Drumm Investors LLC, Term Loan

    6.750%        5/04/18        B        2,597,924   
  806     

Genesis Healthcare LLC, Term Loan

    10.000%        12/04/17        B–        825,884   
  1,721     

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

    5.500%        12/21/18        B1        1,726,756   
  500     

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

    9.750%        6/21/19        CCC+        505,000   
  1,200     

IASIS Healthcare LLC, Term Loan B2, First Lien

    4.500%        5/03/18        Ba3        1,204,925   
  868     

LHP Operations Co. LLC, Term Loan B

    9.000%        7/03/18        B2        851,056   
  596     

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        597,484   
  11,594     

Total Health Care Providers & Services

                            11,661,619   
      Health Care Technology – 0.4% (0.3% of Total Investments)                        
  792     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%        5/20/21        BB        796,110   
      Hotels, Restaurants & Leisure – 6.4% (4.3% of Total Investments)                        
  2,856     

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        2,866,468   
  2,082     

CCM Merger, Inc., Term Loan B

    4.500%        8/08/21        BB–        2,092,978   
  2,273     

CityCenter Holdings LLC, Term Loan

    4.250%        10/16/20        BB–        2,282,093   
  1,000     

Life Time Fitness, Inc., Term Loan B

    4.250%        6/10/22        BB–        999,792   
  1,990     

Scientific Games Corporation, Term Loan B2

    6.000%        10/01/21        BB–        2,000,945   
  1,818     

Station Casino LLC, Term Loan B

    4.250%        3/02/20        B+        1,824,014   
  12,019     

Total Hotels, Restaurants & Leisure

                            12,066,290   
      Industrial Conglomerates – 0.5% (0.3% of Total Investments)                        
  916     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%        11/26/20        B1        883,434   
      Insurance – 1.4% (0.9% of Total Investments)                        
  607     

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        B1        604,841   
  1,950     

USI Holdings Corporation, Initial Term Loan

    4.250%        12/27/19        B1        1,953,106   
  2,557     

Total Insurance

                            2,557,947   
      Internet & Catalog Retail – 1.6% (1.1% of Total Investments)                        
  2,985     

Travelport LLC, Term Loan B, First Lien

    5.750%        9/02/21        B        2,999,615   
      Internet Software & Services – 3.3% (2.2% of Total Investments)                        
  713     

Ancestry.com, Inc., Replacement Term Loan B1

    4.500%        12/28/18        Ba2        716,433   
  116     

Sabre Inc., Term Loan C

    3.500%        2/19/18        Ba3        116,232   
  2,438     

Sabre Inc., Term Loan

    4.000%        2/19/19        Ba3        2,449,434   
  2,909     

Tibco Software, Inc., Term Loan B

    6.500%        12/04/20        B1        2,919,377   
  6,176     

Total Internet Software & Services

                            6,201,476   
      IT Services – 1.6% (1.1% of Total Investments)                        
  1,741     

EIG Investors Corp., Term Loan

    5.000%        11/09/19        B        1,740,140   
  323     

VFH Parent LLC, New Term Loan

    5.250%        11/08/19        N/R        324,684   
  977     

Zayo Group LLC, Term Loan B

    3.750%        5/06/21        Ba2        974,941   
  3,041     

Total IT Services

                            3,039,765   
      Leisure Products – 3.0% (2.0% of Total Investments)                        
  1,506     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%        5/28/21        Ba3        1,451,329   
  2,000     

Academy, Ltd., Term Loan B

    5.000%        7/01/22        B        2,009,688   
  772     

Bombardier Recreational Products, Inc., Term Loan B

    3.750%        1/30/19        BB–        774,800   
  1,466     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%        1/31/20        B1        1,481,056   
  5,744     

Total Leisure Products

                            5,716,873   

 

Nuveen Investments     57   


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Machinery – 0.9% (0.6% of Total Investments)                        
$ 1,140     

Doosan Infracore International, Inc., Term Loan

    4.500%        5/27/21        BB–      $ 1,147,388   
  597     

TNT Crane and Rigging Inc., Initial Term Loan, First Lien

    5.500%        11/27/20        B1        577,553   
  1,737     

Total Machinery

                            1,724,941   
      Media – 9.3% (6.2% of Total Investments)                        
  859     

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

    4.250%        7/25/21        B1        858,512   
  750     

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

    7.500%        7/25/22        CCC+        746,719   
  392     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%        10/31/18        B3        354,043   
  495     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%        4/09/21        B+        425,700   
  500     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%        4/11/22        CCC+        366,666   
  2,000     

Charter Communications Operating Holdings LLC, Term Loan I, (WI/DD)

    TBD        TBD        BBB        2,006,608   
  62     

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

    6.940%        1/30/19        CCC+        57,136   
  1,633     

Clear Channel Communications, Inc. Term Loan E

    7.690%        7/30/19        CCC+        1,523,158   
  2,820     

Cumulus Media, Inc., Term Loan B

    4.250%        12/23/20        B+        2,609,014   
  1,257     

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

    4.750%        6/17/20        BB–        1,260,547   
  445     

Gray Television, Inc., Initial Term Loan

    3.750%        6/13/21        BB        446,680   
  743     

IMG Worldwide, Inc., First Lien

    5.250%        5/06/21        B1        744,728   
  990     

Interactive Data Corporation, Term Loan B

    4.750%        5/02/21        B+        995,074   
  750     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%        3/13/22        BB–        754,688   
  1,254     

McGraw-Hill Education Holdings LLC, Term Loan B

    4.750%        3/22/19        B+        1,261,925   
  985     

McGraw-Hill Education Holdings LLC, Term Loan B

    6.250%        12/18/19        BB–        993,003   
  533     

Numericable Group S.A., Term Loan B1

    4.500%        5/21/20        Ba3        535,696   
  462     

Numericable Group S.A., Term Loan B2

    4.500%        5/21/20        Ba3        463,450   
  1,103     

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.750%        8/14/20        B1        1,108,139   
  18,033     

Total Media

                            17,511,486   
      Multiline Retail – 0.9% (0.6% of Total Investments)                        
  998     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%        6/05/20        BB–        1,001,241   
  619     

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

    5.000%        6/20/19        B        619,910   
  1,617     

Total Multiline Retail

                            1,621,151   
      Oil, Gas & Consumable Fuels – 2.3% (1.6% of Total Investments)                        
  420     

Crestwood Holdings LLC, Term Loan B

    7.000%        6/19/19        B2        411,810   
  2,038     

Energy and Exploration Partners, Term Loan

    7.750%        1/22/19        N/R        1,690,767   
  810     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B2        447,781   
  1,326     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%        6/18/20        B        1,026,870   
  926     

Seadrill Partners LLC, Initial Term Loan

    4.000%        2/21/21        BB–        696,353   
  122     

Southcross Holdings Borrower L.P., Holdco Term Loan

    6.000%        8/04/21        B2        117,657   
  5,642     

Total Oil, Gas & Consumable Fuels

                            4,391,238   
      Pharmaceuticals – 6.3% (4.2% of Total Investments)                        
  1,000     

Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)

    TBD        TBD        Ba1        1,001,875   
  1,125     

Endo Health Solutions, Inc., Term Loan B, (WI/DD)

    TBD        TBD        Ba1        1,131,591   
  990     

Patheon, Inc., Term Loan B

    4.250%        3/11/21        B1        987,967   
  2,541     

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

    4.000%        12/01/18        Ba2        2,544,868   
  774     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%        9/23/20        B+        777,867   
  941     

Therakos, Inc., Term Loan, First Lien

    7.000%        12/27/17        B        939,969   
  2,381     

Valeant Pharmaceuticals International, Inc., Term Loan E

    3.500%        8/05/20        BB+        2,385,901   
  2,095     

Valeant Pharmaceuticals International, Inc., Term Loan F

    4.000%        4/01/22        Ba1        2,107,008   
  11,847     

Total Pharmaceuticals

                            11,877,046   
      Professional Services – 0.3% (0.2% of Total Investments)                        
  491     

Ceridian Corporation, Term Loan B2

    4.500%        9/15/20        Ba3        489,146   
      Real Estate Investment Trust – 5.6% (3.8% of Total Investments)                        
  6,300     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%        10/24/22        BBB–        6,150,375   
  1,955     

Realogy Corporation, Initial Term Loan B

    3.750%        3/05/20        BB        1,959,184   
  55     

Realogy Corporation, Synthetic Letter of Credit

    6.918%        10/10/16        BB        54,141   
  286     

Starwood Property Trust, Inc., Term Loan B

    3.500%        4/17/20        BB        285,500   
  2,229     

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.750%        12/18/20        B+        2,137,621   
  10,825     

Total Real Estate Investment Trust

                            10,586,821   

 

  58      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Real Estate Management & Development – 1.9% (1.2% of Total Investments)                        
$ 1,861     

Capital Automotive LP, Term Loan, Second Lien

    6.000%        4/30/20        B1      $ 1,894,797   
  1,573     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        Ba2        1,582,319   
  3,434     

Total Real Estate Management & Development

                            3,477,116   
      Road & Rail – 0.5% (0.4% of Total Investments)                        
  1,000     

Quality Distribution Inc., First Lien Term Loan, (WI/DD)

    TBD        TBD        B1        990,000   
      Semiconductors & Semiconductor Equipment – 2.3% (1.5% of Total Investments)  
  431     

Avago Technologies, Term Loan B

    3.750%        5/06/21        BBB–        431,707   
  1,955     

Freescale Semiconductor, Inc., Term Loan, Tranche B4

    4.250%        2/28/20        B1        1,962,985   
  983     

Freescale Semiconductor, Inc., Term Loan, Tranche B5

    5.000%        1/15/21        B1        989,009   
  969     

NXP Semiconductor LLC, Term Loan D

    3.250%        1/11/20        BBB–        968,541   
  4,338     

Total Semiconductors & Semiconductor Equipment

                            4,352,242   
      Software – 10.0% (6.7% of Total Investments)                        
  944     

Blackboard, Inc., Term Loan B3

    4.750%        10/04/18        B+        945,547   
  950     

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B1        870,930   
  1,796     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%        12/15/21        B        1,757,022   
  959     

Emdeon Business Services LLC, Term Loan B2

    3.750%        11/02/18        Ba3        958,372   
  2,538     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5

    3.750%        6/03/20        Ba3        2,526,599   
  1,000     

Informatica Corp., Term Loan B, (WI/DD)

    TBD        TBD        B        1,001,979   
  528     

Micro Focus International PLC, Term Loan B

    5.250%        11/19/21        BB–        530,834   
  878     

Micro Focus International PLC, Term Loan C

    4.500%        11/20/19        BB–        878,779   
  2,673     

Misys PLC, Term Loan B, First Lien

    5.000%        12/12/18        B+        2,685,298   
  1,632     

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

    4.000%        7/08/22        BB        1,647,419   
  269     

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

    4.000%        7/08/22        BB        271,552   
  872     

SunGard Data Systems, Inc., Term Loan E

    4.000%        3/08/20        BB        874,137   
  708     

Vertafore, Inc., Term Loan, First Lien

    4.250%        10/03/19        B+        710,229   
  1,000     

Vertafore, Inc., Term Loan, Second Lien

    9.750%        10/29/17        CCC+        1,013,125   
  2,111     

Zebra Technologies Corporation, Term Loan B, First Lien

    4.750%        10/27/21        BB+        2,139,313   
  18,858     

Total Software

                            18,811,135   
      Specialty Retail – 1.6% (1.0% of Total Investments)                        
  996     

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

    4.000%        3/16/18        Ba3        985,562   
  898     

Petsmart, Inc., Term Loan B

    4.250%        3/11/22        BB–        902,290   
  225     

Pilot Travel Centers LLC, Term Loan B, First Lien

    4.250%        10/01/21        BB+        227,760   
  800     

Staples, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        BBB        801,220   
  2,919     

Total Specialty Retail

                            2,916,832   
      Technology Hardware, Storage & Peripherals – 2.6% (1.8% of Total Investments)              
  4,924     

Dell, Inc., Term Loan B2

    4.000%        4/29/20        BBB        4,929,604   
      Textiles, Apparel & Luxury Goods – 0.8% (0.5% of Total Investments)                        
  1,482     

Polymer Group, Inc., Initial Term Loan

    5.250%        12/19/19        B2        1,493,094   
      Trading Companies & Distributors – 1.8% (1.2% of Total Investments)                        
  2,824     

HD Supply, Inc., Term Loan

    4.000%        6/28/18        B+        2,831,354   
  625     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%        6/09/21        B–        620,097   
  3,449     

Total Trading Companies & Distributors

                            3,451,451   
      Transportation Infrastructure – 0.7% (0.4% of Total Investments)                        
  67     

Ceva Group PLC, Canadian Term Loan

    6.500%        3/19/21        B2        61,576   
  387     

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

    6.500%        3/19/21        B2        357,142   
  371     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B2        342,947   
  533     

Ceva Group PLC, US Term Loan

    6.500%        3/19/21        B2        492,609   
  1,358     

Total Transportation Infrastructure

                            1,254,274   
      Wireless Telecommunication Services – 1.3% (0.9% of Total Investments)                        
  2,443     

Fairpoint Communications, Inc., Term Loan B

    7.500%        2/14/19        B        2,477,046   
$ 235,613     

Total Variable Rate Senior Loan Interests (cost $232,582,366)

                            231,177,243   

 

Nuveen Investments     59   


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2015

 

Shares     Description (1)                        Value  
      COMMON STOCKS – 0.6% (0.4% of Total Investments)                        
      Diversified Consumer Services – 0.6% (0.4% of Total Investments)                        
  39,749     

Cengage Learning Holdings II LP, (5)

                          $ 1,053,349   
 

Total Common Stocks (cost $1,286,905)

                            1,053,349   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      CORPORATE BONDS – 17.6% (11.8% of Total Investments)                        
      Commercial Services & Supplies – 0.9% (0.6% of Total Investments)                        
$ 1,650     

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 1,650,000   
      Communications Equipment – 0.1% (0.1% of Total Investments)                        
  250     

Avaya Inc., 144A

    10.500%        3/01/21        CCC+        203,125   
      Containers & Packaging – 0.1% (0.1% of Total Investments)                        
  209     

Reynolds Group

    9.875%        8/15/19        CCC+        219,842   
      Diversified Telecommunication Services – 2.0% (1.3% of Total Investments)                        
  750     

Frontier Communications Corporation

    6.875%        1/15/25        BB        638,438   
  300     

IntelSat Limited

    6.750%        6/01/18        CCC+        280,500   
  1,800     

IntelSat Limited

    7.750%        6/01/21        CCC+        1,431,000   
  1,750     

IntelSat Limited

    8.125%        6/01/23        CCC+        1,391,250   
  4,600     

Total Diversified Telecommunication Services

                            3,741,188   
      Health Care Equipment & Supplies – 1.9% (1.3% of Total Investments)                        
  2,700     

Kinetic Concepts

    10.500%        11/01/18        B–        2,872,125   
  660     

THC Escrow Corporation II, 144A

    6.750%        6/15/23        B3        689,700   
  3,360     

Total Health Care Equipment & Supplies

                            3,561,825   
      Health Care Providers & Services – 1.3% (0.9% of Total Investments)                        
  1,350     

IASIS Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        1,405,688   
  1,000     

Truven Health Analytics Inc.

    10.625%        6/01/20        CCC+        1,045,000   
  2,350     

Total Health Care Providers & Services

                            2,450,688   
      Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)                        
  175     

Scientific Games Corporation

    8.125%        9/15/18        B–        168,875   
      Media – 4.1% (2.7% of Total Investments)                        
  100     

CCO Safari II LLC, 144A

    3.579%        7/23/20        BBB-        100,295   
  3,585     

Clear Channel Communications, Inc.

    9.000%        12/15/19        CCC+        3,446,081   
  3,120     

Clear Channel Communications, Inc.

    14.000%        2/01/21        CCC–        2,063,048   
  1,000     

Clear Channel Communications, Inc.

    9.000%        3/01/21        CCC+        905,000   
  600     

Expo Event Transco Inc., 144A

    9.000%        6/15/21        B–        616,500   
  500     

McGraw-Hill Global Education Holdings

    9.750%        4/01/21        BB        553,750   
  8,905     

Total Media

                            7,684,674   
      Oil, Gas & Consumable Fuels – 0.7% (0.5% of Total Investments)                        
  2,000     

Chaparral Energy Inc.

    9.875%        10/01/20        B–        1,355,000   
      Pharmaceuticals – 2.5% (1.7% of Total Investments)                        
  1,000     

Jaguar Holding Company I, 144A

    9.375%        10/15/17        CCC+        1,021,250   
  2,000     

Valeant Pharmaceuticals International, 144A

    7.000%        10/01/20        B1        2,077,500   
  500     

Valeant Pharmaceuticals International, 144A

    7.250%        7/15/22        B1        527,500   
  1,000     

VPII Escrow Corporation, 144A

    7.500%        7/15/21        B1        1,085,000   
  4,500     

Total Pharmaceuticals

                            4,711,250   
      Semiconductors & Semiconductor Equipment – 0.1% (0.1% of Total Investments)                        
  250     

Advanced Micro Devices, Inc.

    7.750%        8/01/20        B–        168,281   

 

  60      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      Semiconductors & Semiconductor Equipment (continued)                        
$ 166     

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–      $ 114,540   
  416     

Total Semiconductors & Semiconductor Equipment

                            282,821   
      Software – 0.4% (0.2% of Total Investments)                        
  580     

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        432,100   
  450     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%        10/15/19        CCC+        279,000   
  1,030     

Total Software

                            711,100   
      Specialty Retail – 0.2% (0.1% of Total Investments)                        
  500     

99 Cents Only Stores

    11.000%        12/15/19        Caa1        410,000   
      Trading Companies & Distributors – 0.6% (0.4% of Total Investments)                        
  1,000     

HD Supply Inc.

    11.500%        7/15/20        B–        1,161,870   
      Wireless Telecommunication Services – 2.6% (1.7% of Total Investments)                        
  500     

FairPoint Communications Inc., 144A

    8.750%        8/15/19        B        525,000   
  2,750     

Sprint Corporation

    7.875%        9/15/23        B+        2,636,562   
  250     

Sprint Corporation

    7.125%        6/15/24        B+        228,750   
  1,250     

T-Mobile USA Inc.

    6.250%        4/01/21        BB        1,309,375   
  75     

T-Mobile USA Inc.

    6.731%        4/28/22        BB        79,500   
  75     

T-Mobile USA Inc.

    6.836%        4/28/23        BB        80,250   
  4,900     

Total Wireless Telecommunication Services

                            4,859,437   
$ 35,845     

Total Corporate Bonds (cost $35,185,551)

                            33,171,695   
 

Total Long-Term Investments (cost $269,054,822)

                            265,402,287   
Principal
Amount (000)
    Description (1)   Coupon     Maturity            Value  
 

SHORT-TERM INVESTMENTS – 8.4% (5.6% of Total Investments)

       
      REPURCHASE AGREEMENTS – 8.4% (5.6% of Total Investments)                        
$ 15,857     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $15,857,005, collateralized by $16,175,000 U.S. Treasury Notes, 2.000%, due 7/31/22, value $16,175,000

    0.000%        8/03/15              $ 15,857,005   
 

Total Short-Term Investments (cost $15,857,005)

                            15,857,005   
 

Total Investments (cost $284,911,827) – 149.6%

                            281,259,292   
 

Borrowings – (45.3)% (6), (7)

                            (85,200,000
 

Other Assets Less Liabilities – (4.3)% (8)

                            (8,027,932
 

Net Assets Applicable to Common Shares – 100%

                          $ 188,031,360   

Investments in Derivatives as of July 31, 2015

Interest Rate Swaps outstanding:

 

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

Morgan Stanley

   $ 17,500,000         Receive         1-Month USD-LIBOR-ICE         1.659      Monthly         9/15/18       $ (302,028

 

Nuveen Investments     61   


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2015

 

Credit Default Swaps outstanding:

 

Counterparty   Referenced entity   Buy/Sell
Protection (9)
    Current
Credit Spread (10)
    Notional
Amount
    Fixed Rate
(Annualized)
    Termination
Date
    Value     Unrealized
Appreciation
Depreciation
 

Citigroup

 

Barrick Gold Corporation

    Buy        3.23   $ 2,000,000        1.000     9/20/20      $ 193,803      $ 41,350   

Citigroup

 

Newmont Mining
Corporation

    Buy        2.33        1,000,000        1.000        9/20/20        59,461        43,605   

JPMorgan

 

Avon Products

    Buy        7.19        2,000,000        5.000        9/20/20        153,209        9,162   

JPMorgan

 

Darden Restaurants, Inc.

    Buy        0.83        2,000,000        1.000        9/20/20        (18,919     (33,222

JPMorgan

 

Newmont Mining
Corporation

    Buy        2.33        1,000,000        1.000        9/20/20        59,461        42,905   
                        $ 8,000,000                      $ 447,015      $ 103,800   

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

 

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

 

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

 

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

 

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

 

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

 

(6) Borrowings as a percentage of Total Investments is 30.3%.

 

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

 

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

 

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

 

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

 

(WI/DD) Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.

 

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

 

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

 

USD-LIBOR-ICE United States Dollar – London Inter-Bank Offered Rate Intercontinental Exchange.

 

See accompanying notes to financial statements.

 

  62      Nuveen Investments


JQC

 

Nuveen Credit Strategies Income Fund

  

Portfolio of Investments

   July 31, 2015

 

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

LONG-TERM INVESTMENTS – 154.5% (96.6% of Total Investments)

       
 

VARIABLE RATE SENIOR LOAN INTERESTS – 114.9% (71.8% of Total Investments) (4)

  

     
      Aerospace & Defense – 0.3% (0.2% of Total Investments)                        
$ 4,269     

B/E Aerospace, Inc., Term Loan B, First Lien

    4.000%        12/16/21        BB+      $ 4,312,751   
      Airlines – 1.5% (0.9% of Total Investments)                        
  7,369     

American Airlines, Inc., Term Loan B, First Lien

    3.250%        6/27/20        BB+        7,343,748   
  10,575     

Delta Air Lines, Inc., Term Loan B1

    3.250%        10/18/18        BBB        10,576,650   
  2,165     

Delta Air Lines, Inc., Term Loan B

    3.250%        4/20/17        BB+        2,167,391   
  20,109     

Total Airlines

                            20,087,789   
      Automobiles – 3.2% (2.0% of Total Investments)                        
  4,533     

Chrysler Group LLC, Term Loan B

    3.500%        5/24/17        BB+        4,537,040   
  21,196     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%        12/31/18        BB+        21,214,981   
  15,795     

Formula One Group, Term Loan, First Lien, (DD1)

    4.750%        7/30/21        B        15,797,097   
  2,000     

Formula One Group, Term Loan, Second Lien

    7.750%        7/29/22        CCC+        2,001,876   
  43,524     

Total Automobiles

                            43,550,994   
      Chemicals – 5.4% (3.4% of Total Investments)                        
  17,066     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        17,078,647   
  5,412     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        5,431,697   
  34,413     

Univar, Inc., Term Loan B, First Lien

    4.250%        6/24/22        BB–        34,521,032   
  15,459     

US Coatings Acquisition, Term Loan B

    3.750%        2/01/20        BB–        15,465,586   
  72,350     

Total Chemicals

                            72,496,962   
      Commercial Services & Supplies – 1.8% (1.1% of Total Investments)                        
  9,583     

ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2

    3.750%        10/09/19        B+        9,556,979   
  34,949     

Millennium Laboratories, Inc., Tranche B, Term Loan

    5.250%        4/16/21        CCC+        14,678,424   
  44,532     

Total Commercial Services & Supplies

                            24,235,403   
      Communications Equipment – 1.5% (0.9% of Total Investments)                        
  3,296     

Avaya, Inc., Term Loan B3

    4.691%        10/26/17        B1        3,274,762   
  1,896     

Commscope, Inc., Term Loan B, First Lien

    3.750%        5/28/22        BB        1,904,522   
  14,820     

Telesat Canada Inc., Term Loan B

    3.500%        3/28/19        BB        14,832,100   
  20,012     

Total Communications Equipment

                            20,011,384   
      Consumer Finance – 3.7% (2.3% of Total Investments)                        
  5,000     

First Data Corporation, Term Loan B1, Second Lien

    3.687%        9/24/18        BB        4,994,270   
  23,173     

First Data Corporation, Second New Dollar, Term Loan

    3.687%        3/24/17        BB–        23,171,106   
  21,000     

First Data Corporation, Term Loan

    3.687%        3/23/18        BB        20,975,388   
  49,173     

Total Consumer Finance

                            49,140,764   
      Containers & Packaging – 1.3% (0.8% of Total Investments)                        
  17,641     

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

    4.500%        12/01/18        B+        17,762,456   
      Diversified Consumer Services – 4.3% (2.7% of Total Investments)                        
  10,244     

Cengage Learning Acquisitions, Inc., Exit Term Loan

    7.000%        3/31/20        B+        10,305,457   
  26,492     

Hilton Hotels Corporation, Term Loan B2

    3.500%        10/25/20        BBB–        26,576,459   
  3,419     

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B        3,203,707   
  17,231     

ServiceMaster Company, Term Loan

    4.250%        7/01/21        B+        17,295,061   
  57,386     

Total Diversified Consumer Services

                            57,380,684   
      Diversified Telecommunication Services – 5.0% (3.1% of Total Investments)                        
  2,279     

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    3.750%        6/30/19        BB–        2,259,704   

 

Nuveen Investments     63   


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Diversified Telecommunication Services (continued)                        
$ 7,382     

Level 3 Financing, Inc., Term Loan B2

    3.500%        5/31/22        BB      $ 7,362,743   
  16,470     

WideOpenWest Finance LLC, Term Loan B

    4.500%        4/01/19        Ba3        16,512,764   
  15,161     

Ziggo N.V., Term Loan B1

    3.500%        1/15/22        BB–        15,115,793   
  9,770     

Ziggo N.V., Term Loan B2

    3.500%        1/15/22        BB–        9,740,902   
  16,069     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.500%        1/15/22        BB–        16,020,305   
  67,131     

Total Diversified Telecommunication Services

                            67,012,211   
      Energy Equipment & Services – 0.6% (0.4% of Total Investments)                        
  6,041     

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

    6.000%        3/31/21        B        4,725,375   
  6,355     

Vantage Drilling Company, Term Loan B

    5.750%        3/28/19        CCC        3,280,795   
  12,396     

Total Energy Equipment & Services

                            8,006,170   
      Food & Staples Retailing – 4.8% (3.0% of Total Investments)                        
  13,332     

Albertson’s LLC, Term Loan B2

    5.375%        3/21/19        BB–        13,406,898   
  28,928     

Albertson’s LLC, Term Loan B4

    5.500%        8/25/21        BB–        29,083,651   
  12,816     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%        9/26/19        B–        12,854,047   
  7,500     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%        3/26/20        CCC        7,570,312   
  1,944     

Supervalu, Inc., New Term Loan

    4.500%        3/21/19        BB        1,954,169   
  64,520     

Total Food & Staples Retailing

                            64,869,077   
      Food Products – 4.0% (2.5% of Total Investments)                        
  12,000     

Jacobs Douwe Egberts, Term Loan B

    4.250%        7/23/21        BB        12,000,000   
  42,299     

US Foods, Inc., Incremental Term Loan

    4.500%        3/31/19        B2        42,488,810   
  54,299     

Total Food Products

                            54,488,810   
      Health Care Equipment & Supplies – 4.5% (2.8% of Total Investments)                        
  10,000     

ConvaTec Healthcare, Term Loan B

    4.250%        6/09/20        Ba2        9,987,500   
  15,591     

Kinetic Concepts, Inc., Incremental Term Loan E1

    4.500%        5/04/18        BB–        15,684,910   
  9,512     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        9,535,434   
  11,672     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        11,639,619   
  13,500     

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        13,601,250   
  60,275     

Total Health Care Equipment & Supplies

                            60,448,713   
      Health Care Providers & Services – 3.9% (2.4% of Total Investments)                        
  439     

Community Health Systems, Inc., Term Loan F

    3.534%        12/31/18        BB        440,046   
  7,586     

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB        7,610,932   
  15,177     

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB        15,257,986   
  20,513     

Drumm Investors LLC, Term Loan

    6.750%        5/04/18        B        20,786,419   
  8,339     

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        8,364,650   
  52,054     

Total Health Care Providers & Services

                            52,460,033   
      Hotels, Restaurants & Leisure – 6.8% (4.3% of Total Investments)                        
  30,585     

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        30,687,807   
  1,723     

CCM Merger, Inc., Term Loan B

    4.500%        8/08/21        BB–        1,731,202   
  6,721     

Landry’s Restaraunts, Inc., Term Loan B

    4.000%        4/24/18        BB–        6,753,101   
  13,000     

Life Time Fitness, Inc., Term Loan B

    4.250%        6/10/22        BB–        12,997,296   
  6,398     

MGM Resorts International, Term Loan B, (DD1)

    3.500%        12/20/19        BB+        6,386,471   
  7,463     

Scientific Games Corporation, Term Loan B2

    6.000%        10/01/21        BB–        7,503,544   
  8,865     

Scientific Games Corporation, Term Loan

    6.000%        10/18/20        BB–        8,912,401   
  16,358     

Station Casino LLC, Term Loan B

    4.250%        3/02/20        B+        16,416,130   
  91,113     

Total Hotels, Restaurants & Leisure

                            91,387,952   
      Household Durables – 0.9% (0.6% of Total Investments)                        
  11,956     

Serta Simmons Holdings LLC, Term Loan

    4.250%        10/01/19        B+        11,997,107   
      Insurance – 1.4% (0.9% of Total Investments)                        
  10,808     

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        B1        10,775,158   
  7,801     

USI Holdings Corporation, Initial Term Loan

    4.250%        12/27/19        B1        7,812,424   
  18,609     

Total Insurance

                            18,587,582   

 

  64      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Internet & Catalog Retail – 2.2% (1.4% of Total Investments)                        
$ 29,870     

Travelport LLC, Term Loan B, First Lien

    5.750%        9/02/21        B      $ 30,016,193   
      Internet Software & Services – 3.5% (2.2% of Total Investments)                        
  36,672     

Sabre Inc., Term Loan

    4.000%        2/19/19        Ba3        36,851,688   
  9,975     

Tibco Software, Inc., Term Loan B

    6.500%        12/04/20        B1        10,009,294   
  46,647     

Total Internet Software & Services

                            46,860,982   
      IT Services – 0.2% (0.1% of Total Investments)                        
  2,902     

Zayo Group LLC, Term Loan B

    3.750%        5/06/21        Ba2        2,896,969   
      Leisure Products – 0.5% (0.3% of Total Investments)                        
  4,500     

Academy, Ltd., Term Loan B

    5.000%        7/01/22        B        4,521,798   
  2,574     

Bombardier Recreational Products, Inc., Term Loan B

    3.750%        1/30/19        BB–        2,582,668   
  7,074     

Total Leisure Products

                            7,104,466   
      Machinery – 0.4% (0.3% of Total Investments)                        
  5,895     

Rexnord LLC, Term Loan B

    4.000%        8/21/20        BB–        5,906,053   
      Media – 10.8% (6.7% of Total Investments)                        
  32,143     

Tribune Company, Term Loan B

    3.750%        12/28/20        BB+        32,222,742   
  7,382     

Acquisitions Cogeco Cable II L.P., Term Loan B

    3.250%        11/30/19        BB        7,385,752   
  3,623     

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

    4.250%        7/25/21        B1        3,622,625   
  2,950     

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

    7.500%        7/25/22        CCC+        2,937,094   
  1,235     

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

    6.940%        1/30/19        CCC+        1,137,580   
  1,358     

Clear Channel Communications, Inc. Term Loan E

    7.690%        7/30/19        CCC+        1,266,815   
  33,846     

Cumulus Media, Inc., Term Loan B

    4.250%        12/23/20        B+        31,308,167   
  29,666     

EMI Music Publishing LLC, Term Loan B

    3.750%        6/29/18        BB–        29,724,488   
  19,066     

Interactive Data Corporation, Term Loan B

    4.750%        5/02/21        B+        19,165,170   
  6,616     

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.750%        8/14/20        B1        6,648,835   
  4,279     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%        3/01/20        B+        4,282,089   
  5,190     

Virgin Media Investment Holdings, Term Loan F, First Lien

    3.500%        6/30/23        BB–        5,179,108   
  147,354     

Total Media

                            144,880,465   
      Multiline Retail – 0.9% (0.6% of Total Investments)                        
  9,080     

Dollar Tree, Inc., Term Loan B1

    3.500%        7/06/22        BB+        9,115,939   
  2,840     

Dollar Tree, Inc., Term Loan B2

    4.250%        3/09/22        BB+        2,848,875   
  11,920     

Total Multiline Retail

                            11,964,814   
      Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments)                        
  1,182     

Crestwood Holdings LLC, Term Loan B

    7.000%        6/19/19        B2        1,160,120   
  5,115     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B2        2,829,260   
  3,653     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%        6/18/20        B        2,828,330   
  9,950     

Total Oil, Gas & Consumable Fuels

                            6,817,710   
      Pharmaceuticals – 5.9% (3.7% of Total Investments)                        
  13,000     

Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)

    TBD        TBD        Ba1        13,024,375   
  4,500     

Endo Health Solutions, Inc., Term Loan B, (WI/DD)

    TBD        TBD        Ba1        4,526,366   
  36,294     

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

    4.000%        12/01/18        Ba2        36,355,337   
  12,712     

Valeant Pharmaceuticals International, Inc., Term Loan E

    3.500%        8/05/20        BB+        12,740,477   
  4,888     

Valeant Pharmaceuticals International, Inc., Term Loan F

    4.000%        4/01/22        BB+        4,916,353   
  7,234     

Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan C2

    3.500%        12/11/19        BB+        7,252,249   
  78,628     

Total Pharmaceuticals

                            78,815,157   
      Professional Services – 0.1% (0.0% of Total Investments)                        
  930     

Ceridian Corporation, Term Loan B2

    4.500%        9/15/20        Ba3        926,381   
      Real Estate Investment Trust – 5.6% (3.5% of Total Investments)                        
  29,000     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%        10/24/22        BBB–        28,311,250   
  25,341     

iStar Financial, Inc., Term Loan, Tranche A2, First Lien

    7.000%        3/19/17        Ba3        26,006,095   

 

Nuveen Investments     65   


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon (4)     Maturity (2)     Ratings (3)     Value  
      Real Estate Investment Trust (continued)                        
$ 17,138     

Realogy Corporation, Initial Term Loan B

    3.750%        3/05/20        BB      $ 17,172,473   
  4,318     

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.750%        12/18/20        B+        4,141,403   
  75,797     

Total Real Estate Investment Trust

                            75,631,221   
      Real Estate Management & Development – 1.6% (1.0% of Total Investments)                    
  21,540     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        Ba2        21,664,660   
      Semiconductors & Semiconductor Equipment – 5.1% (3.2% of Total Investments)                    
  32,718     

Avago Technologies, Term Loan B

    3.750%        5/06/21        BBB–        32,809,728   
  35,193     

Freescale Semiconductor, Inc., Term Loan, Tranche B4

    4.250%        2/28/20        BB–        35,332,320   
  67,911     

Total Semiconductors & Semiconductor Equipment

                            68,142,048   
      Software – 15.3% (9.6% of Total Investments)                        
  4,133     

Blackboard, Inc., Term Loan B3

    4.750%        10/04/18        B+        4,141,947   
  31,944     

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B1        29,276,591   
  10,778     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%        12/15/21        B        10,542,133   
  28,375     

Datatel Parent Corp, Term Loan B1

    4.000%        7/19/18        BB–        28,467,341   
  16,937     

Emdeon Business Services LLC, Term Loan B2

    3.750%        11/02/18        Ba3        16,929,566   
  24,577     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5

    3.750%        6/03/20        Ba3        24,458,009   
  6,500     

Informatica Corp., Term Loan B, (WI/DD)

    TBD        TBD        B        6,512,864   
  18,169     

Kronos Incorporated, Initial Term Loan, Second Lien

    9.750%        4/30/20        CCC        18,725,768   
  9,106     

Micro Focus International PLC, Term Loan B

    5.250%        11/19/21        BB–        9,156,891   
  1,609     

Micro Focus International PLC, Term Loan C

    4.500%        11/20/19        BB–        1,611,096   
  15,000     

Misys PLC, Term Loan, Second Lien

    12.000%        6/12/19        CCC+        16,354,695   
  13,873     

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

    4.000%        7/08/22        BB        14,003,069   
  2,287     

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

    4.000%        7/08/22        BB        2,308,198   
  4,794     

SunGard Data Systems, Inc., Term Loan E

    4.000%        3/08/20        BB        4,807,751   
  10,000     

Vertafore, Inc., Term Loan, Second Lien

    9.750%        10/29/17        CCC+        10,131,250   
  8,445     

Zebra Technologies Corporation, Term Loan B, First Lien

    4.750%        10/27/21        BB+        8,557,250   
  206,527     

Total Software

                            205,984,419   
      Specialty Retail – 4.0% (2.5% of Total Investments)                        
  7,447     

Burlington Coat Factory Warehouse Corporation, Term Loan B3

    4.250%        8/13/21        BB–        7,472,574   
  1,661     

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

    4.000%        3/16/18        Ba3        1,644,055   
  2,855     

Michaels Stores, Inc. Term Loan, First Lien

    3.750%        1/28/20        Ba2        2,863,625   
  28,628     

Petsmart, Inc., Term Loan B

    4.250%        3/11/22        BB–        28,773,023   
  12,400     

Staples, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        BBB        12,418,910   
  52,991     

Total Specialty Retail

                            53,172,187   
      Technology Hardware, Storage & Peripherals – 1.9% (1.2% of Total Investments)                    
  25,611     

Dell, Inc., Term Loan B2

    4.000%        4/29/20        BBB        25,633,939   
      Trading Companies & Distributors – 1.5% (0.9% of Total Investments)                        
  19,765     

HD Supply, Inc., Term Loan

    4.000%        6/28/18        BB–        19,819,476   
$ 1,572,661     

Total Variable Rate Senior Loan Interests (cost $1,564,798,155)

                            1,544,473,982   
Shares     Description (1)                        Value  
 

COMMON STOCKS – 6.6% (4.1% of Total Investments)

       
      Aerospace & Defense – 0.0% (0.0% of Total Investments)                        
  21,263     

Aerojet Rocketdyne Holdings Inc., (5)

        $ 497,767   
  138     

Boeing Company

          19,895   
  255     

Honeywell International Inc.

          26,788   
  59     

Lockheed Martin Corporation

          12,219   
  39     

TransDigm Group Inc., (5)

                            8,826   
 

Total Aerospace & Defense

                            565,495   

 

  66      Nuveen Investments


Shares     Description (1)                  Value  
      Air Freight & Logistics – 0.1% (0.1% of Total Investments)                  
  111     

FedEx Corporation

        $ 19,028   
  8,892     

Park Ohio Holdings Corporation

          399,340   
  14,063     

XPO Logistics, Incorporated, (5)

                609,631   
 

Total Air Freight & Logistics

                1,027,999   
      Airlines – 0.0% (0.0% of Total Investments)                  
  4,616     

Ryanair Holdings PLC

          342,092   
  321     

Southwest Airlines Co.

          11,620   
  156     

United Continental Holdings Inc., (5)

                8,797   
 

Total Airlines

                362,509   
      Auto Components – 0.0% (0.0% of Total Investments)                  
  2,238     

Delphi Automotive PLC

          174,743   
  8,852     

Remy International Inc.

                262,019   
 

Total Auto Components

                436,762   
      Automobiles – 0.1% (0.1% of Total Investments)                  
  4,494     

Daimler AG, (7)

          400,730   
  4,384     

Toyota Motor Corporation, Sponsored ADR

          585,089   
  12,219     

Winnebago Industries Inc.

                272,850   
 

Total Automobiles

                1,258,669   
      Banks – 0.5% (0.3% of Total Investments)                  
  14,359     

Banco Latinoamericano de Exportaciones S.A

          395,160   
  25,101     

Banco Santander SA

          170,938   
  3,094     

Bank of Nova Scotia

          151,946   
  13,914     

Banner Corporation

          663,141   
  11,799     

BNP Paribas SA, (7)

          385,473   
  20,856     

FCB Financial Holdings, Inc., Class A Shares, (5)

          724,329   
  19,820     

Lloyds TSB Group PLC

          104,253   
  67,566     

Mitsubishi UFJ Financial Group Inc.

          495,259   
  9,491     

National Australia Bank Limited, (7)

          119,776   
  11,117     

Pacwest Bancorp.

          514,606   
  19,876     

Privatebancorp, Inc.

          821,674   
  8,001     

Stonegate Bank

          246,191   
  43,599     

Sumitomo Mitsui Financial Group, Inc.

          403,727   
  14,234     

Trico Bancshares

          352,861   
  11,235     

Western Alliance Bancorporation, (5)

          380,080   
  13,887     

Wintrust Financial Corporation

                748,787   
 

Total Banks

                6,678,201   
      Beverages – 0.1% (0.0% of Total Investments)                  
  516     

Coca-Cola Company

          21,197   
  138     

Constellation Brands, Inc., Class A

          16,563   
  13,598     

Embotelladora Andina SA

          226,407   
  241     

PepsiCo, Inc.

          23,220   
  7,961     

SABMiller PLC, (7)

                417,515   
 

Total Beverages

                704,902   
      Biotechnology – 0.1% (0.1% of Total Investments)                  
  180     

Amgen Inc.

          31,786   
  46     

Biogen Inc., (5)

          14,664   
  32     

BioMarin Pharmaceutical Inc., (5)

          4,681   
  39,895     

Catalyst Pharmaceutical Partners, Inc., (5)

          197,081   
  114     

Celgene Corporation, (5)

          14,963   
  15,862     

Emergent BioSolutions, Inc., (5)

          520,749   
  6,236     

Enanta Pharmaceuticals Inc., (5)

          315,853   
  317     

Gilead Sciences, Inc.

          37,362   
  8,151     

Grifols SA

          264,500   
  5,219     

ISIS Pharmaceuticals, Inc., (5)

          286,680   
  24,342     

Progenics Pharmaceuticals, Inc., (5)

          210,802   
  14     

Regeneron Pharmaceuticals, Inc., (5)

          7,751   

 

Nuveen Investments     67   


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Shares     Description (1)                  Value  
      Biotechnology (continued)                  
  63     

Vertex Pharmaceuticals Inc., (5)

              $ 8,505   
 

Total Biotechnology

                1,915,377   
      Building Products – 0.1% (0.1% of Total Investments)                  
  12,788     

Caesarstone Sdot-Yam Limited, (5)

                917,411   
      Capital Markets – 0.1% (0.1% of Total Investments)                  
  29,827     

American Capital Limited, (5)

          391,032   
  341     

Charles Schwab Corporation

          11,894   
  5,085     

Credit Suisse Group

          149,753   
  6,699     

Deutsche Bank AG

          234,599   
  24,633     

Julius Baer Holding Limited Zurich AG, (7)

          271,456   
  31,120     

KCG Holdings Inc., Class A Shares, (5)

          330,494   
  45,183     

Nomura Holdings Inc.

          325,318   
  221     

SEI Investments Company

                11,782   
 

Total Capital Markets

                1,726,328   
      Chemicals – 0.1% (0.1% of Total Investments)                  
  25,507     

Axalta Coating Systems Limited, (5)

          811,378   
  49     

International Flavors & Fragrances Inc.

          5,664   
  36,417     

Israel Chemicals Limited

          249,456   
  146     

LyondellBasell Industries NV

          13,699   
  6,024     

Methanex Corporation

          271,622   
  66     

Monsanto Company

          6,725   
  14     

NewMarket Corporation

          5,568   
  128     

PPG Industries, Inc.

          13,873   
  56     

Praxair, Inc.

                6,392   
 

Total Chemicals

                1,384,377   
      Commercial Services & Supplies – 0.1% (0.1% of Total Investments)                  
  69,545     

Casella Waste Systems, Inc., (5)

          441,611   
  9,641     

G&K Services, Inc.

          632,064   
  8,659     

Ritchie Bros. Auctioneers Incorporated

          233,966   
  3,193     

UniFirst Corporation

                353,848   
 

Total Commercial Services & Supplies

                1,661,489   
      Communications Equipment – 0.0% (0.0% of Total Investments)                  
  92     

F5 Networks, Inc., (5)

          12,341   
  32     

Palo Alto Networks, Incorporated, (5)

          5,947   
  19,902     

Radware, Limited, (5)

                378,934   
 

Total Communications Equipment

                397,222   
      Construction & Engineering – 0.0% (0.0% of Total Investments)                  
  8,373     

Abengoa SA, Class B

                92,564   
      Construction Materials – 0.0% (0.0% of Total Investments)                  
  77     

Martin Marietta Materials

                12,075   
      Consumer Finance – 0.0% (0.0% of Total Investments)                  
  239     

American Express Company

                18,178   
      Containers & Packaging – 0.1% (0.0% of Total Investments)                  
  17,970     

Berry Plastics Corporation, (5)

                585,103   
      Diversified Consumer Services – 0.8% (0.5% of Total Investments)                  
  403,318     

Cengage Learning Holdings II LP, (5), (7)

                10,687,927   
      Diversified Financial Services – 0.0% (0.0% of Total Investments)                  
  200     

Voya Financial Inc.

                9,390   

 

  68      Nuveen Investments


Shares     Description (1)                  Value  
      Diversified Telecommunication Services – 0.2% (0.1% of Total Investments)                  
  5,825     

BT Group PLC

        $ 420,915   
  7,849     

Chunghwa Telecom Co., Ltd

          243,711   
  12,140     

Deutsche Telekom AG, (7)

          218,520   
  8,693     

Nippon Telegraph and Telephone Corporation, ADR

          335,811   
  6,126     

PT Telekomunikasi Indonesia

          263,479   
  12,776     

Spark New Zealand Limited, (7)

          124,310   
  12,299     

Telstra Corporation Limited, (7)

          290,010   
  513     

Verizon Communications Inc.

          24,003   
  190     

Zayo Group Holdings, Inc., (5)

                5,073   
 

Total Diversified Telecommunication Services

                1,925,832   
      Electric Utilities – 0.1% (0.0% of Total Investments)                  
  12,171     

Korea Electric Power Corporation

          262,285   
  13,331     

Unitil Corp.

                473,917   
 

Total Electric Utilities

                736,202   
      Electrical Equipment – 0.0% (0.0% of Total Investments)                  
  197     

Ametek Inc.

                10,451   
      Electronic Equipment, Instruments & Components – 0.1% (0.1% of Total Investments)                  
  50,686     

Au Optronic Corporation

          168,784   
  6,081     

SYNNEX Corporation

          459,906   
  6,392     

Zebra Technologies Corporation, Class A, (5)

                687,971   
 

Total Electronic Equipment, Instruments & Components

                1,316,661   
      Energy Equipment & Services – 0.0% (0.0% of Total Investments)                  
  83     

Schlumberger Limited

                6,874   
      Food & Staples Retailing – 0.2% (0.1% of Total Investments)                  
  5,053     

Casey’s General Stores, Inc.

          516,492   
  152     

Costco Wholesale Corporation

          22,086   
  15,077     

Delhaize America Inc.

          340,137   
  468     

Kroger Co.

          18,364   
  38,062     

Metro AG, (7)

          237,507   
  63,390     

Rite Aid Corporation, (5)

          564,805   
  49,194     

SUPERVALU INC.

          453,569   
  162     

Walgreens Boots Alliance Inc.

                15,654   
 

Total Food & Staples Retailing

                2,168,614   
      Food Products – 0.0% (0.0% of Total Investments)                  
  114     

Hershey Foods Corporation

          10,589   
  2,957     

Nestle S.A, (7)

                223,549   
 

Total Food Products

                234,138   
      Gas Utilities – 0.0% (0.0% of Total Investments)                  
  5,013     

Laclede Group Inc.

                271,253   
      Health Care Equipment & Supplies – 0.2% (0.1% of Total Investments)                  
  5,053     

DexCom, Inc., (5)

          427,736   
  13,147     

Insulet Corporation, (5)

          445,552   
  13,460     

Merit Medical Systems, Inc., (5)

          344,038   
  13,125     

Tandem Diabetes Care Inc., (5)

          164,719   
  4,843     

Teleflex Inc.

          648,914   
  10,467     

Wright Medical Group, Inc., (5)

                270,467   
 

Total Health Care Equipment & Supplies

                2,301,426   
      Health Care Providers & Services – 0.2% (0.1% of Total Investments)                  
  11,038     

AMN Healthcare Services Inc., (5)

          324,848   
  46     

CIGNA Corporation

          6,627   
  117     

Express Scripts, Holding Company, (5)

          10,538   
  135     

HCA Holdings Inc., (5)

          12,556   

 

Nuveen Investments     69   


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Shares     Description (1)                  Value  
      Health Care Providers & Services (continued)                  
  27,202     

Kindred Healthcare Inc.

        $ 561,177   
  6,969     

Lifepoint Hospitals Inc., (5)

          577,451   
  107     

McKesson HBOC Inc.

          23,601   
  8,689     

Pharmerica Corporation, (5)

          296,903   
  9,411     

Team Health Holdings Inc., (5)

          634,396   
  166     

UnitedHealth Group Incorporated

          20,152   
  37,421     

Universal American Corporation, (5)

                346,893   
 

Total Health Care Providers & Services

                2,815,142   
      Health Care Technology – 0.0% (0.0% of Total Investments)                  
  19,676     

MedAssets Inc., (5)

                458,451   
      Hotels, Restaurants & Leisure – 0.3% (0.2% of Total Investments)                  
  6,691     

BJ’s Restaurants, Inc., (5)

          344,988   
  231     

Brinker International Inc.

          13,837   
  6,258     

Carnival Corporation

          346,318   
  10,199     

China Lodging Group Limited, (5)

          236,209   
  18,764     

Dave & Buster’s Entertainment Inc., (5)

          728,043   
  3,577     

Intercontinental Hotels Group

          149,626   
  20,839     

La Quinta Holdings Inc., (5)

          442,204   
  9,294     

Marriott Vacations World

          776,978   
  149     

McDonald’s Corporation

          14,879   
  33,448     

Penn National Gaming, Inc., (5)

          638,188   
  16,938     

Sonic Corporation

          503,397   
  479     

Starbucks Corporation

          27,748   
  204     

Wyndham Worldwide Corporation

                16,834   
 

Total Hotels, Restaurants & Leisure

                4,239,249   
      Household Durables – 0.0% (0.0% of Total Investments)                  
  25,288     

Panasonic Corporation, (7)

                295,111   
      Household Products – 0.0% (0.0% of Total Investments)                  
  49     

Kimberly-Clark Corporation

                5,634   
      Independent Power & Renewable Electricity Producers – 0.0% (0.0% of Total Investments)                  
  6,042     

Huaneng Power International Inc.

                292,735   
      Industrial Conglomerates – 0.0% (0.0% of Total Investments)                  
  156     

Carlisle Companies Inc.

          15,797   
  149     

Danaher Corporation

                13,642   
 

Total Industrial Conglomerates

                29,439   
      Insurance – 0.3% (0.2% of Total Investments)                  
  30,811     

Allinaz S.E, (7)

          505,300   
  12,101     

Argo Group International Holdings Inc.

          682,254   
  176     

Arthur J. Gallagher & Co.

          8,348   
  10,066     

AXA-UAP, (7)

          264,836   
  22,372     

Fidelity & Guaranty Life

          582,343   
  36,640     

FNFV Group, (5)

          533,478   
  39,061     

Patriot National Inc., (5)

          726,535   
  11,465     

Primerica Inc.

          518,562   
  96     

Prudential Corporation PLC

          4,537   
  7,833     

Sun Life Financial Inc.

                255,512   
 

Total Insurance

                4,081,705   
      Internet & Catalog Retail – 0.0% (0.0% of Total Investments)                  
  80     

Amazon.com, Inc., (5)

          42,892   
  3,282     

CTRIP.com, (5)

          234,926   
  49     

NetFlix.com Inc., (5)

          5,601   
  8     

priceline.com Incorporated, (5)

                9,949   
 

Total Internet & Catalog Retail

                293,368   

 

  70      Nuveen Investments


Shares     Description (1)                  Value  
      Internet Software & Services – 0.1% (0.0% of Total Investments)                  
  176     

Akamai Technologies, Inc., (5)

        $ 13,501   
  207     

eBay Inc., (5)

          5,821   
  461     

Facebook Inc., Class A Shares, (5)

          43,339   
  117     

Google Inc., Class A, (5)

          76,928   
  1,743     

Netease.com, Inc.

          241,632   
  3,436     

Qihoo 360 Technology Co. Ltd, (5)

                213,066   
 

Total Internet Software & Services

                594,287   
      IT Services – 0.3% (0.2% of Total Investments)                  
  170     

Amdocs Limited

          9,971   
  22,729     

Black Knight Financial Services, Inc., Class A Shares, (5)

          740,511   
  18,014     

Blackhawk Network Holdings Inc., (5)

          827,383   
  214     

Cognizant Technology Solutions Corporation, Class A, (5)

          13,503   
  11,335     

CSG Systems International Inc.

          352,519   
  22,043     

Evertec Inc.

          414,849   
  266     

MasterCard, Inc.

          25,908   
  35,675     

Net 1 Ueps Technologies, Inc., (5)

          692,809   
  207     

PayPal Holdings, Inc., (5)

          8,011   
  231     

Total System Services Inc.

          10,677   
  9,666     

VeriFone Holdings Inc., (5)

          311,052   
  341     

Visa Inc.

          25,691   
  9,380     

WNS Holdings Limited, (5)

                279,618   
 

Total IT Services

                3,712,502   
      Life Sciences Tools & Services – 0.0% (0.0% of Total Investments)                  
  383     

Bruker Biosciences Corporation, (5)

          8,062   
  3,872     

ICON plc, (5)

                312,858   
 

Total Life Sciences Tools & Services

                320,920   
      Machinery – 0.2% (0.1% of Total Investments)                  
  17,430     

Barnes Group Inc.

          678,550   
  20,528     

Briggs & Stratton Corporation

          379,357   
  5,349     

Fanuc Limited, (7)

          148,542   
  3,543     

Greenbrier Companies Inc.

          162,092   
  20,587     

John Bean Technologies Corporation

          750,396   
  9,975     

Sun Hydraulics Corporation

          353,315   
  83     

WABCO Holdings Inc.

          10,248   
  135     

Wabtec Corporation

                13,661   
 

Total Machinery

                2,496,161   
      Media – 0.2% (0.2% of Total Investments)                  
  596     

Comcast Corporation, Class A

          37,196   
  2,174     

Cumulus Media, Inc., (5)

          3,587   
  7,146     

Madison Square Garden Inc., (5)

          595,976   
  12,825     

Pearson Public Limited Company

          239,315   
  14,741     

Publicis Groupe, (7)

          279,195   
  10,835     

Starz, Class A, (5)

          438,276   
  22,352     

Tribune Media Company

          1,128,552   
  17,987     

Tribune Media Company, (6)

            
  5,588     

Tribune Publishing Company

          83,205   
  218     

Twenty First Century Fox Inc., Class A Shares

          7,519   
  63     

Viacom Inc., Class B

          3,591   
  410     

Walt Disney Company

          49,200   
  2,937     

WPP Group PLC

                338,166   
 

Total Media

                3,203,778   
      Metals & Mining – 0.1% (0.0% of Total Investments)                  
  58,911     

Alumina Limited, (7)

          251,550   
  24,683     

Compania De Minas Buenaventura

          175,743   
  104     

Compass Minerals International, Inc.

          8,320   
  19,754     

Constellium N.V., Class A Shares, (5)

          219,269   
  23,357     

Newcrest Mining Limited, (7)

                194,330   
 

Total Metals & Mining

                849,212   

 

Nuveen Investments     71   


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Shares     Description (1)                  Value  
      Multiline Retail – 0.1% (0.0% of Total Investments)                  
  12,334     

Burlington Store Inc., (5)

        $ 678,863   
  190     

Dollar Tree Stores Inc., (5)

                14,826   
 

Total Multiline Retail

                693,689   
      Multi-Utilities – 0.0% (0.0% of Total Investments)                  
  4,974     

E.ON SE, (7)

          65,508   
  15,465     

Veolia Environment S.A., ADR, (7)

                344,560   
 

Total Multi-Utilities

                410,068   
      Oil, Gas & Consumable Fuels – 0.3% (0.2% of Total Investments)                  
  11,955     

BP PLC

          441,976   
  6,369     

Carrizo Oil & Gas, Inc., (5)

          242,850   
  1,826     

CNOOC Limited

          223,959   
  69     

EOG Resources, Inc.

          5,326   
  5,420     

NuStar Group Holdings LLC

          182,600   
  4,258     

PDC Energy Inc., (5)

          199,913   
  24,823     

Petroleo Brasileiro, Sponsored ADR

          168,796   
  8,084     

Royal Dutch Shell PLC, Class A

          464,668   
  6,157     

Royal Dutch Shell PLC, Class B Shares

          358,030   
  6,352     

SemGroup Corporation, A Shares

          451,564   
  14,112     

Statoil ASA

          238,634   
  7,912     

Suncor Energy, Inc.

          222,802   
  2,611     

Targa Resources Corporation

          230,943   
  9,189     

Total SA, Sponsored ADR

          452,926   
  121     

Williams Companies, Inc.

                6,350   
 

Total Oil, Gas & Consumable Fuels

                3,891,337   
      Paper & Forest Products – 0.1% (0.0% of Total Investments)                  
  7,303     

Clearwater Paper Corporation, (5)

          429,782   
  17,517     

Fibria Celulose S.A

                233,326   
 

Total Paper & Forest Products

                663,108   
      Personal Products – 0.1% (0.0% of Total Investments)                  
  8,778     

L’Oreal, (7)

          327,419   
  7,881     

Unilever PLC

                357,246   
 

Total Personal Products

                684,665   
      Pharmaceuticals – 0.3% (0.2% of Total Investments)                  
  485     

AbbVie Inc.

          33,955   
  92     

Allergan PLC, (5)

          30,466   
  11,845     

AstraZeneca PLC

          400,243   
  245     

Bristol-Myers Squibb Company

          16,082   
  83     

Eli Lilly and Company

          7,014   
  1,279     

Jazz Pharmaceuticals, Inc., (5)

          245,875   
  135     

Mylan NV, (5)

          7,559   
  7,025     

Novartis AG, Sponsored ADR

          728,844   
  9,648     

Novo-Nordisk A/S

          568,846   
  503     

Pfizer Inc.

          18,138   
  16,740     

Roche Holdings AG, Sponsored ADR, (7)

          604,481   
  9,728     

Sanofi-Aventis

          525,215   
  1,710     

Shire plc, ADR

          456,245   
  1,245     

Valeant Pharmaceuticals International

                320,625   
 

Total Pharmaceuticals

                3,963,588   
      Real Estate Investment Trust – 0.3% (0.2% of Total Investments)                  
  20,469     

CubeSmart

          535,469   
  53     

Equinix Inc.

          14,782   
  20,449     

Hudson Pacific Properties Inc.

          629,420   
  23,455     

iStar Financial Inc., (5)

          307,261   
  16,367     

LaSalle Hotel Properties

          544,530   
  23,803     

Northstar Realty Finance Corporation

          380,848   

 

  72      Nuveen Investments


Shares     Description (1)                  Value  
      Real Estate Investment Trust (continued)                  
  441     

Paramount Group Inc.

        $ 7,881   
  6,423     

PS Business Parks Inc.

          494,507   
  87     

Simon Property Group, Inc.

          16,288   
  8,229     

Sun Communities Inc.

                571,998   
 

Total Real Estate Investment Trust

                3,502,984   
      Real Estate Management & Development – 0.0% (0.0% of Total Investments)                  
  365     

CBRE Group Inc., (5)

                13,859   
      Road & Rail – 0.0% (0.0% of Total Investments)                  
  80     

J.B. Hunt Transports Services Inc.

          6,730   
  266     

Union Pacific Corporation

                25,959   
 

Total Road & Rail

                32,689   
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)                  
  1,492     

ARM Holdings PLC

          70,184   
  176     

Avago Technologies Limited

          22,025   
  174,213     

Axcelis Technologies Inc., (5)

          513,928   
  252     

Broadcom Corporation, Class A

          12,754   
  17,950     

Infineon Technologies AG, (7)

          202,835   
  25,364     

Inphi Corporation, (5)

          576,524   
  17,430     

MA-COM Technology Solutions Holdings Incorporated, (5)

          587,565   
  13,566     

Mellanox Technologies, Limited, (5)

          570,450   
  2,633     

NXP Semiconductors NV, (5)

          255,375   
  22,055     

Tokyo Electron Limited, (7)

          302,815   
  23,823     

Xcerra Corporation, (5)

                149,728   
 

Total Semiconductors & Semiconductor Equipment

                3,264,183   
      Software – 0.1% (0.1% of Total Investments)                  
  96     

Adobe Systems Incorporated, (5)

          7,871   
  6,176     

Aspen Technology Inc., (5)

          274,091   
  10,409     

Manhattan Associates Inc., (5)

          674,711   
  709     

Microsoft Corporation

          33,110   
  798     

Oracle Corporation

          31,872   
  183     

Parametric Technology Corporation, (5)

          6,652   
  200     

Salesforce.com, Inc., (5)

          14,660   
  13,283     

Take-Two Interactive Software, Inc., (5)

                419,477   
 

Total Software

                1,462,444   
      Specialty Retail – 0.1% (0.1% of Total Investments)                  
  6,004     

Group 1 Automotive Inc.

          582,208   
  372     

Home Depot, Inc.

          43,535   
  18,809     

Industria de Diseno Textil SA, Inditex, (7)

          323,927   
  5,827     

Lithia Motors Inc.

          697,434   
  101     

O’Reilly Automotive Inc., (5)

          24,271   
  128     

Restoration Hardware Holdings Incorporated, (5)

          12,987   
  362     

Ross Stores, Inc.

          19,244   
  131     

TJX Companies, Inc.

                9,146   
 

Total Specialty Retail

                1,712,752   
      Technology Hardware, Storage & Peripherals – 0.0% (0.0% of Total Investments)          
  912     

Apple, Inc.

          110,626   
  17,181     

Logitech International SA

                246,032   
 

Total Technology Hardware, Storage & Peripherals

                356,658   
      Textiles, Apparel & Luxury Goods – 0.0% (0.0% of Total Investments)                  
  49     

Carter’s Inc.

          4,969   
  4,961     

Luxottica Group SpA

          358,283   
  214     

Nike, Inc., Class B

                24,657   
 

Total Textiles, Apparel & Luxury Goods

                387,909   

 

Nuveen Investments     73   


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Shares     Description (1)                        Value  
      Thrifts & Mortgage Finance – 0.1% (0.1% of Total Investments)                        
  21,887     

Essent Group Limited, (5)

        $ 640,631   
  11,520     

First Defiance Financial Corporation

          442,944   
  31,727     

Walker & Dunlop Inc., (5)

                            759,862   
 

Total Thrifts & Mortgage Finance

                            1,843,437   
      Tobacco – 0.0% (0.0% of Total Investments)                        
  3,987     

British American Tobacco PLC

          474,452   
  4,557     

Japan Tobacco Inc., (7)

          88,679   
  117     

Philip Morris International

                            10,007   
 

Total Tobacco

                            573,138   
      Trading Companies & Distributors – 0.1% (0.1% of Total Investments)                        
  5,861     

AerCap Holdings N.V, (5)

          274,529   
  43,703     

Fly Leasing Limited

          657,293   
  6,392     

Watsco Inc.

                            819,710   
 

Total Trading Companies & Distributors

                            1,751,532   
      Transportation Infrastructure – 0.0% (0.0% of Total Investments)                        
  3,000     

Grupo Aeroportuario del Pacifico S.A.B. de CV

          236,640   
  1,245     

Grupo Aeroportuario del Sureste SA de CV

                            186,264   
 

Total Transportation Infrastructure

                            422,904   
      Wireless Telecommunication Services – 0.0% (0.0% of Total Investments)                        
  34,812     

KDDI Corporation, (7)

                            440,372   
 

Total Common Stocks (cost $91,090,415)

                            89,172,439   
Shares     Description (1), (9)                        Value  
 

EXCHANGE-TRADED FUNDS – 0.8% (0.5% of Total Investments)

       
  4,318     

First Trust NYSE Arca Biotechnology Index Fund

          545,752   
  113,500     

iShares iBoxx $ High Yield Corporate Bond ETF

                            9,984,595   
 

Total Exchange-Traded Funds (cost $10,542,696)

                            10,530,347   
Shares     Description (1)   Coupon            Ratings (3)     Value  
 

CONVERTIBLE PREFERRED SECURITIES – 0.4% (0.3% of Total Investments)

  

      Diversified Telecommunication Services – 0.4% (0.3% of Total Investments)        
  60,000     

Frontier Communications Corporation

    11.125%                N/R      $ 5,865,000   
 

Total Convertible Preferred Securities (cost $5,912,528)

                            5,865,000   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
 

CORPORATE BONDS – 31.8% (19.9% of Total Investments)

       
      Chemicals – 0.5% (0.3% of Total Investments)                        
$ 7,500     

Hexion Inc.

    6.625%        4/15/20        B3      $ 6,871,875   
      Commercial Services & Supplies – 0.3% (0.2% of Total Investments)                        
  3,900     

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–        3,900,000   
      Communications Equipment – 2.6% (1.6% of Total Investments)                        
  19,000     

Avaya Inc., 144A, (8)

    7.000%        4/01/19        B1        18,335,000   
  10,000     

Avaya Inc., 144A

    10.500%        3/01/21        CCC+        8,125,000   
  8,510     

CommScope Technologies Finance LLC, 144A

    6.000%        6/15/25        B        8,403,625   
  37,510     

Total Communications Equipment

                            34,863,625   

 

  74      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      Diversified Financial Services – 0.4% (0.3% of Total Investments)                        
$ 5,015     

Argos Merger Sub Inc., 144A

    7.125%        3/15/23        B–      $ 5,303,363   
      Diversified Telecommunication Services – 3.1% (2.0% of Total Investments)                        
  10,000     

Frontier Communications Corporation, (8)

    6.250%        9/15/21        BB        9,225,000   
  6,000     

Frontier Communications Corporation

    6.875%        1/15/25        BB        5,107,500   
  11,800     

IntelSat Limited

    7.750%        6/01/21        CCC+        9,381,000   
  23,355     

IntelSat Limited, (8)

    8.125%        6/01/23        CCC+        18,567,225   
  51,155     

Total Diversified Telecommunication Services

                            42,280,725   
      Electronic Equipment, Instruments & Components – 1.2% (0.7% of Total Investments)                    
  14,500     

Zebra Technologies Corporation, 144A, (8)

    7.250%        10/15/22        B        15,877,500   
      Food & Staples Retailing – 0.4% (0.3% of Total Investments)                        
  5,000     

Rite Aid Corporation, 144A

    6.125%        4/01/23        B        5,193,750   
      Health Care Equipment & Supplies – 2.6% (1.6% of Total Investments)                        
  25,460     

Tenet Healthcare Corporation, (8)

    8.125%        4/01/22        B3        28,563,065   
  5,600     

THC Escrow Corporation II, 144A

    6.750%        6/15/23        B3        5,852,000   
  31,060     

Total Health Care Equipment & Supplies

                            34,415,065   
      Health Care Providers & Services – 1.7% (1.1% of Total Investments)                        
  10,000     

Community Health Systems, Inc., (8)

    6.875%        2/01/22        B+        10,700,000   
  12,500     

DJO Finco Inc / DJO Finance LLC / DJO Finance Corporation, 144A

    8.125%        6/15/21        CCC+        12,843,750   
  22,500     

Total Health Care Providers & Services

                            23,543,750   
      Hotels, Restaurants & Leisure – 1.9% (1.2% of Total Investments)                        
  2,000     

MGM Resorts International Inc.

    7.750%        3/15/22        BB        2,220,000   
  4,250     

Scientific Games Corporation, 144A

    7.000%        1/01/22        BB–        4,404,063   
  20,000     

Scientific Games International Inc.

    10.000%        12/01/22        B        19,425,000   
  26,250     

Total Hotels, Restaurants & Leisure

                            26,049,063   
      Media – 4.2% (2.6% of Total Investments)                        
  2,500     

Affinion Investments LLC

    13.500%        8/15/18        CCC–        1,131,250   
  6,860     

Altice US Finance I Corporation, 144A

    5.375%        7/15/23        BB–        6,894,300   
  10,609     

Clear Channel Communications, Inc., (8)

    9.000%        12/15/19        CCC+        10,197,901   
  39,809     

Clear Channel Communications, Inc.

    14.000%        2/01/21        CCC–        26,323,773   
  300     

Clear Channel Communications, Inc.

    9.000%        3/01/21        CCC+        271,500   
  10,000     

McGraw-Hill Global Education Holdings, (8)

    9.750%        4/01/21        BB        11,075,000   
  70,078     

Total Media

                            55,893,724   
      Multiline Retail – 0.6% (0.4% of Total Investments)                        
  7,375     

Family Tree Escrow LLC, 144A

    5.750%        3/01/23        Ba3        7,780,625   
      Pharmaceuticals – 2.1% (1.3% of Total Investments)                        
  3,600     

Endo Finance LLC / Endo Finco Inc., 144A

    6.000%        7/15/23        B1        3,744,000   
  5,350     

Endo Finance LLC / Endo Finco Inc., 144A

    6.000%        2/01/25        B1        5,510,500   
  14,000     

Jaguar Holding Company I, 144A, (8)

    9.375%        10/15/17        CCC+        14,297,500   
  2,060     

VRX Escrow Corp., 144A

    5.875%        5/15/23        B1        2,142,194   
  2,060     

VRX Escrow Corp., 144A

    6.125%        4/15/25        B1        2,152,700   
  27,070     

Total Pharmaceuticals

                            27,846,894   
      Real Estate Investment Trust – 1.0% (0.6% of Total Investments)                        
  13,950     

Communications Sales & Leasing Inc., 144A

    8.250%        10/15/23        BB        13,322,250   
      Semiconductors & Semiconductor Equipment – 0.7% (0.4% of Total Investments)                    
  14,000     

Advanced Micro Devices, Inc., (8)

    7.000%        7/01/24        B–        9,310,000   
      Software – 0.8% (0.5% of Total Investments)                        
  7,500     

Balboa Merger Sub Inc., 144A, (8)

    11.375%        12/01/21        CCC        7,518,750   

 

Nuveen Investments     75   


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2015

 

Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      Software (continued)                        
$ 5,000     

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+      $ 3,725,000   
  12,500     

Total Software

                            11,243,750   
      Specialty Retail – 1.1% (0.7% of Total Investments)                        
  7,000     

99 Cents Only Stores, (8)

    11.000%        12/15/19        Caa1        5,740,000   
  9,500     

Claires Stores, Inc., 144A, (8)

    9.000%        3/15/19        B3        8,229,375   
  1,200     

Claires Stores, Inc.

    10.500%        6/01/17        CC        744,000   
  17,700     

Total Specialty Retail

                            14,713,375   
      Trading Companies & Distributors – 1.3% (0.8% of Total Investments)                        
  14,650     

HD Supply Inc., (8)

    11.500%        7/15/20        B–        17,021,396   
      Wireless Telecommunication Services – 5.3% (3.3% of Total Investments)                        
  12,000     

Altice Financing SA, 144A

    6.625%        2/15/23        BB–        12,360,000   
  2,500     

Sprint Corporation

    7.250%        9/15/21        B+        2,390,623   
  41,000     

Sprint Corporation

    7.875%        9/15/23        B+        39,308,750   
  5,000     

T-Mobile USA Inc.

    6.250%        4/01/21        BB        5,237,500   
  12,000     

T-Mobile USA Inc., (8)

    6.375%        3/01/25        BB        12,585,000   
  72,500     

Total Wireless Telecommunication Services

                            71,881,873   
$ 454,213     

Total Corporate Bonds (cost $451,005,635)

                            427,312,603   
 

Total Long-Term Investments (cost $2,123,349,429)

                            2,077,354,371   
Principal
Amount (000)
    Description (1)   Coupon     Maturity            Value  
 

SHORT-TERM INVESTMENTS – 5.4% (3.4% of Total Investments)

       
      REPURCHASE AGREEMENTS – 5.4% (3.4% of Total Investments)                        
$ 73,474     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $73,473,894, collateralized by: $20,135,000 U.S. Treasury Notes, 1.500%, due 1/31/22, value $19,556,119; $55,810,000 U.S. Treasury Notes, 1.750%, due 2/28/22, value $55,391,425

    0.000%        8/03/15              $ 73,473,894   
 

Total Short-Term Investments (cost $73,473,894)

                            73,473,894   
 

Total Investments (cost $2,196,823,323) – 159.9%

                            2,150,828,265   
 

Borrowings – (47.6)% (10), (11)

                            (640,000,000
 

Reverse Repurchase Agreements – (11.9)% (12)

                            (160,194,265
 

Other Assets Less Liabilities – (0.4)%

                            (5,871,155
 

Net Assets Applicable to Common Shares – 100%

                          $ 1,344,762,845   

 

  76      Nuveen Investments


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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(8) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements.

 

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

 

(10) Borrowings as a percentage of Total Investments is 29.8%.

 

(11) The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives or reverse repurchase agreements, when applicable) as collateral for borrowings.

 

(12) Reverse Repurchase Agreements as a percentage of Total Investments is 7.4%

 

ADR American Depositary Receipt

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

Nuveen Investments     77   


Statement of

Assets and Liabilities

   July 31, 2015

 

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

Assets

         

Long-term investments, at value (cost $444,290,240, $1,047,894,949, $740,105,798, $269,054,822 and $2,123,349,429, respectively)

  $ 433,579,036      $ 1,022,476,457      $ 723,896,274      $ 265,402,287      $ 2,077,354,371   

Short-term investments, at value (cost approximates value)

    39,279,324        98,943,902        61,801,154        15,857,005        73,473,894   

Cash collateral at brokers(1)

                         650,000          

Cash denominated in foreign currencies (cost $1,805, $4,597, $3,071, $— and $—, respectively)

    1,778        4,527        3,024                 

Credit default swaps premiums paid

                         343,215          

Unrealized appreciation on credit default swaps, net

                         103,800          

Receivable for:

         

Dividends

    806        2,498        1,962               72,701   

Interest

    2,890,314        6,728,455        5,177,106        1,814,883        18,164,698   

Investments sold

    3,071,258        10,537,401        6,020,320        966,482        89,232,946   

Reclaims

                                24,238   

Deferred offering costs

    333,476        725,353        528,227                 

Other assets

    198,068        420,524        263,531        21,585        335,680   

Total assets

    479,354,060        1,139,839,117        797,691,598        285,159,257        2,258,658,528   

Liabilities

         

Borrowings

    112,500,000        270,300,000        188,800,000        85,200,000        640,000,000   

Reverse repurchase agreements

                                160,194,265   

Unrealized depreciation on interest rate swaps

                         302,028          

Payable for:

         

Dividends

    1,327,324        3,276,390        2,391,393        904,705        6,720,662   

Investments purchased

    30,242,406        62,936,748        43,660,781        10,363,257        104,068,082   

Variable Rate Term Preferred (“VRTP”) Shares, at liquidation value

    58,000,000        139,000,000        98,000,000                 

Accrued expenses:

         

Interest

    110,092        265,151        185,755        77,971        812,117   

Management fees

    310,018        729,633        515,275        189,498        1,464,839   

Trustees fees

    64,379        115,796        72,490        10,003        321,604   

Other

    269,620        413,957        337,102        80,435        314,114   

Total liabilities

    202,823,839        477,037,675        333,962,796        97,127,897        913,895,683   

Net assets applicable to common shares

  $ 276,530,221      $ 662,801,442      $ 463,728,802      $ 188,031,360      $ 1,344,762,845   

Common shares outstanding

    38,626,872        55,169,216        38,478,782        10,095,286        136,071,090   

Net asset value (“NAV”) per common share outstanding

  $ 7.16      $ 12.01      $ 12.05      $ 18.63      $ 9.88   

Net assets applicable to common shares consist of:

                                       

Common shares, $0.01 par value per share

  $ 386,269      $ 551,692      $ 384,788      $ 100,953      $ 1,360,711   

Paid-in surplus

    324,736,937        766,273,473        526,775,524        192,369,788        1,838,004,678   

Undistributed (Over-distribution of) net investment income

    (342,112     (1,108,914     (282,189     (899,188     2,140,829   

Accumulated net realized gain (loss)

    (37,539,642     (77,496,247     (46,939,750     310,570        (450,748,463

Net unrealized appreciation (depreciation)

    (10,711,231     (25,418,562     (16,209,571     (3,850,763     (45,994,910

Net assets applicable to common shares

  $ 276,530,221      $ 662,801,442      $ 463,728,802      $ 188,031,360      $ 1,344,762,845   

Authorized shares:

         

Common

    Unlimited        Unlimited        Unlimited        Unlimited        Unlimited   

Preferred

    Unlimited        Unlimited        Unlimited        Unlimited        Unlimited   
(1) Cash pledged to collateralize the net payment obligations for investments in derivatives.

 

See accompanying notes to financial statements.

 

  78      Nuveen Investments


Statement of

Operations

   Year Ended July 31, 2015

 

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

Investment Income

                      

Interest and dividends (net of foreign tax withheld of $57,630, $—, $—, $— and $38,623, respectively)

   $ 23,659,955         $ 56,031,662         $ 40,939,709         $ 15,520,853         $ 110,033,751   

Fees

     231,162           609,345           439,035           224,275           1,473,363   

Total investment income

     23,891,117           56,641,007           41,378,744           15,745,128           111,507,114   

Expenses

                      

Management fees

     3,688,645           8,670,680           6,130,691           2,253,160           16,361,298   

Interest expense and amortization of offering costs

     2,526,629           5,950,989           4,210,057           869,487           9,111,403   

Custodian fees

     157,454           345,468           243,663           115,889           524,808   

Trustees fees

     16,868           40,055           28,149           10,430           76,109   

Professional fees

     111,175           141,390           125,207           97,439           138,900   

Shareholder reporting expenses

     70,193           101,144           59,773           45,572           341,809   

Shareholder servicing agent fees

     20,297           18,512           17,996           210           5,812   

Stock exchange listing fees

     12,449           17,778           12,400           8,315           43,877   

Investor relations expenses

     49,773           138,055           97,822           4,681           149,761   

Other

     37,060           50,352           44,307           12,559           45,375   

Total expenses

     6,690,543           15,474,423           10,970,065           3,417,742           26,799,152   

Net investment income (loss)

     17,200,574           41,166,584           30,408,679           12,327,386           84,707,962   

Realized and Unrealized Gain (Loss)

                      

Net realized gain (loss) from:

                      

Investments and foreign currency

     (370,349        1,075,483           890,595           401,299           22,176,347   

Swaps

     (607,114        (1,623,403        (962,762        (438,439        (3,031,192

Change in net unrealized appreciation (depreciation) of:

                      

Investments and foreign currency

     (14,108,045        (34,151,330        (26,174,687        (8,796,752        (81,354,562

Swaps

     550,340           1,471,592           872,730           54,909           2,744,568   

Net realized and unrealized gain (loss)

     (14,535,168        (33,227,658        (25,374,124        (8,778,983        (59,464,839

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

   $ 2,665,406         $ 7,938,926         $ 5,034,555         $ 3,548,403         $ 25,243,123   

 

See accompanying notes to financial statements.

 

Nuveen Investments     79   


Statement of

Changes in Net Assets

  

 

     Senior Income (NSL)        Floating Rate Income (JFR)  
     

Year

Ended
7/31/15

       Year
Ended
7/31/14
      

Year
Ended

7/31/15

       Year
Ended
7/31/14
 

Operations

                 

Net investment income (loss)

   $ 17,200,574         $ 17,092,463         $ 41,166,584         $ 41,303,198   

Net realized gain (loss) from:

                 

Investments and foreign currency

     (370,349        3,139,965           1,075,483           5,977,009   

Swaps

     (607,114        (531,232        (1,623,403        (1,420,498

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (14,108,045        (937,044        (34,151,330        (2,127,767

Swaps

     550,340           423,385           1,471,592           1,132,120   

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

     2,665,406           19,187,537           7,938,926           44,864,062   

Distributions to Common Shareholders

                 

From net investment income

     (16,223,287        (17,150,331        (39,721,836        (41,928,604

From accumulated net realized gains

                                     

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

     (16,223,287        (17,150,331        (39,721,836        (41,928,604

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs and adjustments

                                   284,185   

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

               25,528                     52,666   

Cost of shares repurchased and retired

                                     

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

               25,528                     336,851   

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

     (13,557,881        2,062,734           (31,782,910        3,272,309   

Net assets applicable to common shares at the beginning of period

     290,088,102           288,025,368           694,584,352           691,312,043   

Net assets applicable to common shares at the end of period

   $ 276,530,221         $ 290,088,102         $ 662,801,442         $ 694,584,352   

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

   $ (342,112      $ (1,407,209      $ (1,108,914      $ (3,020,467

 

See accompanying notes to financial statements.

 

  80      Nuveen Investments


     Floating Rate
Income Opportunity (JRO)
       Short Duration
Credit Opportunities (JSD)
 
      Year
Ended
7/31/15
       Year
Ended
7/31/14
       Year
Ended
7/31/15
       Year
Ended
7/31/14
 

Operations

                 

Net investment income (loss)

   $ 30,408,679         $ 30,031,172         $ 12,327,386         $ 12,995,874   

Net realized gain (loss) from:

                 

Investments and foreign currency

     890,595           4,586,814           401,299           1,603,624   

Swaps

     (962,762        (842,428        (438,439        (763,186

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (26,174,687        1,039,424           (8,796,752        (1,381,412

Swaps

     872,730           671,405           54,909           263,554   

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

     5,034,555           35,486,387           3,548,403           12,718,454   

Distributions to Common Shareholders

                 

From net investment income

     (29,089,959        (30,513,055        (11,750,913        (13,830,542

From accumulated net realized gains

                         (379,583        (3,300,149

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

     (29,089,959        (30,513,055        (12,130,496        (17,130,691

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs and adjustments

               542,095                     (5,690

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

               64,515                       

Cost of shares repurchased and retired

                                     

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

               606,610                     (5,690

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

     (24,055,404        5,579,942           (8,582,093        (4,417,927

Net assets applicable to common shares at the beginning of period

     487,784,206           482,204,264           196,613,453           201,031,380   

Net assets applicable to common shares at the end of period

   $ 463,728,802         $ 487,784,206         $ 188,031,360         $ 196,613,453   

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

   $ (282,189      $ (1,962,572      $ (899,188      $ (1,128,155

 

See accompanying notes to financial statements.

 

Nuveen Investments     81   


Statement of Changes in Net Assets (continued)

 

 

     Credit Strategies Income (JQC)  
      Year
Ended
7/31/15
       Year
Ended
7/31/14
 

Operations

       

Net investment income (loss)

   $ 84,707,962         $ 81,415,145   

Net realized gain (loss) from:

       

Investments and foreign currency

     22,176,347           35,651,566   

Swaps

     (3,031,192        (2,646,702

Change in net unrealized appreciation (depreciation) of:

       

Investments and foreign currency

     (81,354,562        (12,338,040

Swaps

     2,744,568           2,084,814   

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

     25,243,123           104,166,783   

Distributions to Common Shareholders

       

From net investment income

     (75,543,576        (87,747,986

From accumulated net realized gains

                 

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

     (75,543,576        (87,747,986

Capital Share Transactions

       

Common shares:

       

Proceeds from shelf offering, net of offering costs and adjustments

                 

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

                 

Cost of shared repurchased and retired

     (1,239,262        (377,250

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

     (1,239,262        (377,250

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

     (51,539,715        16,041,547   

Net assets applicable to common shares at the beginning of period

     1,396,302,560           1,380,261,013   

Net assets applicable to common shares at the end of period

   $ 1,344,762,845         $ 1,396,302,560   

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

   $ 2,140,829         $ (7,365,007

 

See accompanying notes to financial statements.

 

  82      Nuveen Investments


Statement of

Cash Flows

   Year Ended July 31, 2015

 

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

Cash Flows from Operating Activities:

         

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

  $ 2,665,406      $ 7,938,926      $ 5,034,555      $ 3,548,403      $ 25,243,123   

Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from operations to net cash provided by (used in) operating activities:

         

Purchases of investments

    (161,729,023     (354,288,727     (257,062,074     (91,566,022     (1,371,152,412

Proceeds from sales and maturities of investments

    149,331,097        340,696,618        252,289,123        83,880,569        1,173,597,533   

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

    (16,985,843     (33,304,713     (29,141,057     4,963,851        35,302,216   

Proceeds from (Payments for) swap contracts, net

    (607,114     (1,623,403     (962,762     (438,439     (3,031,192

Proceeds from (Payments for) cash denominated in foreign currencies

    (1,778     (4,527     (3,024              

Proceeds from (Payments for) closed foreign currency spot contracts

    (5,885     (14,983     (10,009              

Proceeds from litigation settlement

    442        885        442               1,319,286   

Investment transaction adjustments, net

    (122,967     (278,519     (210,835     (50,715     (659,049

Amortization (Accretion) of premiums and discounts, net

    (575,483     (1,400,449     (1,185,645     (583,553     (1,427,651

Amortization of deferred offering costs

    250,172        450,471        328,520                 

(Increase) Decrease in:

         

Cash collateral at brokers

    704,350        1,642,915        875,000        (120,000     2,948,000   

Credit default swaps premiums paid

                         (159,228       

Receivable for dividends

    (806     (2,498     (1,962            (27,818

Receivable for interest

    183,930        270,525        217,291        (14,222     (3,925,198

Receivable for investments sold

    11,923,966        14,294,102        12,371,102        3,107,198        (64,633,166

Receivable for reclaims

                                1,386   

Other assets

    (60,993     (133,116     (91,212     (3,489     513,779   

Increase (Decrease) in:

         

Payable for investments purchased

    16,388,407        31,694,782        19,443,404        766,378        27,345,437   

Payable for unfunded senior loans

    (133,735     (793,786     (551,839     (133,735       

Accrued interest

    5,804        22,977        9,772        23,481        768,489   

Accrued management fees

    (9,808     (21,535     (16,822     (6,126     84,158   

Accrued Trustees fees

    16,785        27,099        17,038        2,429        69,717   

Accrued other expenses

    79,094        62,809        72,179        (28,948     (62,173

Net realized (gain) loss from:

         

Investments and foreign currency

    370,349        (1,075,483     (890,595     (401,299     (22,176,347

Swaps

    607,114        1,623,403        962,762        438,439        3,031,192   

Change in net unrealized (appreciation) depreciation of:

         

Investments and foreign currency

    14,108,045        34,151,330        26,174,687        8,796,752        81,354,562   

Swaps

    (550,340     (1,471,592     (872,730     (54,909     (2,744,568

Net cash provided by (used in) operating activities

    15,851,186        38,463,511        26,795,309        11,966,815        (118,260,696

Cash Flows from Financing Activities:

         

Net borrowings through reverse repurchase agreements

                                160,194,265   

Proceeds from borrowings

    500,000        1,300,000        800,000        200,000        34,000,000   

Increase (Decrease) in:

         

Payable for offering costs

    (28,638                            

Accrued shelf offering costs

    (99,857     (46,620     (93,295            (18,734

Cash distributions paid to common shareholders

    (16,222,691     (39,716,891     (29,090,508     (12,166,815     (74,675,573

Cost of common shares repurchased and retired

                                (1,239,262

Net cash provided by (used in) financing activities

    (15,851,186     (38,463,511     (28,383,803     (11,966,815     118,260,696   

Net Increase (Decrease) in Cash

                  (1,588,494              

Cash at the beginning of period

                  1,588,494                 

Cash at the end of period

  $      $      $      $      $   
Supplemental Disclosures of Cash Flow Information   Senior
Income
(NSL)
    Floating
Rate
Income
(JFR)
    Floating Rate
Income
Opportunity
(JRO)
    Short Duration
Credit
Opportunities
(JSD)
    Credit
Strategies
Income
(JQC)
 

Cash paid for interest (excluding borrowing costs and amortization of offering costs)

  $ 2,139,972      $ 5,094,342      $ 3,604,280      $ 751,006      $ 7,432,943   

 

See accompanying notes to financial statements.

 

Nuveen Investments     83   


Financial

Highlights

 

Selected data for a common share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Invest
ment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
    Total     Offering
Costs
    Premium
Per
Share
Sold
through
Shelf
Offering
    Ending
NAV
    Ending
Share
Price
 

Senior Income (NSL)

  

Year Ended 7/31:

  

2015

  $ 7.51      $ 0.45      $ (0.38   $ 0.07      $ (0.42   $   —      $ (0.42   $      $      $ 7.16      $ 6.34   

2014

    7.46        0.44        0.05        0.49        (0.44            (0.44                   7.51        6.98   

2013

    7.07        0.54        0.35        0.89        (0.56            (0.56     (0.01     0.07        7.46        7.45   

2012

    7.12        0.57        (0.10     0.47        (0.54            (0.54            0.02        7.07        7.29   

2011

    6.81        0.64        0.09        0.73        (0.49            (0.49            0.07        7.12        6.99   

Floating Rate Income (JFR)

  

Year Ended 7/31:

  

2015

    12.59        0.75        (0.61     0.14        (0.72            (0.72                   12.01        10.67   

2014

    12.54        0.75        0.06        0.81        (0.76            (0.76             12.59        11.72   

2013

    11.87        0.90        0.68        1.58        (0.97            (0.97         0.06        12.54        12.72   

2012

    12.06        1.02        (0.25     0.77        (0.96            (0.96                11.87        11.78   

2011

    11.47        1.07        0.19        1.26        (0.69            (0.69            0.02        12.06        11.41   

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

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

(c)     • Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Borrowing Arrangements), where applicable.
  Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

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

Senior Income (NSL)

  

Year Ended 7/31:

  

2015

    0.89

2014

    0.72   

2013

    0.47   

2012

    0.47   

2011

    0.49   
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

Floating Rate Income (JFR)

  

Year Ended 7/31:

  

2015

    0.88

2014

    0.71   

2013

    0.48   

2012

    0.51   

2011

    0.52   
 

 

  84      Nuveen Investments


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)(e)
    Expenses     Net
Investment
Income (Loss)(e)
    Portfolio
Turnover
Rate(g)
 
                                                             
             
  0.96     (3.25 )%    $ 276,530        2.37     6.08     N/A        N/A        34
  6.78        (0.29     290,088        2.15        5.89        N/A        N/A        58   
  13.89        10.23        288,025        1.74        7.32        N/A        N/A        76   
  7.34        12.78        231,866        1.82        8.34        N/A        N/A        64   
  12.01        7.72        227,986        1.78        8.99        N/A        N/A        100   
                                                             
             
  1.15        (2.88     662,801        2.29        6.08        N/A        N/A        33   
  6.62        (1.84     694,584        2.05        5.94        N/A        N/A        52   
  14.26        16.76        691,312        1.71        7.34        N/A        N/A        69   
  6.91        12.43        572,118        1.79        8.72        1.72        8.80        57   
  11.31        7.96        580,419        1.72        8.74        1.54        8.92        99   

 

(d) After expense reimbursement from the Adviser, where applicable. As of March 31, 2012, the Adviser is no longer reimbursing Floating Rate Income (JFR) for any fees or expenses.
(e) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for the matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

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

Senior Income (NSL)

  

Year Ended 7/31:

  

2015

   

2014

      

2013

      

2012

    (0.01

2011

    0.02   
Increase (Decrease) of
Ratios of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

Floating Rate Income (JFR)

  

Year Ended 7/31:

  

2015

   

2014

      

2013

      

2012

    0.01   

2011

    0.02   
 

 

(f) The Fund had no matured senior loans subsequent to the fiscal year ended July 31, 2012.
(g) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
* Rounds to less than $0.01 per share.
N/A Fund no longer has a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

Nuveen Investments     85   


Financial Highlights (continued)

 

Selected data for a common share outstanding throughout each period:

 

           Investment Operations     Less Distributions to
Common Shareholders
     Common Share  
     Beginning
Common
Share
NAV
     Net
Investment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
     Total      Offering
Costs
     Premium
Per
Share
Sold
through
Shelf
Offering
     Ending
NAV
     Ending
Share
Price
 

Floating Rate Income Opportunity (JRO)

  

Year Ended 7/31:

                             

2015

  $ 12.68       $ 0.79       $ (0.66    $ 0.13      $ (0.76   $       $ (0.76    $       $       $ 12.05       $ 10.82   

2014

    12.55         0.78         0.14         0.92        (0.79             (0.79                12.68         12.40   

2013

    11.84         0.95         0.68         1.63        (1.04             (1.04      (0.01      0.13         12.55         12.73   

2012

    11.96         1.13         (0.26      0.87        (1.01             (1.01              0.02         11.84         12.09   

2011

    11.34         1.12         0.22         1.34        (0.79             (0.79              0.07         11.96         11.46   

Short Duration Credit Opportunities (JSD)

  

Year Ended 7/31:

                             

2015

    19.48         1.22         (0.87      0.35        (1.16     (0.04      (1.20                      18.63         16.41   

2014

    19.91         1.29         (0.02      1.27        (1.37     (0.33      (1.70                   19.48         18.20   

2013

    19.49         1.61         0.49         2.10        (1.61     (0.07      (1.68                   19.91         19.89   

2012

    19.08         1.56         0.25         1.81        (1.40             (1.40                      19.49         19.54   

2011(f)

    19.10         0.05         0.08         0.13        (0.11             (0.11      (0.04              19.08         18.37   

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), an therefore may be different from the price used in the calculation. Total returns are not annualized.
  Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period takes place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
(c)     • Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Borrowing Arrangements), where applicable.
  Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

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

Floating Rate Income Opportunity (JRO)

  

Year Ended 7/31:

  

2015

    0.89

2014

    0.71   

2013

    0.46   

2012

    0.47   

2011

    0.49   
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

Short Duration Credit Opportunities (JSD)

  

Year Ended 7/31:

  

2015

    0.45

2014

    0.50   

2013

    0.50   

2012

    0.47   

2011(f)

      
 

 

  86      Nuveen Investments


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)(e)
    Expenses     Net
Investment
Income (Loss)(e)
    Portfolio
Turnover
Rate(h)
 
                                                             
             
  1.03     (6.74 )%    $ 463,729        2.31     6.41     N/A        N/A        34
  7.54        3.91        487,784        2.07        6.16        N/A        N/A        55   
  15.27        14.42        482,204        1.71        7.73        N/A        N/A        72   
  8.03        15.20        369,939        1.74        9.75        1.65     9.85     85   
  12.77        5.20        364,883        1.75        9.19        1.56        9.38        101   
                                                             
             
  1.87        (3.27     188,031        1.78        6.43        N/A        N/A        31   
  6.59        0.16        196,613        1.88        6.52        N/A        N/A        45   
  11.17        10.77        201,031        1.80        8.12        N/A        N/A        82   
  9.96        14.77        195,165        1.75        8.25        N/A        N/A        62   
  0.49        (7.58     190,868        1.16 **      1.52 **      N/A        N/A        5   

 

(d) After expense reimbursement from the Adviser, where applicable. As of July 31, 2012, the Adviser is no longer reimbursing Floating Rate Income Opportunity (JRO) for any fees or expenses.
(e) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

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

Floating Rate Income Opportunity (JRO)

  

Year Ended 7/31:

  

2015

   

2014

      

2013

      

2012

    0.01   

2011

    0.02   
Increase (Decrease) to Ratios
of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(g)
 

Short Duration Credit Opportunities (JSD)

  

Year Ended 7/31:

  

2015

   

2014

      

2013

      

2012

      

2011(f)

      
 

 

(f) For the period May 25, 2011 (commencement of operations) through July 31, 2011.
(g) Floating Rate Income Opportunity (JRO) had no matured senior loans subsequent to the fiscal year ended July 31, 2012. Short Duration Credit Opportunities (JSD) has not had any matured senior loans since its commencement of operations on May 25, 2011.
(h) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
* Rounds to less than $0.01 per share.
** Annualized.
N/A Fund does not have, or no longer has, a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

Nuveen Investments     87   


Financial Highlights (continued)

 

Selected data for a common share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Investment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From Net
Investment
Income
    From
Accumulated
Net Realized
Gains
    Return of
Capital
    Total     Discount
Per
Share
Repurchased
and Retired
    Ending
NAV
    Ending
Share
Price
 

Credit Strategies Income (JQC)

  

       

Year Ended 7/31:

  

 

2015

  $ 10.25      $ 0.62      $ (0.43   $ 0.19      $ (0.56   $   —      $      $ (0.56   $   $ 9.88      $ 8.59   

2014

    10.13        0.60        0.16        0.76        (0.64                   (0.64         10.25        9.05   

2013(j)

    9.88        0.42        0.29        0.71        (0.46                   (0.46            10.13        10.03   

Year Ended 12/31:

  

             

2012

    9.18        0.78        0.72        1.50        (0.80                   (0.80            9.88        9.65   

2011

    10.13        0.55        (0.72     (0.17     (0.79                   (0.79     0.01        9.18        8.05   

2010

    9.00        0.53        1.29        1.82        (0.60            (0.10     (0.70     0.01        10.13        8.80   

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

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

(c) After expense reimbursement from the Adviser, where applicable. As of June 30, 2011, the Adviser is no longer reimbursing the Fund for any fees or expenses.
(d)     • Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and borrowings, where applicable, as described in Note 3 – Portfolio Securities and Investments in Derivatives, Reverse Repurchase Agreements and Note 9 – Borrowing Arrangements, respectively.
  Each ratio includes the effect of dividends expense on securities sold short and all interest expense and other costs related to reverse repurchase agreements and borrowings, where applicable, as follows:

 

Credit Strategies Income (JQC)   Ratios of Dividends Expense
on Securities Sold Short
to Average Net Assets Applicable
to Common Shares(i)
    Ratios of Borrowings
Interest Expense
to Average Net Assets Applicable
to Common Shares
 

Year Ended 7/31:

  

2015

        0.66

2014

           0.52   

2013(j)

           0.55 *** 

Year Ended 12/31:

  

2012

    **      0.58   

2011

    **      0.43   

2010

    **      0.40   

 

  88      Nuveen Investments


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(d)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
        
Based
on
Share
Price(b)
    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income Loss(f)
    Expenses     Net
Investment
Income Loss(f)
    Portfolio
Turnover
Rate(h)
 
                                                             
             
  1.82     1.02   $ 1,344,763        1.95     6.16     N/A        N/A        61
  7.74        (3.44     1,396,303        1.77 (e)      5.84 (e)      N/A        N/A        65   
  7.32        8.80        1,380,261        1.77 ***      7.22 ***      N/A        N/A        44   
             
  16.80        30.55        1,345,657        1.86        8.07        N/A        N/A        127   
  (1.70     0.24        1,250,245        1.70        5.44        1.65     5.49     37   
  21.02        24.26        1,388,235        1.64        5.41        1.48        5.57        48   

 

(e) During the fiscal year ended July 31, 2014, the Adviser voluntarily reimbursed the Fund for certain expenses incurred in connection with its common shares equity shelf program. As a result the Expenses and Net Investment Income (Loss) Ratios to Average Net Assets Applicable to Common Shares do not reflect the voluntary expense reimbursement from Adviser as described in Note 4 – Fund Shares, Common Shares Equity Shelf Program and Offering Costs. The expenses and net investment income (loss) ratios to average net assets applicable to common shares including this expense reimbursement from Adviser are as follows:

 

Credit Strategies Income (JQC)   Expenses      Net Investment
Income Loss
 

Year Ended 7/31:

    

2014

    1.76      5.85

 

(f) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

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

Year Ended 7/31:

  

2015

   

2014

      

2013(j)

      

Year Ended 12/31:

 

2012

    ** 

2011

    ** 

2010

    ** 
 

 

(g) The Fund had no matured senior loans subsequent to the fiscal year ended December 31, 2012.
(h) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
(i) Effective for periods beginning after December 31, 2012, the Fund no longer makes short sales of securities.
(j) For the seven months ended July 31, 2013.
* Rounds to less than $0.01 per share.
** Rounds to less than 0.01%.
*** Annualized.
N/A Fund no longer has a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

Nuveen Investments     89   


Financial Highlights (continued)

 

 

    Borrowings
at the End of Period
       VRTP Shares
at the End of Period
       Borrowings and
VRTP Shares
at the End of Period
 
     Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $100,000
Share
       Asset
Coverage
Per $1
Liquidation
Preference
 

Senior Income (NSL)

  

                                

Year Ended 7/31:

  

              

2015

  $ 112,500         $ 2,622         $ 58,000         $ 262,188         $ 2.62   

2014

    112,000           2,706           58,000           270,640           2.71   

2013

    123,000           3,342                                 

2012

    100,000           3,319                                 

2011

    73,950           4,083                                 

Floating Rate Income (JFR)

  

                                

Year Ended 7/31:

  

              

2015

    270,300           2,619           139,000           261,935           2.62   

2014

    269,000           2,702           139,000           270,241           2.70   

2013

    295,200           3,342                                 

2012

    249,200           3,296                                 

2011

    197,740           3,935                                 

Floating Rate Income Opportunity (JRO)

  

                                

Year Ended 7/31:

                     

2015

    188,800           2,617           98,000           261,691           2.62   

2014

    188,000           2,706           98,000           270,554           2.71   

2013

    201,900           3,388                                 

2012

    159,900           3,314                                 

2011

    117,270           4,111                                 

Short Duration Credit Opportunities (JSD)

  

                                

Year Ended 7/31:

                     

2015

    85,200           3,207                                 

2014

    85,000           3,313                                 

2013

    85,000           3,365                                 

2012

    85,000           3,296                                 

2011(a)

                                              

Credit Strategies Income (JQC)

  

                                

Year Ended 7/31:

  

              

2015

    640,000           3,101                                 

2014

    606,000           3,304                                 

2013(b)

    561,000           3,460                                 

Year Ended 12/31:

                     

2012

    561,000           3,399                                 

2011

    517,000           3,418                                 

2010

    400,000           4,471                                 

 

(a) For the period May 25, 2011 (commencement of operations) through July 31, 2011.
(b) For the seven months ended July 31, 2013.

 

See accompanying notes to financial statements.

 

  90      Nuveen Investments


Notes to

Financial Statements

 

1. General Information and Significant Accounting Policies

General Information

Fund Information

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

 

    Nuveen Senior Income Fund (NSL) (“Senior Income (NSL)”)

 

    Nuveen Floating Rate Income Fund (JFR) (“Floating Rate Income (JFR)”)

 

    Nuveen Floating Rate Income Opportunity Fund (JRO) (“Floating Rate Income Opportunity (JRO)”)

 

    Nuveen Short Duration Credit Opportunities Fund (JSD) (“Short Duration Credit Opportunities (JSD)”)

 

    Nuveen Credit Strategies Income Fund (JQC) (“Credit Strategies Income (JQC)”)

The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO), Short Duration Credit Opportunities (JSD) and Credit Strategies Income (JQC) were organized as Massachusetts business trusts on August 13, 1999, January 15, 2004, April 27, 2004, January 3, 2011 and May 17, 2003, respectively.

The end of the reporting period for the Funds is July 31, 2015, and the period covered by these Notes to Financial Statements is the fiscal year ended July 31, 2015 (“the current fiscal period”).

Investment Adviser

The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a wholly owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). The Adviser is responsible for each Fund’s overall investment strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony Asset Management, LLC (“Symphony”), an affiliate of Nuveen, under which Symphony manages the investment portfolios of the Funds. The Adviser is responsible for overseeing the Funds’ investments in interest rate and credit default swap contracts.

Investment Objectives and Principal Investment Strategies

Senior Income’s (NSL) investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests at least 80% of its managed assets (as defined in Note 7 – Management Fees and Other Transactions with Affiliates) in adjustable rate senior secured loans. The Fund may invest up to 20% of its managed assets in U.S. dollar denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities and equity securities and warrants acquired in connection with the Fund’s investment in senior loans.

Floating Rate Income’s (JFR) investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

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

Short Duration Credit Opportunities’ (JSD) investment objective is to provide current income and the potential for capital appreciation. Under normal market circumstances the Fund will invest at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may make limited tactical investments in high yield debt and other debt instruments of up to 30% of its managed assets. No more than 30% of the Fund’s managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization or that are unrated but judged by Symphony, to be of comparable quality. The Fund may enter into tactical short positions consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating investment exposure or hedging existing long (positive) investment exposure in a

 

Nuveen Investments     91   


Notes to Financial Statements (continued)

 

notional amount up to 20% of its managed assets. The Fund may invest up to 20% of its managed assets in debt instruments of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s investments in debt instruments of non-U.S. issuers may include debt instruments of issuers located, or conducting their business, in emerging markets countries.

Credit Strategies Income’s (JQC) investment objectives are high current income and total return. The Fund meets its investment objectives by investing approximately 70% of its managed assets in senior secured and second lien loans, and up to 30% of its managed assets across the capital structure of companies (including equity securities) with a primary emphasis on high yield bonds, convertible securities and other forms of income-producing securities.

Significant Accounting Policies

Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).

Investment Transactions

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

As of the end of the reporting period, the Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:

 

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

Outstanding when-issued/delayed delivery purchase commitments

   $ 28,596,835       $ 58,425,163       $ 40,981,931         $9,029,014       $ 42,356,750   

Investment Income

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

Professional Fees

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

Dividends and Distributions to Common Shareholders

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

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

Indemnifications

Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

 

  92      Nuveen Investments


 

Netting Agreements

In the ordinary course of business, the Funds may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.

The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.

Use of Estimates

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

2. Investment Valuation and Fair Value Measurements

The fair valuation input levels as described below are for fair value measurement purposes.

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

 

Level 1 –   Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the NASDAQ National Market (“NASDAQ”) are valued at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and are generally classified as Level 2. Prices of certain American Depositary Receipts (“ADR”) held by the Funds that trade in the United States are valued based on the last traded price, official closing price or the most recent bid price of the underlying non-U.S.-traded stock, adjusted as appropriate for the underlying-to-ADR conversion ratio and foreign exchange rate, and from time-to-time may also be adjusted further to take into account material events that may take place after the close of the local non-U.S. market but before the close of the NYSE, which may represent a transfer from a Level 1 to a Level 2 security.

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

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

Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.

The exchange-traded funds in which the Funds invest are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1.

 

Nuveen Investments     93   


Notes to Financial Statements (continued)

 

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

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

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of the Funds’ shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

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

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

 

Senior Income (NSL)    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $       $ 377,436,580       $ ***     $ 377,436,580   

Common Stocks**

     1,004,436         3,476,754         ***       4,481,190   

$25 Par (or similar) Retail Preferred

             43,450                 43,450   

Convertible Bonds

             745,875                 745,875   

Corporate Bonds

             50,871,941                 50,871,941   

Short-Term Investments:

           

Repurchase Agreements

             39,279,324                 39,279,324   

Total

   $ 1,004,436       $ 471,853,924       $ ***     $ 472,858,360   
Floating Rate Income (JFR)                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $       $ 848,729,027       $ ***     $ 848,729,027   

Common Stocks**

     3,105,768         5,816,020         1         8,921,789   

$25 Par (or similar) Retail Preferred

             274,725                 274,725   

Convertible Bonds

             1,625,250                 1,625,250   

Corporate Bonds

             110,679,567                 110,679,567   

Asset-Backed Securities

             41,288,750                 41,288,750   

Investment Companies

     10,957,349                         10,957,349   

Short-Term Investments:

           

Repurchase Agreements

             98,943,902                 98,943,902   

Total

   $ 14,063,117       $ 1,107,357,241       $ 1       $ 1,121,420,359   

 

  94      Nuveen Investments


 

Floating Rate Income Opportunity (JRO)    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $       $ 599,891,325       $ ***     $ 599,891,325   

Common Stocks**

     2,440,531         5,240,398         1         7,680,930   

$25 Par (or similar) Retail Preferred

             86,900                 86,900   

Convertible Bonds

             1,362,000                 1,362,000   

Corporate Bonds

             87,600,966                 87,600,966   

Asset-Backed Securities

             27,274,153                 27,274,153   

Short-Term Investments:

           

Repurchase Agreements

             61,801,154                 61,801,154   

Total

   $ 2,440,531       $ 783,256,896       $ 1      $ 785,697,428   
Short Duration Credit Opportunities (JSD)                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $       $ 231,177,243       $       $ 231,177,243   

Common Stocks**

             1,053,349                 1,053,349   

Corporate Bonds

             33,171,695                 33,171,695   

Short-Term Investments:

           

Repurchase Agreements

             15,857,005                 15,857,005   

Investments in Derivatives:

           

Interest Rate Swaps****

             (302,028              (302,028

Credit Default Swaps****

             103,800                 103,800   

Total

   $       $ 281,061,064       $       $ 281,061,064   
Credit Strategies Income (JQC)                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $       $ 1,544,473,982       $       $ 1,544,473,982   

Common Stocks**

     71,156,206         18,016,233         ***       89,172,439   

Exchange-Traded Funds

     10,530,347                         10,530,347   

Convertible Preferred Securities

     5,865,000                         5,865,000   

Corporate Bonds

             427,312,603                 427,312,603   

Short-Term Investments:

           

Repurchase Agreements

             73,473,894                 73,473,894   

Total

   $ 87,551,553       $ 2,063,276,712       $ ***     $ 2,150,828,265   
* Refer to the Fund’s Portfolio of Investments for industry classifications.
** Refer to the Fund’s Portfolio of Investments for breakdown of these securities classified as Level 2 and/or Level 3.
*** Value equals zero as of the end of the reporting period.
**** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

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

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

 

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

 

Nuveen Investments     95   


Notes to Financial Statements (continued)

 

 

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

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

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

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Foreign Currency Transactions

To the extent that the Funds invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern Time. Investment transactions, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Funds and the amounts actually received.

The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments, (ii) investments in derivatives and (iii) other assets and liabilities are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.

The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and (ii) other assets and liabilities are recognized as a component of “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable. The unrealized gains and losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivative’s related “Change in net unrealized appreciation (depreciation)” on the Statement of Operations, when applicable.

Repurchase Agreements

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

The following table presents the repurchase agreements for the Funds that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.

 

Fund    Counterparty    Short-Term
Investments, at Value
       Collateral
Pledged To (From)
Counterparty*
       Net
Exposure
 
Senior Income (NSL)   

Fixed Income Clearing Corporation

   $ 39,279,324         $ (39,279,324      $   
Floating Rate Income (JFR)   

Fixed Income Clearing Corporation

     98,943,902           (98,943,902          
Floating Rate Income Opportunity (JRO)   

Fixed Income Clearing Corporation

     61,801,154           (61,801,154          
Short Duration Credit Opportunities (JSD)   

Fixed Income Clearing Corporation

     15,857,005           (15,857,005          
Credit Strategies Income (JQC)   

Fixed Income Clearing Corporation

     73,473,894           (73,473,894          
* As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Fund’s Portfolio of Investments for details on the repurchase agreements.

 

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Reverse Repurchase Agreements

During the current fiscal period, Credit Strategies Income (JQC) invested in reverse repurchase agreements as a means of leverage. In a reverse repurchase agreement, the Fund sells to the counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will segregate assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.

Interest payments made on reverse repurchase agreements are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. In periods of increased demand for the security, the Fund received a fee for use of the security by the counterparty, which may result in interest income to the Fund.

As of the end of the reporting period, the Fund’s outstanding balances on its reverse repurchase agreements were as follows:

 

Fund    Counterparty      Coupon        Principal
Amount
       Maturity        Value        Value and
Accrued Interest
 
Credit Strategies Income (JQC)    Societe Generale        1.43      $ (160,000,000        4/15/20         $ (160,000,000 )      $ 160,194,265   

During the current fiscal period, the average daily balance outstanding and weighted average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

       Credit
Strategies
Income
(JQC)*
 

Average daily balance outstanding

       $160,000,000   

Weighted average interest rate

       1.43
* For the period April 15, 2015 through July 31, 2015.

The following table presents the reverse repurchase agreements subject to netting agreements and the collateral delivered related to those reverse repurchase agreements.

 

Counterparty    Reverse Repurchase**
Agreements
       Collateral Pledged
to Counterparty
       Net
Exposure
 

Societe Generale

   $ (160,194,265      $ 160,194,265         $         —   
** Represents gross value and accrued interest for the counterparty as reported in the preceding table.

Zero Coupon Securities

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

Investments in Derivatives

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

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”). The amount of the payment obligation is based on the notional amount of the swap contract and the termination date of the swap contract. Swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.

Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations

 

Nuveen Investments     97   


Notes to Financial Statements (continued)

 

under the contracts. For over-the-counter (“OTC”) swaps, the net amount recorded on these transactions, for each counterparty, is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net).”

Upon the execution of an exchanged-cleared swap contract, in certain instances the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in exchange-cleared interest rate swap contracts obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities.

The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contacts are treated as ordinary income or expense, respectively.

Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps.” In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.

During the current fiscal period, the Funds continued to use interest rate swap contracts to partially fix the interest cost of leverage, which the Funds employ through the use of bank borrowings and VRTP Shares, where applicable. During the current fiscal period, Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO) and Credit Strategies Income (JQC) unwound their respective swap contracts. Short Duration Credit Opportunities (JSD) began the reporting period with three swap contracts, one of which matured and another was unwound prior to the end of the reporting period.

The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:

 

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

Average notional amount of interest rate swap contracts outstanding*

   $ 7,395,000       $ 19,774,000       $ 11,727,000       $ 28,000,000       $ 41,230,000   
* The average notional amount is calculated based on the outstanding notional amount at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

Credit Default Swaps

A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) receive that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty, or (ii) pay a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain or loss. Payments received or made at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.

Credit default swap contracts are valued daily. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations.

For OTC swaps, the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps (, net)” on the Statement of Assets and Liabilities.

Investments in swaps cleared through an exchange obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit a Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for

 

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“Variation margin on swap contracts” on the Statement of Assets and Liabilities. The maximum potential amount of future payments the Fund could incur as a buyer or seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity. In certain instances, a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities.

During the current fiscal period, Short Duration Credit Opportunities (JSD) continued to invest in credit default swap contracts to provide a benefit if particular bonds’ credit quality worsened.

The average notional amount of credit default swap contracts outstanding during the current fiscal period was as follows:

 

        Short
Duration Credit
Opportunities
(JSD)
 

Average notional amount of credit default swap contracts outstanding*

     $ 5,010,000   
* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

The following table presents the fair value of all swap contracts held by Short Duration Credit Opportunities (JSD) as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.

 

        

Location on the Statement of Assets and Liabilities

 
Underlying
Risk Exposure
   Derivative
Instrument
 

Asset Derivatives

       

(Liability) Derivatives

 
     Location    Value          Location    Value  
Short Duration Credit Opportunities (JSD)   
Interest rate    Swaps      $        Unrealized depreciation on interest rate swaps    $ (302,028
Credit    Swaps   Unrealized appreciation on credit default swaps, net**      137,022               
Credit    Swaps   Unrealized appreciation on credit default swaps, net**      (33,222              
Total             $ 103,800               $ (302,028
** Some swap contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and Liabilities and is not reflected in the cumulative unrealized appreciation (depreciation) presented above.

The following tables present the swap contacts subject to netting agreements and the collateral delivered related to those swap contracts, as of end of the reporting period.

 

Fund   Counterparty   Gross
Unrealized
Appreciation on
Interest Rate Swaps***
    Gross
Unrealized
(Depreciation) on
Interest Rate Swaps***
    Amounts
Netted on
Statement
of Assets and
Liabilities
    Net Unrealized
Appreciation
(Depreciation) on
Interest
Rate Swaps
    Collateral
Pledged
to (from)
Counterparty
    Net
Exposure
 
Short Duration Credit              
Opportunities (JSD)  

Morgan Stanley

  $      $ (302,028   $      $ (302,028   $ 302,028      $   
*** Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments.

 

Fund   Counterparty   Gross
Unrealized
Appreciation on
Credit Default Swaps***
    Gross
Unrealized
(Depreciation) on
Credit Default Swaps***
    Amounts
Netted on
Statement
of Assets and
Liabilities
    Net Unrealized
Appreciation
(Depreciation) on
Credit
Default Swaps
    Collateral
Pledged
to (from)
Counterparty
    Net
Exposure
 
Short Duration Credit              
Opportunities (JSD)  

JPMorgan

  $ 52,067      $ (33,222   $ (33,222   $ 18,845      $         —      $ 18,845   
   

Citigroup

    84,955                      84,955        (84,955       
Total       $ 137,022      $ (33,222   $ (33,222   $ 103,800      $ (84,955   $ 18,845   
*** Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments.

 

Nuveen Investments     99   


Notes to Financial Statements (continued)

 

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.

 

Fund      Underlying
Risk Exposure
     Derivative
Instrument
     Net Realized
Gain (Loss) from
Swaps
       Change in Net
Unrealized
Appreciation
(Depreciation) of
Swaps
 
Senior Income (NSL)      Interest      Swaps      $ (607,114      $ 550,340   
Floating Rate Income (JFR)      Interest      Swaps      $ (1,623,403      $ 1,471,592   
Floating Rate Income Opportunity (JRO)      Interest      Swaps      $ (962,762      $ 872,730   
Short Duration Credit Opportunities (JSD)                                    
     Credit      Swaps      $ 94,792         $ 58,315   
       Interest      Swaps        (533,231        (3,406
Total                    $ (438,439      $ 54,909   
Credit Strategies Income (JQC)      Interest      Swaps      $ (3,031,192      $ 2,744,568   

Market and Counterparty Credit Risk

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

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

4. Fund Shares

Common Shares Equity Shelf Programs and Offering Costs

Each Fund has filed registration statements with the Securities and Exchange Commission (“SEC”) authorizing the Funds to issue additional common shares through an equity shelf program (“Shelf Offering”), which became effective with the SEC during a prior fiscal period.

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

Common shares authorized, common shares issued and offering proceeds, net of offering costs under each Fund’s Shelf Offering during the current and prior fiscal periods were as follows:

 

    Senior Income
(NSL)
       Floating Rate
Income
(JFR)
       Floating Rate Income
Opportunity
(JRO)
 
     Year Ended
7/31/15
       Year Ended
7/31/14
       Year Ended
7/31/15
    Year Ended
7/31/14
       Year Ended
7/31/15
       Year Ended
7/31/14
 

Common shares authorized

              12,000,000                  12,900,000                     11,600,000   

Common shares issued

                               22,610                     43,186   

Offering proceeds, net of offering costs

  $         $         $      $ 284,185         $         $ 542,095   

 

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    Short Duration
Credit Opportunities
(JSD)
       Credit Strategies
Income
(JQC)
 
     Year Ended
7/31/15
       Year Ended
7/31/14
       Year Ended
7/31/15
    Year Ended
7/31/14
 

Common shares authorized

    1,000,000           1,000,000           13,600,000        13,600,000   

Common shares issued

                                 

Offering proceeds, net of offering costs

  $         $         $      $   

As of the end of the reporting period, each Fund’s shelf offering registration statements are no longer current. Therefore, the Funds may not issue additional common shares under their Shelf Offering until a post-effective amendment to the registration statement is filed and declared effective by the SEC.

Costs incurred by the Funds in connection with their initial Shelf Offerings were recorded as a deferred charge and recognized as a component of “Deferred offering costs” on the Statement of Assets and Liabilities during prior fiscal periods. The deferred asset is reduced during the one-year period that additional shares are sold by reducing the proceeds from such sales and is recognized as a component of “Proceeds from shelf offering, net of offering costs and adjustments” on the Statement of Changes in Net Assets, when applicable. At the end of the one-year life of the Shelf Offering period, any remaining deferred charges will be expensed accordingly and recognized as “Shelf offering expenses” on the Statement of Operations, when applicable. Any additional costs the Funds may incur in connection with their Shelf Offerings will be expensed as incurred and recognized as a component of “Proceeds from shelf offering, net of offering costs and adjustments” on the Statement of Changes in Net Assets, when applicable.

Common Share Transactions

Transactions in common shares during the current and prior fiscal period were as follows:

 

       Senior Income
(NSL)
     Floating Rate
Income
(JFR)
     Floating Rate
Income Opportunity
(JRO)
 
        Year Ended
7/31/15
     Year Ended
7/31/14
     Year Ended
7/31/15
     Year Ended
7/31/14
     Year Ended
7/31/15
     Year Ended
7/31/14
 

Common shares:

                   

Sold through shelf offering

                               22,610                 43,186   

Issued to shareholders due to reinvestment of distributions

               3,421                 4,199                 5,155   

Repurchased and retired

                                                 

Total

               3,421                 26,809                 48,341   

Weighted average common share:

                   

Premium to NAV per shelf offering share sold

                      1.46           1.34

Price per share repurchased and retired

     $       $       $      —       $       $       $   

Discount per share repurchased and retired

                               

 

Nuveen Investments     101   


Notes to Financial Statements (continued)

 

      

 

  

 

   Short Duration
Credit Opportunities
(JSD)
     Credit Strategies
Income
(JQC)
 
                    Year Ended
7/31/15
     Year Ended
7/31/14
     Year Ended
7/31/15
     Year Ended
7/31/14
 

Common shares repurchased and retired

                                 (144,208      (41,100

Weighted average common share:

                   

Price per share repurchased and retired

           $       $       $ 8.57       $ 9.16   

Discount per share repurchased and retired

                           13.77      11.17

Preferred Shares

Variable Rate Term Preferred Shares

During the current fiscal period, the following Funds have issued and outstanding Variable Rate Term Preferred (“VRTP”) Shares, with a $100,000 liquidation value per share. VRTP Shares are issued via private placement and are not publicly available.

As of the end of the reporting period, VRTP Shares outstanding, at liquidation value, for each Fund was as follows:

 

Fund   Series        Shares
Outstanding
       Shares
Outstanding
at $100,000
Per Share
Liquidation Value
 
Senior Income (NSL)     C-4           580         $ 58,000,000   
Floating Rate Income (JFR)     C-4           1,390         $ 139,000,000   
Floating Rate Income Opportunity (JRO)     C-4           980         $ 98,000,000   

Each Fund is obligated to redeem its VRTP Shares by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. VRTP Shares are subject to optional and mandatory redemption in certain circumstances. The VRTP Shares are subject to redemption at the option of each Fund, subject to payment of premium for approximately one year following the date of issuance (“Premium Expiration Date”), and at par thereafter. The Term Redemption Date and Premium Expiration Date for each Fund’s VRTP Shares are as follows:

 

Fund   Series        Term
Redemption Date
       Premium
Expiration Date
 
Senior Income (NSL)     C-4           February 1, 2017           January 31, 2015   
Floating Rate Income (JFR)     C-4           February 1, 2017           January 31, 2015   
Floating Rate Income Opportunity (JRO)     C-4           February 1, 2017           January 31, 2015   

The average liquidation value of VRTP Shares outstanding and annualized dividend rate for each Fund during the current fiscal period were as follows:

 

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

Average liquidation value of VRTP Shares outstanding

  $ 58,000,000         $ 139,000,000         $ 98,000,000   

Annualized dividend rate

    1.74        1.74        1.74

VRTP Shares generally do not trade, and market quotations are generally not available. VRTP Shares are short-term or short/intermediate-term instruments that pay a variable dividend rate tied to a short-term index, plus an additional fixed “spread” amount established at the time of issuance. The fair value of VRTP Shares is expected to be approximately their liquidation (par) value so long as the fixed “spread” on the VRTP Shares remains roughly in line with the “spread” rates being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Funds’ Adviser has determined that the fair value of VRTP Shares is their liquidation value, but their fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation value of VRTP Shares is recorded as a liability and is recognized as “Variable Rate Term Preferred (“VRTP”) Shares, at liquidation value” on the Statement of Assets and Liabilities.

 

  102      Nuveen Investments


 

Dividends on the VRTP Shares (which are treated as interest payments for financial reporting purposes) are set monthly. Unpaid dividends on VRTP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on VRTP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Costs incurred by the Funds in connection with their offerings of VRTP Shares were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components of “Deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

Preferred Share Transactions

Transactions in preferred shares during the Funds’ current and prior fiscal period, where applicable, are noted in the following tables.

Transactions in VRTP Shares for the Funds, where applicable, were as follows:

 

    Year Ended
July 31, 2014
 
    Series        Shares        Amount  
Senior Income (NSL)                              

VRTP Shares issued

    C-4           580         $ 58,000,000   
Floating Rate Income (JFR)                              

VRTP Shares issued

    C-4           1,390         $ 139,000,000   
Floating Rate Income Opportunity (JRO)                              

VRTP Shares issued

    C-4           980         $ 98,000,000   

5. Investment Transactions

Long-term purchases and sales (including maturities but excluding derivative transactions) during the current fiscal period, were as follows:

 

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

Purchases

     $ 161,729,023       $ 354,288,727       $ 257,062,074       $ 91,566,022       $ 1,371,152,412   

Sales and maturities

       149,331,097         340,696,618         252,289,123         83,880,569         1,173,597,533   

6. Income Tax Information

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

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

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

 

Nuveen Investments     103   


Notes to Financial Statements (continued)

 

As of July 31, 2015, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), as determined on a federal income tax basis, were as follows:

 

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

Cost of investments

   $ 483,583,400       $ 1,147,780,502       $ 802,435,869       $ 285,085,474       $ 2,200,306,734   

Gross unrealized:

              

Appreciation

   $ 6,124,765       $ 13,821,037       $ 10,369,082       $ 3,200,419       $ 23,367,147   

Depreciation

     (16,849,805      (40,181,180      (27,107,523      (7,026,601      (72,845,616

Net unrealized appreciation (depreciation) of investments

   $ (10,725,040    $ (26,360,143    $ (16,738,441    $ (3,826,182    $ (49,478,469

Permanent differences, primarily due to investments in passive foreign investment companies, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships and distribution reallocations, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2015, the Funds’ tax year end, as follows:

 

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

Paid-in-surplus

   $ (232,301      $(474,565    $ (345,656    $       $ (12,513

Undistributed (Over-distribution of) net investment income

     87,810         466,805         361,663         (347,506      341,450   

Accumulated net realized gain (loss)

     144,491         7,760         (16,007      347,506         (328,937

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2015, the Funds’ tax year end, were as follows:

 

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

Undistributed net ordinary income1

   $ 1,096,876         $3,336,165       $ 2,802,683       $ 545,659         $10,999,738   

Undistributed net long-term capital gains

                             93,282           

1      Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any. Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2015, paid on August 3, 2015 .

          

The tax character of distributions paid during the Funds’ tax years ended July 31, 2015 and July 31, 2014 was designated for purposes of the dividends paid deduction as follows:

 

2015      Senior
Income
(NSL)
     Floating
Rate
Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Short Duration
Credit
Opportunities
(JSD)
     Credit
Strategies
Income
(JQC)
 

Distributions from net ordinary income2

     $ 17,229,072       $ 42,132,251       $ 30,789,389       $ 11,750,710       $ 74,666,039   

Distributions from net long-term capital gains3

           —                         379,786           
2014      Senior
Income
(NSL)
     Floating
Rate
Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Short Duration
Credit
Opportunities
(JSD)
     Credit
Strategies
Income
(JQC)
 

Distributions from net ordinary income2

     $ 17,878,566       $ 43,668,950       $ 31,713,135       $ 14,693,598       $ 90,269,865   

Distributions from net long-term capital gains

                               2,729,856           
2  Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
3  The Funds designate as long-term capital gain dividend, pursuant to the Internal Revenue Code Section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gain to zero for the tax year ended July 31, 2015.

 

  104      Nuveen Investments


 

As of July 31, 2015, the Funds’ tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

 

        Senior
Income
(NSL)
     Floating
Rate
Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Credit
Strategies
Income
(JQC)
 

Expiration:

             

July 31, 2016

     $       $       $       $ 150,054,972   

July 31, 2017

       6,925,213         9,819,992         503,687         289,143,715   

July 31, 2018

       29,264,459         67,020,214         46,332,843         8,513,146   

Not subject to expiration

       1,336,134         640,703         87,932           

Total

     $ 37,525,806       $ 77,480,909       $ 46,924,462       $ 447,711,833   

During the Funds’ tax year ended July 31, 2015, Credit Strategies Income (JQC) utilized $21,840,374 of its capital loss carryforward.

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

 

        Credit
Strategies
Income
(JQC)
 

Post-October capital losses4

     $ 1,608,573   

Late-year ordinary losses5

         
4  Capital losses incurred from November 1, 2014 through July 31, 2015, the Fund’s tax year end.
5  Ordinary losses incurred from January 1, 2015 through July 31, 2015, and/or specified losses incurred from November 1, 2014 through July 31, 2015.

7. Management Fees and Other Transactions with Affiliates

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

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

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

 

Average Daily Managed Assets*      Senior Income (NSL)  

For the first $1 billion

       0.6500

For the next $1 billion

       0.6375   

For the next $3 billion

       0.6250   

For the next $5 billion

       0.6000   

For managed assets over $10 billion

       0.5750   

 

Average Daily Managed Assets*   Floating Rate Income (JFR)
Floating Rate Income Opportunity (JRO)
    Short Duration Credit Opportunities (JSD)     Credit Strategies Income (JQC)  

For the first $500 million

    0.6500     0.6500     0.6800

For the next $500 million

    0.6250        0.6375        0.6500   

For the next $500 million

    0.6000        0.6250        0.6300   

For the next $500 million

    0.5750        0.6125        0.6050   

For managed assets over $2 billion

    0.5500        0.6000        0.5800   

 

Nuveen Investments     105   


Notes to Financial Statements (continued)

 

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

 

Complex-Level Managed Asset Breakpoint Level*      Effective Rate at Breakpoint Level  

$55 billion

       0.2000

$56 billion

       0.1996   

$57 billion

       0.1989   

$60 billion

       0.1961   

$63 billion

       0.1931   

$66 billion

       0.1900   

$71 billion

       0.1851   

$76 billion

       0.1806   

$80 billion

       0.1773   

$91 billion

       0.1691   

$125 billion

       0.1599   

$200 billion

       0.1505   

$250 billion

       0.1469   

$300 billion

       0.1445   
* For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of $2 billion added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of July 31, 2015, the complex-level fee rate for these Funds was 0.1639%.

The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

8. Senior Loan Commitments

Unfunded Commitments

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

Participation Commitments

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

9. Borrowing Arrangements

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

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

The following Funds have entered into a credit agreement with an affiliate of Citibank N.A. through February 1, 2016. Each Fund’s maximum commitment amount under its Borrowings is as follows:

 

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

Maximum commitment amount

  $ 127,000,000         $ 307,000,000         $ 214,000,000   

 

  106      Nuveen Investments


 

As of the end of the reporting period, each Fund’s outstanding balance on its Borrowings was as follows:

 

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

Outstanding balance on Borrowings

  $ 112,500,000         $ 270,300,000         $ 188,800,000   

During the current fiscal period, the average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:

 

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

Average daily balance outstanding

  $ 112,327,397         $ 269,851,233         $ 188,523,836   

Average annual interest rate

    1.01        1.00        1.01

Interest charged on these Borrowings is based on the Citibank Principal Office Base Rate plus 0.75% per annum drawn fee on the amount borrowed and 0.15% per annum on the undrawn balance of the maximum commitment amount.

During the current fiscal period, each Fund incurred a 0.15% amendment fee on its maximum commitment amount.

Short Duration Credit Opportunities (JSD)

During the period August 1, 2014 through August 7, 2014, the Fund had entered into a 364-day revolving line of credit, (“Original Borrowings”) renewable annually, with Bank of America, N.A. (“Bank of America”). On August 7, 2014, the Fund terminated its Original Borrowings with Bank of America. Interest was charged on the Original Borrowings at the 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.85% per annum or if the 1-Month LIBOR were to become unavailable, at a rate per annum equal to the greater of (a) the Federal Funds Rate plus 1.00%, (b) the rate of interest in effect for such day as publicly announced from time to time by Bank of America as its “prime rate” or (c) one minus the Eurodollar Reserve Percentage plus 1.00%. The Fund also accrued (a) 0.25% per annum on the undrawn balance of the maximum commitment amount and (b) a 0.10% amendment fee based on the maximum commitment amount on the Original Borrowings through August 7, 2014.

The Fund’s maximum commitment amount under its Original Borrowings was as follows:

 

     Short
Duration
Credit
Opportunities
(JSD)
 

Maximum commitment amount

  $ 95,000,000   

On August 7, 2014, the Fund entered into a 364-day revolving line of credit (“Current Borrowings”) with its custodian bank.

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

 

     Short
Duration
Credit
Opportunities
(JSD)
 

Maximum commitment amount

  $ 95,000,000   

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

     Short
Duration
Credit
Opportunities
(JSD)
 

Outstanding balance on Borrowings

  $ 85,200,000   

 

Nuveen Investments     107   


Notes to Financial Statements (continued)

 

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

     Short
Duration
Credit
Opportunities
(JSD)
 

Average daily balance outstanding

  $ 85,132,055   

Average annual interest rate

    0.87

Interest is charged on the Current Borrowings at a rate per annum equal to the Overnight LIBOR plus 0.75% or if LIBOR were to become unavailable, the Federal Funds Rate plus 0.75%. The Fund also accrues an upfront fee of 0.10% per annum on the maximum commitment amount of the Current Borrowings and a 0.10% per annum on the undrawn portion of the Current Borrowings of the maximum commitment amount.

Subsequent to the reporting period, on August 6, 2015, Short Duration Credit Opportunities (JSD) renewed its Borrowings with its custodian bank through September 3, 2015. On September 4, 2015, the Fund renewed its Borrowings through October 5, 2015. The Fund accrues a 0.10% amendment fee based on the maximum commitment amount of the Borrowings for each renewal.

Credit Strategies Income (JQC)

During the period August 1, 2014 through April 15, 2015, the Fund was entered into a 364-day revolving line of credit, (“Original Borrowings”) renewable annually, with Bank of America, N.A. (“Bank of America”). On April 15, 2015, the Fund terminated its Original Borrowings with Bank of America. Interest was charged on the Original Borrowings at the 1-Month LIBOR plus 0.95% per annum or if the 1-Month LIBOR were to become unavailable, at a rate per annum equal to the greater of (a) the Federal Funds Rate plus 0.50%, (b) the rate of interest in effect for such day as publicly announced from time to time by Bank of America as its “prime rate” or (c) one minus the Eurodollar Reserve Percentage plus 1.00%. The Fund also accrued (a) 0.25% per annum on the undrawn balance of the maximum commitment amount (b) a 0.10% amendment fee based on the maximum commitment amount on the Original Borrowings and (c) a 0.02% arrangement fee.

The Fund’s maximum commitment amount under its Original Borrowings was as follows:

 

     Credit
Strategies
Income
(JQC)
 

Maximum commitment amount

  $ 630,000,000   

During the period April 15, 2015 through July 31, 2015, the Fund entered into a 364-day revolving line of credit (“Current Borrowings”) with Societe Generale.

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

 

    

Credit

Strategies

Income

(JQC)

 

Maximum commitment amount

  $ 640,000,000   

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

     Credit
Strategies
Income
(JQC)
 

Outstanding balance on Borrowings

  $ 640,000,000   

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

     Credit
Strategies
Income
(JQC)
 

Average daily balance outstanding

  $ 609,810,411   

Average annual interest rate

    1.22

 

  108      Nuveen Investments


Interest is charged on the Current Borrowings at the 3-Month LIBOR plus 1.15% per annum or at a rate per annum equal to the greater of (a) the Federal Funds Rate plus 0.50%, or (b) the rate of interest in effect for such day as publicly announced from time to time by Societe Generale as its “prime rate.”

Other Borrowings Information

In order to maintain their Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Each Fund’s Borrowings outstanding is fully secured by eligible securities held in its portfolio of investments.

Each Funds’ Borrowings outstanding is recognized as “Borrowings” on the Statement of Assets and Liabilities. Interest charged on the amount borrowed and other fees incurred on the Borrowings are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

10. New Accounting Pronouncement

Financial Accounting Standards Board (“FASB”) Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures

In June 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”), that expanded secured borrowing accounting for certain reverse repurchase agreements. ASU 2014-11 also sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare to similar transactions accounted for as secured borrowings. ASU 2014-11 is effective prospectively for annual periods beginning after December 15, 2014, and interim periods beginning after March 15, 2015. Management is currently evaluating the impact, if any, of ASU 2014-11 on the Funds’ financial statement disclosures

 

Nuveen Investments     109   


Additional

Fund Information (Unaudited)

 

Board of Trustees          
William Adams IV*   Jack B. Evans   William C. Hunter   David J. Kundert   John K. Nelson   William J. Schneider
Thomas S. Schneider, Jr.*   Judith M. Stockdale   Carole E. Stone   Virginia L. Stringer   Terence J. Toth  

 

* Interested Board Member.

 

         

Fund Manager

Nuveen Fund Advisors, LLC

333 West Wacker Drive

Chicago, IL 60606

 

Custodian

State Street Bank
& Trust Company

Boston, MA 02111

 

Legal Counsel

Chapman and Cutler LLP

Chicago, IL 60603

 

Independent Registered
Public Accounting Firm

KPMG LLP

Chicago, IL 60601

 

Transfer Agent and
Shareholder Services

State Street Bank
& Trust Company

Nuveen Funds

P.O. Box 43071

Providence, RI 02940-3071

(800) 257-8787

Distribution Information: The following Fund hereby designates its percentage of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction (“DRD”) for corporations and its percentage as qualified dividend income (“QDI”) for individuals under Section 1 (h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end.

 

     JQC  

% QDI

    0%   

% DRD

    1%   

The Funds hereby designate their percentages of dividends paid from net ordinary income as dividends qualifying as Interest-Related Dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended July 31, 2015:

 

     NSL        JFR        JRO        JSD        JQC  

% of Interest-Related Dividends

    94%           76%           78%           93%           100%   

 

 

Quarterly Form N-Q Portfolio of Investments Information

Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.

Nuveen Funds’ Proxy Voting Information

You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.

 

 

CEO Certification Disclosure

Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.

Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

 

 

Common share Repurchases

Each Fund intends to repurchase, through its open market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock, as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

 

 

     NSL        JFR        JRO        JSD        JQC  

Common shares repurchased

                                            144,208   

FINRA BrokerCheck

The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

 

  110      Nuveen Investments


Glossary of Terms

Used in this Report (Unaudited)

 

n   Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

 

n   Collateralized Loan Obligation (CLO): A security backed by a pool of debt, often low rated corporate loans. Collateralized loan obligations (CLOs) are similar to collateralized mortgage obligations, except for the different type of underlying loan.

 

n   Convexity: A tool used in risk management to measure the sensitivity of bond duration to interest rate changes. Higher convexity generally means higher sensitivity to interest rate changes.

 

n   Credit Suisse Leveraged Loan Index: A representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.

 

n   Effective Leverage: Effective leverage is a fund’s effective economic leverage, and includes both regulatory leverage (see below) and the leverage effects of certain derivative investments in the fund’s portfolio.

 

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

 

n   Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.

 

n   Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund’s Net Assets divided by its number of shares outstanding.

 

n   Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund’s capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

 

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Reinvest Automatically,

Easily and Conveniently

 

Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.

 

 

Your Nuveen Closed-End Funds Automatic Reinvestment Plan

Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.

You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.

Call today to start reinvesting distributions

For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

 

 

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Annual Investment

Management Agreement Approval Process (Unaudited)

 

The Board of Trustees of each Fund (each, a “Board” and each Trustee, a “Board Member”), including the Board Members who are not parties to the Funds’ advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), is responsible for overseeing the performance of the investment adviser and sub-adviser to the respective Fund and determining whether to continue such Fund’s advisory agreement (the “Investment Management Agreement”) between the Fund and Nuveen Fund Advisors, LLC (the “Adviser”) and the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Investment Management Agreement, the “Advisory Agreements”) between the Adviser and Symphony Asset Management, LLC (the “Sub-Adviser”). Following an initial term with respect to each Fund upon its commencement of operations, the Board is required to consider the continuation of the Advisory Agreements on an annual basis pursuant to the requirements of the Investment Company Act of 1940, as amended (the “1940 Act”). Accordingly, at an in-person meeting held on May 11-13, 2015 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the existing Advisory Agreements for the Funds.

In preparation for its considerations at the May Meeting, the Board received in advance of the meeting extensive materials prepared in connection with the review of the Advisory Agreements. The materials provided a broad range of information regarding the Funds, including, among other things, the nature, extent and quality of services provided by the Adviser and Sub-Adviser (the Adviser and Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser”); Fund performance including performance assessments against peers and the appropriate benchmark(s); fee and expense information of the Funds compared to peers; a description and assessment of shareholder service levels for the Funds; a summary of the performance of certain service providers; a review of product initiatives and shareholder communications; and profitability information of the Fund Advisers as described in further detail below. As part of its annual review, the Board also held a separate meeting on April 14-15, 2015 to review the Funds’ investment performance and consider an analysis by the Adviser of the Sub-Adviser which generally evaluated the Sub-Adviser’s investment team, investment mandate, organizational structure and history, investment philosophy and process, and the performance of the Funds, and any significant changes to the foregoing. During the review, the Independent Board Members asked questions of and requested additional information from management.

The Board considered that the evaluation process with respect to the Fund Advisers is an ongoing process that encompassed the information and knowledge gained throughout the year. The Board, acting directly or through its committees, met regularly during the course of the year and received information and considered factors at each meeting that would be relevant to its annual consideration of the Advisory Agreements, including information relating to Fund performance; Fund expenses; investment team evaluations; and valuation, compliance, regulatory and risk matters. In addition to regular reports, the Adviser provided special reports to the Board to enhance the Board’s understanding on topics that impact some or all of the Nuveen funds and the Adviser (such as presentations on risk and stress testing; the new governance, risk and compliance system; cybersecurity developments; Nuveen fund accounting and reporting matters; regulatory developments impacting the investment company industry and the business plans or other matters impacting the Adviser). The Board also met with key investment personnel managing certain Nuveen fund portfolios during the year.

The Board had created several standing committees including the Open-End Funds Committee and the Closed-End Funds Committee to assist the full Board in monitoring and gaining a deeper insight into the distinctive business practices of closed-end and open-end funds. These Committees met prior to each quarterly Board meeting, and the Adviser provided presentations to these Committees permitting them to delve further into specific matters or initiatives impacting the respective product line.

The Board also continued its program of seeking to have the Board Members or a subset thereof visit each sub-adviser to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel.

The Board considered the information provided and knowledge gained at these meetings and visits during the year when performing its annual review of the Advisory Agreements. The Independent Board Members also were assisted throughout the process by independent legal counsel. During the course of the year and during their deliberations regarding the review of advisory contracts, the Independent Board Members met with independent legal counsel in executive sessions without management

 

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Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

present. The Independent Board Members also received a memorandum from independent legal counsel outlining the legal standards for their consideration of the proposed continuation of the Advisory Agreements. In addition, it is important to recognize that the management arrangements for the Nuveen funds are the result of many years of review and discussion between the Independent Board Members and Fund management and that the Board Members’ conclusions may be based, in part, on their consideration of fee arrangements and other factors developed in previous years.

The Board took into account all factors it believed relevant with respect to each Fund, including, among other things: (a) the nature, extent and quality of the services provided by the Fund Advisers; (b) the investment performance of the Funds and Fund Advisers; (c) the advisory fees and costs of the services to be provided to the Funds and the profitability of the Fund Advisers; (d) the extent of any economies of scale; (e) any benefits derived by the Fund Advisers from the relationship with the Funds; and (f) other factors. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to the Advisory Agreements for each Fund. The Independent Board Members did not identify any single factor as all-important or controlling. The Independent Board Members’ considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.

 

A.   Nature, Extent and Quality of Services

In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to each respective Fund. The Board reviewed information regarding, among other things, each Fund Adviser’s organization and business, the types of services that each Fund Adviser or its affiliates provided to the Funds, the performance record of the Funds (as described in further detail below), and any initiatives that had been undertaken on behalf of the closed-end product line. The Board recognized the high quality of services the Adviser had provided to the Funds over the years and the conscientiousness with which the Adviser provided these services. The Board also considered the improved capital structure of Nuveen Investments, Inc. (“Nuveen”) (the parent of the Adviser) following the acquisition of Nuveen by TIAA-CREF in 2014 (the “TIAA-CREF Transaction”).

With respect to the services, the Board noted the Funds were registered investment companies that operated in a regulated industry and considered the myriad of investment management, administrative, compliance, oversight and other services the Adviser provided to manage and operate the Funds. Such services included, among other things: (a) product management (such as analyzing ways to better position a Nuveen fund in the marketplace, setting dividends; maintaining relationships to gain access to distribution platforms; and providing shareholder communications); (b) fund administration (such as preparing tax returns and other tax compliance services, preparing regulatory filings and shareholder reports; managing fund budgets and expenses; overseeing a fund’s various service providers and supporting and analyzing new and existing funds); (c) Board administration (such as supporting the Board and its committees, in relevant part, by organizing and administering the Board and committee meetings and preparing the necessary reports to assist the Board in its duties); (d) compliance (such as monitoring adherence to a fund’s investment policies and procedures and applicable law; reviewing the compliance program periodically and developing new policies or updating existing compliance policies and procedures as considered necessary or appropriate; responding to regulatory requests; and overseeing compliance testing of the funds’ sub-advisers); (e) legal support (such as preparing or reviewing fund registration statements, proxy statements and other necessary materials; interpreting regulatory requirements and compliance thereof; and maintaining applicable registrations); and (f) investment services (such as overseeing and reviewing the funds’ sub-advisers and their investment teams; analyzing performance of the funds; overseeing investment and risk management; evaluating brokerage transactions and securities lending, overseeing the daily valuation process for portfolio securities and developing and recommending valuation policies and methodologies and changes thereto; reporting to the Board on various matters including performance, risk and valuation; and participating in fund development, leverage management, and the developing or interpreting of investment policies and parameters). With respect to closed-end funds, the Adviser also monitored asset coverage levels on leveraged funds, managed leverage, negotiated the terms of leverage, evaluated alternative forms and types of leverage, promoted an orderly secondary market for common shares and maintained an asset maintenance system for compliance with certain rating agency criteria.

 

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In its review, the Board considered information highlighting the various initiatives that the Adviser had implemented or continued during the last year to enhance its services to the Nuveen funds. The Board recognized that some of these initiatives are a result of a multi-year process. In reviewing the activities of 2014, the Board recognized the Adviser’s continued focus on fund rationalization for closed-end funds through mergers, fund closures or repositioning the funds in seeking to enhance shareholder value, reduce costs, improve performance, eliminate fund overlap and better meet shareholder needs. The Board noted the Adviser’s investment in additional staffing to strengthen and improve its services to the Nuveen funds, including with respect to risk management and valuation. The Board recognized that expanding the depth and range of its risk oversight activities had been a major priority for the Adviser in recent years, and the Adviser continued to add to the risk management team, develop additional risk management programs and create committees or other teams designated to oversee or evaluate certain risks, such as liquidity risk, enterprise risk, investment risk and cybersecurity risk. The Adviser had also continued to add to the valuation team, launched its centralized securities valuation system which is intended to provide for uniform pricing and reporting across the complex as the system continues to develop, continued to refine its valuation analysis and updated related policies and procedures and evaluated and assessed pricing services. The Board considered the Adviser’s ongoing investment in information technology and operations and the various projects of the information technology team to support the continued growth and complexity of the Nuveen funds and increase efficiencies in their operations. The Board also recognized the Adviser’s strong commitment to compliance and reviewed information reflecting the compliance group’s ongoing activities to enhance its compliance system and refine its compliance procedures as well as the Chief Compliance Officer’s report regarding the compliance team, the initiatives the team had undertaken in 2014 and proposed for 2015, the compliance functions and reporting process, the record of compliance with the policies and procedures and its supervision activities of other service providers.

With respect to the closed-end funds, the Board recognized the extensive resources, expertise and efforts required to oversee and manage the various forms of leverage utilized by various funds, including the development of new forms of leverage to achieve cost savings and/or broaden the array of leverage structures available to the closed-end funds, the development of enhanced reports analyzing the impact of leverage on performance, and the development of new forms of tender option bond structures to address new regulatory requirements. The Board also noted the Adviser’s continued capital management services conducting share repurchases and/or share issuances throughout the year and monitoring market conditions to capitalize on opportunities for the closed-end funds. The Board further recognized the Adviser’s use of data systems to more effectively solicit shareholder participation when seeking shareholder approvals and to monitor flow trends in various closed-end funds. The Board considered Nuveen’s continued commitment to supporting the closed-end fund product line by providing an extensive investor relations program that encompassed, among other things, maintaining and enhancing the closed-end fund website; participating in conferences and education seminars; enhancing the ability for investors to access information; preparing educational materials; and implementing campaigns to educate financial advisers and investors on topics related to closed-end funds and their strategies.

As noted, the Adviser also oversees the Sub-Adviser who primarily provides the portfolio advisory services to the Funds. The Board recognized the skill and competency of the Adviser in monitoring and analyzing the performance of the Sub-Adviser and managing the sub-advisory relationship. In considering the Sub-Advisory Agreements and supplementing its prior knowledge, the Board considered a current report provided by the Adviser analyzing, among other things, the Sub-Adviser’s investment team and changes thereto, investment approach, organization and history, and assets under management, and the investment performance of each Fund.

Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the Funds under each respective Advisory Agreement were satisfactory.

 

B.   The Investment Performance of the Funds and Fund Advisers

The Board, including the Independent Board Members, considered the performance history of each Fund over various time periods. The Board reviewed reports, including an analysis of the Funds’ performance and the applicable investment team. The Board reviewed, among other things, each Fund’s investment performance both on an absolute basis and in comparison to peer funds (the “Performance Peer Group”) and to recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks) for the quarter, one-, three- and five-year periods ending December 31, 2014,

 

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Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

as well as performance information reflecting the first quarter of 2015 (or for such shorter periods available for Nuveen Short Duration Credit Opportunities Fund (the “Short Duration Credit Opportunities Fund”), which did not exist for part of the foregoing time frame). The Independent Board Members also recognized the importance of the secondary market trading levels for the closed-end fund shares and therefore devoted significant time and focus evaluating the premium and discount levels of the closed-end funds at each of the quarterly meetings throughout the year. At these prior meetings as well as the May Meeting, the Board reviewed, among other things, the respective closed-end fund’s premium or discount to net asset value as of a specified date and over various periods as well as in comparison to the premium/discount average in its Lipper peer category. At the May Meeting and/or prior meetings, the Board also reviewed information regarding the key economic, market and competitive trends affecting the closed-end fund market and considered any actions periodically proposed by the Adviser to address the trading discounts of certain funds. The Independent Board Members considered the evaluation of the premium and discount levels of the closed-end funds (either at the Board level or through the Closed-End Funds Committee) to be a continuing priority in their oversight of the closed-end funds. In its review, the Board noted that it also reviewed Fund performance results at each of its quarterly meetings.

In evaluating performance, the Board recognized several factors that may impact the performance data as well as the consideration given to particular performance data.

 

    The performance data reflected a snapshot in time, in this case as of the end of the most recent calendar year or quarter. A different performance period, however, could generate significantly different results.

 

    Long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme had the ability to disproportionately affect long-term performance.

 

    The investment experience of a particular shareholder in a fund would vary depending on when such shareholder invested in the fund, the class held (if multiple classes are offered in the fund) and the performance of the fund (or respective class) during that shareholder’s investment period.

 

    The Board recognized that the funds in the Performance Peer Group may differ somewhat from the Nuveen fund with which it is being compared and due to these differences, performance comparisons between certain of the Nuveen funds and their Performance Peer Groups may be inexact and the relevancy limited. The Board considered that management had classified the Performance Peer Group as low, medium and high in relevancy. The Board took the analysis of the relevancy of the Performance Peer Group into account when considering the comparative performance data. The Board also considered comparative performance of an applicable benchmark. While the Board was cognizant of the relative performance of a Fund’s peer set and/or benchmark(s), the Board evaluated Fund performance in light of the Fund’s investment objectives, investment parameters and guidelines and considered that the variations between the objectives and investment parameters or guidelines of the Fund with its peers and/or benchmarks result in differences in performance results. Further, for funds that utilized leverage, the Board understood that leverage during different periods could provide both benefits and risks to a portfolio as compared to an unlevered benchmark.

With respect to any Nuveen funds for which the Board has identified performance concerns, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers those steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. The Board is aware, however, that shareholders chose to invest or remain invested in a fund knowing that the Adviser manages the fund and knowing the fund’s fee structure.

In considering the performance data, the Independent Board Members noted the following with respect to the Funds:

For Nuveen Senior Income Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the one-year period and the first quartile in the three- and five-year periods and, although the Fund underperformed its benchmark in the one-year period, it outperformed its benchmark in the three- and five-year periods.

For Nuveen Floating Rate Income Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the one-year period and the first quartile in the three- and five-year periods and, although the Fund underperformed its benchmark in the one-year period, it outperformed its benchmark in the three- and five-year periods.

 

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For Nuveen Floating Rate Income Opportunity Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the one-year period and the first quartile in the three- and five-year periods and, although the Fund underperformed its benchmark in the one-year period, it outperformed its benchmark in the three- and five-year periods.

For the Short Duration Credit Opportunities Fund, the Board noted that the Fund ranked in its Performance Peer Group in the first quartile in the one-year period and second quartile in the three-year period and, although the Fund underperformed its benchmark in the one-year period, it outperformed its benchmark in the three-year period.

For Nuveen Credit Strategies Income Fund, the Board noted that the Fund ranked in the first quartile in the one-, three-, and five-year periods and outperformed its benchmark in each of such periods.

Based on their review, the Independent Board Members determined that each Fund’s investment performance had been satisfactory.

 

C.   Fees, Expenses and Profitability
  1.   Fees and Expenses

The Board evaluated the management fees and other fees and expenses of each Fund (expressed as a percentage of average net assets) in absolute terms and in comparison to the fee and expense levels of a comparable universe of funds (the “Peer Universe”) selected by an independent third-party fund data provider. The Independent Board Members reviewed the methodology regarding the construction of the Peer Universe for each Fund. The Board reviewed, among other things, such Fund’s gross management fees, net management fees and net expense ratios in absolute terms as well as compared to the average and median fee and expense levels of the Peer Universe. The Board noted that the net total expense ratios paid by investors in the Funds were the most representative of an investor’s net experience.

In reviewing the comparative fee and expense information, the Independent Board Members recognized that various factors such as the limited size and particular composition of the Peer Universe (including the inclusion of other Nuveen funds in the peer set); expense anomalies; changes in the funds comprising the Peer Universe from year to year; levels of reimbursement or fee waivers; the timing of information used; the differences in the type and use of leverage (with respect to closed-end funds); and differences in services provided can impact the comparative data limiting the usefulness of the data to help make a conclusive assessment of the Funds’ fees and expenses.

In reviewing the fee schedule for a fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen. In reviewing fees and expenses (excluding leverage costs and leveraged assets for the closed-end funds), the Board considered the expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were approximately 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe. In reviewing the reports, the Board noted that the majority of the Nuveen funds had a net expense ratio near or below their peer average.

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

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

 

  2.   Comparisons with the Fees of Other Clients

The Board considered information regarding the fees a Fund Adviser assessed to the Nuveen funds compared to that of other clients as described in further detail below. With respect to non-municipal funds, such other clients of the Adviser and/or its affiliated sub-advisers may include: separately managed accounts (such as retail, institutional or wrap accounts), hedge funds, other investment companies that are not offered by Nuveen but are sub-advised by one of Nuveen’s affiliated sub-advisers, foreign investment companies offered by Nuveen, and collective investment trusts.

The Board recognized that each Fund had an affiliated sub-adviser and therefore the overall Fund management fee can be divided into two components, the fee retained by the Adviser and the fee paid to the Sub-Adviser. In reviewing the nature of

 

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Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

the services provided by the Adviser, including through its affiliated sub-advisers, the Board considered the range of advisory fee rates for retail and institutional managed accounts advised by Nuveen-affiliated sub-advisers. The Board also reviewed, among other things, the average fee the affiliated sub-advisers assessed such clients as well as the range of fee rates assessed to the different types of clients (such as retail, institutional and wrap accounts as well as non-Nuveen funds) applicable to such sub-advisers. With respect to the Sub-Adviser, such other clients included equity and taxable fixed-income hedge funds and the Board reviewed the average fee rate and range of fee rates along with the performance fee assessed such clients.

In reviewing the comparative information, the Board also reviewed information regarding the differences between the Funds and the other clients, including differences in services provided, investment policies, investor profiles, compliance and regulatory requirements and account sizes. The Board recognized the breadth of services necessary to operate a registered investment company (as described above) and that, in general terms, the Adviser provided the administrative and other support services to the Funds and, although the Sub-Adviser may provide some of these services, the Sub-Adviser essentially provided the portfolio management services. In general, the Board noted that higher fee levels reflected higher levels of service provided by the Fund Adviser, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of the foregoing. The Independent Board Members considered the differences in structure and operations of separately managed accounts and hedge funds from registered funds and noted that the range of day-to-day services was not generally of the breadth required for the registered funds. Many of the additional administrative services provided by the Adviser were not required for institutional clients or funds sub-advised by a Nuveen-affiliated sub-adviser that were offered by other fund groups. The Independent Board Members also recognized that the management fee rates of the foreign funds advised by the Adviser may vary due to, among other things, differences in the client base, governing bodies, operational complexities and services covered by the management fee. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members believed such facts justify the different levels of fees.

 

  3.   Profitability of Fund Advisers

In conjunction with their review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities and its financial condition. The Independent Board Members reviewed, among other things, the adjusted operating margins for Nuveen for the last two calendar years, the revenues, expenses, net income (pre-tax and after-tax) and net revenue margins (pre-tax and after-tax) of Nuveen’s managed fund advisory activities for the last two calendar years, the allocation methodology used by Nuveen in preparing the profitability data and a history of the adjustments to the methodology due to changes in the business over time. The Independent Board Members also reviewed the revenues, expenses, net income (pre-tax and after-tax) and revenue margin (pre-tax and post-tax) of the Adviser and, as described in further detail below, each affiliated sub-adviser for the 2014 calendar year. In reviewing the profitability data, the Independent Board Members noted the subjective nature of cost allocation methodologies used to determine profitability as other reasonable methods could also have been employed but yield different results. The Independent Board Members reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2014. The Independent Board Members recognized that Nuveen’s net revenue margin from advisory activities for 2014 was consistent with 2013. The Independent Board Members also considered the profitability of Nuveen in comparison to the adjusted operating margins of other investment advisers with publicly available data and with comparable assets under management (based on asset size and asset composition) to Nuveen. The Independent Board Members noted that Nuveen’s adjusted operating margins appeared to be reasonable in relation to such other advisers. The Independent Board Members, however, recognized the difficulty of making comparisons of profitability from fund investment advisory contracts as the information is not generally publicly available, the information for the investment advisers that was publicly available may not be representative of the industry and various other factors would impact the profitability data such as differences in services offered, business mix, expense methodology and allocations, capital structure and costs, complex size, and types of funds and other accounts managed.

The Independent Board Members noted this information supplemented the profitability information requested and received during the year and noted that two Independent Board Members served as point persons to review the profitability analysis and methodologies employed, and any changes thereto, and to keep the Board apprised of such changes during the year.

 

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The Independent Board Members determined that Nuveen appeared to be sufficiently profitable to operate as a viable investment management firm and to honor its obligations as a sponsor of the Nuveen funds. The Independent Board Members noted the Adviser’s continued expenditures to upgrade its investment technology and increase personnel and recognized the Adviser’s continued commitment to its business to enhance the Adviser’s capacity and capabilities in providing the services necessary to meet the needs of the Nuveen funds as they grow or change over time. The Independent Board Members also noted that the sub-advisory fees for the Nuveen funds are paid by the Adviser, however, the Board recognized that many of the sub-advisers, including the Sub-Adviser, are affiliated with Nuveen. The Independent Board Members also noted the increased resources and support available to Nuveen as well as an improved capital structure as a result of the TIAA-CREF Transaction.

With respect to the Sub-Adviser, the Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2014.

In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates received or were expected to receive that were directly attributable to the management of a Fund. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds.

Based on their review, the Independent Board Members determined that the Adviser’s and the Sub-Adviser’s level of profitability was reasonable in light of the respective services provided.

 

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

The Independent Board Members recognized that, as the assets of a particular fund or the Nuveen complex in the aggregate increase over time, economies of scale may be realized, and the Independent Board Members considered the extent to which the funds benefit from such economies of scale. Although the Independent Board Members recognized that economies of scale are difficult to measure, the Board recognized that one method to help ensure the shareholders share in these benefits is to include breakpoints in the management fee schedule reducing fee rates as asset levels grow. The Independent Board Members noted that, subject to certain exceptions, the management fees of the funds in the Nuveen complex are generally comprised of a fund-level component and complex-level component. Each component of the management fee for each Fund included breakpoints to reduce management fee rates of the Fund as the Fund grows and, as described below, as the Nuveen complex grows. The Independent Board Members noted that, in the case of closed-end funds, however, such funds may from time-to-time make additional share offerings, but the growth of their assets would occur primarily through the appreciation of such funds’ investment portfolios. In addition to fund-specific breakpoint schedules which reduce the fee rates of a particular fund as its assets increase, the Independent Board Members recognized that the Adviser also passed on the benefits of economies of scale through the complex-wide fee arrangement which reduced management fee rates as assets in the fund complex reached certain levels. The complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflected the notion that some of Nuveen’s costs were attributable to services provided to all its funds in the complex, and therefore all funds benefit if these costs were spread over a larger asset base. The Independent Board Members reviewed the breakpoint and complex-wide schedules and the fee reductions achieved as a result of such structures for the 2014 calendar year.

The Independent Board Members further considered that as part of the TIAA-CREF Transaction, Nuveen agreed, for a period of two years from the date of the closing of the TIAA-CREF Transaction, not to increase contractual management fees for any Nuveen fund. The commitment would not limit or otherwise affect mergers or liquidations of any funds in the ordinary course.

Based on their review, the Independent Board Members concluded that the current fee structure was acceptable and reflected economies of scale to be shared with shareholders when assets under management increase.

 

Nuveen Investments     119   


Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

 

E.   Indirect Benefits

The Independent Board Members received and considered information regarding potential “fall out” or ancillary benefits the respective Fund Adviser or its affiliates may receive as a result of its relationship with the Funds. With respect to closed-end funds, the Independent Board Members noted any revenues received by affiliates of the Adviser for serving as co-manager in initial public offerings of new closed-end funds.

In addition to the above, the Independent Board Members considered whether the Fund Adviser received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Fund and other clients. The Funds’ portfolio transactions are allocated by the Sub-Adviser. Accordingly, the Independent Board Members considered that the Sub-Adviser may benefit from research provided by broker-dealers executing portfolio transactions on behalf of the Funds. With respect to any fixed income securities, however, the Board recognized that such securities generally trade on a principal basis that does not generate soft dollar credits. Similarly, the Board recognized that any research received pursuant to soft dollar arrangements by the Sub-Adviser may also benefit the Funds and shareholders to the extent the research enhanced the ability of the Sub-Adviser to manage the Funds. The Independent Board Members noted that the Sub-Adviser’s profitability may be somewhat lower if it had to acquire any such research services directly.

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

 

F.   Other Considerations

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

 

  120      Nuveen Investments


Board

Members & Officers

 

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

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

   Number
of Portfolios
in Fund Complex
Overseen by
Board Member
                     
Independent Board Members:            

n WILLIAM J. SCHNEIDER

         Chairman of Miller-Valentine Partners, a real estate investment company; formerly, Senior Partner and Chief Operating Officer (retired (2004) of Miller-Valentine Group; an owner in several other Miller Valentine entities; Board Member of Med-America Health System, and WDPR Public Radio station; formerly, member, Business Advisory Council, Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council.   

1944

333 W. Wacker Drive Chicago, IL 60606

   Chairman and Board Member   

1996 Class III

     

194

           

 

           

 

n JACK B. EVANS

         President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; Director, Source Media Group; Life Trustee of Coe College; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.   

1948

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

1999 Class III

     

194

           

 

           

 

n WILLIAM C.  HUNTER

         Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; Director (since 2005), and President (since July 2012) Beta Gamma Sigma, Inc., The International Business Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.   

1948

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2004 Class I

     

194

           
           
           

 

           

 

n DAVID J. KUNDERT

         Formerly, Director, Northwestern Mutual Wealth Management Company (2006-2013), retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Regent Emeritus, Member of Investment Committee, Luther College; member of the Wisconsin Bar Association; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation; member of the Board of Directors (Milwaukee), College Possible.   

1942

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2005 Class II

     

194

           
           
           

 

           

 

 

Nuveen Investments     121   


Board Members & Officers (continued)

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

   Number
of Portfolios
in Fund Complex
Overseen by
Board Member
                     
Independent Board Members (continued):   

n JOHN K.  NELSON

         Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President’s Council, Fordham University (since 2010); formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014); formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006-2007), CEO of Wholesale Banking North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading-North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City.   

1962

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2013

Class II

     

194

           

 

           

 

           

 

           

 

           

 

n JUDITH M. STOCKDALE

         Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).   

1947

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

1997

Class I

     

194

n CAROLE E. STONE

         Director, Chicago Board Options Exchange, Inc. (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); Director, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010).   

1947

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2007

Class I

     

194

n VIRGINIA L. STRINGER

         Board Member, Mutual Fund Directors Forum; non-profit board member; former governance consultant; former owner, and President Strategic Management Resources, Inc., a management consulting firm; former Member, Governing Board, Investment Company Institute’s Independent Directors Council; previously, held several executive positions in general management, marketing and human resources at IBM and The Pillsbury Company; Independent Director, First American Fund Complex (1987-2010) and Chair (1997-2010).   

1944

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2011

Class I

     

194

           

 

           

 

           

 

n TERENCE J. TOTH

         Managing Partner, Promus Capital (since 2008); Director, Fulcrum IT Service LLC (since 2010), Quality Control Corporation (since 2012) and LogicMark LLC (since 2012); formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); member: Chicago Fellowship Board (since 2005), Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and a member of its investment committee; formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).   

1959

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2008

Class II

     

194

           

 

           

 

           

 

           

 

           

 

           

 

 

  122      Nuveen Investments


 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

  

Number

of Portfolios
in Fund Complex
Overseen by
Board Member

                     
Interested Board Members:      

n WILLIAM ADAMS IV(2)

         Senior Executive Vice President, Global Structured Products (since 2010); formerly, Executive Vice President, U.S. Structured Products, of Nuveen Investments, Inc. (1999-2010); Co-President of Nuveen Fund Advisors, LLC (since 2011); Executive Vice President of Nuveen Securities, LLC; President (since 2011), formerly, Managing Director (2010-2011) of Nuveen Commodities Asset Management, LLC; Board Member of the Chicago Symphony Orchestra and of Gilda’s Club Chicago.   

1955

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2013

Class II

     

194

           
           

 

 

n THOMAS S. SCHREIER, JR.(2)

        

Vice Chairman, Wealth Management of Nuveen Investments, Inc. (since 2011); Co-President of Nuveen Fund Advisors, LLC; Chairman of Nuveen Asset Management, LLC (since 2011); Co-Chief Executive Officer of Nuveen Securities, LLC (since 2011); Member of Board of Governors and Chairman’s Council of the Investment Company Institute; Director of Allina Health and a member of its Finance, Audit and Investment Committees: formerly, Chief Executive Officer (2000-2010) and Chief Investment Officer (2007-2010) of FAF Advisors, Inc.; formerly, President of First American Funds (2001-2010).

 

  

1962

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2013

Class III

     

194

           

 

           

 

           

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(3)
  

Principal

Occupation(s)

During Past 5 Years

  

Number

of Portfolios
in Fund Complex
Overseen by
Officer

                     
Officers of the Funds:      

n GIFFORD R.  ZIMMERMAN

         Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Managing Director and Assistant Secretary of Symphony Asset Management LLC (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Nuveen Investments Advisers Inc. (since 2002), Santa Barbara Asset Management, LLC (since 2006), and of Winslow Capital Management, LLC, (since 2010); Vice President and Assistant Secretary (since 2013), formerly, Chief Administrative Officer and Chief Compliance Officer (2006-2013) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.   

1956

333 W. Wacker Drive Chicago, IL 60606

  

Chief

Administrative

Officer

  

1988

     

195

           

 

           

 

           

 

           

 

           

 

           

 

           

 

n CEDRIC H.  ANTOSIEWICZ

        

Managing Director of Nuveen Securities, LLC. (since 2004); Managing Director of Nuveen Fund Advisors, LLC (since 2014).

  

1962

333 W. Wacker Drive Chicago, IL 60606

  

Vice President

  

2007

     

88

n MARGO L. COOK

         Senior Executive Vice President of Nuveen Investments, Inc.; Executive Vice President, Investment Services of Nuveen Fund Advisors, LLC (since 2011); Managing Director-Investment Services of Nuveen Commodities Asset Management, LLC (since 2011); Co-Chief Executive Officer (since 2015) previously, Executive Vice President (2013-2015) of Nuveen Securities, LLC; Chartered Financial Analyst.   

1964

333 W. Wacker Drive Chicago, IL 60606

  

Vice President

  

2009

     

195

           

 

 

Nuveen Investments     123   


Board Members & Officers (continued)

 

 

                     

Name,

Year of Birth

& Address

  

Position(s) Held

with the Funds

  

Year First

Elected or

Appointed(3)

  

Principal

Occupation(s)

During Past 5 Years

  

Number

of Portfolios

in Fund Complex

Overseen by

Officer

                     
Officers of the Funds (continued):      

n   LORNA C. FERGUSON

         Managing Director (since 2004) of Nuveen Investments Holdings, Inc.   

1945

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

  

1998

     

195

n   STEPHEN D. FOY

         Managing Director (since 2014), formerly, Senior Vice President (2013-2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Chief Financial Officer of Nuveen Commodities Asset Management, LLC (since 2010); Certified Public Accountant.   

1954

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Controller   

1998

     

195

n   SHERRI A. HLAVACEK

        

Executive Vice President (since May 2015, formerly, Managing Director) and Controller of Nuveen Fund Advisors, LLC; Managing Director and Controller of Nuveen Commodities Asset Management, LLC; Executive Vice President (since May 2015, formerly, Managing Director), Treasurer and Controller of Nuveen Asset Management, LLC; Executive Vice President, Principal Financial Officer (since July 2015, formerly, Managing Director), Treasurer and Corporate Controller of Nuveen Investments, Inc.; Executive Vice President (since May 2015, formerly, Managing Director), Treasurer and Corporate Controller of Nuveen Investments Advisers Inc. and Nuveen Investments Holdings, Inc.; Managing Director, Chief Financial Officer and Corporate Controller of Nuveen Securities, LLC; Vice President, Controller and Treasurer of NWQ Investment Management Company, LLC; Vice President and Controller of Santa Barbara Asset Management, LLC, Tradewinds Global Investors, LLC, Symphony Asset Management LLC and Winslow Capital Management, LLC; Certified Public Accountant.

  

1962

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Treasurer   

2015

     

195

           

 

           

 

           

 

           

 

           

 

           

 

           

 

n   WALTER M. KELLY

         Senior Vice President (since 2008) of Nuveen Investment Holdings, Inc.   

1970

333 W. Wacker Drive

Chicago, IL 60606

   Chief Compliance Officer and Vice President    2003       195

n   TINA M. LAZAR

         Senior Vice President of Nuveen Investments Holdings, Inc. and Nuveen Securities, LLC.   

1961

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

  

2002

     

195

n   KEVIN J. MCCARTHY

         Managing Director and Assistant Secretary (since 2008), Nuveen Securities, LLC; Managing Director (since 2008), Assistant Secretary since 2007) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary, Nuveen Investments, Inc.; Vice President (since 2007) and Assistant Secretary of Nuveen Investments Advisers Inc., NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, and of Winslow Capital Management, LLC. (since 2010); Vice President and Secretary (since 2010) of Nuveen Commodities Asset Management, LLC.   

1966

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Secretary   

2007

     

195

           

 

           

 

           

 

n   KATHLEEN  L. PRUDHOMME

         Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010).   

1953

901 Marquette Avenue

Minneapolis, MN 55402

   Vice President and Assistant Secretary   

2011

     

195

           

 

 

  124      Nuveen Investments


 

                     

Name,

Year of Birth

& Address

  

Position(s) Held

with the Funds

  

Year First

Elected or

Appointed(3)

  

Principal

Occupation(s)

During Past 5 Years

  

Number

of Portfolios

in Fund Complex

Overseen by

Officer

                     
Officers of the Funds (continued):      

n JOEL T. SLAGER

         Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013).   

1978

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Assistant Secretary   

2013

     

195

 

(1) The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares to serve until the next annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The year first elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex.
(2) “Interested person” as defined in the 1940 Act, by reason of his position with Nuveen Investments, Inc. and certain of its subsidiaries, which are affiliates of the Nuveen Funds.
(3) Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex.

 

Nuveen Investments     125   


Notes

 

 

  126       Nuveen Investments


Notes

 

 

Nuveen Investments     127   


LOGO

 

    

 

     
           

 

           
  Nuveen Investments:   
     Serving Investors for Generations   
    

 

     Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.   
       

 

       

Focused on meeting investor needs.

 

Nuveen Investments provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates – Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management and Gresham Investment Management. In total, Nuveen Investments managed $230 billion as of June 30, 2015.

  
    

 

     
       

Find out how we can help you.

 

To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.

 

Learn more about Nuveen Funds at: www.nuveen.com/cef

  

 

                 

Distributed by    Nuveen Securities, LLC    |    333 West Wacker Drive    |    Chicago, IL 60606    |    www.nuveen.com/cef

 

EAN-A-0715D        10412-INV-Y-09/16


ITEM 2. CODE OF ETHICS.

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

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

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

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

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

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Nuveen Credit Strategies Income Fund

The following tables show the amount of fees billed to the Fund during the Fund’s last two fiscal years by KPMG LLP, the Fund’s current auditor (engaged on August 7, 2014), and Ernst & Young LLP, the Fund’s former auditor. The audit fees billed to the Fund for the fiscal year 2015 are the only fees that have been billed to the Fund by KPMG LLP. All other fees listed in the tables below were billed to the Fund by Ernst & Young LLP. For engagements with KPMG LLP and Ernst & Young LLP, the Audit Committee approved in advance all audit services and non-audit services that KPMG LLP and Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.

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

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND

 

Fiscal Year Ended

   Audit Fees Billed
to Fund 1
    Audit-Related Fees
Billed to Fund 2
    Tax Fees 
Billed to Fund 3
    All Other Fees
Billed to Fund 4
 

July 31, 2015

   $ 28,500      $ 0      $ 0      $ 0   
  

 

 

   

 

 

   

 

 

   

 

 

 
        

Percentage approved pursuant to pre-approval exception

     0     0     0     0
  

 

 

   

 

 

   

 

 

   

 

 

 
        

July 31, 2014

   $ 29,500      $ 10,000      $ 2,200      $ 0   
  

 

 

   

 

 

   

 

 

   

 

 

 
        

Percentage approved pursuant to pre-approval exception

     0     0     0     0
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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

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

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

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

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE

ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

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


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

 

Fiscal Year Ended

  Audit-Related Fees
Billed to Adviser and
    Affiliated Fund  Service    
Providers
        Tax Fees Billed to    
Adviser and
Affiliated Fund
Service  Providers
    All Other Fees
Billed to Adviser
    and Affiliated Fund    
Service  Providers
 

July 31, 2015

  $ 0      $ 0      $ 0   
 

 

 

   

 

 

   

 

 

 
     

Percentage approved pursuant to pre-approval exception

    0     0     0
 

 

 

   

 

 

   

 

 

 
     

July 31, 2014

  $ 0      $ 0      $ 0   
 

 

 

   

 

 

   

 

 

 
     

Percentage approved pursuant to pre-approval exception

    0     0     0
 

 

 

   

 

 

   

 

 

 


NON-AUDIT SERVICES

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

 

Fiscal Year Ended

      Total Non-Audit Fees    
Billed to Fund
    Total Non-Audit Fees
billed to Adviser and
Affiliated Fund Service
    Providers (engagements    
related directly to the
operations and financial
reporting of the Fund)
    Total Non-Audit Fees
billed to Adviser and
    Affiliated Fund Service    
Providers (all other
engagements)
            Total          

July 31, 2015

  $ 0      $ 0      $ 0      $ 0   

July 31, 2014

  $ 2,200      $ 0      $ 0      $ 2,200   

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

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

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

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

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

ITEM 6. SCHEDULE OF INVESTMENTS.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.


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

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

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

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

 

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

 

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

 

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

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


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

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

 

Item 8(a)(1). PORTFOLIO MANAGER BIOGRAPHIES

Gunther Stein

Mr. Stein, Chief Executive Officer and Chief Investment Officer at Symphony, is responsible for overseeing Symphony’s fixed-income and equity investments. Mr. Stein has over 25 years of investment and research experience and is actively involved with the management of the firm’s fixed-income products. Prior to joining Symphony in 1999, Mr. Stein spent six years at Wells Fargo where he was most recently a high-yield portfolio manager after being in the firm’s Loan Syndications & Leveraged Finance Group. Before joining Wells Fargo, he was a Euro-currency deposit trader at First Interstate Bank. He also worked for Standard Chartered Bank in Mexico City and Citibank Investment Bank in London. Mr. Stein received an MBA from the University of Texas at Austin and a BA in economics from the University of California, Berkeley.

Sutanto Widjaja

Mr. Widjaja is a member of Symphony’s fixed-income team and his responsibilities include portfolio management for Nuveen Credit Strategies Income Fund and other related strategies. Prior to joining Symphony in 2003, Mr. Widjaja was Manager of Finance at WineShopper.com, an Analyst in investment banking at Robertson, Stephens & Company, and an Analyst at Accenture. He formerly served on the board of the San Francisco Public Health Foundation. Mr. Widjaja received an MBA from the Stanford Graduate School of Business and a BS in electrical engineering and computer science from the University of California, Berkeley.

 

Item 8(a)(2). OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGERS

Other Accounts Managed by Symphony PMs

As of 7/31/15

 

     Gunther Stein      Sutanto Widjaja  

(a) RICs

     

Number of accts

     19         0   

Assets

   $ 5.889 billion       $ 0   

(b) Other pooled accts

     

Non-performance fee accts

     


Number of accts

     5         1   

Assets

   $ 975 million       $ 8.5 million   

Performance fee accts

     

Number of accts

     30         2   

Assets

   $ 7.341 billion       $ 155 million   

(c) Other

     

Non-performance fee accts

     

Number of accts

     8         6   

Assets

   $ 404 million       $ 2.8 million   

Performance fee accts

     

Number of accts

     3         1   

Assets

   $ 379 million       $ 189 million   

POTENTIAL MATERIAL CONFLICTS OF INTEREST

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

 

Item 8(a)(3). FUND MANAGER COMPENSATION

Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term incentives.

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

The portfolio manager is also eligible to receive an annual bonus from a pool based on Symphony’s aggregate asset-based and performance fees after all operating expenses. The level of this bonus to each individual portfolio manager is determined by senior management’s assessment of the team’s performance, and the individual’s contribution to and performance on


that team. Factors considered in that assessment include the total return and risk-adjusted total return performance of the accounts for which the individual serves as portfolio manager relative to any benchmarks established for those accounts; the individual’s effectiveness in communicating investment performance to investors and/or their advisors; and the individual’s contribution to the firm’s overall investment process and to the execution of investment strategies.

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

 

Item 8(a)(4). OWNERSHIP OF JQC SECURITIES AS OF JULY 31, 2015

 

Name of Portfolio

Manager

         None          $1 -
$10,000
     $10,001-
$50,000
     $50,001-
$100,000
     $100,001-
$500,000
     $500,001-
$1,000,000
     Over $1,000,000  

Gunther Stein

   X                                                                                                                                                                              

Sutanto Widjaja

   X                  


ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

 

Period*

   (a)
Total Number of
Shares (or
Units)
Purchased
     (b)
Average
Price
Paid Per
Share (or
Unit)
     (c)
Total Number of Shares
(or Units) Purchased as
Part of Publicly
Announced Plans or
Programs
     (d)*
Maximum Number (or
Approximate Dollar Value) of
Shares (or Units) that may yet
be Purchased under the Plans or
Programs
 

AUGUST 1-31, 2014

     33,308       $ 8.95         33,308         13,586,692   

SEPTEMBER 1-30, 2014

     0            0         13,586,692   

OCTOBER 1-31, 2014

     0            0         13,586,692   

NOVEMBER 1-30, 2014

     0            0         13,586,692   

DECEMBER 1-31, 2014

     110,900       $ 8.46         110,900         13,475,792   

JANUARY 1-31, 2015

     0            0         13,475,792   

FEBRUARY 1-28, 2015

     0            0         13,475,792   

MARCH 1-31, 2015

     0            0         13,475,792   

APRIL 1-30, 2015

     0            0         13,475,792   

MAY 1-31, 2015

     0            0         13,475,792   

JUNE 1-30, 2015

     0            0         13,475,792   

JULY 1-31, 2015

     0            0         13,475,792   

TOTAL

     144,208            

* The registrant’s repurchase program, for the repurchase of 13,625,000 shares, was authorized November 20, 2013. The program was reauthorized for a maximum repurchase amount of 13,620,000 shares on August 6, 2014. Any repurchases made by the registrant pursuant to the program were made through open-market transactions.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

ITEM 11. CONTROLS AND PROCEDURES.

 

  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15 (b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15 (b)).

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.


ITEM 12. EXHIBITS.

File the exhibits listed below as part of this Form.

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

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

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

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


SIGNATURES

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

(Registrant) Nuveen Credit Strategies Income Fund

 

By (Signature and Title)   

/s/ Kevin J. McCarthy

  
   Kevin J. McCarthy   
   Vice President and Secretary   
Date: October 8, 2015   

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)   

/s/ Gifford R. Zimmerman

  
   Gifford R. Zimmerman   
   Chief Administrative Officer   
   (principal executive officer)   
Date: October 8, 2015   
By (Signature and Title)   

/s/ Stephen D. Foy

  
   Stephen D. Foy   
   Vice President and Controller   
   (principal financial officer)   
Date: October 8, 2015