UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number		811-21579

Nuveen Floating Rate Income Opportunity Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

 

(Address of principal executive offices)  (Zip code)

Gifford R. Zimmerman

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

 

(Name and address of agent for service)

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

Date of fiscal year end:   July 31                       

Date of reporting period:   January 31, 2018                    

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

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

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ITEM 1. REPORTS TO STOCKHOLDERS.

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Closed-End Funds

 

		Nuveen
		Closed-End Funds

 

 

 

 

						Semi-Annual Report  January 31, 2018
NSL
Nuveen Senior Income Fund
JFR
Nuveen Floating Rate Income Fund
JRO
Nuveen Floating Rate Income Opportunity Fund
JSD
Nuveen Short Duration Credit Opportunities Fund
JQC
Nuveen Credit Strategies Income Fund

 

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Life is Complex

Nuveen makes things e-simple.   It only takes a minute to sign up for e-Reports. Once enrolled, you’ll receive an e-mail as soon as your Nuveen Fund information is ready – no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish.

 

 

 

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Table

of Contents

 

Chairman’s Letter to Shareholders			4
Portfolio Managers’ Comments			5
Fund Leverage			8
Common Share Information			10
Risk Considerations			12
Performance Overview and Holding Summaries			14
Portfolios of Investments			24
Statement of Assets and Liabilities			84
Statement of Operations			85
Statement of Changes in Net Assets			86
Statement of Cash Flows			89
Financial Highlights			90
Notes to Financial Statements			98
Additional Fund Information			116
Glossary of Terms Used in this Report			117
Reinvest Automatically, Easily and Conveniently			118

 

NUVEEN			3

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Chairman’s Letter

to Shareholders

 

 

	4			NUVEEN

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Portfolio Managers’

Comments

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

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

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

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

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

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

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

 

 

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

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

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

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

 

NUVEEN			5

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Portfolio Managers’ Comments (continued)

 

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

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

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

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

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

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

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

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

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

 

	6			NUVEEN

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

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

 

NUVEEN			7

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Fund

Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

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

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

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

 

		NSL				JFR				JRO				JSD				JQC
Effective Leverage*			37.24	%			36.60	%			36.15	%			37.41	%			36.33	%
Regulatory Leverage*			37.24	%			36.60	%			36.15	%			37.41	%			31.19	%

*

Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that increase the Fund’s investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. A Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation of a Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

THE FUNDS’ LEVERAGE

Bank Borrowings

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

 

		Current Reporting Period																								Subsequent to the Close of the Reporting Period
Fund		August 1, 2017				Draws				Paydowns				January 31, 2018				Average Balance Outstanding								Draws				Paydowns				March 26, 2018
NSL		$	114,000,000			$	—			$	—			$	114,000,000			$	114,000,000							$	—			$	—			$	114,000,000
JFR		$	254,300,000			$	—			$	—			$	254,300,000			$	254,300,000							$	—			$	—			$	254,300,000
JRO		$	178,800,000			$	—			$	—			$	178,800,000			$	178,800,000							$	—			$	—			$	178,800,000
JSD		$	72,000,000			$	—			$	—			$	72,000,000			$	72,000,000							$	—			$	—			$	72,000,000
JQC		$	561,000,000			$	—			$	—			$	561,000,000			$	561,000,000							$	—			$	—			$	561,000,000

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

 

	8			NUVEEN

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Reverse Repurchase Agreements

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

 

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

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

Term Preferred Shares

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

 

		Current Reporting Period																								Subsequent to the Close of the Reporting Period
Fund		August 1, 2017				Issuance				Redemptions				January 31, 2018				Average Balance Outstanding								Issuance				Redemptions				March 26, 2018
NSL		$	43,000,000			$	—			$	—			$	43,000,000			$	43,000,000							$	—			$	—			$	43,000,000
JFR		$	125,200,000			$	—			$	—			$	125,200,000			$	125,200,000							$	—			$	—			$	125,200,000
JRO		$	84,000,000			$	—			$	—			$	84,000,000			$	84,000,000							$	—			$	—			$	84,000,000
JSD		$	35,000,000			$	—			$	—			$	35,000,000			$	35,000,000							$	—			$	—			$	35,000,000

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

 

NUVEEN			9

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Common Share

Information

 

COMMON SHARE DISTRIBUTION INFORMATION

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

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

 

		Per Common Share Amounts
Monthly Distributions (Ex-Dividend Date)		NSL				JFR				JRO				JSD				JQC
August 2017		$	0.0395			$	0.0675			$	0.0705			$	0.1060			$	0.0525
September			0.0395				0.0675				0.0705				0.1060				0.0475
October			0.0395				0.0675				0.0705				0.1060				0.0475
November			0.0395				0.0675				0.0705				0.1060				0.0475
December			0.0395				0.0675				0.0705				0.1060				0.0475
January 2018			0.0395				0.0675				0.0705				0.1060				0.0475
Total Monthly Per Share Distributions			0.2370				0.4050				0.4230				0.6360				0.2900
Ordinary Income Distribution*			—				—				—				0.0364				—
Total Distributions from Net Investment Income		$	0.2370			$	0.4050			$	0.4230			$	0.6724			$	0.2900
Current Distribution Rate**			7.37	%			7.30	%			7.66	%			7.64	%			7.04	%

*	Distribution paid in December 2017.

**

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

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

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

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

 

	10			NUVEEN

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COMMON SHARE EQUITY SHELF PROGRAMS

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

 

NSL

JFR

JRO

JSD

Additional authorized common shares

8,800,000

*

12,900,000

8,500,000

1,000,000

*

*	Represents additional authorized common shares for the period August 1, 2017 through December 8, 2017.

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

 

		JFR				JRO
Common shares sold through shelf offering			452,068				783,600
Weighted average premium to NAV per common share sold			1.38	%			1.71	%

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

COMMON SHARE REPURCHASES

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

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

 

		NSL				JFR				JRO				JSD				JQC
Common shares cumulatively repurchased and retired			5,000				147,593				19,400				—				4,804,500
Common shares authorized for repurchase			3,860,000				5,645,000				3,975,000				1,010,000				13,575,000

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

OTHER COMMON SHARE INFORMATION

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

 

		NSL				JFR				JRO				JSD				JQC
Common share NAV			$6.85				$11.55				$11.44				$17.73				$9.11
Common share price			$6.43				$11.09				$11.05				$16.64				$8.10
Premium/(Discount) to NAV			(6.13	)%			(3.98	)%			(3.41	)%			(6.15	)%			(11.09	)%
6-month average premium/(discount) to NAV			(4.00	)%			(1.25	)%			(0.63	)%			(3.69	)%			(9.05	)%

 

NUVEEN			11

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Risk

Considerations

 

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

Nuveen Senior Income Fund (NSL)

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

Nuveen Floating Rate Income Fund (JFR)

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

Nuveen Floating Rate Income Opportunity Fund (JRO)

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

Nuveen Short Duration Credit Opportunities Fund (JSD)

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

 

	12			NUVEEN

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Nuveen Credit Strategies Income Fund (JQC)

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

 

NUVEEN			13

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NSL

 

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

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

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

Common Share Price Performance — Weekly Closing Price

 

 

	14			NUVEEN

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

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

 

 

 

NUVEEN			15

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JFR

 

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

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

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

Common Share Price Performance — Weekly Closing Price

 

 

	16			NUVEEN

---

 

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

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

 

 

 

NUVEEN			17

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JRO

 

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

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

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

Common Share Price Performance — Weekly Closing Price

 

 

	18			NUVEEN

---

 

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

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

 

 

 

NUVEEN			19

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JSD

 

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

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

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

Common Share Price Performance — Weekly Closing Price

 

 

	20			NUVEEN

---

 

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

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

 

 

NUVEEN			21

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JQC

 

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

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

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

Common Share Price Performance — Weekly Closing Price

 

 

	22			NUVEEN

---

 

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

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

 

 

NUVEEN			23

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NSL

 

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 152.1% (95.6% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 131.2% (82.5% of Total Investments) (2)
				Aerospace & Defense – 3.2% (2.0% of Total Investments)
$	1,432			Sequa Corporation, Term Loan, Second Lien			10.753%				3-Month LIBOR				9.000%				4/26/22				CCC			$	1,463,817
	4,139			Sequa Corporation, Term Loan B			6.549%				3-Month LIBOR				5.000%				11/28/21				B–				4,206,014
	1,948			Transdigm Inc., Term Loan E			4.323%				1-Month LIBOR				2.750%				5/14/22				Ba2				1,967,329
	493			Transdigm, Inc., Term Loan F			4.365%				1-Month LIBOR				2.750%				6/09/23				Ba2				497,635
	322			Transdigm, Inc., Term Loan G			4.666%				1-Month LIBOR				3.000%				8/22/24				Ba2				324,842
	8,334			Total Aerospace & Defense																							8,459,637
				Air Freight & Logistics – 0.7% (0.5% of Total Investments)
	850			PAE Holding Corporation, Term Loan B			7.124%				2-Month LIBOR				5.500%				10/20/22				B+				856,576
	1,083			XPO Logistics, Inc., Refinanced Term Loan			3.958%				3-Month LIBOR				2.250%				11/01/21				BB+				1,093,013
	1,933			Total Air Freight & Logistics																							1,949,589
				Airlines – 2.4% (1.5% of Total Investments)
	1,433			American Airlines, Inc., Replacement Term Loan			3.567%				1-Month LIBOR				2.000%				6/27/20				BB+				1,440,607
	1,940			American Airlines, Inc., Replacement Term Loan			3.554%				1-Month LIBOR				2.000%				10/10/21				BB+				1,949,700
	2,893			American Airlines, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				12/14/23				BB+				2,906,501
	6,266			Total Airlines																							6,296,808
				Auto Components – 0.8% (0.5% of Total Investments)
	748			DexKo Global, Inc., Term Loan B			5.241%				3-Month LIBOR				3.500%				7/24/24				B				759,115
	414			Horizon Global Corporation, Term Loan B			6.073%				1-Month LIBOR				4.500%				6/30/21				B+				415,685
	995			Superior Industries International, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				5/22/24				B1				1,014,753
	2,157			Total Auto Components																							2,189,553
				Automobiles – 0.6% (0.4% of Total Investments)
	1,430			Chrysler Group LLC, Term Loan			3.570%				1-Month LIBOR				2.000%				12/31/18				BBB–				1,435,712
	103			DexKo Global, Inc., Term Loan B, (16)			4.155%				N/A				N/A				7/24/24				B1				103,641
	1,533			Total Automobiles																							1,539,353
				Biotechnology – 1.1% (0.7% of Total Investments)
	2,978			Grifols, Inc., Term Loan B			3.715%				1-Week LIBOR				2.250%				1/31/25				BB				2,999,370
				Building Products – 1.0% (0.6% of Total Investments)
	2,648			Quikrete Holdings, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				11/15/23				BB–				2,665,609
				Capital Markets – 0.4% (0.2% of Total Investments)
	984			RPI Finance Trust, Term Loan B6			3.693%				3-Month LIBOR				2.000%				3/27/23				Baa2				992,062
				Chemicals – 1.5% (0.9% of Total Investments)
	683			Ineos US Finance LLC, Term Loan			3.573%				1-Month LIBOR				2.000%				4/01/24				BB+				687,390
	1,595			Mineral Technologies, Inc., Term Loan B2			4.750%				N/A				N/A				5/07/21				BB+				1,624,874
	1,635			Univar, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				7/01/24				BB				1,652,321
	3,913			Total Chemicals																							3,964,585
				Commercial Services & Supplies – 4.2% (2.7% of Total Investments)
	743			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			5.696%				2-Month LIBOR				4.000%				10/19/23				B2				745,518
	2,238			iQor US, Inc., Term Loan, First Lien			6.695%				3-Month LIBOR				5.000%				4/01/21				B				2,243,118

 

	24			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Commercial Services & Supplies (continued)
$	250			iQor US, Inc., Term Loan, Second Lien			10.445%				3-Month LIBOR				8.750%				4/01/22				CCC+			$	242,500
	772			KAR Auction Services, Inc., Term Loan B5			4.250%				3-Month LIBOR				2.500%				3/09/23				Ba2				780,720
	833			LSC Communications, Refinancing Term Loan			7.067%				1-Month LIBOR				5.500%				9/30/22				Ba3				839,067
	1,728			Monitronics International, Inc., Term Loan B2, First Lien			7.193%				3-Month LIBOR				5.500%				9/30/22				B2				1,734,173
	1,311			Protection One, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				5/02/22				BB–				1,324,937
	1,535			Skillsoft Corporation, Initial Term Loan, First Lien			6.323%				1-Month LIBOR				4.750%				4/28/21				B–				1,506,346
	983			Universal Services of America, Initial Term Loan, First Lien			5.443%				3-Month LIBOR				3.750%				7/28/22				B+				974,517
	757			West Corporation, Term Loan B			5.573%				1-Month LIBOR				4.000%				10/10/24				Ba3				766,159
	11,150			Total Commercial Services & Supplies																							11,157,055
				Communications Equipment – 0.8% (0.5% of Total Investments)
	790			Colorado Buyer, Inc., Term Loan, First Lien			4.380%				3-Month LIBOR				3.000%				5/01/24				Ba3				796,733
	365			Colorado Buyer, Inc., Term Loan, Second Lien			8.630%				3-Month LIBOR				7.250%				5/01/25				B3				369,028
	998			Mitel US Holdings, Inc., Incremental Term Loan			5.404%				2-Month LIBOR				3.750%				9/25/23				B+				1,010,901
	2,153			Total Communications Equipment																							2,176,662
				Containers & Packaging – 0.6% (0.4% of Total Investments)
	744			Berry Global, Inc., Term Loan M			3.816%				1-Month LIBOR				2.250%				10/01/22				BBB–				750,564
	744			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				2/05/23				B+				750,915
	1,488			Total Containers & Packaging																							1,501,479
				Construction & Engineering – 0.5% (0.3% of Total Investments)
	1,376			Traverse Midstream Partners, Term Loan B			5.850%				6-Month LIBOR				4.000%				9/21/24				B+				1,396,005
				Distributors – 0.2% (0.1% of Total Investments)
	607			American Seafoods Group LLC, Term Loan B			4.700%				3-Month LIBOR				3.250%				8/21/23				BB–				610,187
				Diversified Consumer Services – 2.7% (1.7% of Total Investments)
	3,537			Cengage Learning Acquisitions, Inc., Term Loan B			5.809%				1-Month LIBOR				4.250%				6/07/23				B+				3,445,063
	110			Education Management LLC, Tranche A, Term Loan, (5)			0.000%				N/A				N/A				7/02/20				N/R				30,274
	248			Education Management LLC, Tranche B, Term Loan, (5)			0.000%				N/A				N/A				7/02/20				N/R				3,874
	2,048			Houghton Mifflin, Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				5/28/21				B+				1,934,942
	967			Laureate Education, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				4/26/24				B+				976,356
	752			Vertiv Co., New Term Loan B			5.568%				1-Month LIBOR				4.000%				11/30/23				Ba3				761,324
	7,662			Total Diversified Consumer Services																							7,151,833
				Diversified Financial Services – 1.3% (0.8% of Total Investments)
	580			Freedom Mortgage Corporation, Initial Term Loan			6.956%				3-Month LIBOR				5.500%				2/23/22				B+				587,582
	731			OM Group, Inc., Term Loan B			5.943%				3-Month LIBOR				4.250%				2/21/24				B				735,522
	2,059			Veritas US, Inc., Term Loan B1			6.193%				3-Month LIBOR				4.500%				1/27/23				B+				2,073,675
	157			Vizient, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				2/13/23				BB–				158,873
	3,527			Total Diversified Financial Services																							3,555,652
				Diversified Telecommunication Services – 9.0% (5.6% of Total Investments)
	1,100			CenturyLink, Inc., Initial Term Loan A, (WI/DD)			TBD				TBD				TBD				TBD				BBB–				1,096,013
	4,855			CenturyLink, Inc., Term Loan B			4.317%				1-Month LIBOR				2.750%				1/31/25				BBB–				4,789,661
	741			DTI Holdings, Inc., Term Loan B, First Lien			7.022%				2-Month LIBOR				5.250%				10/02/23				B				747,802
	2,938			Frontier Communications Corporation, Term Loan B			5.330%				1-Month LIBOR				3.750%				1/14/20				BB–				2,886,450

 

NUVEEN			25

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Diversified Telecommunication Services (continued)
$	2,475			Greeneden U.S. Holdings II LLC, Term Loan B			5.443%				3-Month LIBOR				3.750%				12/01/23				B			$	2,496,732
	1,542			Intelsat Jackson Holdings, S.A., Term Loan B			5.212%				3-Month LIBOR				3.750%				11/30/23				B1				1,532,964
	236			Intelsat Jackson Holdings, S.A., Term Loan B4			6.195%				3-Month LIBOR				4.500%				1/02/24				B1				239,953
	378			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				381,277
	1,552			Level 3 Financing, Inc., Tranche B, Term Loan			3.696%				3-Month LIBOR				2.250%				2/22/24				BBB–				1,560,954
	2,388			WideOpenWest Finance LLC, Term Loan B			4.811%				1-Month LIBOR				3.250%				8/18/23				B				2,392,357
	669			Windstream Corporation, Term Loan B6			5.560%				1-Month LIBOR				4.000%				3/29/21				BB–				635,634
	5,000			Ziggo B.V., Term Loan E			4.059%				1-Month LIBOR				2.500%				4/15/25				BB–				5,003,125
	23,874			Total Diversified Telecommunication Services																							23,762,922
				Electric Utilities – 1.7% (1.1% of Total Investments)
	445			EFS Cogen Holdings LLC, Term Loan B			4.950%				3-Month LIBOR				3.250%				6/28/23				BB				449,805
	1,747			Energy Future Intermediate Holding Company, DIP Term Loan			4.567%				1-Month LIBOR				3.000%				6/30/18				Ba3				1,754,968
	462			Helix Generation, Term Loan B			5.443%				3-Month LIBOR				3.750%				6/03/24				BB				467,361
	286			Vistra Operations Co., Term Loan C			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				288,240
	1,612			Vistra Operations Co., Term Loan B			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				1,626,538
	4,552			Total Electric Utilities																							4,586,912
				Electrical Equipment – 0.6% (0.4% of Total Investments)
	721			TTM Technologies, Term Loan B			4.073%				1-Month LIBOR				2.500%				9/28/24				BBB–				725,209
	766			Zebra Technologies Corporation, Term Loan B			3.753%				3-Month LIBOR				2.000%				10/24/21				BB				772,116
	1,487			Total Electrical Equipment																							1,497,325
				Energy Equipment & Services – 0.1% (0.1% of Total Investments)
	367			Dynamic Energy Services International LLC, Term Loan, (cash 13.383%, PIK 1.500%)			14.883%				3-Month LIBOR				13.500%				3/06/18				N/R				130,258
	208			Ocean Rig UDW Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				211,342
	575			Total Energy Equipment & Services																							341,600
				Equity Real Estate Investment Trusts – 2.8% (1.8% of Total Investments)
	3,269			Communications Sales & Leasing, Inc., Shortfall Term Loan			4.573%				1-Month LIBOR				3.000%				10/24/22				B+				3,156,794
	996			Realogy Group LLC, Term Loan B			3.829%				1-Month LIBOR				2.250%				1/26/25				BB+				1,005,376
	3,267			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)			5.323%				1-Month LIBOR				3.750%				12/18/20				Caa2				3,257,662
	7,532			Total Equity Real Estate Investment Trusts																							7,419,832
				Food & Staples Retailing – 5.4% (3.4% of Total Investments)
	951			Albertson’s LLC, Term Loan B6			4.462%				3-Month LIBOR				3.000%				6/22/23				BB				946,472
	11,943			Albertson’s LLC, Term Loan B4			4.323%				1-Month LIBOR				2.750%				8/25/21				BB				11,893,324
	797			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			4.953%				2-Month LIBOR				3.500%				2/03/24				B–				797,238
	665			Save-A-Lot, Term Loan B			7.573%				1-Month LIBOR				6.000%				12/05/23				B2				576,570
	14,356			Total Food & Staples Retailing																							14,213,604
				Food Products – 3.6% (2.3% of Total Investments)
	965			Hearthside Group Holdings LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				6/02/21				B1				972,541
	2,291			Jacobs Douwe Egberts, Term Loan B			3.688%				3-Month LIBOR				2.250%				7/04/22				BB				2,312,717
	566			Keurig Green Mountain, Inc., Term Loan A, First Lien			3.000%				1-Week LIBOR				1.500%				3/03/21				BB+				565,492
	495			Pinnacle Foods Finance LLC, Term Loan B			3.564%				1-Month LIBOR				2.000%				2/02/24				BB+				499,977

 

	26			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Food Products (continued)
$	5,043			US Foods, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				6/27/23				BB			$	5,101,023
	9,360			Total Food Products																							9,451,750
				Health Care Equipment & Supplies – 2.0% (1.2% of Total Investments)
	950			Acelity, Term Loan B			4.943%				3-Month LIBOR				3.250%				2/02/24				B1				952,809
	561			Ardent Medical Services, Inc., Term Loan B, First Lien			7.073%				1-Month LIBOR				5.500%				8/04/21				B1				562,237
	434			ConvaTec, Inc., Term Loan B			3.943%				3-Month LIBOR				2.250%				10/25/23				BB				439,037
	832			Greatbatch, New Term Loan B			4.810%				1-Month LIBOR				3.250%				10/27/22				B+				841,773
	1,489			Onex Carestream Finance LP, Term Loan, First Lien			5.693%				3-Month LIBOR				4.000%				6/07/19				B1				1,496,045
	929			Onex Carestream Finance LP, Term Loan, Second Lien			10.193%				3-Month LIBOR				8.500%				12/07/19				B–				922,140
	5,195			Total Health Care Equipment & Supplies																							5,214,041
				Health Care Providers & Services – 5.0% (3.2% of Total Investments)
	1,750			Air Medical Group Holdings, Inc., Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B1				1,773,406
	1,492			Air Medical Group Holdings, Inc., Term Loan, First Lien			5.675%				3-Month LIBOR				4.000%				4/28/22				B1				1,507,177
	314			Community Health Systems, Inc., Term Loan G			4.229%				3-Month LIBOR				2.750%				12/31/19				Ba3				310,420
	559			Community Health Systems, Inc., Term Loan H			4.479%				3-Month LIBOR				3.000%				1/27/21				Ba3				549,823
	949			Concentra, Inc., Term Loan B			4.530%				3-Month LIBOR				3.000%				6/01/22				B+				960,098
	1,120			Envision Healthcare Corporation, Term Loan B, First Lien			4.580%				1-Month LIBOR				3.000%				12/01/23				BB–				1,126,225
	760			Healogics, Inc., Term Loan, First Lien			5.750%				3-Month LIBOR				4.250%				7/01/21				B–				673,820
	1,520			Heartland Dental Care, Inc., Term Loan, First Lien			6.450%				3-Month LIBOR				4.750%				7/31/23				B2				1,547,217
	500			Heartland Dental Care, Inc., Term Loan, Second Lien			10.070%				1-Month LIBOR				8.500%				7/31/24				CCC				507,190
	1,916			Millennium Laboratories, Inc., Term Loan B, First Lien			8.073%				1-Month LIBOR				6.500%				12/21/20				CCC+				768,982
	880			MultiPlan, Inc., Term Loan B			4.693%				3-Month LIBOR				3.000%				6/07/23				B+				887,491
	750			PharMerica, Term Loan, First Lien			5.055%				1-Month LIBOR				3.500%				12/06/24				B				758,670
	196			Quorum Health Corp., Term Loan B			8.323%				1-Month LIBOR				6.750%				4/29/22				B2				200,248
	1,686			Select Medical Corporation, Tranche B, Term Loan			5.210%				2-Month LIBOR				3.500%				3/01/21				Ba2				1,705,239
	14,392			Total Health Care Providers & Services																							13,276,006
				Health Care Technology – 1.6% (1.0% of Total Investments)
	1,127			Catalent Pharma Solutions, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				5/20/24				BB				1,136,025
	2,977			Emdeon, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				3/01/24				Ba3				2,999,831
	4,104			Total Health Care Technology																							4,135,856
				Hotels, Restaurants & Leisure – 9.8% (6.2% of Total Investments)
	750			Aramark Corporation, Term Loan B1			3.573%				1-Month LIBOR				2.000%				3/11/25				BBB–				757,343
	4,625			Burger King Corporation, Term Loan B3			3.870%				1-Month LIBOR				2.250%				2/16/24				Ba3				4,657,712
	1,413			Caesars Entertainment Operating Company, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				10/07/24				BB				1,423,493
	2,000			Caesars Resort Collection, Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				12/23/24				BB				2,026,130
	1,786			CCM Merger, Inc., Term Loan B			4.319%				1-Month LIBOR				2.750%				8/09/21				BB–				1,804,124
	2,190			CityCenter Holdings LLC, Term Loan B			4.073%				1-Month LIBOR				2.500%				4/18/24				BB–				2,210,549
	2,778			Hilton Hotels Corporation, Term Loan B2			3.561%				1-Month LIBOR				2.000%				10/25/23				BBB–				2,801,925
	2,218			Intrawest Resorts Holdings, Inc., Term Loan B1			4.823%				1-Month LIBOR				3.250%				7/31/24				B				2,239,673
	1,463			Life Time Fitness, Inc., Term Loan B			4.228%				3-Month LIBOR				2.750%				6/10/22				BB–				1,476,013
	1,081			MGM Growth Properties, Term Loan B			3.823%				1-Month LIBOR				2.250%				4/25/23				BB+				1,090,012

 

NUVEEN			27

---

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Hotels, Restaurants & Leisure (continued)
$	2,877			Scientific Games Corporation, Term Loan B4			4.823%				1-Month LIBOR				3.250%				8/14/24				B+			$	2,899,042
	891			Seaworld Parks and Entertainment, Inc., Term Loan B5			4.693%				3-Month LIBOR				3.000%				4/01/24				B				890,783
	1,735			Station Casino LLC, Term Loan B			4.070%				1-Month LIBOR				2.500%				6/08/23				BB				1,747,012
	25,807			Total Hotels, Restaurants & Leisure																							26,023,811
				Household Products – 0.9% (0.6% of Total Investments)
	2,207			Revlon Consumer Products Corporation, Term Loan B, First Lien, (DD1)			5.073%				1-Month LIBOR				3.500%				11/16/20				B1				1,752,354
	763			Serta Simmons Holdings LLC, Term Loan, First Lien			5.130%				3-Month LIBOR				3.500%				11/08/23				B				749,439
	2,970			Total Household Products																							2,501,793
				Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)
	539			Dynegy, Inc., Tranche Term Loan C2			4.311%				1-Month LIBOR				2.750%				2/07/24				BB				545,488
				Industrial Conglomerates – 1.8% (1.1% of Total Investments)
	1,913			Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien			5.996%				2-Month LIBOR				4.250%				6/16/24				B				1,939,802
	750			Education Advisory Board, Term Loan, First Lien			5.484%				3-Month LIBOR				3.750%				11/15/24				B				756,098
	1,191			Foresight Energy LLC, Term Loan, First Lien			7.443%				3-Month LIBOR				5.750%				3/28/22				B				1,155,419
	623			Robertshaw US Holding Corp., Term Loan, First Lien			6.125%				2-Month LIBOR				4.500%				8/02/24				B1				628,893
	250			Robertshaw US Holding Corp., Term Loan, Second Lien			10.563%				1-Month LIBOR				9.000%				2/04/25				CCC+				253,750
	4,727			Total Industrial Conglomerates																							4,733,962
				Insurance – 1.8% (1.2% of Total Investments)
	496			Acrisure LLC, Term Loan B			5.991%				3-Month LIBOR				4.250%				11/22/23				B				505,561
	2,281			Alliant Holdings I LLC, Term Loan B			4.817%				1-Month LIBOR				3.250%				8/14/22				B				2,301,119
	2,064			Hub International Holdings, Inc., Initial Term Loan			4.413%				3-Month LIBOR				3.000%				10/02/20				B1				2,081,067
	4,841			Total Insurance																							4,887,747
				Internet and Direct Marketing Retail – 0.5% (0.3% of Total Investments)
	1,360			Travelport LLC, Term Loan B			4.166%				3-Month LIBOR				2.750%				8/31/21				B+				1,367,288
				Internet Software & Services – 1.7% (1.1% of Total Investments)
	982			Ancestry.com, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				10/19/23				B				991,716
	953			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			4.385%				3-Month LIBOR				3.000%				11/03/23				BB–				962,227
	1,109			Sabre, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				2/22/24				Ba2				1,117,686
	1,109			SkillSoft Corporation, Term Loan, Second Lien			9.823%				1-Month LIBOR				8.250%				4/28/22				CCC				1,004,015
	440			TierPoint LLC, Term Loan, First Lien			5.323%				1-Month LIBOR				3.750%				5/05/24				B+				443,713
	4,593			Total Internet Software & Services																							4,519,357
				IT Services – 4.3% (2.7% of Total Investments)
	621			Computer Sciences Government Services, Term Loan B			3.693%				3-Month LIBOR				2.000%				11/30/23				BB+				625,110
	750			DigiCert, Term Loan, First Lien			6.522%				3-Month LIBOR				4.750%				10/31/24				B+				763,500
	593			Engility Corporation, Term Loan B2			4.823%				1-Month LIBOR				3.250%				8/11/23				BB–				600,476
	1,374			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				7/10/22				BB				1,385,268
	3,712			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				4/26/24				BB				3,743,210
	685			Gartner, Inc., Term Loan A			3.573%				1-Month LIBOR				2.000%				3/21/22				BB+				687,424
	496			Gartner, Inc., Term Loan B			3.573%				1-Month LIBOR				2.000%				4/05/24				BB+				501,213
	390			PEAK 10, Inc., Term Loan B			5.193%				3-Month LIBOR				3.500%				8/01/24				B				392,046
	35			PEAK 10, Inc., Term Loan, Second Lien			8.627%				3-Month LIBOR				7.250%				8/01/25				CCC+				35,339
	1,244			Tempo Acquisition LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				5/01/24				B1				1,251,268

 

	28			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				IT Services (continued)
$	750			Vantiv, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				8/07/24				BBB–			$	755,989
	739			WEX, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				7/01/23				BB–				748,675
	11,389			Total IT Services																							11,489,518
				Leisure Products – 1.2% (0.7% of Total Investments)
	1,029			24 Hour Fitness Worldwide, Inc., Term Loan B			5.443%				3-Month LIBOR				3.750%				5/28/21				Ba3				1,038,934
	598			Academy, Ltd., Term Loan B			5.546%				1-Month LIBOR				4.000%				7/01/22				B3				483,645
	1,001			Equinox Holdings, Inc., Term Loan B1			4.573%				1-Month LIBOR				3.000%				3/08/24				B+				1,012,724
	495			Four Seasons Holdings, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				11/30/23				BB				500,158
	3,123			Total Leisure Products																							3,035,461
				Life Sciences Tools & Services – 0.1% (0.1% of Total Investments)
	378			Inventiv Health, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				8/01/24				Ba2				379,917
				Machinery – 1.2% (0.8% of Total Investments)
	1,347			Gardner Denver, Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				7/30/24				B+				1,355,932
	842			Gates Global LLC, Term Loan B			4.693%				3-Month LIBOR				2.750%				4/01/24				B+				849,743
	750			Navistar, Inc., Tranche B, Term Loan			5.060%				1-Month LIBOR				3.500%				11/06/24				Ba3				757,815
	208			Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				8/21/24				BB+				209,943
	3,147			Total Machinery																							3,173,433
				Marine – 0.2% (0.1% of Total Investments)
	684			American Commercial Lines LLC, Term Loan B, First Lien			10.323%				1-Month LIBOR				8.750%				11/12/20				B–				412,658
				Media – 13.5% (8.5% of Total Investments)
	1,258			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.017%				2-Month LIBOR				3.250%				7/23/21				B1				1,245,330
	993			Affinion Group Holdings, Inc., Term Loan, First Lien			9.160%				3-Month LIBOR				7.750%				5/10/22				B2				1,029,098
	1,996			Catalina Marketing Corporation, Term Loan, First Lien			5.073%				1-Month LIBOR				3.500%				4/09/21				B1				1,620,367
	1,000			Catalina Marketing Corporation, Term Loan, Second Lien			8.323%				1-Month LIBOR				6.750%				4/11/22				Caa1				418,250
	3,439			Cequel Communications LLC, Term Loan B			3.823%				1-Month LIBOR				2.250%				7/28/25				BB				3,450,443
	2,955			Charter Communications Operating Holdings LLC, Term Loan B			3.580%				1-Month LIBOR				2.000%				4/30/25				BBB–				2,976,010
	2,500			Clear Channel Communications, Inc., Tranche D, Term Loan, (5)			8.443%				3-Month LIBOR				6.750%				1/30/19				Caa1				1,923,613
	2,861			Clear Channel Communications, Inc., Term Loan E, (5)			9.193%				3-Month LIBOR				7.500%				7/30/19				Caa1				2,194,116
	1,000			CSC Holdings LLC, Term Loan B			4.139%				3-Month LIBOR				2.500%				1/12/26				BB–				1,008,755
	5,305			Cumulus Media, Inc., Term Loan B, (5)			4.830%				1-Month LIBOR				3.250%				12/23/20				N/R				4,584,388
	1,277			Getty Images, Inc., Term Loan B, First Lien			5.193%				3-Month LIBOR				3.500%				10/18/19				B3				1,214,536
	443			Gray Television, Inc., Term Loan B2			3.814%				1-Month LIBOR				2.250%				2/07/24				BB				446,770
	965			IMG Worldwide, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				5/06/21				B+				973,054
	424			Lions Gate Entertainment Corp., Term Loan B			3.817%				1-Month LIBOR				2.250%				12/08/23				Ba2				428,993
	1,976			McGraw-Hill Education Holdings LLC, Term Loan B			5.573%				1-Month LIBOR				4.000%				5/02/22				B+				1,977,163
	1,667			Meredith, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB				1,687,158
	249			Nexstar Broadcasting Group, Term Loan			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				250,599
	1,975			Nexstar Broadcasting Group, Term Loan B			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				1,989,706
	499			Red Ventures, Term Loan B			5.573%				1-Month LIBOR				4.000%				11/08/24				B+				505,358
	1,461			Springer Science & Business Media, Inc., Term Loan B13, First Lien			4.979%				3-Month LIBOR				3.500%				8/15/22				B				1,469,718
	3,720			Univision Communications, Inc., Term Loan C5			4.323%				1-Month LIBOR				2.750%				3/15/24				BB–				3,727,907
	148			Yell Group PLC, Term Loan A2, First Lien			8.413%				3-Month LIBOR				7.000%				9/07/21				N/R				150,737

 

NUVEEN			29

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Media (continued)
$	146			Yell Group PLC, Term Loan B2, First Lien			8.500%				N/A				N/A				9/07/65				N/R			$	383,455
	38,257			Total Media																							35,655,524
				Metals & Mining – 0.8% (0.5% of Total Investments)
	871			CanAm Construction, Inc., Term Loan B			7.067%				1-Month LIBOR				5.500%				7/01/24				B				882,596
	1,105			Zekelman Industries, Term Loan B			4.408%				3-Month LIBOR				2.750%				6/14/21				BB–				1,113,796
	1,976			Total Metals & Mining																							1,996,392
				Multiline Retail – 0.9% (0.5% of Total Investments)
	892			Belk, Inc., Term Loan B, First Lien			6.458%				3-Month LIBOR				4.750%				12/12/22				B2				771,473
	830			Dollar Tree, Inc., Term Loan B2			4.250%				N/A				N/A				7/06/22				BBB–				838,819
	691			Hudson’s Bay Company, Term Loan B, First Lien			4.718%				3-Month LIBOR				3.250%				9/30/22				BB				670,293
	2,413			Total Multiline Retail																							2,280,585
				Oil, Gas & Consumable Fuels – 3.4% (2.1% of Total Investments)
	1,091			BCP Renaissance Parent, Term Loan B			5.772%				3-Month LIBOR				4.000%				10/31/24				B+				1,106,138
	750			California Resources Corporation, Term Loan			11.936%				1-Month LIBOR				10.375%				12/31/21				B				853,125
	750			California Resources Corporation, Term Loan B			6.306%				1-Month LIBOR				4.750%				12/31/22				B				765,788
	324			Crestwood Holdings LLC, Term Loan B			9.436%				3-Month LIBOR				8.000%				6/19/19				B–				326,191
	120			Energy and Exploration Partners, Term Loan, Second Lien, (cash 5.000%, PIK 5.000%), (5)			5.000%				N/A				N/A				5/13/22				N/R				1,805
	593			Fieldwood Energy LLC, Term Loan, First Lien			4.568%				3-Month LIBOR				2.875%				10/01/18				B3				582,027
	953			Fieldwood Energy LLC, Term Loan, First Lien			8.693%				3-Month LIBOR				7.000%				8/31/20				B3				919,229
	447			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				Ca				73,803
	818			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				Caa3				536,513
	1,731			Harvey Gulf International Marine, Inc., Term Loan B, (5)			0.000%				N/A				N/A				6/18/20				CCC–				806,902
	831			Peabody Energy Corporation, Term Loan B			5.073%				1-Month LIBOR				3.500%				3/31/22				Ba3				843,204
	2,489			Seadrill Partners LLC, Initial Term Loan, (DD1)			4.693%				3-Month LIBOR				3.000%				2/21/21				CCC+				2,198,804
	27			Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)			3.500%				N/A				N/A				4/13/23				CCC+				26,474
	10,924			Total Oil, Gas & Consumable Fuels																							9,040,003
				Pharmaceuticals – 1.7% (1.1% of Total Investments)
	1,350			Concordia Healthcare Corporation, Term Loan B, First Lien			5.823%				1-Month LIBOR				4.250%				10/21/21				Caa2				1,168,575
	3,222			Pharmaceutical Product Development, Inc., Term Loan, First Lien			4.387%				1-Month LIBOR				2.750%				8/18/22				Ba3				3,248,948
	41			Valeant Pharmaceuticals International, Inc., Term Loan B			5.060%				1-Month LIBOR				3.500%				4/01/22				BB–				41,296
	4,613			Total Pharmaceuticals																							4,458,819
				Professional Services – 2.2% (1.4% of Total Investments)
	1,106			Ceridian Corporation, Term Loan B2			5.067%				1-Month LIBOR				3.500%				9/15/20				Ba3				1,114,447
	1,269			Nielsen Finance LLC, Term Loan B4			3.553%				1-Month LIBOR				2.000%				10/04/23				BBB–				1,278,452
	3,318			Formula One Group, Term Loan B			4.074%				1-Month LIBOR				2.500%				2/01/24				B+				3,337,225
	5,693			Total Professional Services																							5,730,124
				Real Estate Management & Development – 0.7% (0.4% of Total Investments)
	1,832			Capital Automotive LP, Term Loan, Second Lien			7.573%				1-Month LIBOR				6.000%				3/24/25				B3				1,877,929
				Road & Rail – 0.4% (0.2% of Total Investments)
	980			Quality Distribution, Incremental Term Loan, First Lien			7.193%				3-Month LIBOR				5.500%				8/18/22				B2				992,250

 

	30			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Semiconductors & Semiconductor Equipment – 1.8% (1.1% of Total Investments)
$	710			Cypress Semiconductor Corp, Term Loan B			4.320%				1-Month LIBOR				2.750%				7/05/21				BB			$	719,141
	985			Micron Technology, Inc., Term Loan B			3.580%				1-Month LIBOR				2.000%				4/26/22				Baa2				994,338
	1,040			Microsemi Corporation, Term Loan B			3.561%				1-Month LIBOR				2.000%				1/15/23				BB				1,048,691
	856			Lumileds, Term Loan B			5.074%				1-Month LIBOR				4.500%				6/30/24				Ba3				865,792
	1,136			On Semiconductor Corp., Term Loan B			3.573%				1-Month LIBOR				2.000%				3/31/23				Ba1				1,145,978
	4,727			Total Semiconductors & Semiconductor Equipment																							4,773,940
				Software – 13.2% (8.3% of Total Investments)
	2,600			Avaya Inc., Term Loan, First Lien			6.309%				1-Month LIBOR				4.750%				12/15/24				B				2,616,783
	528			Blackboard, Inc., Term Loan B4			6.734%				3-Month LIBOR				5.000%				6/30/21				B1				519,250
	3,073			BMC Software, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				9/10/22				B+				3,093,737
	2,758			Compuware Corporation, Term Loan B3			5.550%				2-Month LIBOR				4.250%				12/15/21				B				2,758,249
	138			Compuware Corporation, Term Loan, Second Lien			9.820%				1-Month LIBOR				8.250%				12/15/22				B–				138,515
	1,596			Ellucian, Term Loan B, First Lien			4.943%				3-Month LIBOR				3.250%				9/30/22				B				1,607,277
	4,792			Infor (US), Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				2/01/22				B1				4,822,841
	1,260			Informatica, Term Loan B			4.943%				3-Month LIBOR				3.250%				8/05/22				B				1,268,391
	990			Kronos Incorporated, Term Loan, First Lien			4.903%				3-Month LIBOR				3.500%				11/01/23				B				1,001,043
	2,035			McAfee Holdings International, Inc., Term Loan, First Lien			6.067%				1-Month LIBOR				4.500%				9/30/24				B1				2,057,514
	500			McAfee Holdings International, Inc., Term Loan, Second Lien			10.067%				1-Month LIBOR				8.500%				9/29/25				B–				504,583
	645			Micro Focus International PLC, New Term Loan			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				649,054
	4,355			Micro Focus International PLC, Term Loan B			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				4,383,221
	1,892			Micro Focus International PLC, Term Loan B2			4.073%				1-Month LIBOR				2.500%				11/19/21				BB–				1,905,135
	429			Misys, New Term Loan, Second Lien			8.729%				3-Month LIBOR				7.250%				6/13/25				CCC+				433,337
	37			Mitchell International, Inc., Delayed Draw Term Loan, First Lien, (16)			4.814%				3-Month LIBOR				3.250%				11/29/24				B1				37,551
	463			Mitchell International, Inc., Initial Term Loan, First Lien			4.943%				3-Month LIBOR				3.250%				11/29/24				B1				465,636
	450			Mitchell International, Inc., Initial Term Loan, Second Lien			8.943%				3-Month LIBOR				7.250%				12/01/25				CCC				456,188
	990			RP Crown Parent, LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				10/15/23				B1				998,559
	1,034			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1			3.823%				1-Month LIBOR				2.250%				7/08/22				BB+				1,041,431
	16			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2			3.823%				1-Month LIBOR				2.250%				7/08/22				BB+				16,176
	3,672			Tibco Software, Inc., Term Loan, First Lien			5.070%				1-Month LIBOR				3.500%				12/04/20				B1				3,699,269
	370			Vertafore, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				6/30/23				B				374,849
	34,623			Total Software																							34,848,589
				Specialty Retail – 1.2% (0.7% of Total Investments)
	341			Neiman Marcus Group, Inc., Term Loan, (WI/DD)			TBD				TBD				TBD				TBD				Caa1				293,648
	2,704			Petco Animal Supplies, Inc., Term Loan B1			4.772%				3-Month LIBOR				3.000%				1/26/23				B1				2,059,572
	848			Petsmart Inc., Term Loan B, First Lien, (DD1)			4.570%				1-Month LIBOR				3.000%				3/11/22				B1				690,436
	3,893			Total Specialty Retail																							3,043,656
				Technology Hardware, Storage & Peripherals – 7.7% (4.9% of Total Investments)
	969			Dell Software Group, Repriced Term Loan B			7.272%				3-Month LIBOR				5.500%				10/31/22				B				992,213
	1,348			Dell International LLC, Replacement Term Loan A3			3.080%				1-Month LIBOR				1.500%				12/31/18				BBB–				1,348,063
	3,802			Dell International LLC, Replacement Term Loan A2			3.330%				1-Month LIBOR				1.750%				9/07/21				BBB–				3,810,182
	6,675			Dell International LLC, Refinancing Term Loan B			3.580%				1-Month LIBOR				2.000%				9/07/23				BBB–				6,709,181
	6,910			Western Digital U.S., Term Loan B3			3.561%				1-Month LIBOR				2.000%				4/29/23				Baa2				6,969,069

 

NUVEEN			31

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Technology Hardware, Storage & Peripherals (continued)
$	649			Conduent, Inc., Term Loan B			4.573%				1-Month LIBOR				3.000%				12/07/23				BB+			$	656,547
	20,353			Total Technology Hardware, Storage & Peripherals																							20,485,255
				Transportation Infrastructure – 2.3% (1.4% of Total Investments)
	4,703			Avolon, Repriced Term Loan B2			3.811%				1-Month LIBOR				2.250%				3/21/22				BBB–				4,701,554
	65			Ceva Group PLC, Canadian Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				63,376
	520			Ceva Group PLC, US Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				507,004
	371			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				N/A				N/A				3/19/21				B–				362,136
	377			Ceva Group PLC, Dutch B.V., Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				367,578
	6,036			Total Transportation Infrastructure																							6,001,648
				Wireless Telecommunication Services – 3.9% (2.5% of Total Investments)
	825			Asurion LLC, Term Loan B4			4.323%				1-Month LIBOR				2.750%				8/04/22				Ba3				832,759
	756			Asurion LLC, Term Loan B5			4.573%				1-Month LIBOR				3.000%				11/03/23				Ba3				763,249
	5,459			Sprint Corporation, Term Loan, First Lien			4.125%				1-Month LIBOR				2.500%				2/02/24				Ba2				5,479,793
	1,558			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				4/23/19				B				1,555,086
	811			Syniverse Technologies, Inc., Tranche B, Term Loan			4.573%				1-Month LIBOR				3.000%				4/23/19				B				809,809
	920			UPC Financing Partnership, Term Loan AR1, First Lien			4.059%				1-Month LIBOR				2.500%				1/15/26				BB				925,911
	10,329			Total Wireless Telecommunication Services																							10,366,607
$	354,343			Total Variable Rate Senior Loan Interests (cost $351,455,311)																							347,127,041
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 18.3% (11.5% of Total Investments)
				Diversified Telecommunication Services – 4.1% (2.6% of Total Investments)
$	840			Intelsat Connect Finance SA, 144A											12.500%				4/01/22				CCC–			$	646,800
	3,655			IntelSat Jackson Holdings											5.500%				8/01/23				CCC+				2,869,175
	4,050			IntelSat Jackson Holdings											9.750%				7/15/25				CCC+				3,724,785
	215			IntelSat Limited											6.750%				6/01/18				CCC–				210,700
	5,009			IntelSat Limited											7.750%				6/01/21				CCC–				2,265,070
	3,000			IntelSat Limited											8.125%				6/01/23				CCC–				1,275,000
	16,769			Total Diversified Telecommunication Services																							10,991,530
				Health Care Providers & Services – 1.4% (0.9% of Total Investments)
	3,500			HCA Inc.											6.500%				2/15/20				BBB–				3,731,875
				Hotels, Restaurants & Leisure – 1.3% (0.8% of Total Investments)
	500			Scientific Games Corporation, 144A											7.000%				1/01/22				Ba3				527,500
	2,650			Scientific Games International Inc.											10.000%				12/01/22				B–				2,898,437
	3,150			Total Hotels, Restaurants & Leisure																							3,425,937
				Household Durables – 0.5% (0.3% of Total Investments)
	1,410			Lennar Corporation											4.125%				12/01/18				BB+				1,424,100
				Media – 3.8% (2.4% of Total Investments)
	100			Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation											3.579%				7/23/20				BBB–				101,335
	6,533			Clear Channel Communications Inc., (5), (8)											12.000%				8/01/21				N/R				—
	1,417			Dish DBS Corporation											5.125%				5/01/20				Ba3				1,440,026
	1,000			Dish DBS Corporation											5.875%				11/15/24				Ba3				948,125
	1,000			Hughes Satellite Systems Corporation											6.500%				6/15/19				BBB–				1,043,790
	1,524			iHeartCommunications, Inc., 144A, (5)											11.250%				3/01/21				Caa1				1,066,800

 

	32			NUVEEN

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Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Media (continued)
$	2,122			iHeartCommunications, Inc., (5)											9.000%				12/15/19				Caa1			$	1,633,940
	10,071			iHeartCommunications, Inc., (cash 12.000%, PIK 2.000%), (5)											14.000%				2/01/21				Ca				604,270
	3,050			iHeartCommunications, Inc., (5)											9.000%				3/01/21				Caa1				2,211,250
	820			Neptune Finco Corporation, 144A											10.125%				1/15/23				B2				925,063
	27,637			Total Media																							9,974,599
				Oil, Gas & Consumable Fuels – 2.6% (1.6% of Total Investments)
	3,765			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				3,150,834
	400			Denbury Resources Inc.											6.375%				8/15/21				CCC–				338,000
	1,404			Denbury Resources Inc.											9.250%				3/31/22				B				1,439,100
	400			EP Energy LLC and Everest Acquisition Finance, Inc.											9.375%				5/01/24				Caa2				339,000
	1,492			FTS International Inc., 144A, (3-Month LIBOR reference rate + 7.500% spread)											8.820%				6/15/20				B+				1,514,380
	7,461			Total Oil, Gas & Consumable Fuels																							6,781,314
				Pharmaceuticals – 0.0% (0.0% of Total Investments)
	300			Concordia Healthcare Corporation, 144A, (5)											7.000%				4/15/23				C				28,500
				Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)
	761			Advanced Micro Devices, Inc.											7.500%				8/15/22				B–				844,710
				Software – 1.8% (1.1% of Total Investments)
	115			Avaya Inc., (8)											7.000%				4/01/19				N/R				—
	2,895			Avaya Inc., (8)											10.500%				3/01/21				N/R				—
	2,840			BMC Software Finance Inc., 144A											8.125%				7/15/21				CCC+				2,843,550
	351			Boxer Parent Company Inc./BMC Software, 144A, (cash 9.000%, PIK 9.750%)											9.000%				10/15/19				CCC+				351,877
	1,475			Infor Us Inc., 144A											5.750%				8/15/20				BB				1,514,014
	7,676			Total Software																							4,709,441
				Technology Hardware, Storage & Peripherals – 0.6% (0.4% of Total Investments)
	1,475			Western Digital Corporation, 144A											7.375%				4/01/23				Baa2				1,605,906
				Wireless Telecommunication Services – 1.9% (1.2% of Total Investments)
	1,000			Sprint Capital Corporation											6.900%				5/01/19				B+				1,042,500
	850			Sprint Communications Inc.											7.000%				8/15/20				B+				897,109
	500			Sprint Corporation											7.875%				9/15/23				B+				528,125
	2,000			Sprint Corporation											7.125%				6/15/24				B+				2,027,500
	400			Syniverse Foreign Holdings Corporation, 144A											9.125%				1/15/22				B				414,500
	75			T-Mobile USA Inc.											6.836%				4/28/23				BB+				78,278
	4,825			Total Wireless Telecommunication Services																							4,988,012
$	74,964			Total Corporate Bonds (cost $56,888,580)																							48,505,924
Shares				Description (1)																						Value
				COMMON STOCKS – 2.6% (1.6% of Total Investments)
				Diversified Consumer Services – 0.2% (0.1% of Total Investments)
	53,514			Cengage Learning Holdings II LP, (6)																						$	394,666
	1,562,493			Education Management Corporation, (6)																							6,250
				Total Diversified Consumer Services																							400,916
				Energy Equipment & Services – 1.0% (0.6% of Total Investments)
	39,988			C&J Energy Services Inc., (6)																							1,224,432
	36,361			Ocean Rig UDW Inc., (6)																							978,838

 

NUVEEN			33

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

 

Shares				Description (1)																						Value
				Energy Equipment & Services (continued)
	1,961			Vantage Drill International, (6)																						$	431,420
				Total Energy Equipment & Services																							2,634,690
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	38,382			Millenium Health LLC, (6)																							4,184
				Media – 0.3% (0.2% of Total Investments)
	566,373			Hibu PLC, (6), (7)																							1
	6,268			Metro-Goldwyn-Mayer, (6)																							718,733
	14,825			Tribune Media Company																							741
				Total Media																							719,475
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	27			Southcross Holdings Borrower LP, (6)																							10,125
				Software – 1.0% (0.6% of Total Investments)
	132,029			Avaya Holdings Corporation, (6)																							2,756,765
				Specialty Retail – 0.1% (0.1% of Total Investments)
	5,454			Gymboree Corporation, (6), (8)																							77,413
	14,849			Gymboree Corporation, (6)																							252,433
				Total Specialty Retail																							329,846
				Total Common Stocks (cost $11,069,507)																							6,856,001
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	11,806			Avaya Holdings Corporation, (8)																						$	12,672
				Total Warrants (cost $1,103,821)																							12,672
Shares				Description (1)										Coupon								Ratings (4)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	1,738			Education Management Corporation, (8)											7.500%								N/R			$	—
				Total $25 Par (or similar) Retail Preferred (cost $4,219)																							—
				Total Long-Term Investments (cost $420,521,438)																							402,501,638
Shares				Description (1)																						Value
				SHORT-TERM INVESTMENTS – 7.0% (4.4% of Total Investments)
				INVESTMENT COMPANIES – 7.0% (4.4% of Total Investments)
	18,368,074			BlackRock Liquidity Funds T-Fund Portfolio, (9)																						$	18,368,074
				Total Short-Term Investments (cost $18,368,074)																							18,368,074
				Total Investments (cost $438,889,512) – 159.1%																							420,869,712
				Borrowings – (43.1)% (10), (11)																							(114,000,000	)
				Term Preferred Shares, net of deferred offering costs – (16.0)% (12)																							(42,310,698	)
				Other Assets Less Liabilities – (0.0)% (13)																							(294	)
				Net Assets Applicable to Common Shares – 100%																						$	264,558,720

 

	34			NUVEEN

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Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

Counterparty		Notional Amount				Fund Pay/Receive Floating Rate				Floating Rate Index				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Maturity Date				Value				Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services LLC		$	43,000,000				Pay				1-Month LIBOR				2.00%	(14)			Monthly				11/01/21	(15)		$	(1,070,548	)		$	(1,070,548	)

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

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

 

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

 

(8)

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

 

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

 

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

 

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

 

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

 

(13)

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

 

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

 

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

 

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

 

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

 

DD1	Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A	Not applicable

 

PIK

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

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

NUVEEN			35

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JFR

 

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG–TERM INVESTMENTS – 149.7% (94.9% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 124.8% (79.0% of Total Investments) (2)
				Aerospace & Defense – 2.4% (1.5% of Total Investments)
$	7,669			Sequa Corporation, Term Loan B			6.549%				3-Month LIBOR				5.000%				11/28/21				B–			$	7,793,432
	2,654			Sequa Corporation, Term Loan, Second Lien			10.753%				3-Month LIBOR				9.000%				4/26/22				CCC				2,712,343
	2,921			Transdigm Inc., Term Loan E			4.323%				1-Month LIBOR				2.750%				5/14/22				Ba2				2,950,994
	985			Transdigm, Inc., Term Loan F			4.365%				1-Month LIBOR				2.750%				6/09/23				Ba2				995,271
	1,316			Transdigm, Inc., Term Loan G			4.666%				1-Month LIBOR				3.000%				8/22/24				Ba2				1,329,325
	15,545			Total Aerospace & Defense																							15,781,365
				Air Freight & Logistics – 0.6% (0.4% of Total Investments)
	1,700			PAE Holding Corporation, Term Loan B			7.124%				2-Month LIBOR				5.500%				10/20/22				B+				1,713,152
	2,166			XPO Logistics, Inc., Refinanced Term Loan			3.958%				3-Month LIBOR				2.250%				11/01/21				BB+				2,186,026
	3,866			Total Air Freight & Logistics																							3,899,178
				Airlines – 2.0% (1.2% of Total Investments)
	3,354			American Airlines, Inc., Replacement Term Loan			3.567%				1-Month LIBOR				2.000%				6/27/20				BB+				3,371,143
	4,098			American Airlines, Inc., Replacement Term Loan			3.554%				1-Month LIBOR				2.000%				10/10/21				BB+				4,118,244
	5,311			American Airlines, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				12/14/23				BB+				5,335,676
	12,763			Total Airlines																							12,825,063
				Auto Components – 0.6% (0.4% of Total Investments)
	1,247			DexKo Global, Inc., Term Loan B			5.241%				3-Month LIBOR				3.500%				7/24/24				B				1,265,192
	689			Horizon Global Corporation, Term Loan B			6.073%				1-Month LIBOR				4.500%				6/30/21				B+				692,808
	1,990			Superior Industries International, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				5/22/24				B1				2,029,506
	3,926			Total Auto Components																							3,987,506
				Automobiles – 0.7% (0.5% of Total Investments)
	4,588			Chrysler Group LLC, Term Loan			3.570%				1-Month LIBOR				2.000%				12/31/18				BBB–				4,604,837
	172			DexKo Global, Inc., Term Loan B, (20)			4.155%				N/A				N/A				7/24/24				B1				172,734
	4,760			Total Automobiles																							4,777,571
				Biotechnology – 0.8% (0.5% of Total Investments)
	5,459			Grifols, Inc., Term Loan B			3.715%				1-Week LIBOR				2.250%				1/31/25				BB				5,498,845
				Building Products – 1.1% (0.7% of Total Investments)
	7,296			Quikrete Holdings, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				11/15/23				BB–				7,344,627
				Capital Markets – 0.3% (0.2% of Total Investments)
	1,968			RPI Finance Trust, Term Loan B6			3.693%				3-Month LIBOR				2.000%				3/27/23				Baa2				1,984,122
				Chemicals – 1.2% (0.8% of Total Investments)
	1,218			Ineos US Finance LLC, Term Loan			3.573%				1-Month LIBOR				2.000%				4/01/24				BB+				1,225,168
	2,319			Mineral Technologies, Inc., Term Loan B2			4.750%				N/A				N/A				5/07/21				BB+				2,362,336
	4,421			Univar, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				7/01/24				BB				4,468,972
	7,958			Total Chemicals																							8,056,476
				Commercial Services & Supplies – 3.8% (2.4% of Total Investments)
	733			ADS Waste Holdings, Inc., Term Loan B			3.715%				1-Week LIBOR				2.250%				11/10/23				BB+				739,164
	1,485			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			5.696%				2-Month LIBOR				4.000%				10/19/23				B2				1,491,037

 

	36			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Commercial Services & Supplies (continued)
$	4,475			iQor US, Inc., Term Loan, First Lien			6.695%				3-Month LIBOR				5.000%				4/01/21				B			$	4,486,236
	500			iQor US, Inc., Term Loan, Second Lien			10.445%				3-Month LIBOR				8.750%				4/01/22				CCC+				485,000
	1,157			KAR Auction Services, Inc., Term Loan B5			4.250%				3-Month LIBOR				2.500%				3/09/23				Ba2				1,171,081
	1,458			LSC Communications, Refinancing Term Loan			7.067%				1-Month LIBOR				5.500%				9/30/22				Ba3				1,468,367
	3,456			Monitronics International, Inc., Term Loan B2, First Lien			7.193%				3-Month LIBOR				5.500%				9/30/22				B2				3,468,347
	3,314			Protection One, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				5/02/22				BB–				3,348,942
	3,268			Skillsoft Corporation, Initial Term Loan, First Lien			6.323%				1-Month LIBOR				4.750%				4/28/21				B–				3,206,911
	1,965			Universal Services of America, Initial Term Loan, First Lien			5.443%				3-Month LIBOR				3.750%				7/28/22				B+				1,949,034
	1,750			Universal Services of America, Term Loan, Second Lien			10.272%				3-Month LIBOR				8.500%				7/28/23				B–				1,741,250
	1,514			West Corporation, Term Loan B			5.573%				1-Month LIBOR				4.000%				10/10/24				Ba3				1,532,318
	25,075			Total Commercial Services & Supplies																							25,087,687
				Communications Equipment – 0.7% (0.4% of Total Investments)
	1,580			Colorado Buyer, Inc., Term Loan, First Lien			4.380%				3-Month LIBOR				3.000%				5/01/24				Ba3				1,593,466
	1,094			Colorado Buyer, Inc., Term Loan, Second Lien			8.630%				3-Month LIBOR				7.250%				5/01/25				B3				1,107,083
	1,746			Mitel US Holdings, Inc., Incremental Term Loan			5.404%				2-Month LIBOR				3.750%				9/25/23				B+				1,769,077
	4,420			Total Communications Equipment																							4,469,626
				Construction & Engineering – 0.3% (0.2% of Total Investments)
	1,822			Traverse Midstream Partners, Term Loan B			5.850%				6-Month LIBOR				4.000%				9/21/24				B+				1,847,815
				Containers & Packaging – 0.8% (0.5% of Total Investments)
	1,488			Berry Global, Inc., Term Loan M			3.816%				1-Month LIBOR				2.250%				10/01/22				BBB–				1,501,128
	3,822			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				2/05/23				B+				3,855,899
	5,310			Total Containers & Packaging																							5,357,027
				Distributors – 0.2% (0.1% of Total Investments)
	1,335			American Seafoods Group LLC, Term Loan B			4.700%				3-Month LIBOR				3.250%				8/21/23				BB–				1,342,411
				Diversified Consumer Services – 2.0% (1.3% of Total Investments)
	5,813			Cengage Learning Acquisitions, Inc., Term Loan B			5.809%				1-Month LIBOR				4.250%				6/07/23				B+				5,662,255
	696			Education Management LLC, Tranche A, Term Loan, (5)			0.000%				N/A				N/A				7/02/20				N/R				191,405
	1,567			Education Management LLC, Tranche B, Term Loan, (5)			0.000%				N/A				N/A				7/02/20				N/R				24,494
	4,095			Houghton Mifflin, Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				5/28/21				B+				3,869,884
	2,321			Laureate Education, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				4/26/24				B+				2,343,255
	1,316			Vertiv Co., New Term Loan B			5.568%				1-Month LIBOR				4.000%				11/30/23				Ba3				1,332,316
	15,808			Total Diversified Consumer Services																							13,423,609
				Diversified Financial Services – 1.7% (1.1% of Total Investments)
	2,744			Citco III Limited, Term Loan			4.573%				1-Month LIBOR				3.000%				3/31/22				N/R				2,771,078
	1,739			Freedom Mortgage Corporation, Initial Term Loan			6.956%				3-Month LIBOR				5.500%				2/23/22				B+				1,762,747
	1,950			OM Group, Inc., Term Loan B			5.943%				3-Month LIBOR				4.250%				2/21/24				B				1,961,392
	4,117			Veritas US, Inc., Term Loan B1			6.193%				3-Month LIBOR				4.500%				1/27/23				B+				4,147,349
	392			Vizient, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				2/13/23				BB–				397,182
	10,942			Total Diversified Financial Services																							11,039,748

 

NUVEEN			37

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Diversified Telecommunication Services – 8.4% (5.3% of Total Investments)
$	2,250			CenturyLink, Inc., Initial Term A Loan, (WI/DD)			TBD				TBD				TBD				TBD				BBB–			$	2,241,844
	9,699			CenturyLink, Inc., Term Loan B			4.317%				1-Month LIBOR				2.750%				1/31/25				BBB–				9,568,801
	1,481			DTI Holdings, Inc., Term Loan B, First Lien			7.022%				2-Month LIBOR				5.250%				10/02/23				B				1,495,603
	5,840			Frontier Communications Corporation, Term Loan B			5.330%				1-Month LIBOR				3.750%				1/14/20				BB–				5,736,897
	4,455			Greeneden U.S. Holdings II LLC, Term Loan B			5.443%				3-Month LIBOR				3.750%				12/01/23				B				4,494,117
	3,033			Intelsat Jackson Holdings, S.A., Term Loan B			5.212%				3-Month LIBOR				3.750%				11/30/23				B1				3,014,984
	465			Intelsat Jackson Holdings, S.A., Term Loan B4			6.195%				3-Month LIBOR				4.500%				1/02/24				B1				471,931
	744			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				749,883
	5,683			Level 3 Financing, Inc., Tranche B, Term Loan			3.696%				3-Month LIBOR				2.250%				2/22/24				BBB–				5,714,193
	591			Presidio, Inc., Term Loan B			4.443%				1-Month LIBOR				2.750%				2/02/24				B+				595,148
	8,312			WideOpenWest Finance LLC, Term Loan B			4.811%				1-Month LIBOR				3.250%				8/18/23				B				8,327,585
	1,114			Windstream Corporation, Term Loan B6			5.560%				1-Month LIBOR				4.000%				3/29/21				BB–				1,059,390
	12,000			Ziggo B.V., Term Loan E			4.059%				1-Month LIBOR				2.500%				4/15/25				BB–				12,007,500
	55,667			Total Diversified Telecommunication Services																							55,477,876
				Electrical Equipment – 0.4% (0.3% of Total Investments)
	1,263			TTM Technologies, Term Loan B			4.073%				1-Month LIBOR				2.500%				9/28/24				BBB–				1,269,115
	1,376			Zebra Technologies Corporation, Term Loan B			3.753%				3-Month LIBOR				2.000%				10/24/21				BB				1,387,207
	2,639			Total Electrical Equipment																							2,656,322
				Electric Utilities – 1.5% (0.9% of Total Investments)
	890			EFS Cogen Holdings LLC, Term Loan B			4.950%				3-Month LIBOR				3.250%				6/28/23				BB				899,611
	3,784			Energy Future Intermediate Holding Company, DIP Term Loan			4.567%				1-Month LIBOR				3.000%				6/30/18				Ba3				3,802,432
	925			Helix Generation, Term Loan B			5.443%				3-Month LIBOR				3.750%				6/03/24				BB				934,722
	3,225			Vistra Operations Co., Term Loan B			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				3,253,077
	571			Vistra Operations Co., Term Loan C			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				576,480
	9,395			Total Electric Utilities																							9,466,322
				Energy Equipment & Services – 0.3% (0.2% of Total Investments)
	1,250			Diversey, Inc., Term Loan B			4.654%				2-Month LIBOR				3.000%				9/06/24				B1				1,247,919
	693			Dynamic Energy Services International LLC, Term Loan (cash 13.383%, PIK 1.500%)			14.883%				3-Month LIBOR				13.500%				3/06/18				N/R				246,042
	433			Ocean Rig UDW Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				439,654
	2,376			Total Energy Equipment & Services																							1,933,615
				Equity Real Estate Investment Trusts – 2.4% (1.5% of Total Investments)
	6,693			Communications Sales & Leasing, Inc., Shortfall Term Loan			4.573%				1-Month LIBOR				3.000%				10/24/22				B+				6,464,022
	1,862			Realogy Group LLC, Term Loan B			3.829%				1-Month LIBOR				2.250%				1/26/25				BB+				1,879,550
	7,330			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)			5.323%				1-Month LIBOR				3.750%				12/18/20				Caa2				7,309,695
	15,885			Total Equity Real Estate Investment Trusts																							15,653,267
				Food & Staples Retailing – 5.0% (3.2% of Total Investments)
	25,352			Albertson’s LLC, Term Loan B4			4.323%				1-Month LIBOR				2.750%				8/25/21				BB				25,247,404
	2,963			Albertson’s LLC, Term Loan B5			4.675%				3-Month LIBOR				3.000%				12/21/22				BB				2,950,877
	1,902			Albertson’s LLC, Term Loan B6			4.462%				3-Month LIBOR				3.000%				6/22/23				BB				1,892,944
	1,094			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			4.953%				2-Month LIBOR				3.500%				2/03/24				B–				1,094,750

 

	38			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Food & Staples Retailing (continued)
$	720			Del Monte Foods Company, Term Loan, First Lien			4.696%				3-Month LIBOR				3.250%				2/18/21				CCC+			$	615,899
	1,329			Save-A-Lot, Term Loan B			7.573%				1-Month LIBOR				6.000%				12/05/23				B2				1,153,140
	33,360			Total Food & Staples Retailing																							32,955,014
				Food Products – 3.8% (2.4% of Total Investments)
	1,930			Hearthside Group Holdings LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				6/02/21				B1				1,945,083
	4,010			Jacobs Douwe Egberts, Term Loan B			3.688%				3-Month LIBOR				2.250%				7/04/22				BB				4,047,254
	1,131			Keurig Green Mountain, Inc., Term Loan A, First Lien			3.000%				1-Week LIBOR				1.500%				3/03/21				BB+				1,130,984
	5,046			Pinnacle Foods Finance LLC, Term Loan B			3.564%				1-Month LIBOR				2.000%				2/02/24				BB+				5,096,426
	12,696			US Foods, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				6/27/23				BB				12,841,692
	24,813			Total Food Products																							25,061,439
				Health Care Equipment & Supplies – 1.5% (1.0% of Total Investments)
	2,066			Acelity, Term Loan B			4.943%				3-Month LIBOR				3.250%				2/02/24				B1				2,072,058
	561			Ardent Medical Services, Inc., Term Loan B, First Lien			7.073%				1-Month LIBOR				5.500%				8/04/21				B1				562,237
	1,085			ConvaTec, Inc., Term Loan B			3.943%				3-Month LIBOR				2.250%				10/25/23				BB				1,097,594
	1,665			Greatbatch, New Term Loan B			4.810%				1-Month LIBOR				3.250%				10/27/22				B+				1,683,546
	2,234			Onex Carestream Finance LP, Term Loan, First Lien			5.693%				3-Month LIBOR				4.000%				6/07/19				B1				2,244,067
	2,328			Onex Carestream Finance LP, Term Loan, Second Lien			10.193%				3-Month LIBOR				8.500%				12/07/19				B–				2,311,681
	9,939			Total Health Care Equipment & Supplies																							9,971,183
				Health Care Providers & Services – 5.6% (3.5% of Total Investments)
	1,909			Acadia Healthcare, Inc., Term Loan B1			4.323%				1-Month LIBOR				2.750%				2/11/22				Ba2				1,927,299
	3,500			Air Medical Group Holdings, Inc., Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B1				3,546,812
	3,184			Air Medical Group Holdings, Inc., Term Loan, First Lien			5.675%				3-Month LIBOR				4.000%				4/28/22				B1				3,215,312
	1,036			Community Health Systems, Inc., Term Loan G			4.229%				3-Month LIBOR				2.750%				12/31/19				Ba3				1,024,261
	1,845			Community Health Systems, Inc., Term Loan H			4.479%				3-Month LIBOR				3.000%				1/27/21				Ba3				1,814,192
	1,424			Concentra, Inc., Term Loan B			4.530%				1-Month LIBOR				3.000%				6/01/22				B+				1,440,147
	679			DaVita HealthCare Partners, Inc., Tranche B, Term Loan			4.323%				1-Month LIBOR				2.750%				6/24/21				BBB–				688,656
	1,768			Envision Healthcare Corporation, Term Loan B, First Lien			4.580%				1-Month LIBOR				3.000%				12/01/23				BB–				1,778,028
	2,674			HCA, Inc., Term Loan A5			3.073%				1-Month LIBOR				1.500%				6/10/20				BBB–				2,681,405
	3,964			HCA, Inc., Term Loan B9			3.573%				1-Month LIBOR				2.000%				3/18/23				BBB–				3,999,368
	1,901			Healogics, Inc., Term Loan, First Lien			5.750%				1-Month LIBOR				4.250%				7/01/21				B–				1,684,550
	3,241			Heartland Dental Care, Inc., Term Loan, First Lien			6.450%				3-Month LIBOR				4.750%				7/31/23				B2				3,300,154
	2,000			Heartland Dental Care, Inc., Term Loan, Second Lien			10.070%				1-Month LIBOR				8.500%				7/31/24				CCC				2,028,760
	3,698			Millennium Laboratories, Inc., Term Loan B, First Lien			8.073%				1-Month LIBOR				6.500%				12/21/20				CCC+				1,483,775
	1,321			MultiPlan, Inc., Term Loan B			4.693%				3-Month LIBOR				3.000%				6/07/23				B+				1,331,236
	1,500			PharMerica, Term Loan, First Lien			5.055%				1-Month LIBOR				3.500%				12/06/24				B				1,517,340
	445			Quorum Health Corp., Term Loan B			8.323%				1-Month LIBOR				6.750%				4/29/22				B2				454,970
	2,897			Select Medical Corporation, Tranche B, Term Loan			5.210%				2-Month LIBOR				3.500%				3/01/21				Ba2				2,929,150
	38,986			Total Health Care Providers & Services																							36,845,415
				Health Care Technology – 1.7% (1.1% of Total Investments)
	4,359			Catalent Pharma Solutions, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				5/20/24				BB				4,394,037

 

NUVEEN			39

---

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Health Care Technology (continued)
$	6,947			Emdeon, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				3/01/24				Ba3			$	6,999,606
	11,306			Total Health Care Technology																							11,393,643
				Hotels, Restaurants & Leisure – 10.6% (6.7% of Total Investments)
	1,250			Aramark Corporation, Term Loan B1			3.573%				1-Month LIBOR				2.000%				3/11/25				BBB–				1,262,238
	1,000			Arby’s Restaurant Group, Inc., Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B1				1,014,690
	18,692			Burger King Corporation, Term Loan B3			3.870%				1-Month LIBOR				2.250%				2/16/24				Ba3				18,822,771
	2,543			Caesars Entertainment Operating Company, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				10/07/24				BB				2,562,287
	5,000			Caesars Resort Collection, Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				12/23/24				BB				5,065,325
	2,281			CCM Merger, Inc., Term Loan B			4.319%				1-Month LIBOR				2.750%				8/09/21				BB–				2,304,313
	4,629			CityCenter Holdings LLC, Term Loan B			4.073%				1-Month LIBOR				2.500%				4/18/24				BB–				4,671,955
	11,008			Hilton Hotels Corporation, Term Loan B2			3.561%				1-Month LIBOR				2.000%				10/25/23				BBB–				11,101,753
	3,697			Intrawest Resorts Holdings, Inc., Term Loan B1			4.823%				1-Month LIBOR				3.250%				7/31/24				B				3,732,789
	2,194			Life Time Fitness, Inc., Term Loan B			4.228%				3-Month LIBOR				2.750%				6/10/22				BB–				2,214,019
	3,355			MGM Growth Properties, Term Loan B			3.823%				1-Month LIBOR				2.250%				4/25/23				BB+				3,384,180
	6,488			Scientific Games Corporation, Term Loan B4			4.823%				1-Month LIBOR				3.250%				8/14/24				B+				6,538,154
	3,206			Seaworld Parks and Entertainment, Inc., Term Loan B5			4.693%				3-Month LIBOR				3.000%				4/01/24				B				3,207,401
	3,470			Station Casino LLC, Term Loan B			4.070%				1-Month LIBOR				2.500%				6/08/23				BB				3,494,023
	68,813			Total Hotels, Restaurants & Leisure																							69,375,898
				Household Products – 0.9% (0.6% of Total Investments)
	4,414			Revlon Consumer Products Corporation, Term Loan B, First Lien, (DD1)			5.073%				1-Month LIBOR				3.500%				11/16/20				B1				3,504,707
	2,308			Serta Simmons Holdings LLC, Term Loan, First Lien			5.130%				3-Month LIBOR				3.500%				11/08/23				B				2,266,684
	6,722			Total Household Products																							5,771,391
				Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)
	1,146			Dynegy, Inc., Tranche Term Loan C2			4.311%				1-Month LIBOR				2.750%				2/07/24				BB				1,159,163
				Industrial Conglomerates – 1.4% (0.9% of Total Investments)
	3,488			Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien			5.996%				2-Month LIBOR				4.250%				6/16/24				B				3,536,454
	1,500			Education Advisory Board, Term Loan, First Lien			5.484%				3-Month LIBOR				3.750%				11/15/24				B				1,512,195
	2,332			Foresight Energy LLC, Term Loan, First Lien			7.443%				3-Month LIBOR				5.750%				3/28/22				B				2,262,695
	1,247			Robertshaw US Holding Corp., Term Loan, First Lien			6.125%				2-Month LIBOR				4.500%				8/02/24				B1				1,257,785
	750			Robertshaw US Holding Corp., Term Loan, Second Lien			10.563%				1-Month LIBOR				9.000%				2/04/25				CCC+				761,250
	9,317			Total Industrial Conglomerates																							9,330,379
				Insurance – 2.0% (1.2% of Total Investments)
	993			Acrisure LLC, Term Loan B			5.991%				3-Month LIBOR				4.250%				11/22/23				B				1,011,122
	5,206			Alliant Holdings I LLC, Term Loan B			4.817%				1-Month LIBOR				3.250%				8/14/22				B				5,251,781
	6,681			Hub International Holdings, Inc., Initial Term Loan			4.413%				3-Month LIBOR				3.000%				10/02/20				B1				6,735,657
	12,880			Total Insurance																							12,998,560
				Internet and Direct Marketing Retail – 0.6% (0.4% of Total Investments)
	3,855			Travelport LLC, Term Loan B			4.166%				3-Month LIBOR				2.750%				8/31/21				B+				3,875,124

 

	40			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Internet Software & Services – 1.6% (1.0% of Total Investments)
$	1,965			Ancestry.com, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				10/19/23				B			$	1,983,432
	1,524			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			4.385%				3-Month LIBOR				3.000%				11/03/23				BB–				1,539,564
	3,660			Sabre, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				2/22/24				Ba2				3,690,002
	2,448			SkillSoft Corporation, Term Loan, Second Lien			9.823%				1-Month LIBOR				8.250%				4/28/22				CCC				2,216,422
	1,028			TierPoint LLC, Term Loan, First Lien			5.323%				1-Month LIBOR				3.750%				5/05/24				B+				1,035,331
	10,625			Total Internet Software & Services																							10,464,751
				IT Services – 3.9% (2.5% of Total Investments)
	1,552			Computer Sciences Government Services, Term Loan B			3.693%				3-Month LIBOR				2.000%				11/30/23				BB+				1,562,776
	1,500			DigiCert, Term Loan, First Lien			6.522%				3-Month LIBOR				4.750%				10/31/24				B+				1,527,000
	1,187			Engility Corporation, Term Loan B2			4.823%				1-Month LIBOR				3.250%				8/11/23				BB–				1,200,952
	2,290			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				7/10/22				BB				2,308,780
	9,528			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				4/26/24				BB				9,607,566
	1,758			Gartner, Inc., Term Loan A			3.573%				1-Month LIBOR				2.000%				3/21/22				BB+				1,765,008
	992			Gartner, Inc., Term Loan B			3.573%				1-Month LIBOR				2.000%				4/05/24				BB+				1,002,425
	1,169			PEAK 10, Inc., Term Loan B			5.193%				3-Month LIBOR				3.500%				8/01/24				B				1,176,137
	106			PEAK 10, Inc., Term Loan, Second Lien			8.627%				3-Month LIBOR				7.250%				8/01/25				CCC+				107,280
	2,487			Tempo Acquisition LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				5/01/24				B1				2,502,537
	1,500			Vantiv, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				8/07/24				BBB–				1,511,978
	1,477			WEX, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				7/01/23				BB–				1,497,350
	25,546			Total IT Services																							25,769,789
				Leisure Products – 1.1% (0.7% of Total Investments)
	2,572			24 Hour Fitness Worldwide, Inc., Term Loan B			5.443%				3-Month LIBOR				3.750%				5/28/21				Ba3				2,597,336
	1,052			Academy, Ltd., Term Loan B			5.546%				1-Month LIBOR				4.000%				7/01/22				B3				850,590
	2,711			Equinox Holdings, Inc., Term Loan B1			4.573%				1-Month LIBOR				3.000%				3/08/24				B+				2,742,794
	990			Four Seasons Holdings, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				11/30/23				BB				1,000,316
	7,325			Total Leisure Products																							7,191,036
				Life Sciences Tools & Services – 0.4% (0.2% of Total Investments)
	755			Inventiv Health, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				8/01/24				Ba2				759,835
	1,496			Parexel International Corp., Term Loan B			4.323%				1-Month LIBOR				2.750%				9/27/24				B1				1,509,155
	2,251			Total Life Sciences Tools & Services																							2,268,990
				Machinery – 1.1% (0.7% of Total Investments)
	3,247			Gardner Denver, Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				7/30/24				B+				3,267,702
	1,474			Gates Global LLC, Term Loan B			4.693%				3-Month LIBOR				2.750%				4/01/24				B+				1,487,050
	1,500			Navistar, Inc., Tranche B, Term Loan			5.060%				1-Month LIBOR				3.500%				11/06/24				Ba3				1,515,630
	765			Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				8/21/24				BB+				772,404
	6,986			Total Machinery																							7,042,786
				Marine – 0.1% (0.1% of Total Investments)
	1,369			American Commercial Lines LLC, Term Loan B, First Lien			10.323%				1-Month LIBOR				8.750%				11/12/20				B–				825,315
				Media – 13.1% (8.3% of Total Investments)
	2,073			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.017%				2-Month LIBOR				3.250%				7/23/21				B1				2,052,345
	1,985			Affinion Group Holdings, Inc., Term Loan, First Lien			9.160%				3-Month LIBOR				7.750%				5/10/22				B2				2,058,197
	6,843			Catalina Marketing Corporation, Term Loan, First Lien			5.073%				1-Month LIBOR				3.500%				4/09/21				B1				5,553,929
	2,000			Catalina Marketing Corporation, Term Loan, Second Lien			8.323%				1-Month LIBOR				6.750%				4/11/22				Caa1				836,500

 

NUVEEN			41

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Media (continued)
$	7,368			Cequel Communications LLC, Term Loan B			3.823%				1-Month LIBOR				2.250%				7/28/25				BB			$	7,393,807
	4,925			Charter Communications Operating Holdings LLC, Term Loan B			3.580%				1-Month LIBOR				2.000%				4/30/25				BBB–				4,960,017
	4,988			Clear Channel Communications, Inc., Tranche D, Term Loan, (5)			8.443%				3-Month LIBOR				6.750%				1/30/19				Caa1				3,837,644
	4,768			Clear Channel Communications, Inc., Term Loan E, (5)			9.193%				3-Month LIBOR				7.500%				7/30/19				Caa1				3,656,011
	2,250			CSC Holdings LLC, Term Loan B			4.139%				3-Month LIBOR				2.500%				1/12/26				BB–				2,269,699
	12,449			Cumulus Media, Inc., Term Loan B, (5)			4.830%				1-Month LIBOR				3.250%				12/23/20				N/R				10,758,248
	2,394			Getty Images, Inc., Term Loan B, First Lien			5.193%				3-Month LIBOR				3.500%				10/18/19				B3				2,277,254
	886			Gray Television, Inc., Term Loan B2			3.814%				1-Month LIBOR				2.250%				2/07/24				BB				893,540
	2,896			IMG Worldwide, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				5/06/21				B+				2,919,163
	848			Lions Gate Entertainment Corp., Term Loan B			3.817%				1-Month LIBOR				2.250%				12/08/23				Ba2				857,986
	3,952			McGraw-Hill Education Holdings LLC, Term Loan B			5.573%				1-Month LIBOR				4.000%				5/02/22				B+				3,954,326
	4,000			Meredith, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB				4,049,180
	618			Nexstar Broadcasting Group, Term Loan			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				622,703
	4,908			Nexstar Broadcasting Group, Term Loan B			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				4,944,324
	997			Red Ventures, Term Loan B			5.573%				1-Month LIBOR				4.000%				11/08/24				B+				1,010,717
	2,922			Springer Science & Business Media, Inc., Term Loan B13, First Lien			4.979%				3-Month LIBOR				3.500%				8/15/22				B				2,939,436
	17,112			Univision Communications, Inc., Term Loan C5			4.323%				1-Month LIBOR				2.750%				3/15/24				BB–				17,148,370
	376			Yell Group PLC, Term Loan A2, First Lien			8.413%				3-Month LIBOR				7.000%				9/07/21				N/R				383,778
	371			Yell Group PLC, Term Loan B2, First Lien			8.500%				N/A				N/A				9/07/65				N/R				976,279
	91,929			Total Media																							86,353,453
				Metals & Mining – 0.5% (0.3% of Total Investments)
	1,492			CanAm Construction, Inc., Term Loan B			7.067%				1-Month LIBOR				5.500%				7/01/24				B				1,513,022
	1,658			Zekelman Industries, Term Loan B			4.408%				3-Month LIBOR				2.750%				6/14/21				BB–				1,670,695
	3,150			Total Metals & Mining																							3,183,717
				Multiline Retail – 1.7% (1.1% of Total Investments)
	1,785			Belk, Inc., Term Loan B, First Lien			6.458%				3-Month LIBOR				4.750%				12/12/22				B2				1,542,946
	8,010			Dollar Tree, Inc., Term Loan B2			4.250%				N/A				N/A				7/06/22				BBB–				8,095,106
	1,382			Hudson’s Bay Company, Term Loan B, First Lien			4.718%				3-Month LIBOR				3.250%				9/30/22				BB				1,340,585
	11,177			Total Multiline Retail																							10,978,637
				Oil, Gas & Consumable Fuels – 2.9% (1.9% of Total Investments)
	1,455			BCP Renaissance Parent, Term Loan B			5.772%				3-Month LIBOR				4.000%				10/31/24				B+				1,474,850
	1,750			California Resources Corporation, Term Loan			11.936%				1-Month LIBOR				10.375%				12/31/21				B				1,990,625
	2,350			California Resources Corporation, Term Loan B			6.306%				1-Month LIBOR				4.750%				12/31/22				B				2,399,468
	648			Crestwood Holdings LLC, Term Loan B			9.436%				3-Month LIBOR				8.000%				6/19/19				B–				652,381
	301			Energy and Exploration Partners, Term Loan, Second Lien, (cash 5.000%, PIK 5.000%), (5)			5.000%				N/A				N/A				5/13/22				N/R				4,512
	1,515			Fieldwood Energy LLC, Term Loan, First Lien			4.568%				3-Month LIBOR				2.875%				10/01/18				B3				1,486,872
	1,818			Fieldwood Energy LLC, Term Loan, First Lien			8.693%				3-Month LIBOR				7.000%				8/31/20				B3				1,753,141
	828			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				Ca				136,609
	1,474			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				Caa3				966,433
	5,270			Harvey Gulf International Marine, Inc., Term Loan B, (5)			0.000%				N/A				N/A				6/18/20				CCC–				2,457,031
	1,461			Peabody Energy Corporation, Term Loan B			5.073%				1-Month LIBOR				3.500%				3/31/22				Ba3				1,482,896

 

	42			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Oil, Gas & Consumable Fuels (continued)
$	4,960			Seadrill Partners LLC, Initial Term Loan, (DD1)			4.693%				3-Month LIBOR				3.000%				2/21/21				CCC+			$	4,381,391
	62			Southcross Holdings Borrower L.P., Term Loan B, First Lien (cash 3.500%, PIK 5.500%)			3.500%				N/A				N/A				4/13/23				CCC+				61,774
	23,892			Total Oil, Gas & Consumable Fuels																							19,247,983
				Pharmaceuticals – 1.7% (1.1% of Total Investments)
	3,937			Concordia Healthcare Corporation, Term Loan B, First Lien			5.823%				1-Month LIBOR				4.250%				10/21/21				Caa2				3,408,342
	7,923			Pharmaceutical Product Development, Inc., Term Loan, First Lien			4.387%				1-Month LIBOR				2.750%				8/18/22				Ba3				7,988,613
	81			Valeant Pharmaceuticals International, Inc., Term Loan B			5.060%				1-Month LIBOR				3.500%				4/01/22				BB–				82,640
	11,941			Total Pharmaceuticals																							11,479,595
				Professional Services – 1.9% (1.2% of Total Investments)
	1,536			Ceridian Corporation, Term Loan B2			5.067%				1-Month LIBOR				3.500%				9/15/20				Ba3				1,547,950
	7,673			Formula One Group, Term Loan B			4.074%				1-Month LIBOR				2.500%				2/01/24				B+				7,717,445
	2,977			Nielsen Finance LLC, Term Loan B4			3.553%				1-Month LIBOR				2.000%				10/04/23				BBB–				3,000,591
	12,186			Total Professional Services																							12,265,986
				Real Estate Management & Development – 1.3% (0.8% of Total Investments)
	4,406			Capital Automotive LP, Term Loan, First Lien			4.073%				1-Month LIBOR				2.500%				3/25/24				B1				4,439,072
	3,664			Capital Automotive LP, Term Loan, Second Lien			7.573%				1-Month LIBOR				6.000%				3/24/25				B3				3,755,858
	8,070			Total Real Estate Management & Development																							8,194,930
				Road & Rail – 0.3% (0.2% of Total Investments)
	1,960			Quality Distribution, Incremental Term Loan, First Lien			7.193%				3-Month LIBOR				5.500%				8/18/22				B2				1,984,500
				Semiconductors & Semiconductor Equipment – 1.5% (0.9% of Total Investments)
	1,419			Cypress Semiconductor Corp, Term Loan B			4.320%				1-Month LIBOR				2.750%				7/05/21				BB				1,438,282
	2,140			Lumileds, Term Loan B			5.074%				1-Month LIBOR				4.500%				6/30/24				Ba3				2,164,481
	1,724			Micron Technology, Inc., Term Loan B			3.580%				1-Month LIBOR				2.000%				4/26/22				Baa2				1,740,091
	2,080			Microsemi Corporation, Term Loan B			3.561%				1-Month LIBOR				2.000%				1/15/23				BB				2,097,383
	2,146			On Semiconductor Corp., Term Loan B			3.573%				1-Month LIBOR				2.000%				3/31/23				Ba1				2,164,625
	9,509			Total Semiconductors & Semiconductor Equipment																							9,604,862
				Software – 11.6% (7.3% of Total Investments)
	5,600			Avaya Inc., Term Loan, First Lien			6.309%				1-Month LIBOR				4.750%				12/15/24				B				5,636,148
	2,452			Blackboard, Inc., Term Loan B4			6.734%				3-Month LIBOR				5.000%				6/30/21				B1				2,410,992
	7,359			BMC Software, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				9/10/22				B+				7,407,942
	5,403			Compuware Corporation, Term Loan B3			5.550%				2-Month LIBOR				4.250%				12/15/21				N/R				5,402,716
	295			Compuware Corporation, Term Loan, Second Lien			9.820%				1-Month LIBOR				8.250%				12/15/22				B–				295,498
	3,651			Ellucian, Term Loan B, First Lien			4.943%				3-Month LIBOR				3.250%				9/30/22				B				3,676,572
	11,101			Infor (US), Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				2/01/22				B1				11,173,189
	2,524			Informatica, Term Loan B			4.943%				3-Month LIBOR				3.250%				8/05/22				B				2,539,987
	1,485			Kronos Incorporated, Term Loan, First Lien			4.903%				3-Month LIBOR				3.500%				11/01/23				B				1,501,564
	4,360			McAfee Holdings International, Inc., Term Loan, First Lien			6.067%				1-Month LIBOR				4.500%				9/30/24				B1				4,408,957
	1,000			McAfee Holdings International, Inc., Term Loan, Second Lien			10.067%				1-Month LIBOR				8.500%				9/29/25				B–				1,009,165
	1,161			Micro Focus International PLC, New Term Loan			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				1,168,297
	7,839			Micro Focus International PLC, Term Loan B			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				7,889,798

 

NUVEEN			43

---

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Software (continued)
$	5,490			Micro Focus International PLC, Term Loan B2			4.073%				1-Month LIBOR				2.500%				11/19/21				BB–			$	5,527,801
	893			Misys, New Term Loan, Second Lien			8.729%				3-Month LIBOR				7.250%				6/13/25				CCC+				901,773
	75			Mitchell International, Inc., Delayed Draw Term Loan, First Lien, (20)			4.814%				3-Month LIBOR				3.250%				11/29/24				B1				75,103
	925			Mitchell International, Inc., Initial Term Loan, First Lien			4.943%				3-Month LIBOR				3.250%				11/29/24				B1				931,272
	1,000			Mitchell International, Inc., Initial Term Loan, Second Lien			8.943%				3-Month LIBOR				7.250%				12/01/25				CCC				1,013,750
	1,980			RP Crown Parent, LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				10/15/23				B1				1,997,117
	1,671			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1			3.823%				1-Month LIBOR				2.250%				7/08/22				BB+				1,682,744
	26			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2			3.823%				1-Month LIBOR				2.250%				7/08/22				BB+				26,138
	8,720			Tibco Software, Inc., Term Loan, First Lien			5.070%				1-Month LIBOR				3.500%				12/04/20				B1				8,785,765
	741			Vertafore, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				6/30/23				B				749,698
	75,751			Total Software																							76,211,986
				Specialty Retail – 1.6% (1.0% of Total Investments)
	3,434			99 Cents Only Stores, Tranche B2, Term Loan, Second Lien			8.029%				3-Month LIBOR				6.500%				1/13/22				CCC+				3,368,320
	682			Neiman Marcus Group, Inc., Term Loan, (WI/DD)			TBD				TBD				TBD				TBD				Caa1				587,297
	6,448			Petco Animal Supplies, Inc., Term Loan B1			4.772%				3-Month LIBOR				3.000%				1/26/23				B1				4,912,042
	1,735			Petsmart Inc., Term Loan B, First Lien, (DD1)			4.570%				1-Month LIBOR				3.000%				3/11/22				B1				1,412,407
	12,299			Total Specialty Retail																							10,280,066
				Technology Hardware, Storage & Peripherals – 6.5% (4.1% of Total Investments)
	1,297			Conduent, Inc., Term Loan B			4.573%				1-Month LIBOR				3.000%				12/07/23				BB+				1,313,094
	16,090			Dell International LLC, Refinancing Term Loan B			3.580%				1-Month LIBOR				2.000%				9/07/23				BBB–				16,172,732
	7,604			Dell International LLC, Replacement Term Loan A2			3.330%				1-Month LIBOR				1.750%				9/07/21				BBB–				7,620,364
	3,032			Dell International LLC, Replacement Term Loan A3			3.080%				1-Month LIBOR				1.500%				12/31/18				BBB–				3,033,143
	1,697			Dell Software Group, Repriced Term Loan B			7.272%				3-Month LIBOR				5.500%				10/31/22				B				1,736,373
	12,831			Western Digital U.S., Term Loan B3			3.561%				1-Month LIBOR				2.000%				4/29/23				Baa2				12,939,703
	42,551			Total Technology Hardware, Storage & Peripherals																							42,815,409
				Trading Companies & Distributors – 0.0% (0.0% of Total Investments)
	286			HD Supply Waterworks, Ltd., Term Loan B			4.455%				6-Month LIBOR				3.000%				8/01/24				B+				288,184
				Transportation Infrastructure – 1.9% (1.2% of Total Investments)
	9,475			Avolon, Repriced Term Loan B2			3.811%				1-Month LIBOR				2.250%				3/21/22				BBB–				9,471,737
	148			Ceva Group PLC, Canadian Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				144,436
	859			Ceva Group PLC, Dutch B.V., Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				837,727
	846			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				N/A				N/A				3/19/21				B–				825,326
	1,185			Ceva Group PLC, US Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				1,155,486
	12,513			Total Transportation Infrastructure																							12,434,712
				Wireless Telecommunication Services – 4.6% (2.9% of Total Investments)
	4,540			Asurion LLC, Term Loan B4			4.323%				1-Month LIBOR				2.750%				8/04/22				Ba3				4,580,176
	4,160			Asurion LLC, Term Loan B5			4.573%				1-Month LIBOR				3.000%				11/03/23				Ba3				4,197,870
	11,414			Sprint Corporation, Term Loan, First Lien			4.125%				1-Month LIBOR				2.500%				2/02/24				Ba2				11,457,750
	4,224			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				4/23/19				B				4,216,376
	2,315			Syniverse Technologies, Inc., Tranche B, Term Loan			4.573%				1-Month LIBOR				3.000%				4/23/19				B				2,310,179

 

	44			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Wireless Telecommunication Services (continued)
$	3,682			UPC Financing Partnership, Term Loan AR1, First Lien			4.059%				1-Month LIBOR				2.500%				1/15/26				BB			$	3,703,643
	30,335			Total Wireless Telecommunication Services																							30,465,994
$	837,003			Total Variable Rate Senior Loan Interests (cost $827,156,745)																							819,999,968
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 18.9% (12.0% of Total Investments)
				Diversified Telecommunication Services – 3.5% (2.2% of Total Investments)
$	1,667			Intelsat Connect Finance SA, 144A											12.500%				4/01/22				CCC–			$	1,283,590
	8,035			IntelSat Jackson Holdings											5.500%				8/01/23				CCC+				6,307,475
	7,080			IntelSat Jackson Holdings											9.750%				7/15/25				CCC+				6,511,476
	1,080			IntelSat Limited											6.750%				6/01/18				CCC–				1,058,400
	11,064			IntelSat Limited											7.750%				6/01/21				CCC–				5,003,141
	5,260			IntelSat Limited											8.125%				6/01/23				CCC–				2,235,500
	750			Level 3 Financing Inc.											5.375%				8/15/22				BB				761,250
	34,936			Total Diversified Telecommunication Services																							23,160,832
				Equity Real Estate Investment Trusts – 0.7% (0.4% of Total Investments)
	4,250			Realogy Group LLC / Realogy Co-Issuer Corporation, 144A											5.250%				12/01/21				B1				4,382,812
				Health Care Providers & Services – 1.1% (0.7% of Total Investments)
	7,000			HCA Inc.											6.500%				2/15/20				BBB–				7,463,750
				Hotels, Restaurants & Leisure – 1.5% (0.9% of Total Investments)
	2,000			MGM Resorts International Inc.											5.250%				3/31/20				BB				2,070,000
	1,667			Scientific Games Corporation, 144A											7.000%				1/01/22				Ba3				1,758,685
	5,500			Scientific Games International Inc.											10.000%				12/01/22				B–				6,015,625
	9,167			Total Hotels, Restaurants & Leisure																							9,844,310
				Household Durables – 1.0% (0.7% of Total Investments)
	6,780			Lennar Corporation											4.125%				12/01/18				BB+				6,847,800
				Media – 3.9% (2.5% of Total Investments)
	1,000			CCO Holdings LLC Finance Corporation											5.750%				9/01/23				BB+				1,025,000
	200			Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation											3.579%				7/23/20				BBB–				202,670
	11,059			Clear Channel Communications Inc., (5), (8)											12.000%				8/01/21				N/R				—
	2,600			Dish DBS Corporation											5.125%				5/01/20				Ba3				2,642,250
	2,000			Dish DBS Corporation											5.875%				7/15/22				Ba3				1,990,000
	2,500			Dish DBS Corporation											5.875%				11/15/24				Ba3				2,370,312
	2,000			Hughes Satellite Systems Corporation											6.500%				6/15/19				BBB–				2,087,580
	1,762			iHeartCommunications, Inc., 144A, (5)											11.250%				3/01/21				Caa1				1,233,400
	4,812			iHeartCommunications, Inc., (5)											9.000%				12/15/19				Caa1				3,705,240
	19,762			iHeartCommunications, Inc. (cash 12.000%, PIK 2.000%), (5)											14.000%				2/01/21				Ca				1,185,703
	10,350			iHeartCommunications, Inc., (5)											9.000%				3/01/21				Caa1				7,503,750
	1,730			Neptune Finco Corporation, 144A											10.125%				1/15/23				B2				1,951,656
	59,775			Total Media																							25,897,561
				Oil, Gas & Consumable Fuels – 1.9% (1.2% of Total Investments)
	6,905			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				5,778,622
	700			Denbury Resources Inc.											6.375%				8/15/21				CCC–				591,500
	2,547			Denbury Resources Inc.											9.250%				3/31/22				B				2,610,675
	750			EP Energy LLC and Everest Acquisition Finance, Inc.											9.375%				5/01/24				Caa2				635,625
	2,487			FTS International Inc., 144A, (3-Month LIBOR reference rate + 7.500% spread)											8.820%				6/15/20				B+				2,524,305
	13,389			Total Oil, Gas & Consumable Fuels																							12,140,727

 

NUVEEN			45

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

 

Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Pharmaceuticals – 0.0% (0.0% of Total Investments)
$	850			Concordia Healthcare Corporation, 144A, (5)											7.000%				4/15/23				C			$	80,750
				Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)
	1,564			Advanced Micro Devices, Inc.											7.500%				8/15/22				B–				1,736,040
	930			Advanced Micro Devices, Inc.											7.000%				7/01/24				B–				976,500
	2,494			Total Semiconductors & Semiconductor Equipment																							2,712,540
				Software – 1.9% (1.2% of Total Investments)
	210			Avaya Inc., (8)											7.000%				4/01/19				N/R				—
	5,150			Avaya Inc., (8)											10.500%				3/01/21				N/R				—
	2,000			Balboa Merger Sub Inc., 144A											11.375%				12/01/21				CCC+				2,177,600
	5,480			BMC Software Finance Inc., 144A											8.125%				7/15/21				CCC+				5,486,850
	753			Boxer Parent Company Inc./BMC Software, 144A, (cash 9.000%, PIK 9.750%)											9.000%				10/15/19				CCC+				754,883
	3,650			Infor Us Inc., 144A											5.750%				8/15/20				BB				3,746,542
	17,243			Total Software																							12,165,875
				Technology Hardware, Storage & Peripherals – 0.9% (0.6% of Total Investments)
	5,400			Western Digital Corporation, 144A											7.375%				4/01/23				Baa2				5,879,250
				Wireless Telecommunication Services – 2.1% (1.3% of Total Investments)
	2,250			Sprint Communications Inc.											7.000%				8/15/20				B+				2,374,700
	7,750			Sprint Corporation											7.875%				9/15/23				B+				8,185,938
	1,750			Sprint Corporation											7.125%				6/15/24				B+				1,774,062
	1,150			Syniverse Foreign Holdings Corporation, 144A											9.125%				1/15/22				B				1,191,688
	12,900			Total Wireless Telecommunication Services																							13,526,388
$	174,184			Total Corporate Bonds (cost $139,926,680)																							124,102,595
Shares				Description (1)																						Value
				COMMON STOCKS – 2.3% (1.5% of Total Investments)
				Diversified Consumer Services – 0.1% (0.1% of Total Investments)
	78,490			Cengage Learning Holdings II LP, (6)																						$	578,864
	9,876,769			Education Management Corporation, (6)																							39,507
				Total Diversified Consumer Services																							618,371
				Energy Equipment & Services – 0.8% (0.5% of Total Investments)
	80,413			C&J Energy Services Inc., (6)																							2,462,246
	75,644			Ocean Rig UDW Inc., (6)																							2,036,337
	2,712			Vantage Drill International, (6)																							596,640
				Total Energy Equipment & Services																							5,095,223
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	74,059			Millenium Health LLC, (6)																							8,072
				Media – 0.4% (0.3% of Total Investments)
	1,441,988			Hibu PLC, (6), (7)																							1
	26,045			Metro-Goldwyn-Mayer, (6)																							2,986,502
	45,942			Tribune Media Company																							2,297
				Total Media																							2,988,800
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	64			Southcross Holdings Borrower LP, (6)																							24,000
				Software – 0.9% (0.6% of Total Investments)
	282,937			Avaya Holdings Corporation., (6)																							5,907,725

 

	46			NUVEEN

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Shares				Description (1)																						Value
				Specialty Retail – 0.1% (0.0% of Total Investments)
	10,908			Gymboree Corporation, (6), (8)																						$	154,826
	29,698			Gymboree Corporation, (6)																							504,866
				Total Specialty Retail																							659,692
				Total Common Stocks (cost $22,291,965)																							15,301,883
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				ASSET-BACKED SECURITIES – 2.0% (1.3% of Total Investments)
$	1,200			Bristol Park CLO Limited, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread)											8.972%				4/15/29				Ba3			$	1,257,079
	500			Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A.											6.984%				1/18/29				BB–				505,502
	1,200			Dryden Senior Loan Fund, Series 2017-50A, (3-Month LIBOR reference rate + 6.260% spread)											7.980%				7/15/30				Ba3				1,223,441
	1,250			Gilbert Park CLO LTD, Series 2017-1A											7.765%				10/15/30				Ba3				1,273,799
	2,750			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, (3-Month LIBOR reference rate + 5.500% spread)											7.245%				4/20/26				Ba3				2,755,885
	1,500			Madison Park Funding Limited, Series 2012-10A, (3-Month LIBOR reference rate + 7.620% spread)											9.365%				1/20/29				BB				1,566,125
	500			North End CLO Limited, Loan Pool, 144A, (3-Month LIBOR reference rate + 4.600% spread)											6.331%				7/17/25				BB				496,322
	3,000			Octagon Investment Partners, Series 2015-1A, (3-Month LIBOR reference rate + 5.850% spread)											7.595%				10/20/26				N/R				3,010,320
	1,250			OZLM Funding Limited, Series 2012-2A, 144A, (3-Month LIBOR reference rate + 7.300% spread)											8.678%				10/30/27				BB				1,265,486
	13,150			Total Asset-Backed Securities (cost $12,727,060)																							13,353,959
Shares				Description (1), (9)																						Value
				INVESTMENT COMPANIES – 1.7% (1.1% of Total Investments)
	353,668			Eaton Vance Floating-Rate Income Trust Fund																						$	5,099,893
	968,586			Eaton Vance Senior Income Trust																							6,295,809
				Total Investment Companies (cost $11,981,509)																							11,395,702
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CONVERTIBLE BONDS – 0.0% (0.0% of Total Investments)
				Communications Equipment – 0.0% (0.0% of Total Investments)
$	850			Nortel Networks Limited, (5)											1.750%				4/15/12				N/R			$	40,375
$	850			Total Convertible Bonds (cost $33,724)																							40,375
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	21,002			Avaya Holdings Corp., (8)																						$	22,541
				Total Warrants (cost $1,915,310)																							22,541
Shares				Description (1)										Coupon								Ratings (4)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	10,989			Education Management Corporation, (8)											7.500%								N/R			$	1
				Total $25 Par (or similar) Retail Preferred (cost $26,686)																							1
				Total Long-Term Investments (cost $1,016,059,679)																							984,217,024

 

NUVEEN			47

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

 

Shares				Description (1)																						Value
				SHORT-TERM INVESTMENTS – 8.1% (5.1% of Total Investments)
				INVESTMENT COMPANIES – 8.1% (5.1% of Total Investments)
	53,431,081			BlackRock Liquidity Funds T-Fund Portfolio, (9)																						$	53,431,081
				Total Short-Term Investments (cost $53,431,081)																							53,431,081
				Total Investments (cost $1,069,490,760) – 157.8%																							1,037,648,105
				Borrowings – (38.7)% (10), (11)																							(254,300,000	)
				Term Preferred Shares, net of deferred offering costs – (18.8)% (12)																							(123,910,823	)
				Other Assets Less Liabilities – (0.3)% (13)																							(2,026,798	)
				Net Assets Applicable to Common Shares – 100%																						$	657,410,484

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

Counterparty		Notional Amount				Fund Pay/Receive Floating Rate				Floating Rate Index				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Maturity Date				Value				Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services LLC		$	10,200,000				Pay				1-Month LIBOR				1.750	%(14)			Monthly				12/01/19	(15)		$	(34,137	)		$	(34,137	)
Morgan Stanley Capital Services LLC			25,000,000				Pay				1-Month LIBOR				2.700	(16)			Monthly				1/01/22	(17)			(272,445	)			(272,445	)
Morgan Stanley Capital Services LLC			35,000,000				Pay				1-Month LIBOR				5.750				Monthly				6/01/24	(18)			3,187				3,187
Morgan Stanley Capital Services LLC			55,000,000				Pay				1-Month LIBOR				4.000				Monthly				1/01/27	(19)			(1,169,184	)			(1,169,184	)
Total		$	125,200,000																							$	(1,472,579	)		$	(1,472,579	)
Total unrealized appreciation on interest rate swaps																														$	3,187
Total unrealized depreciation on interest rate swaps																														$	(1,475,766	)

 

	48			NUVEEN

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

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

 

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

 

(8)

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

 

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

 

(10)	Borrowings as a percentage of Total Investments is 24.5%.

 

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

 

(12)	Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.9%.

 

(13)

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

 

(14)	Effective June 1, 2018, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

(15)	This interest rate swap has an optional early termination date beginning on December 1, 2017 and monthly thereafter through the termination date as specified in the swap contract.

 

(16)	Effective April 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every three months on specific dates through the swap contract’s termination date.

 

(17)	This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(18)	This interest rate swap has an optional early termination date beginning on June 1, 2020 and monthly thereafter through the termination date as specified in the swap contract.

 

(19)	This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

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

 

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

 

DD1	Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A	Not applicable

 

PIK

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

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

NUVEEN			49

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JRO

 

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 149.0% (95.1% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 125.9% (80.4% of Total Investments) (2)
				Aerospace & Defense – 2.7% (1.7% of Total Investments)
$	5,738			Sequa Corporation, Term Loan B			6.549%				3-Month LIBOR				5.000%				11/28/21				B			$	5,830,865
	1,985			Sequa Corporation, Term Loan, Second Lien			10.753%				3-Month LIBOR				9.000%				4/26/22				CCC				2,029,312
	3,325			Transdigm Inc., Term Loan E			4.323%				1-Month LIBOR				2.750%				5/14/22				Ba2				3,358,634
	739			Transdigm, Inc., Term Loan F			4.365%				1-Month LIBOR				2.750%				6/09/23				Ba2				746,453
	401			Transdigm, Inc., Term Loan G			4.666%				1-Month LIBOR				3.000%				8/22/24				Ba2				404,775
	12,188			Total Aerospace & Defense																							12,370,039
				Air Freight & Logistics – 0.6% (0.4% of Total Investments)
	1,133			PAE Holding Corporation, Term Loan B			7.124%				2-Month LIBOR				5.500%				10/20/22				B+				1,142,101
	1,444			XPO Logistics, Inc., Refinanced Term Loan			3.958%				3-Month LIBOR				2.250%				11/01/21				BB+				1,457,351
	2,577			Total Air Freight & Logistics																							2,599,452
				Airlines – 1.9% (1.2% of Total Investments)
	2,394			American Airlines, Inc., Replacement Term Loan			3.567%				1-Month LIBOR				2.000%				6/27/20				BB+				2,405,875
	2,732			American Airlines, Inc., Replacement Term Loan			3.554%				1-Month LIBOR				2.000%				10/10/21				BB+				2,745,496
	3,623			American Airlines, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				12/14/23				BB+				3,639,995
	8,749			Total Airlines																							8,791,366
				Auto Components – 0.7% (0.4% of Total Investments)
	998			DexKo Global, Inc., Term Loan B			5.241%				3-Month LIBOR				3.500%				7/24/24				B				1,012,153
	551			Horizon Global Corporation, Term Loan B			6.073%				1-Month LIBOR				4.500%				6/30/21				B1				554,246
	1,492			Superior Industries International, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				5/22/24				B1				1,522,130
	3,041			Total Auto Components																							3,088,529
				Automobiles – 1.0% (0.6% of Total Investments)
	4,588			Chrysler Group LLC, Term Loan			3.570%				1-Month LIBOR				2.000%				12/31/18				BBB–				4,604,837
	138			DexKo Global, Inc., Term Loan B, (21)			4.155%				3-Month LIBOR				3.500%				7/24/24				B				138,188
	4,726			Total Automobiles																							4,743,025
				Biotechnology – 0.9% (0.6% of Total Investments)
	3,970			Grifols, Inc., Term Loan B			3.715%				1-Week LIBOR				2.250%				1/31/25				BB				3,999,160
				Building Products – 1.5% (1.0% of Total Investments)
	7,030			Quikrete Holdings, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				11/15/23				N/R				7,077,325
				Capital Markets – 0.3% (0.2% of Total Investments)
	1,476			RPI Finance Trust, Term Loan B6			3.693%				3-Month LIBOR				2.000%				3/27/23				Baa2				1,488,093
				Chemicals – 0.7% (0.4% of Total Investments)
	897			Ineos US Finance LLC, Term Loan			3.573%				1-Month LIBOR				2.000%				4/01/24				BBB–				902,501
	1,521			Mineral Technologies, Inc., Term Loan B2			4.750%				N/A				N/A				5/07/21				BB+				1,549,899
	744			Univar, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				7/01/24				BB				752,440
	3,162			Total Chemicals																							3,204,840
				Commercial Services & Supplies – 4.3% (2.7% of Total Investments)
	735			ADS Waste Holdings, Inc., Term Loan B			3.715%				1-Week LIBOR				2.250%				11/10/23				BB+				741,025
	990			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			5.696%				2-Month LIBOR				4.000%				10/19/23				B–				994,024

 

	50			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Commercial Services & Supplies (continued)
$	1,000			Fort Dearborn Holding Company, Inc., Term Loan, Second Lien			10.197%				3-Month LIBOR				8.500%				10/07/24				CCC			$	980,000
	3,133			iQor US, Inc., Term Loan, First Lien			6.695%				3-Month LIBOR				5.000%				4/01/21				B				3,140,365
	333			iQor US, Inc., Term Loan, Second Lien			10.445%				3-Month LIBOR				8.750%				4/01/22				CCC+				323,333
	964			KAR Auction Services, Inc., Term Loan B5			4.250%				3-Month LIBOR				2.500%				3/09/23				Ba2				975,901
	1,042			LSC Communications, Refinancing Term Loan			7.067%				1-Month LIBOR				5.500%				9/30/22				Ba3				1,048,833
	2,962			Monitronics International, Inc., Term Loan B2, First Lien			7.193%				3-Month LIBOR				5.500%				9/30/22				B2				2,972,869
	2,270			Protection One, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				5/02/22				BB–				2,293,421
	2,105			Skillsoft Corporation, Initial Term Loan, First Lien			6.323%				1-Month LIBOR				4.750%				4/28/21				B–				2,065,796
	1,474			Universal Services of America, Initial Term Loan, First Lien			5.443%				3-Month LIBOR				3.750%				7/28/22				B+				1,461,776
	1,750			Universal Services of America, Term Loan, Second Lien			10.272%				3-Month LIBOR				8.500%				7/28/23				B–				1,741,250
	1,135			West Corporation, Term Loan B			5.573%				1-Month LIBOR				4.000%				10/10/24				BB+				1,149,239
	19,893			Total Commercial Services & Supplies																							19,887,832
				Communications Equipment – 0.7% (0.5% of Total Investments)
	1,185			Colorado Buyer, Inc., Term Loan, First Lien			4.380%				3-Month LIBOR				3.000%				5/01/24				Ba3				1,195,099
	583			Colorado Buyer, Inc., Term Loan, Second Lien			8.630%				3-Month LIBOR				7.250%				5/01/25				B3				590,444
	1,496			Mitel US Holdings, Inc., Incremental Term Loan			5.404%				2-Month LIBOR				3.750%				9/25/23				B+				1,516,352
	3,264			Total Communications Equipment																							3,301,895
				Construction & Engineering – 0.4% (0.3% of Total Investments)
	1,822			Traverse Midstream Partners, Term Loan B			5.850%				6-Month LIBOR				4.000%				9/21/24				B+				1,847,815
				Containers & Packaging – 0.5% (0.3% of Total Investments)
	1,116			Berry Global, Inc., Term Loan M			3.816%				1-Month LIBOR				2.250%				10/01/22				Ba2				1,125,846
	992			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				2/05/23				B+				1,001,220
	2,108			Total Containers & Packaging																							2,127,066
				Distributors – 0.2% (0.1% of Total Investments)
	971			American Seafoods Group LLC, Term Loan B			4.700%				3-Month LIBOR				3.250%				8/21/23				N/R				976,299
				Diversified Consumer Services – 2.3% (1.4% of Total Investments)
	4,967			Cengage Learning Acquisitions, Inc., Term Loan B			5.809%				1-Month LIBOR				4.250%				6/07/23				B				4,838,082
	220			Education Management LLC, Tranche A, Term Loan, (5)			0.000%				N/A				N/A				7/02/20				N/R				60,549
	496			Education Management LLC, Tranche B, Term Loan, (5)			0.000%				N/A				N/A				7/02/20				N/R				7,748
	3,413			Houghton Mifflin, Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				5/28/21				B+				3,224,904
	1,354			Laureate Education, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				4/26/24				B+				1,366,899
	940			Vertiv Co., New Term Loan B			5.568%				1-Month LIBOR				4.000%				11/30/23				Ba3				951,654
	11,390			Total Diversified Consumer Services																							10,449,836
				Diversified Financial Services – 1.9% (1.2% of Total Investments)
	2,744			Citco III Limited, Term Loan			4.573%				1-Month LIBOR				3.000%				3/31/22				N/R				2,771,078
	1,160			Freedom Mortgage Corporation, Initial Term Loan			6.956%				3-Month LIBOR				5.500%				2/23/22				B+				1,175,165
	1,463			OM Group, Inc., Term Loan B			5.943%				3-Month LIBOR				4.250%				2/21/24				B2				1,471,044
	3,088			Veritas US, Inc., Term Loan B1			6.193%				3-Month LIBOR				4.500%				1/27/23				B+				3,110,512
	235			Vizient, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				2/13/23				BB–				238,309
	8,690			Total Diversified Financial Services																							8,766,108

 

NUVEEN			51

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Diversified Telecommunication Services – 8.6% (5.5% of Total Investments)
$	1,500			CenturyLink, Inc., Initial Term Loan A, (WI/DD)			TBD				TBD				TBD				TBD				BBB–			$	1,494,562
	7,304			CenturyLink, Inc., Term Loan B			4.317%				1-Month LIBOR				2.750%				1/31/25				BBB–				7,205,569
	987			DTI Holdings, Inc., Term Loan B, First Lien			7.022%				2-Month LIBOR				5.250%				10/02/23				B				997,069
	4,481			Frontier Communications Corporation, Term Loan B			5.330%				1-Month LIBOR				3.750%				1/14/20				BB+				4,401,814
	2,970			Greeneden U.S. Holdings II LLC, Term Loan B			5.443%				3-Month LIBOR				3.750%				12/01/23				B				2,996,078
	2,502			Intelsat Jackson Holdings, S.A., Term Loan B			5.212%				3-Month LIBOR				3.750%				11/30/23				B1				2,486,947
	383			Intelsat Jackson Holdings, S.A., Term Loan B4			6.195%				3-Month LIBOR				4.500%				1/02/24				B1				389,278
	614			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				618,550
	3,193			Level 3 Financing, Inc., Tranche B, Term Loan			3.696%				3-Month LIBOR				2.250%				2/22/24				BBB–				3,210,466
	567			Presidio, Inc., Term Loan B			4.443%				1-Month LIBOR				2.750%				2/02/24				B+				571,342
	5,786			WideOpenWest Finance LLC, Term Loan B			4.811%				1-Month LIBOR				3.250%				8/18/23				B				5,797,045
	891			Windstream Corporation, Term Loan B6			5.560%				1-Month LIBOR				4.000%				3/29/21				BB				847,512
	9,000			Ziggo B.V., Term Loan E			4.059%				1-Month LIBOR				2.500%				4/15/25				BB+				9,005,625
	40,178			Total Diversified Telecommunication Services																							40,021,857
				Electrical Equipment – 0.6% (0.4% of Total Investments)
	902			TTM Technologies, Term Loan B			4.073%				1-Month LIBOR				2.500%				9/28/24				BB+				906,511
	1,840			Zebra Technologies Corporation, Term Loan B			3.753%				3-Month LIBOR				2.000%				10/24/21				BB				1,854,564
	2,742			Total Electrical Equipment																							2,761,075
				Electric Utilities – 1.5% (0.9% of Total Investments)
	667			EFS Cogen Holdings LLC, Term Loan B			4.950%				3-Month LIBOR				3.250%				6/28/23				BB				674,708
	2,620			Energy Future Intermediate Holding Company, DIP Term Loan			4.567%				1-Month LIBOR				3.000%				6/30/18				N/R				2,632,453
	694			Helix Generation, Term Loan B			5.443%				3-Month LIBOR				3.750%				6/03/24				BB				701,042
	2,418			Vistra Operations Co., Term Loan B			4.064%				1-Month LIBOR				2.500%				8/04/23				N/R				2,439,807
	429			Vistra Operations Co., Term Loan C			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				432,360
	6,828			Total Electric Utilities																							6,880,370
				Energy Equipment & Services – 0.6% (0.4% of Total Investments)
	2,110			Diversey, Inc., Term Loan B			4.654%				2-Month LIBOR				3.000%				9/06/24				B1				2,106,487
	693			Dynamic Energy Services International LLC, Term Loan, (cash 13.383%, PIK 1.500%)			14.883%				3-Month LIBOR				13.500%				3/06/18				N/R				246,042
	332			Ocean Rig UDW Inc., Term Loan			8.000%				N/A				N/A				9/20/24				B				337,344
	3,135			Total Energy Equipment & Services																							2,689,873
				Equity Real Estate Investment Trusts – 2.3% (1.5% of Total Investments)
	4,640			Communications Sales & Leasing, Inc., Shortfall Term Loan			4.573%				1-Month LIBOR				3.000%				10/24/22				BB+				4,481,052
	1,267			Realogy Group LLC, Term Loan B			3.829%				1-Month LIBOR				2.250%				1/26/25				BB+				1,278,560
	5,115			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)			5.323%				1-Month LIBOR				3.750%				12/18/20				B–				5,101,222
	11,022			Total Equity Real Estate Investment Trusts																							10,860,834
				Food & Staples Retailing – 4.3% (2.8% of Total Investments)
	16,881			Albertson’s LLC, Term Loan B4			4.323%				1-Month LIBOR				2.750%				8/25/21				Ba2				16,810,923
	1,331			Albertson’s LLC, Term Loan B6			4.462%				3-Month LIBOR				3.000%				6/22/23				Ba2				1,325,251
	1,111			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			4.953%				2-Month LIBOR				3.500%				2/03/24				B–				1,112,500
	886			Save-A-Lot, Term Loan B			7.573%				1-Month LIBOR				6.000%				12/05/23				B2				768,760
	20,209			Total Food & Staples Retailing																							20,017,434

 

	52			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Food Products – 3.9% (2.5% of Total Investments)
$	1,447			Hearthside Group Holdings LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				6/02/21				B1			$	1,458,812
	3,437			Jacobs Douwe Egberts, Term Loan B			3.688%				3-Month LIBOR				2.250%				7/04/22				BB				3,469,075
	2,343			Keurig Green Mountain, Inc., Term Loan A, First Lien			3.000%				1-Week LIBOR				1.500%				3/03/21				BBB–				2,343,010
	1,923			Pinnacle Foods Finance LLC, Term Loan B			3.564%				1-Month LIBOR				2.000%				2/02/24				BB+				1,942,016
	8,896			US Foods, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				6/27/23				BBB–				8,997,808
	18,046			Total Food Products																							18,210,721
				Health Care Equipment & Supplies – 1.5% (1.0% of Total Investments)
	832			Acelity, Term Loan B			4.943%				3-Month LIBOR				3.250%				2/02/24				B1				834,677
	868			ConvaTec, Inc., Term Loan B			3.943%				3-Month LIBOR				2.250%				10/25/23				BB				878,075
	1,249			Greatbatch, New Term Loan B			4.810%				1-Month LIBOR				3.250%				10/27/22				B+				1,262,659
	1,861			Onex Carestream Finance LP, Term Loan, First Lien			5.693%				3-Month LIBOR				4.000%				6/07/19				B1				1,870,056
	2,240			Onex Carestream Finance LP, Term Loan, Second Lien			10.193%				3-Month LIBOR				8.500%				12/07/19				B–				2,224,533
	7,050			Total Health Care Equipment & Supplies																							7,070,000
				Health Care Providers & Services – 5.3% (3.4% of Total Investments)
	2,500			Air Medical Group Holdings, Inc., Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B1				2,533,438
	2,288			Air Medical Group Holdings, Inc., Term Loan, First Lien			5.675%				3-Month LIBOR				4.000%				4/28/22				B1				2,311,005
	828			Community Health Systems, Inc., Term Loan G			4.229%				3-Month LIBOR				2.750%				12/31/19				Ba3				819,409
	1,476			Community Health Systems, Inc., Term Loan H			4.479%				3-Month LIBOR				3.000%				1/27/21				Ba3				1,451,354
	1,424			Concentra, Inc., Term Loan B			4.530%				3-Month LIBOR				3.000%				6/01/22				B1				1,440,147
	1,680			Envision Healthcare Corporation, Term Loan B, First Lien			4.580%				1-Month LIBOR				3.000%				12/01/23				BB–				1,689,338
	1,585			HCA, Inc., Term Loan A5			3.073%				1-Month LIBOR				1.500%				6/10/20				BBB–				1,589,342
	1,990			HCA, Inc., Term Loan B9			3.573%				1-Month LIBOR				2.000%				3/18/23				BBB–				2,007,805
	1,140			Healogics, Inc., Term Loan, First Lien			5.750%				3-Month LIBOR				4.250%				7/01/21				B–				1,010,730
	1,950			Heartland Dental Care, Inc., Term Loan, First Lien			6.450%				3-Month LIBOR				4.750%				7/31/23				B2				1,985,451
	1,500			Heartland Dental Care, Inc., Term Loan, Second Lien			10.070%				1-Month LIBOR				8.500%				7/31/24				CCC				1,521,570
	2,710			Millennium Laboratories, Inc., Term Loan B, First Lien			8.073%				1-Month LIBOR				6.500%				12/21/20				CCC+				1,087,413
	1,321			MultiPlan, Inc., Term Loan B			4.693%				3-Month LIBOR				3.000%				6/07/23				B+				1,331,236
	1,250			PharMerica, Term Loan, First Lien			5.055%				1-Month LIBOR				3.500%				12/06/24				B				1,264,450
	338			Quorum Health Corp., Term Loan B			8.323%				1-Month LIBOR				6.750%				4/29/22				B2				346,013
	2,414			Select Medical Corporation, Tranche B, Term Loan			5.210%				2-Month LIBOR				3.500%				3/01/21				Ba2				2,440,958
	26,394			Total Health Care Providers & Services																							24,829,659
				Health Care Technology – 1.6% (1.0% of Total Investments)
	1,799			Catalent Pharma Solutions, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				5/20/24				N/R				1,813,015
	4,962			Emdeon, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				3/01/24				Ba3				4,999,719
	673			Press Ganey Holdings, Inc., Term Loan, Second Lien			8.073%				1-Month LIBOR				6.500%				10/21/24				CCC+				685,946
	7,434			Total Health Care Technology																							7,498,680
				Hotels, Restaurants & Leisure – 10.7% (6.8% of Total Investments)
	1,000			Aramark Corporation, Term Loan B1			3.573%				1-Month LIBOR				2.000%				3/11/25				BBB–				1,009,790
	750			Arby’s Restaurant Group, Inc., Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B1				761,018
	14,867			Burger King Corporation, Term Loan B3			3.870%				1-Month LIBOR				2.250%				2/16/24				Ba3				14,970,877
	3,955			Caesars Entertainment Operating Company, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				10/07/24				BB				3,985,780

 

NUVEEN			53

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Hotels, Restaurants & Leisure (continued)
$	3,000			Caesars Resort Collection, Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				12/23/24				BB			$	3,039,195
	1,710			CCM Merger, Inc., Term Loan B			4.319%				1-Month LIBOR				2.750%				8/09/21				BB				1,727,094
	3,290			CityCenter Holdings LLC, Term Loan B			4.073%				1-Month LIBOR				2.500%				4/18/24				BB–				3,320,637
	5,878			Hilton Hotels Corporation, Term Loan B2			3.561%				1-Month LIBOR				2.000%				10/25/23				BBB–				5,927,703
	2,958			Intrawest Resorts Holdings, Inc., Term Loan B1			4.823%				1-Month LIBOR				3.250%				7/31/24				B				2,986,231
	1,707			Life Time Fitness, Inc., Term Loan B			4.228%				3-Month LIBOR				2.750%				6/10/22				BB–				1,722,015
	2,270			MGM Growth Properties, Term Loan B			3.823%				1-Month LIBOR				2.250%				4/25/23				N/R				2,289,151
	5,050			Scientific Games Corporation, Term Loan B4			4.823%				1-Month LIBOR				3.250%				8/14/24				B+				5,089,545
	2,603			Station Casino LLC, Term Loan B			4.070%				1-Month LIBOR				2.500%				6/08/23				BB–				2,620,518
	49,038			Total Hotels, Restaurants & Leisure																							49,449,554
				Household Products – 0.8% (0.5% of Total Investments)
	3,180			Revlon Consumer Products Corporation, Term Loan B, First Lien, (DD1)			5.073%				1-Month LIBOR				3.500%				11/16/20				B3				2,524,670
	1,193			Serta Simmons Holdings LLC, Term Loan, First Lien			5.130%				3-Month LIBOR				3.500%				11/08/23				B				1,171,568
	4,373			Total Household Products																							3,696,238
				Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)
	944			Dynegy, Inc., Tranche Term Loan C2			4.311%				1-Month LIBOR				2.750%				2/07/24				Ba3				954,604
				Industrial Conglomerates – 1.3% (0.9% of Total Investments)
	2,007			Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien			5.996%				2-Month LIBOR				4.250%				6/16/24				B				2,034,582
	1,000			Education Advisory Board, Term Loan, First Lien			5.484%				3-Month LIBOR				3.750%				11/15/24				B2				1,008,130
	1,737			Foresight Energy LLC, Term Loan, First Lien			7.443%				3-Month LIBOR				5.750%				3/28/22				B+				1,684,986
	935			Robertshaw US Holding Corp., Term Loan, First Lien			6.125%				2-Month LIBOR				4.500%				8/02/24				B1				943,339
	500			Robertshaw US Holding Corp., Term Loan, Second Lien			10.563%				1-Month LIBOR				9.000%				2/04/25				CCC+				507,500
	6,179			Total Industrial Conglomerates																							6,178,537
				Insurance – 1.7% (1.1% of Total Investments)
	744			Acrisure LLC, Term Loan B			5.991%				3-Month LIBOR				4.250%				11/22/23				B				758,342
	3,247			Alliant Holdings I LLC, Term Loan B			4.817%				1-Month LIBOR				3.250%				8/14/22				B				3,275,432
	4,013			Hub International Holdings, Inc., Initial Term Loan			4.413%				3-Month LIBOR				3.000%				10/02/20				B1				4,046,103
	8,004			Total Insurance																							8,079,877
				Internet and Direct Marketing Retail – 0.5% (0.3% of Total Investments)
	2,267			Travelport LLC, Term Loan B			4.166%				3-Month LIBOR				2.750%				8/31/21				B2				2,278,813
				Internet Software & Services – 1.9% (1.2% of Total Investments)
	1,474			Ancestry.com, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				10/19/23				B				1,487,574
	1,143			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			4.385%				3-Month LIBOR				3.000%				11/03/23				BB+				1,154,673
	3,660			Sabre, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				2/22/24				Ba2				3,690,002
	1,913			SkillSoft Corporation, Term Loan, Second Lien			9.823%				1-Month LIBOR				8.250%				4/28/22				CCC				1,731,926
	881			TierPoint LLC, Term Loan, First Lien			5.323%				1-Month LIBOR				3.750%				5/05/24				BB				887,426
	9,071			Total Internet Software & Services																							8,951,601
				IT Services – 4.5% (2.8% of Total Investments)
	931			Computer Sciences Government Services, Term Loan B			3.693%				3-Month LIBOR				2.000%				11/30/23				BBB				937,666
	1,000			DigiCert, Term Loan, First Lien			6.522%				3-Month LIBOR				4.750%				10/31/24				BB+				1,018,000

 

	54			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				IT Services (continued)
$	989			Engility Corporation, Term Loan B2			4.823%				1-Month LIBOR				3.250%				8/11/23				BB–			$	1,000,794
	1,832			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				7/10/22				BB+				1,847,024
	7,170			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				4/26/24				BB+				7,229,658
	1,222			Gartner, Inc., Term Loan A			3.573%				1-Month LIBOR				2.000%				3/21/22				N/R				1,226,216
	744			Gartner, Inc., Term Loan B			3.573%				1-Month LIBOR				2.000%				4/05/24				BB+				751,819
	2,500			Optiv Security, Inc., Term Loan, Second Lien			8.625%				3-Month LIBOR				7.250%				1/31/25				Caa1				2,297,925
	584			PEAK 10, Inc., Term Loan B			5.193%				3-Month LIBOR				3.500%				8/01/24				B				588,069
	52			PEAK 10, Inc., Term Loan, Second Lien			8.627%				3-Month LIBOR				7.250%				8/01/25				CCC+				53,009
	1,741			Tempo Acquisition LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				5/01/24				B1				1,751,776
	1,000			Vantiv, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				8/07/24				BBB–				1,007,985
	985			WEX, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				7/01/23				BB–				998,233
	20,750			Total IT Services																							20,708,174
				Leisure Products – 1.3% (0.9% of Total Investments)
	1,543			24 Hour Fitness Worldwide, Inc., Term Loan B			5.443%				3-Month LIBOR				3.750%				5/28/21				Ba3				1,558,401
	961			Academy, Ltd., Term Loan B			5.546%				1-Month LIBOR				4.000%				7/01/22				B3				776,684
	1,835			Equinox Holdings, Inc., Term Loan B1			4.573%				1-Month LIBOR				3.000%				3/08/24				B+				1,856,660
	990			Four Seasons Holdings, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				11/30/23				N/R				1,000,316
	1,000			Zodiac Pool Solutions LLC, Term Loan, Second Lien			10.693%				3-Month LIBOR				9.000%				12/20/24				CCC+				1,016,250
	6,329			Total Leisure Products																							6,208,311
				Life Sciences Tools & Services – 0.3% (0.2% of Total Investments)
	566			Inventiv Health, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				8/01/24				Ba2				569,876
	998			Parexel International Corp., Term Loan B			4.323%				1-Month LIBOR				2.750%				9/27/24				B1				1,006,103
	1,564			Total Life Sciences Tools & Services																							1,575,979
				Machinery – 1.1% (0.7% of Total Investments)
	2,402			Gardner Denver, Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				7/30/24				B+				2,417,281
	1,053			Gates Global LLC, Term Loan B			4.693%				3-Month LIBOR				2.750%				4/01/24				B+				1,062,179
	1,000			Navistar, Inc., Tranche B, Term Loan			5.060%				1-Month LIBOR				3.500%				11/06/24				Ba3				1,010,420
	415			Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				8/21/24				BB+				418,453
	4,870			Total Machinery																							4,908,333
				Marine – 0.1% (0.1% of Total Investments)
	912			American Commercial Lines LLC, Term Loan B, First Lien			10.323%				1-Month LIBOR				8.750%				11/12/20				CCC+				550,210
				Media – 12.8% (8.2% of Total Investments)
	1,154			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.017%				2-Month LIBOR				3.250%				7/23/21				B1				1,142,296
	1,489			Affinion Group Holdings, Inc., Term Loan, First Lien			9.160%				3-Month LIBOR				7.750%				5/10/22				B2				1,543,648
	4,658			Catalina Marketing Corporation, Term Loan, First Lien			5.073%				1-Month LIBOR				3.500%				4/09/21				B1				3,780,857
	1,500			Catalina Marketing Corporation, Term Loan, Second Lien			8.323%				1-Month LIBOR				6.750%				4/11/22				Caa1				627,375
	5,404			Cequel Communications LLC, Term Loan B			3.823%				1-Month LIBOR				2.250%				7/28/25				BB				5,422,125
	3,940			Charter Communications Operating Holdings LLC, Term Loan B			3.580%				1-Month LIBOR				2.000%				4/30/25				BBB–				3,968,013
	3,560			Clear Channel Communications, Inc., Tranche D, Term Loan, (5)			8.443%				3-Month LIBOR				6.750%				1/30/19				Caa1				2,738,948
	3,696			Clear Channel Communications, Inc., Term Loan E, (5)			9.193%				3-Month LIBOR				7.500%				7/30/19				Caa1				2,834,086
	1,500			CSC Holdings LLC, Term Loan B			4.139%				3-Month LIBOR				2.500%				1/12/26				BB–				1,513,133
	8,848			Cumulus Media, Inc., Term Loan B, (5)			4.830%				1-Month LIBOR				3.250%				12/23/20				N/R				7,646,638
	1,596			Getty Images, Inc., Term Loan B, First Lien			5.193%				3-Month LIBOR				3.500%				10/18/19				B3				1,518,170

 

NUVEEN			55

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Media (continued)
$	591			Gray Television, Inc., Term Loan B2			3.814%				1-Month LIBOR				2.250%				2/07/24				BB			$	595,693
	1,930			IMG Worldwide, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				5/06/21				B+				1,946,109
	636			Lions Gate Entertainment Corp., Term Loan B			3.817%				1-Month LIBOR				2.250%				12/08/23				Ba2				643,489
	5,181			McGraw-Hill Education Holdings LLC, Term Loan B			5.573%				1-Month LIBOR				4.000%				5/02/22				BB+				5,183,036
	2,333			Meredith, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB				2,362,022
	458			Nexstar Broadcasting Group, Term Loan			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				461,451
	3,637			Nexstar Broadcasting Group, Term Loan B			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				3,663,958
	748			Red Ventures, Term Loan B			5.573%				1-Month LIBOR				4.000%				11/08/24				B+				758,038
	1,948			Springer Science & Business Media, Inc., Term Loan B13, First Lien			4.979%				3-Month LIBOR				3.500%				8/15/22				B				1,959,624
	8,184			Univision Communications, Inc., Term Loan C5			4.323%				1-Month LIBOR				2.750%				3/15/24				BB–				8,201,394
	251			Yell Group PLC, Term Loan A2, First Lien			8.413%				3-Month LIBOR				7.000%				9/07/21				N/R				256,383
	248			Yell Group PLC, Term Loan B2, First Lien			8.500%				N/A				N/A				9/07/65				N/R				652,203
	63,490			Total Media																							59,418,689
				Metals & Mining – 0.6% (0.4% of Total Investments)
	1,244			CanAm Construction, Inc., Term Loan B			7.067%				1-Month LIBOR				5.500%				7/01/24				B				1,260,852
	1,381			Zekelman Industries, Term Loan B			4.408%				3-Month LIBOR				2.750%				6/14/21				BB–				1,392,246
	2,625			Total Metals & Mining																							2,653,098
				Multiline Retail – 1.6% (1.1% of Total Investments)
	1,190			Belk, Inc., Term Loan B, First Lien			6.458%				3-Month LIBOR				4.750%				12/12/22				B2				1,028,631
	5,650			Dollar Tree, Inc., Term Loan B2			4.250%				N/A				N/A				7/06/22				BBB–				5,710,031
	922			Hudson’s Bay Company, Term Loan B, First Lien			4.718%				3-Month LIBOR				3.250%				9/30/22				N/R				893,724
	7,762			Total Multiline Retail																							7,632,386
				Oil, Gas & Consumable Fuels – 3.3% (2.1% of Total Investments)
	1,455			BCP Renaissance Parent, Term Loan B			5.772%				3-Month LIBOR				4.000%				10/31/24				BB–				1,474,850
	1,250			California Resources Corporation, Term Loan			11.936%				1-Month LIBOR				10.375%				12/31/21				B				1,421,875
	1,400			California Resources Corporation, Term Loan B			6.306%				1-Month LIBOR				4.750%				12/31/22				B				1,429,470
	657			Crestwood Holdings LLC, Term Loan B			9.436%				3-Month LIBOR				8.000%				6/19/19				B–				661,033
	241			Energy and Exploration Partners, Term Loan, Second Lien, (cash 5.000%, PIK 5.000%), (5)			5.000%				N/A				N/A				5/13/22				N/R				3,609
	903			Fieldwood Energy LLC, Term Loan, First Lien			4.568%				3-Month LIBOR				2.875%				10/01/18				D				886,492
	1,648			Fieldwood Energy LLC, Term Loan, First Lien			8.693%				3-Month LIBOR				7.000%				8/31/20				D				1,588,548
	854			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				D				140,951
	2,109			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				D				1,383,290
	3,391			Harvey Gulf International Marine, Inc., Term Loan B, (5)			0.000%				N/A				N/A				6/18/20				CCC–				1,580,999
	1,215			Peabody Energy Corporation, Term Loan B			5.073%				1-Month LIBOR				3.500%				3/31/22				N/R				1,233,318
	3,953			Seadrill Partners LLC, Initial Term Loan, (DD1)			4.693%				3-Month LIBOR				3.000%				2/21/21				CCC+				3,491,539
	45			Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.000%)			3.500%				N/A				N/A				4/13/23				CCC+				44,124
	19,121			Total Oil, Gas & Consumable Fuels																							15,340,098
				Pharmaceuticals – 1.4% (0.9% of Total Investments)
	2,362			Concordia Healthcare Corporation, Term Loan B, First Lien			5.823%				1-Month LIBOR				4.250%				10/21/21				Caa2				2,045,006
	4,397			Pharmaceutical Product Development, Inc., Term Loan, First Lien			4.387%				1-Month LIBOR				2.750%				8/18/22				Ba3				4,433,023

 

	56			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Pharmaceuticals (continued)
$	44			Valeant Pharmaceuticals International, Inc., Term Loan B			5.060%				1-Month LIBOR				3.500%				4/01/22				N/R			$	44,424
	6,803			Total Pharmaceuticals																							6,522,453
				Professional Services – 1.8% (1.1% of Total Investments)
	618			Ceridian Corporation, Term Loan B2			5.067%				1-Month LIBOR				3.500%				9/15/20				Ba3				622,840
	5,496			Formula One Group, Term Loan B			4.074%				1-Month LIBOR				2.500%				2/01/24				B+				5,527,335
	1,985			Nielsen Finance LLC, Term Loan B4			3.553%				1-Month LIBOR				2.000%				10/04/23				BBB–				2,000,394
	8,099			Total Professional Services																							8,150,569
				Real Estate Management & Development – 1.0% (0.6% of Total Investments)
	2,028			Capital Automotive LP, Term Loan, First Lien			4.073%				1-Month LIBOR				2.500%				3/25/24				B1				2,043,680
	2,443			Capital Automotive LP, Term Loan, Second Lien			7.573%				1-Month LIBOR				6.000%				3/24/25				CCC+				2,503,906
	4,471			Total Real Estate Management & Development																							4,547,586
				Road & Rail – 0.3% (0.2% of Total Investments)
	1,470			Quality Distribution, Incremental Term Loan, First Lien			7.193%				3-Month LIBOR				5.500%				8/18/22				N/R				1,488,375
				Semiconductors & Semiconductor Equipment – 1.4% (0.9% of Total Investments)
	1,064			Cypress Semiconductor Corp, Term Loan B			4.320%				1-Month LIBOR				2.750%				7/05/21				BB				1,078,711
	1,284			Lumileds, Term Loan B			5.074%				1-Month LIBOR				4.500%				6/30/24				Ba3				1,298,689
	1,231			Micron Technology, Inc., Term Loan B			3.580%				1-Month LIBOR				2.000%				4/26/22				Baa2				1,242,922
	1,387			Microsemi Corporation, Term Loan B			3.561%				1-Month LIBOR				2.000%				1/15/23				BB				1,398,255
	1,515			On Semiconductor Corp., Term Loan B			3.573%				1-Month LIBOR				2.000%				3/31/23				Ba1				1,527,971
	6,481			Total Semiconductors & Semiconductor Equipment																							6,546,548
				Software – 13.1% (8.4% of Total Investments)
	4,600			Avaya Inc., Term Loan, First Lien			6.309%				1-Month LIBOR				4.750%				12/15/24				B+				4,629,693
	1,911			Blackboard, Inc., Term Loan B4			6.734%				3-Month LIBOR				5.000%				6/30/21				B1				1,879,090
	5,695			BMC Software, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				9/10/22				B+				5,732,468
	4,616			Compuware Corporation, Term Loan B3			5.550%				2-Month LIBOR				4.250%				12/15/21				B				4,616,045
	212			Compuware Corporation, Term Loan, Second Lien			9.820%				1-Month LIBOR				8.250%				12/15/22				B–				212,389
	2,162			Ellucian, Term Loan B, First Lien			4.943%				3-Month LIBOR				3.250%				9/30/22				B				2,177,211
	10,046			Infor (US), Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				2/01/22				BB				10,111,900
	1,681			Informatica, Term Loan B			4.943%				3-Month LIBOR				3.250%				8/05/22				B				1,692,256
	1,238			Kronos Incorporated, Term Loan, First Lien			4.903%				3-Month LIBOR				3.500%				11/01/23				B				1,251,303
	3,197			McAfee Holdings International, Inc., Term Loan, First Lien			6.067%				1-Month LIBOR				4.500%				9/30/24				B1				3,233,235
	750			McAfee Holdings International, Inc., Term Loan, Second Lien			10.067%				1-Month LIBOR				8.500%				9/29/25				B–				756,874
	903			Micro Focus International PLC, New Term Loan			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				908,675
	6,097			Micro Focus International PLC, Term Loan B			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				6,136,510
	2,943			Micro Focus International PLC, Term Loan B2			4.073%				1-Month LIBOR				2.500%				11/19/21				BB–				2,963,544
	636			Misys, New Term Loan, Second Lien			8.729%				3-Month LIBOR				7.250%				6/13/25				BB–				641,893
	56			Mitchell International, Inc., Delayed Draw Term Loan, First Lien, (21)			4.814%				3-Month LIBOR				3.250%				11/29/24				B1				56,327
	694			Mitchell International, Inc., Initial Term Loan, First Lien			4.943%				3-Month LIBOR				3.250%				11/29/24				B1				698,454
	1,000			Mitchell International, Inc., Initial Term Loan, Second Lien			8.943%				3-Month LIBOR				7.250%				12/01/25				Caa2				1,013,750
	1,485			RP Crown Parent, LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				10/15/23				N/R				1,497,838
	1,431			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1			3.823%				1-Month LIBOR				2.250%				7/08/22				BB				1,441,548

 

NUVEEN			57

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Software (continued)
$	22			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2			3.823%				1-Month LIBOR				2.250%				7/08/22				BB			$	22,391
	7,867			Tibco Software, Inc., Term Loan, First Lien			5.070%				1-Month LIBOR				3.500%				12/04/20				B1				7,925,593
	1,111			Vertafore, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				6/30/23				B				1,124,546
	60,353			Total Software																							60,723,533
				Specialty Retail – 1.5% (0.9% of Total Investments)
	2,273			99 Cents Only Stores, Tranche B2, Term Loan, Second Lien			8.029%				3-Month LIBOR				6.500%				1/13/22				CCC+				2,229,463
	546			Neiman Marcus Group, Inc., Term Loan, (WI/DD)			TBD				TBD				TBD				TBD				Caa1				469,838
	3,889			Petco Animal Supplies, Inc., Term Loan B1			4.772%				3-Month LIBOR				3.000%				1/26/23				B1				2,962,642
	1,333			Petsmart Inc., Term Loan B, First Lien, (DD1)			4.570%				1-Month LIBOR				3.000%				3/11/22				B1				1,084,710
	8,041			Total Specialty Retail																							6,746,653
				Technology Hardware, Storage & Peripherals – 6.5% (4.1% of Total Investments)
	973			Conduent, Inc., Term Loan B			4.573%				1-Month LIBOR				3.000%				12/07/23				N/R				984,820
	11,469			Dell International LLC, Refinancing Term Loan B			3.580%				1-Month LIBOR				2.000%				9/07/23				BBB–				11,527,286
	5,465			Dell International LLC, Replacement Term Loan A2			3.330%				1-Month LIBOR				1.750%				9/07/21				BBB–				5,477,137
	2,358			Dell International LLC, Replacement Term Loan A3			3.080%				1-Month LIBOR				1.500%				12/31/18				BBB–				2,359,111
	1,212			Dell Software Group, Repriced Term Loan B			7.272%				3-Month LIBOR				5.500%				10/31/22				B				1,240,267
	8,486			Western Digital U.S., Term Loan B3			3.561%				1-Month LIBOR				2.000%				4/29/23				Baa2				8,558,575
	29,963			Total Technology Hardware, Storage & Peripherals																							30,147,196
				Transportation Infrastructure – 1.8% (1.2% of Total Investments)
	6,874			Avolon, Repriced Term Loan B2			3.811%				1-Month LIBOR				2.250%				3/21/22				N/R				6,871,808
	83			Ceva Group PLC, Canadian Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				81,060
	482			Ceva Group PLC, Dutch B.V., Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				470,149
	475			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				N/A				N/A				3/19/21				B–				463,190
	665			Ceva Group PLC, US Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				648,482
	8,579			Total Transportation Infrastructure																							8,534,689
				Wireless Telecommunication Services – 3.6% (2.3% of Total Investments)
	2,064			Asurion LLC, Term Loan B4			4.323%				1-Month LIBOR				2.750%				8/04/22				Ba3				2,081,898
	1,891			Asurion LLC, Term Loan B5			4.573%				1-Month LIBOR				3.000%				11/03/23				Ba3				1,908,123
	6,947			Sprint Corporation, Term Loan, First Lien			4.125%				1-Month LIBOR				2.500%				2/02/24				Ba2				6,974,283
	2,557			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				4/23/19				B				2,552,494
	1,395			Syniverse Technologies, Inc., Tranche B, Term Loan			4.573%				1-Month LIBOR				3.000%				4/23/19				B				1,392,783
	1,841			UPC Financing Partnership, Term Loan AR1, First Lien			4.059%				1-Month LIBOR				2.500%				1/15/26				BB				1,851,821
	16,695			Total Wireless Telecommunication Services																							16,761,402
$	596,349			Total Variable Rate Senior Loan Interests (cost $588,584,456)																							584,312,689
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 18.9% (12.1% of Total Investments)
				Diversified Telecommunication Services – 3.9% (2.5% of Total Investments)
$	1,232			Intelsat Connect Finance SA, 144A											12.500%				4/01/22				CCC–			$	948,640
	5,990			IntelSat Jackson Holdings											5.500%				8/01/23				CCC+				4,702,150
	5,580			IntelSat Jackson Holdings											9.750%				7/15/25				CCC+				5,131,926
	1,005			IntelSat Limited											6.750%				6/01/18				CCC–				984,900
	8,012			IntelSat Limited											7.750%				6/01/21				CCC–				3,623,026

 

	58			NUVEEN

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Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Diversified Telecommunication Services (continued)
$	4,630			IntelSat Limited											8.125%				6/01/23				CCC–			$	1,967,750
	750			Level 3 Financing Inc.											5.375%				8/15/22				BB				761,250
	27,199			Total Diversified Telecommunication Services																							18,119,642
				Equity Real Estate Investment Trusts – 0.7% (0.5% of Total Investments)
	3,250			Realogy Group LLC / Realogy Co-Issuer Corporation, 144A											5.250%				12/01/21				B1				3,351,563
				Health Care Providers & Services – 1.0% (0.7% of Total Investments)
	4,500			HCA Inc.											6.500%				2/15/20				BBB–				4,798,125
				Hotels, Restaurants & Leisure – 1.4% (0.9% of Total Investments)
	1,000			MGM Resorts International Inc.											5.250%				3/31/20				BB				1,035,000
	917			Scientific Games Corporation, 144A											7.000%				1/01/22				Ba3				967,435
	4,200			Scientific Games International Inc.											10.000%				12/01/22				B–				4,593,750
	6,117			Total Hotels, Restaurants & Leisure																							6,596,185
				Household Durables – 1.1% (0.7% of Total Investments)
	4,900			Lennar Corporation											4.125%				12/01/18				BB+				4,949,000
				Media – 3.8% (2.4% of Total Investments)
	150			Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation											3.579%				7/23/20				BBB–				152,002
	11,043			Clear Channel Communications Inc., (5), (8)											12.000%				8/01/21				N/R				—
	2,000			Dish DBS Corporation											5.125%				5/01/20				Ba3				2,032,500
	1,000			Dish DBS Corporation											5.875%				11/15/24				Ba3				948,125
	1,325			Hughes Satellite Systems Corporation											6.500%				6/15/19				BBB–				1,383,022
	1,714			iHeartCommunications, Inc., 144A, (5)											11.250%				3/01/21				Caa1				1,199,800
	4,662			iHeartCommunications, Inc., (5)											9.000%				12/15/19				Caa1				3,589,740
	17,287			iHeartCommunications, Inc., (cash 12.000%, PIK 2.000%), (5)											14.000%				2/01/21				Ca				1,037,240
	7,850			iHeartCommunications, Inc., (5)											9.000%				3/01/21				Caa1				5,691,250
	1,365			Neptune Finco Corporation, 144A											10.125%				1/15/23				B2				1,539,891
	48,396			Total Media																							17,573,570
				Oil, Gas & Consumable Fuels – 2.0% (1.2% of Total Investments)
	5,170			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				4,326,644
	500			Denbury Resources Inc.											6.375%				8/15/21				CCC–				422,500
	1,814			Denbury Resources Inc.											9.250%				3/31/22				B				1,859,350
	600			EP Energy LLC and Everest Acquisition Finance, Inc.											9.375%				5/01/24				Caa2				508,500
	1,989			FTS International Inc., 144A, (3-Month LIBOR reference rate + 7.500% spread)											8.820%				6/15/20				B+				2,018,835
	10,073			Total Oil, Gas & Consumable Fuels																							9,135,829
				Pharmaceuticals – 0.0% (0.0% of Total Investments)
	600			Concordia Healthcare Corporation, 144A, (5)											7.000%				4/15/23				C				57,000
				Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)
	1,394			Advanced Micro Devices, Inc.											7.500%				8/15/22				B–				1,547,340
				Software – 1.8% (1.1% of Total Investments)
	155			Avaya Inc., (8)											7.000%				4/01/19				NA				—
	3,830			Avaya Inc., (8)											10.500%				3/01/21				NA				—
	3,925			BMC Software Finance Inc., 144A											8.125%				7/15/21				CCC+				3,929,906
	552			Boxer Parent Company Inc./BMC Software, 144A, (cash 9.000%, PIK 9.750%)											9.000%				10/15/19				CCC+				553,380
	3,500			Infor Us Inc., 144A											5.750%				8/15/20				BB				3,592,575
	11,962			Total Software																							8,075,861

 

NUVEEN			59

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

 

Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Technology Hardware, Storage & Peripherals – 0.9% (0.6% of Total Investments)
$	4,000			Western Digital Corporation, 144A											7.375%				4/01/23				Baa2			$	4,355,000
				Wireless Telecommunication Services – 2.0% (1.3% of Total Investments)
	1,450			Sprint Communications Inc.											7.000%				8/15/20				B+				1,530,362
	6,000			Sprint Corporation											7.875%				9/15/23				B+				6,337,500
	500			Sprint Corporation											7.125%				6/15/24				B+				506,875
	800			Syniverse Foreign Holdings Corporation, 144A											9.125%				1/15/22				B				829,000
	175			T-Mobile USA Inc.											6.836%				4/28/23				BB+				182,648
	8,925			Total Wireless Telecommunication Services																							9,386,385
$	131,316			Total Corporate Bonds (cost $102,869,304)																							87,945,500
Shares				Description (1)																						Value
				COMMON STOCKS – 2.7% (1.7% of Total Investments)
				Diversified Consumer Services – 0.1% (0.0% of Total Investments)
	71,949			Cengage Learning Holdings II LP, (6)																						$	530,624
	3,124,035			Education Management Corporation, (6)																							12,496
				Total Diversified Consumer Services																							543,120
				Energy Equipment & Services – 0.9% (0.5% of Total Investments)
	60,418			C&J Energy Services Inc., (6)																							1,849,999
	58,041			Ocean Rig UDW Inc., (6)																							1,562,464
	2,534			Vantage Drill International, (6)																							557,480
				Total Energy Equipment & Services																							3,969,943
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	54,276			Millenium Health LLC, (6)																							5,916
				Media – 0.6% (0.4% of Total Investments)
	963,320			Hibu PLC, (6), (7)																							1
	23,363			Metro-Goldwyn-Mayer, (6)																							2,678,965
	36,087			Tribune Media Company																							1,804
				Total Media																							2,680,770
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	46			Southcross Holdings Borrower LP, (6)																							17,250
				Software – 1.0% (0.7% of Total Investments)
	229,425			Avaya Holdings Corporation., (6)																							4,790,394
				Specialty Retail – 0.1% (0.1% of Total Investments)
	8,181			Gymboree Corporation, (6), (8)																							116,120
	22,273			Gymboree Corporation, (6)																							378,641
				Total Specialty Retail																							494,761
				Total Common Stocks (cost $17,819,129)																							12,502,154
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				ASSET-BACKED SECURITIES – 1.5% (0.9% of Total Investments)
$	675			Bristol Park CLO Limited, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread)											8.972%				4/15/29				Ba3			$	707,107
	800			Dryden Senior Loan Fund, Series 2017-50A, (3-Month LIBOR reference rate + 6.260% spread)											7.980%				7/15/30				Ba3				815,627
	750			Gilbert Park CLO LTD, Series 2017-1A											7.765%				10/15/30				Ba3				764,279

 

	60			NUVEEN

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Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				ASSET-BACKED SECURITIES (continued)
$	1,250			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, (3-Month LIBOR reference rate + 5.500% spread)											7.245%				4/20/26				Ba3			$	1,252,675
	500			North End CLO Limited, Loan Pool, 144A, (3-Month LIBOR reference rate + 4.600% spread)											6.331%				7/17/25				BB				496,322
	2,000			Octagon Investment Partners, Series 2015-1A, (3-Month LIBOR reference rate + 5.850% spread)											7.595%				10/20/26				N/R				2,006,880
	750			OZLM Funding Limited, Series 2012-2A, 144A, (3-Month LIBOR reference rate + 7.300% spread)											9.067%				10/30/27				BB				759,292
$	6,725			Total Asset-Backed Securities (cost $6,483,715)																							6,802,182
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CONVERTIBLE BONDS – 0.0% (0.0% of Total Investments)
				Communications Equipment – 0.0% (0.0% of Total Investments)
$	550			Nortel Networks Limited, (5)											1.750%				4/15/12				N/R			$	26,125
$	550			Total Convertible Bonds (cost $21,821)																							26,125
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	15,619			Avaya Holdings Corp., (8)																						$	16,764
				Total Warrants (cost $1,460,830)																							16,764
Shares				Description (1)										Coupon								Ratings (4)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	3,476			Education Management Corporation, (8)											7.500%								N/R			$	—
				Total $25 Par (or similar) Retail Preferred (cost $8,437)																							—
				Total Long-Term Investments (cost $717,247,692)																							691,605,414
Shares				Description (1)																						Value
				SHORT-TERM INVESTMENTS – 7.6% (4.9% of Total Investments)
				INVESTMENT COMPANIES – 7.6% (4.9% of Total Investments)
	35,466,645			BlackRock Liquidity Funds T-Fund Portfolio, (9)																						$	35,466,645
				Total Short-Term Investments (cost $35,466,645)																							35,466,645
				Total Investments (cost $752,714,337) – 156.6%																							727,072,059
				Borrowings – (38.5)% (10), (11)																							(178,800,000	)
				Term Preferred Shares, net of deferred offering costs – (17.8)% (12)																							(82,788,055	)
				Other Assets Less Liabilities – (0.3)% (13)																							(1,265,644	)
				Net Assets Applicable to Common Shares – 100%																						$	464,218,360

 

NUVEEN			61

---

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

 

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

Counterparty		Notional Amount				Fund Pay/Receive Floating Rate				Floating Rate Index				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Maturity Date				Value				Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services LLC		$	8,000,000				Pay				1-Month LIBOR				2.250	%(14)			Monthly				12/01/23	(15)		$	(116,208	)		$	(116,208	)
Morgan Stanley Capital Services LLC			10,000,000				Pay				1-Month LIBOR				2.500	(16)			Monthly				1/01/22	(17)			(105,091	)			(105,091	)
Morgan Stanley Capital Services LLC			21,000,000				Pay				1-Month LIBOR				2.500	(18)			Monthly				4/01/22	(19)			(239,977	)			(239,977	)
Morgan Stanley Capital Services LLC			45,000,000				Pay				1-Month LIBOR				4.000				Monthly				1/01/27	(20)			(956,605	)			(956,605	)
Total		$	84,000,000																							$	(1,417,881	)		$	(1,417,881	)
Total unrealized appreciation on interest rate swaps																														$	—
Total unrealized depreciation on interest rate swaps																														$	(1,417,881	)

 

	62			NUVEEN

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

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

 

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

 

(8)

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

 

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

 

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

 

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

 

(12)	Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.4%.

 

(13)

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

 

(14)	Effective December 1, 2018, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every two years on specific dates through the swap contract’s termination date.

 

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

 

(16)	Effective January 1, 2020, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(17)	This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(18)	Effective April 1, 2020, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(19)	This interest rate swap has an optional early termination date beginning on July 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(20)	This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

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

 

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

 

DD1	Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A	Not applicable

 

PIK

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

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

NUVEEN			63

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JSD

 

Nuveen Short Duration Credit Opportunities Fund
Portfolio of Investments		January 31, 2018 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 155.0% (96.7% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 131.8% (82.2% of Total Investments) (2)
				Aerospace & Defense – 3.3% (2.1% of Total Investments)
$	3,069			Sequa Corporation, Term Loan B			6.549%				3-Month LIBOR				5.000%				11/28/21				B–			$	3,118,470
	1,062			Sequa Corporation, Term Loan, Second Lien			10.753%				3-Month LIBOR				9.000%				4/26/22				CCC				1,085,319
	1,667			Transdigm, Inc., Term Loan F			4.365%				1-Month LIBOR				2.750%				6/09/23				Ba2				1,684,364
	5,798			Total Aerospace & Defense																							5,888,153
				Air Freight & Logistics – 0.9% (0.6% of Total Investments)
	850			PAE Holding Corporation, Term Loan B			7.124%				2-Month LIBOR				5.500%				10/20/22				B+				856,576
	722			XPO Logistics, Inc., Refinanced Term Loan			3.958%				3-Month LIBOR				2.250%				11/01/21				BB+				728,675
	1,572			Total Air Freight & Logistics																							1,585,251
				Airlines – 2.3% (1.4% of Total Investments)
	960			American Airlines, Inc., Replacement Term Loan			3.567%				1-Month LIBOR				2.000%				6/27/20				BB+				965,268
	1,697			American Airlines, Inc., Replacement Term Loan			3.554%				1-Month LIBOR				2.000%				10/10/21				BB+				1,705,988
	1,453			American Airlines, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				12/14/23				BB+				1,459,454
	4,110			Total Airlines																							4,130,710
				Auto Components – 0.7% (0.4% of Total Investments)
	748			DexKo Global, Inc., Term Loan B			5.241%				3-Month LIBOR				3.500%				7/24/24				B				759,115
	497			Superior Industries International, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				5/22/24				B1				507,377
	1,245			Total Auto Components																							1,266,492
				Automobiles – 0.1% (0.0% of Total Investments)
	103			DexKo Global, Inc., Term Loan B, (16)			4.155%				3-Month LIBOR				3.500%				7/24/24				B1				103,641
				Biotechnology – 1.1% (0.7% of Total Investments)
	1,985			Grifols, Inc., Term Loan B			3.715%				1-Week LIBOR				2.250%				1/31/25				BB				1,999,580
				Building Products – 0.8% (0.5% of Total Investments)
	1,445			Quikrete Holdings, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				11/15/23				BB–				1,454,410
				Capital Markets – 0.4% (0.3% of Total Investments)
	738			RPI Finance Trust, Term Loan B6			3.693%				3-Month LIBOR				2.000%				3/27/23				Baa2				744,046
				Chemicals – 1.0% (0.6% of Total Investments)
	428			Ineos US Finance LLC, Term Loan			3.573%				1-Month LIBOR				2.000%				4/01/24				BB+				430,222
	399			Mineral Technologies, Inc., Term Loan B2			4.750%				N/A				N/A				5/07/21				BB+				406,218
	978			Univar, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				7/01/24				BB				988,236
	1,805			Total Chemicals																							1,824,676
				Commercial Services & Supplies – 5.0% (3.1% of Total Investments)
	495			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			5.696%				2-Month LIBOR				4.000%				10/19/23				B2				497,012
	1,790			iQor US, Inc., Term Loan, First Lien			6.695%				3-Month LIBOR				5.000%				4/01/21				B				1,794,495
	167			iQor US, Inc., Term Loan, Second Lien			10.445%				3-Month LIBOR				8.750%				4/01/22				CCC+				161,667
	772			KAR Auction Services, Inc., Term Loan B5			4.250%				3-Month LIBOR				2.500%				3/09/23				Ba2				780,720
	833			LSC Communications, Refinancing Term Loan			7.067%				1-Month LIBOR				5.500%				9/30/22				Ba3				839,067
	1,481			Monitronics International, Inc., Term Loan B2, First Lien			7.193%				3-Month LIBOR				5.500%				9/30/22				B2				1,486,434

 

	64			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Commercial Services & Supplies (continued)
$	584			Protection One, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				5/02/22				BB–			$	590,501
	1,041			Skillsoft Corporation, Initial Term Loan, First Lien			6.323%				1-Month LIBOR				4.750%				4/28/21				B–				1,021,045
	983			Universal Services of America, Initial Term Loan, First Lien			5.443%				3-Month LIBOR				3.750%				7/28/22				B+				974,517
	757			West Corporation, Term Loan B			5.573%				1-Month LIBOR				4.000%				10/10/24				Ba3				766,159
	8,903			Total Commercial Services & Supplies																							8,911,617
				Communications Equipment – 1.6% (1.0% of Total Investments)
	790			Colorado Buyer, Inc., Term Loan, First Lien			4.380%				3-Month LIBOR				3.000%				5/01/24				Ba3				796,733
	365			Colorado Buyer, Inc., Term Loan, Second Lien			8.630%				3-Month LIBOR				7.250%				5/01/25				B3				369,028
	768			CommScope, Inc., Term Loan B			3.573%				1-Month LIBOR				2.000%				12/29/22				Baa3				775,165
	998			Mitel US Holdings, Inc., Incremental Term Loan			5.404%				2-Month LIBOR				3.750%				9/25/23				B+				1,010,901
	2,921			Total Communications Equipment																							2,951,827
				Construction & Engineering – 0.8% (0.5% of Total Investments)
	1,376			Traverse Midstream Partners, Term Loan B			5.850%				6-Month LIBOR				4.000%				9/21/24				B+				1,396,005
				Containers & Packaging – 1.3% (0.8% of Total Investments)
	744			Berry Global, Inc., Term Loan M			3.816%				1-Month LIBOR				2.250%				10/01/22				BBB–				750,564
	1,648			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				2/05/23				B+				1,662,740
	2,392			Total Containers & Packaging																							2,413,304
				Distributors – 0.3% (0.2% of Total Investments)
	607			American Seafoods Group LLC, Term Loan B			4.700%				3-Month LIBOR				3.250%				8/21/23				BB–				610,187
				Diversified Consumer Services – 2.1% (1.3% of Total Investments)
	1,826			Cengage Learning Acquisitions, Inc., Term Loan B			5.809%				1-Month LIBOR				4.250%				6/07/23				B+				1,779,206
	594			Houghton Mifflin, Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				5/28/21				B+				561,244
	580			Laureate Education, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				4/26/24				B+				585,814
	752			Vertiv Co., New Term Loan B			5.568%				1-Month LIBOR				4.000%				11/30/23				Ba3				761,324
	3,752			Total Diversified Consumer Services																							3,687,588
				Diversified Financial Services – 2.0% (1.2% of Total Investments)
	580			Freedom Mortgage Corporation, Initial Term Loan			6.956%				3-Month LIBOR				5.500%				2/23/22				B+				587,582
	731			OM Group, Inc., Term Loan B			5.943%				3-Month LIBOR				4.250%				2/21/24				B				735,522
	2,059			Veritas US, Inc., Term Loan B1			6.193%				3-Month LIBOR				4.500%				1/27/23				B+				2,073,675
	157			Vizient, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				2/13/23				BB–				158,873
	3,527			Total Diversified Financial Services																							3,555,652
				Diversified Telecommunication Services – 8.9% (5.5% of Total Investments)
	750			CenturyLink, Inc., Initial Term A Loan, (WI/DD)			TBD				TBD				TBD				TBD				BBB–				747,281
	3,743			CenturyLink, Inc., Term Loan B			4.317%				1-Month LIBOR				2.750%				1/31/25				BBB–				3,692,359
	494			DTI Holdings, Inc., Term Loan B, First Lien			7.022%				2-Month LIBOR				5.250%				10/02/23				B				498,534
	2,553			Frontier Communications Corporation, Term Loan B			5.330%				1-Month LIBOR				3.750%				1/14/20				BB–				2,507,465
	1,980			Greeneden U.S. Holdings II LLC, Term Loan B			5.443%				3-Month LIBOR				3.750%				12/01/23				B				1,997,385
	1,272			Intelsat Jackson Holdings, S.A., Term Loan B			5.212%				3-Month LIBOR				3.750%				11/30/23				B1				1,264,337
	195			Intelsat Jackson Holdings, S.A., Term Loan B4			6.195%				3-Month LIBOR				4.500%				1/02/24				B1				197,905
	312			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				314,464
	2,247			WideOpenWest Finance LLC, Term Loan B			4.811%				1-Month LIBOR				3.250%				8/18/23				B				2,251,240
	446			Windstream Corporation, Term Loan B6			5.560%				1-Month LIBOR				4.000%				3/29/21				BB–				423,756

 

NUVEEN			65

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Diversified Telecommunication Services (continued)
$	2,000			Ziggo B.V., Term Loan E			4.059%				1-Month LIBOR				2.500%				4/15/25				BB–			$	2,001,250
	15,992			Total Diversified Telecommunication Services																							15,895,976
				Electrical Equipment – 0.3% (0.2% of Total Investments)
	541			TTM Technologies, Term Loan B			4.073%				1-Month LIBOR				2.500%				9/28/24				BBB–				543,906
				Electric Utilities – 3.1% (1.9% of Total Investments)
	445			EFS Cogen Holdings LLC, Term Loan B			4.950%				3-Month LIBOR				3.250%				6/28/23				BB				449,805
	2,620			Energy Future Intermediate Holding Company, DIP Term Loan			4.567%				1-Month LIBOR				3.000%				6/30/18				Ba3				2,632,453
	462			Helix Generation, Term Loan B			5.443%				3-Month LIBOR				3.750%				6/03/24				BB				467,361
	1,612			Vistra Operations Co., Term Loan B			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				1,626,538
	286			Vistra Operations Co., Term Loan C			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				288,240
	5,425			Total Electric Utilities																							5,464,397
				Energy Equipment & Services – 0.1% (0.1% of Total Investments)
	150			Ocean Rig UDW Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				151,766
				Equity Real Estate Investment Trusts – 2.8% (1.8% of Total Investments)
	2,495			Communications Sales & Leasing, Inc., Shortfall Term Loan			4.573%				1-Month LIBOR				3.000%				10/24/22				B+				2,409,588
	2,647			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)			5.323%				1-Month LIBOR				3.750%				12/18/20				Caa2				2,639,658
	5,142			Total Equity Real Estate Investment Trusts																							5,049,246
				Food & Staples Retailing – 6.2% (3.9% of Total Investments)
	8,691			Albertson’s LLC, Term Loan B4			4.323%				1-Month LIBOR				2.750%				8/25/21				BB				8,654,726
	951			Albertson’s LLC, Term Loan B6			4.462%				3-Month LIBOR				3.000%				6/22/23				BB				946,472
	167			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			4.953%				2-Month LIBOR				3.500%				2/03/24				B–				166,715
	960			Del Monte Foods Company, Term Loan, First Lien			4.696%				3-Month LIBOR				3.250%				2/18/21				CCC+				821,198
	665			Save-A-Lot, Term Loan B			7.573%				1-Month LIBOR				6.000%				12/05/23				B2				576,570
	11,434			Total Food & Staples Retailing																							11,165,681
				Food Products – 2.4% (1.5% of Total Investments)
	1,718			Jacobs Douwe Egberts, Term Loan B			3.688%				3-Month LIBOR				2.250%				7/04/22				BB				1,734,537
	377			Keurig Green Mountain, Inc., Term Loan A, First Lien			3.000%				1-Week LIBOR				1.500%				3/03/21				BB+				376,995
	2,244			US Foods, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				6/27/23				BB				2,270,014
	4,339			Total Food Products																							4,381,546
				Health Care Equipment & Supplies – 2.7% (1.7% of Total Investments)
	704			Acelity, Term Loan B			4.943%				3-Month LIBOR				3.250%				2/02/24				B1				706,062
	380			Ardent Medical Services, Inc., Term Loan B, First Lien			7.073%				1-Month LIBOR				5.500%				8/04/21				B1				380,533
	777			ConvaTec, Inc., Term Loan B			3.943%				3-Month LIBOR				2.250%				10/25/23				BB				785,960
	832			Greatbatch, New Term Loan B			4.810%				1-Month LIBOR				3.250%				10/27/22				B+				841,773
	1,303			Onex Carestream Finance LP, Term Loan, First Lien			5.693%				3-Month LIBOR				4.000%				6/07/19				B1				1,309,039
	841			Onex Carestream Finance LP, Term Loan, Second Lien			10.193%				3-Month LIBOR				8.500%				12/07/19				B–				834,991
	4,837			Total Health Care Equipment & Supplies																							4,858,358
				Health Care Providers & Services – 6.0% (3.8% of Total Investments)
	1,500			Air Medical Group Holdings, Inc., Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B1				1,520,063

 

	66			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Health Care Providers & Services (continued)
$	995			Air Medical Group Holdings, Inc., Term Loan, First Lien			5.675%				3-Month LIBOR				4.000%				4/28/22				B1			$	1,004,785
	338			Community Health Systems, Inc., Term Loan G			4.229%				3-Month LIBOR				2.750%				12/31/19				Ba3				334,757
	603			Community Health Systems, Inc., Term Loan H			4.479%				3-Month LIBOR				3.000%				1/27/21				Ba3				592,928
	1,680			Envision Healthcare Corporation, Term Loan B, First Lien			4.580%				1-Month LIBOR				3.000%				12/01/23				BB–				1,689,338
	1,520			Heartland Dental Care, Inc., Term Loan, First Lien			6.450%				3-Month LIBOR				4.750%				7/31/23				B2				1,547,217
	500			Heartland Dental Care, Inc., Term Loan, Second Lien			10.070%				1-Month LIBOR				8.500%				7/31/24				CCC				507,190
	659			Millennium Laboratories, Inc., Term Loan B, First Lien			8.073%				1-Month LIBOR				6.500%				12/21/20				CCC+				264,242
	660			MultiPlan, Inc., Term Loan B			4.693%				3-Month LIBOR				3.000%				6/07/23				B+				665,618
	750			PharMerica, Term Loan, First Lien			5.055%				1-Month LIBOR				3.500%				12/06/24				B				758,670
	196			Quorum Health Corp., Term Loan B			8.323%				1-Month LIBOR				6.750%				4/29/22				B2				200,247
	1,686			Select Medical Corporation, Tranche B, Term Loan			5.210%				2-Month LIBOR				3.500%				3/01/21				Ba2				1,705,239
	11,087			Total Health Care Providers & Services																							10,790,294
				Health Care Technology – 1.2% (0.8% of Total Investments)
	672			Catalent Pharma Solutions, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				5/20/24				BB				676,989
	1,489			Emdeon, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				3/01/24				Ba3				1,499,916
	2,161			Total Health Care Technology																							2,176,905
				Hotels, Restaurants & Leisure – 7.1% (4.4% of Total Investments)
	1,963			Burger King Corporation, Term Loan B3			3.870%				1-Month LIBOR				2.250%				2/16/24				Ba3				1,976,634
	565			Caesars Entertainment Operating Company, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				10/07/24				BB				569,397
	2,000			Caesars Resort Collection, Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				12/23/24				BB				2,026,130
	1,525			CCM Merger, Inc., Term Loan B			4.319%				1-Month LIBOR				2.750%				8/09/21				BB–				1,540,746
	1,645			CityCenter Holdings LLC, Term Loan B			4.073%				1-Month LIBOR				2.500%				4/18/24				BB–				1,660,415
	975			Life Time Fitness, Inc., Term Loan B			4.228%				3-Month LIBOR				2.750%				6/10/22				BB–				984,008
	2,178			Scientific Games Corporation, Term Loan B4			4.823%				1-Month LIBOR				3.250%				8/14/24				B+				2,195,143
	1,735			Station Casino LLC, Term Loan B			4.070%				1-Month LIBOR				2.500%				6/08/23				BB				1,747,012
	12,586			Total Hotels, Restaurants & Leisure																							12,699,485
				Household Products – 1.1% (0.7% of Total Investments)
	1,945			Revlon Consumer Products Corporation, Term Loan B, First Lien, (DDI)			5.073%				1-Month LIBOR				3.500%				11/16/20				B1				1,544,633
	448			Serta Simmons Holdings LLC, Term Loan, First Lien			5.130%				3-Month LIBOR				3.500%				11/08/23				B				439,670
	2,393			Total Household Products																							1,984,303
				Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)
	405			Dynegy, Inc., Tranche Term Loan C2			4.311%				1-Month LIBOR				2.750%				2/07/24				BB				409,116
				Industrial Conglomerates – 2.1% (1.3% of Total Investments)
	1,350			Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien			5.996%				2-Month LIBOR				4.250%				6/16/24				B				1,369,064
	750			Education Advisory Board, Term Loan, First Lien			5.484%				3-Month LIBOR				3.750%				11/15/24				B				756,098
	1,191			Foresight Energy LLC, Term Loan, First Lien			7.443%				3-Month LIBOR				5.750%				3/28/22				B				1,155,419
	312			Robertshaw US Holding Corp., Term Loan, First Lien			6.125%				2-Month LIBOR				4.500%				8/02/24				B1				314,446

 

NUVEEN			67

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Industrial Conglomerates (continued)
$	150			Robertshaw US Holding Corp., Term Loan, Second Lien			10.563%				1-Month LIBOR				9.000%				2/04/25				CCC+			$	152,250
	3,753			Total Industrial Conglomerates																							3,747,277
				Insurance – 1.0% (0.6% of Total Investments)
	496			Acrisure LLC, Term Loan B			5.991%				3-Month LIBOR				4.250%				11/22/23				B				505,561
	1,262			Hub International Holdings, Inc., Initial Term Loan			4.413%				3-Month LIBOR				3.000%				10/02/20				B1				1,272,184
	1,758			Total Insurance																							1,777,745
				Internet Software & Services – 2.5% (1.6% of Total Investments)
	982			Ancestry.com, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				10/19/23				B				991,716
	762			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			4.385%				3-Month LIBOR				3.000%				11/03/23				BB–				769,782
	1,279			Sabre, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				2/22/24				Ba2				1,289,623
	1,109			SkillSoft Corporation, Term Loan, Second Lien			9.823%				1-Month LIBOR				8.250%				4/28/22				CCC				1,004,015
	440			TierPoint LLC, Term Loan, First Lien			5.323%				1-Month LIBOR				3.750%				5/05/24				B+				443,713
	4,572			Total Internet Software & Services																							4,498,849
				IT Services – 5.9% (3.7% of Total Investments)
	621			Computer Sciences Government Services, Term Loan B			3.693%				3-Month LIBOR				2.000%				11/30/23				BB+				625,110
	750			DigiCert, Term Loan, First Lien			6.522%				3-Month LIBOR				4.750%				10/31/24				B+				763,500
	4,950			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				4/26/24				BB				4,990,946
	685			Gartner, Inc., Term Loan A			3.573%				1-Month LIBOR				2.000%				3/21/22				BB+				687,424
	496			Gartner, Inc., Term Loan B			3.573%				1-Month LIBOR				2.000%				4/05/24				BB+				501,213
	390			PEAK 10, Inc., Term Loan B			5.193%				3-Month LIBOR				3.500%				8/01/24				B				392,046
	35			PEAK 10, Inc., Term Loan, Second Lien			8.627%				3-Month LIBOR				7.250%				8/01/25				CCC+				35,339
	995			Tempo Acquisition LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				5/01/24				B1				1,001,015
	750			Vantiv, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				8/07/24				BBB–				755,989
	739			WEX, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				7/01/23				BB–				748,675
	10,411			Total IT Services																							10,501,257
				Leisure Products – 1.5% (0.9% of Total Investments)
	1,029			24 Hour Fitness Worldwide, Inc., Term Loan B			5.443%				3-Month LIBOR				3.750%				5/28/21				Ba3				1,038,934
	507			Academy, Ltd., Term Loan B			5.546%				1-Month LIBOR				4.000%				7/01/22				B3				409,739
	1,251			Equinox Holdings, Inc., Term Loan B1			4.573%				1-Month LIBOR				3.000%				3/08/24				B+				1,265,905
	2,787			Total Leisure Products																							2,714,578
				Machinery – 1.2% (0.8% of Total Investments)
	958			Gardner Denver, Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				7/30/24				B+				964,528
	632			Gates Global LLC, Term Loan B			4.693%				3-Month LIBOR				2.750%				4/01/24				B+				637,307
	582			TNT Crane and Rigging Inc., Initial Term Loan, First Lien			6.193%				3-Month LIBOR				4.500%				11/27/20				B3				551,420
	2,172			Total Machinery																							2,153,255
				Marine – 0.2% (0.1% of Total Investments)
	684			American Commercial Lines LLC, Term Loan B, First Lien			10.323%				1-Month LIBOR				8.750%				11/12/20				B–				412,658
				Media – 10.6% (6.6% of Total Investments)
	837			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.017%				2-Month LIBOR				3.250%				7/23/21				B1				828,623
	993			Affinion Group Holdings, Inc., Term Loan, First Lien			9.160%				3-Month LIBOR				7.750%				5/10/22				B2				1,029,098
	665			Catalina Marketing Corporation, Term Loan, First Lien			5.073%				1-Month LIBOR				3.500%				4/09/21				B1				540,122

 

	68			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Media (continued)
$	500			Catalina Marketing Corporation, Term Loan, Second Lien			8.323%				1-Month LIBOR				6.750%				4/11/22				Caa1			$	209,125
	2,812			Clear Channel Communications, Inc., Tranche D, Term Loan, (5)			8.443%				3-Month LIBOR				6.750%				1/30/19				Caa1				2,163,716
	2,383			Clear Channel Communications, Inc., Term Loan E, (5)			9.193%				3-Month LIBOR				7.500%				7/30/19				Caa1				1,826,942
	500			CSC Holdings LLC, Term Loan B			4.139%				3-Month LIBOR				2.500%				1/12/26				BB–				504,378
	2,693			Cumulus Media, Inc., Term Loan B, (5)			4.830%				1-Month LIBOR				3.250%				12/23/20				N/R				2,327,634
	958			Getty Images, Inc., Term Loan B, First Lien			5.193%				3-Month LIBOR				3.500%				10/18/19				B3				910,902
	443			Gray Television, Inc., Term Loan B2			3.814%				1-Month LIBOR				2.250%				2/07/24				BB				446,770
	724			IMG Worldwide, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				5/06/21				B+				729,791
	424			Lions Gate Entertainment Corp., Term Loan B			3.817%				1-Month LIBOR				2.250%				12/08/23				Ba2				428,993
	2,469			McGraw-Hill Education Holdings LLC, Term Loan B			5.573%				1-Month LIBOR				4.000%				5/02/22				B+				2,469,894
	1,000			Meredith, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB				1,012,295
	249			Nexstar Broadcasting Group, Term Loan			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				250,599
	1,975			Nexstar Broadcasting Group, Term Loan B			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				1,989,706
	249			Red Ventures, Term Loan B			5.573%				1-Month LIBOR				4.000%				11/08/24				B+				252,679
	974			Springer Science & Business Media, Inc., Term Loan B13, First Lien			4.979%				3-Month LIBOR				3.500%				8/15/22				B				979,812
	20,848			Total Media																							18,901,079
				Metals & Mining – 1.0% (0.6% of Total Investments)
	871			CanAm Construction, Inc., Term Loan B			7.067%				1-Month LIBOR				5.500%				7/01/24				B				882,596
	829			Zekelman Industries, Term Loan B			4.408%				3-Month LIBOR				2.750%				6/14/21				BB–				835,347
	1,700			Total Metals & Mining																							1,717,943
				Multiline Retail – 0.7% (0.4% of Total Investments)
	892			Belk, Inc., Term Loan B, First Lien			6.458%				3-Month LIBOR				4.750%				12/12/22				B2				771,473
	461			Hudson’s Bay Company, Term Loan B, First Lien			4.718%				3-Month LIBOR				3.250%				9/30/22				BB				446,862
	1,353			Total Multiline Retail																							1,218,335
				Oil, Gas & Consumable Fuels – 4.3% (2.7% of Total Investments)
	1,091			BCP Renaissance Parent, Term Loan B			5.772%				3-Month LIBOR				4.000%				10/31/24				B+				1,106,138
	750			California Resources Corporation, Term Loan			11.936%				1-Month LIBOR				10.375%				12/31/21				B				853,125
	750			California Resources Corporation, Term Loan B			6.306%				1-Month LIBOR				4.750%				12/31/22				B				765,788
	387			Crestwood Holdings LLC, Term Loan B			9.436%				3-Month LIBOR				8.000%				6/19/19				B–				389,740
	90			Energy and Exploration Partners, Term Loan, Second Lien (cash 5.000%, PIK 5.000%), (5)			5.000%				N/A				N/A				5/13/22				N/R				1,353
	137			Fieldwood Energy LLC, Term Loan, First Lien			4.568%				3-Month LIBOR				2.875%				10/01/18				B3				134,508
	786			Fieldwood Energy LLC, Term Loan, First Lien			8.693%				3-Month LIBOR				7.000%				8/31/20				B3				758,261
	461			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				Ca				76,071
	1,463			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				Caa3				959,300
	1,637			Harvey Gulf International Marine, Inc., Term Loan B, (5)			0.000%				N/A				N/A				6/18/20				CCC–				763,225
	526			Peabody Energy Corporation, Term Loan B			5.073%				1-Month LIBOR				3.500%				3/31/22				Ba3				533,958
	1,483			Seadrill Partners LLC, Initial Term Loan, (DDI)			4.693%				3-Month LIBOR				3.000%				2/21/21				CCC+				1,310,284
	18			Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)			3.500%				N/A				N/A				4/13/23				CCC+				17,650
	9,579			Total Oil, Gas & Consumable Fuels																							7,669,401
				Pharmaceuticals – 2.2% (1.4% of Total Investments)
	1,350			Concordia Healthcare Corporation, Term Loan B, First Lien			5.823%				1-Month LIBOR				4.250%				10/21/21				Caa2				1,168,575
	2,724			Pharmaceutical Product Development, Inc., Term Loan, First Lien			4.387%				1-Month LIBOR				2.750%				8/18/22				Ba3				2,746,352

 

NUVEEN			69

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Pharmaceuticals (continued)
$	50			Valeant Pharmaceuticals International, Inc., Term Loan B			5.060%				1-Month LIBOR				3.500%				4/01/22				BB–			$	51,071
	4,124			Total Pharmaceuticals																							3,965,998
				Professional Services – 2.6% (1.6% of Total Investments)
	919			Ceridian Corporation, Term Loan B2			5.067%				1-Month LIBOR				3.500%				9/15/20				Ba3				925,561
	2,748			Formula One Group, Term Loan B			4.074%				1-Month LIBOR				2.500%				2/01/24				B+				2,763,668
	992			Nielsen Finance LLC, Term Loan B4			3.553%				1-Month LIBOR				2.000%				10/04/23				BBB–				1,000,197
	4,659			Total Professional Services																							4,689,426
				Real Estate Management & Development – 1.7% (1.0% of Total Investments)
	1,093			Capital Automotive LP, Term Loan, First Lien			4.073%				1-Month LIBOR				2.500%				3/25/24				B1				1,100,952
	1,832			Capital Automotive LP, Term Loan, Second Lien			7.573%				1-Month LIBOR				6.000%				3/24/25				B3				1,877,929
	2,925			Total Real Estate Management & Development																							2,978,881
				Road & Rail – 0.6% (0.3% of Total Investments)
	980			Quality Distribution, Incremental Term Loan, First Lien			7.193%				3-Month LIBOR				5.500%				8/18/22				B2				992,250
				Semiconductors & Semiconductor Equipment – 1.9% (1.2% of Total Investments)
	856			Lumileds, Term Loan B			5.074%				1-Month LIBOR				4.500%				6/30/24				Ba3				865,792
	985			Micron Technology, Inc., Term Loan B			3.580%				1-Month LIBOR				2.000%				4/26/22				Baa2				994,338
	693			Microsemi Corporation, Term Loan B			3.561%				1-Month LIBOR				2.000%				1/15/23				BB				699,128
	757			On Semiconductor Corp., Term Loan B			3.573%				1-Month LIBOR				2.000%				3/31/23				Ba1				763,985
	3,291			Total Semiconductors & Semiconductor Equipment																							3,323,243
				Software – 13.4% (8.3% of Total Investments)
	1,800			Avaya Inc., Term Loan, First Lien			6.309%				1-Month LIBOR				4.750%				12/15/24				B				1,811,619
	749			Blackboard, Inc., Term Loan B4			6.734%				3-Month LIBOR				5.000%				6/30/21				B1				736,448
	2,687			BMC Software, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				9/10/22				B+				2,704,685
	1,744			Compuware Corporation, Term Loan B3			5.550%				2-Month LIBOR				4.250%				12/15/21				B				1,744,015
	92			Compuware Corporation, Term Loan, Second Lien			9.820%				1-Month LIBOR				8.250%				12/15/22				B–				92,343
	683			Ellucian, Term Loan B, First Lien			4.943%				3-Month LIBOR				3.250%				9/30/22				B				688,145
	2,041			Infor (US), Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				2/01/22				B1				2,054,307
	1,260			Informatica, Term Loan B			4.943%				3-Month LIBOR				3.250%				8/05/22				B				1,268,391
	990			Kronos Incorporated, Term Loan, First Lien			4.903%				3-Month LIBOR				3.500%				11/01/23				B				1,001,043
	1,453			McAfee Holdings International, Inc., Term Loan, First Lien			6.067%				1-Month LIBOR				4.500%				9/30/24				B1				1,469,653
	500			McAfee Holdings International, Inc., Term Loan, Second Lien			10.067%				1-Month LIBOR				8.500%				9/29/25				B–				504,583
	322			Micro Focus International PLC, New Term Loan			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				324,527
	2,178			Micro Focus International PLC, Term Loan B			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				2,191,611
	1,261			Micro Focus International PLC, Term Loan B2			4.073%				1-Month LIBOR				2.500%				11/19/21				BB–				1,270,090
	371			Misys, New Term Loan, Second Lien			8.729%				3-Month LIBOR				7.250%				6/13/25				CCC+				374,871
	19			Mitchell International, Inc., Delayed Draw Term Loan, First Lien, (16)			4.814%				3-Month LIBOR				3.250%				11/29/24				B1				18,776
	231			Mitchell International, Inc., Initial Term Loan, First Lien			4.943%				3-Month LIBOR				3.250%				11/29/24				B1				232,818
	200			Mitchell International, Inc., Initial Term Loan, Second Lien			8.943%				3-Month LIBOR				7.250%				12/01/25				CCC				202,750
	742			RP Crown Parent, LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				10/15/23				B1				748,919
	479			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1			3.823%				1-Month LIBOR				2.250%				7/08/22				BB+				482,393
	7			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2			3.823%				1-Month LIBOR				2.250%				7/08/22				BB+				7,493
	3,213			Tibco Software, Inc., Term Loan, First Lien			5.070%				1-Month LIBOR				3.500%				12/04/20				B1				3,236,861

 

	70			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Software (continued)
$	741			Vertafore, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				6/30/23				B			$	749,698
	23,763			Total Software																							23,916,039
				Specialty Retail – 1.2% (0.8% of Total Investments)
	273			Neiman Marcus Group, Inc., Term Loan, (WI/DD)			TBD				TBD				TBD				TBD				Caa1				234,919
	1,987			Petco Animal Supplies, Inc., Term Loan B1			4.772%				3-Month LIBOR				3.000%				1/26/23				B1				1,513,613
	501			Petsmart Inc., Term Loan B, First Lien, (DDI)			4.570%				1-Month LIBOR				3.000%				3/11/22				B1				408,129
	2,761			Total Specialty Retail																							2,156,661
				Technology Hardware, Storage & Peripherals – 6.7% (4.2% of Total Investments)
	649			Conduent, Inc., Term Loan B			4.573%				1-Month LIBOR				3.000%				12/07/23				BB+				656,547
	2,711			Dell International LLC, Refinancing Term Loan B			3.580%				1-Month LIBOR				2.000%				9/07/23				BBB–				2,724,721
	1,901			Dell International LLC, Replacement Term Loan A2			3.330%				1-Month LIBOR				1.750%				9/07/21				BBB–				1,905,091
	337			Dell International LLC, Replacement Term Loan A3			3.080%				1-Month LIBOR				1.500%				12/31/18				BBB–				337,016
	969			Dell Software Group, Repriced Term Loan B			7.272%				3-Month LIBOR				5.500%				10/31/22				B				992,213
	5,425			Western Digital U.S., Term Loan B3			3.561%				1-Month LIBOR				2.000%				4/29/23				Baa2				5,471,418
	11,992			Total Technology Hardware, Storage & Peripherals																							12,087,006
				Transportation Infrastructure – 2.0% (1.3% of Total Investments)
	2,352			Avolon, Repriced Term Loan B2			3.811%				1-Month LIBOR				2.250%				3/21/22				BBB–				2,351,274
	65			Ceva Group PLC, Canadian Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				63,375
	377			Ceva Group PLC, Dutch B.V., Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				367,578
	371			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				N/A				N/A				3/19/21				B–				362,136
	520			Ceva Group PLC, US Term Loan			7.272%				3-Month LIBOR				5.500%				3/19/21				B–				507,004
	3,685			Total Transportation Infrastructure																							3,651,367
				Wireless Telecommunication Services – 2.7% (1.7% of Total Investments)
	2,977			Sprint Corporation, Term Loan, First Lien			4.125%				1-Month LIBOR				2.500%				2/02/24				Ba2				2,988,978
	1,167			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				4/23/19				B				1,164,817
	594			Syniverse Technologies, Inc., Tranche B, Term Loan			4.573%				1-Month LIBOR				3.000%				4/23/19				B				593,004
	4,738			Total Wireless Telecommunication Services																							4,746,799
$	241,306			Total Variable Rate Senior Loan Interests (cost $236,789,443)																							235,914,165
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 20.5% (12.8% of Total Investments)
				Diversified Telecommunication Services – 4.2% (2.6% of Total Investments)
$	549			Intelsat Connect Finance SA, 144A											12.500%				4/01/22				CCC–			$	422,730
	3,360			IntelSat Jackson Holdings											5.500%				8/01/23				CCC+				2,637,600
	1,790			IntelSat Jackson Holdings											9.750%				7/15/25				CCC+				1,646,263
	215			IntelSat Limited											6.750%				6/01/18				CCC–				210,700
	3,840			IntelSat Limited											7.750%				6/01/21				CCC–				1,736,448
	2,100			IntelSat Limited											8.125%				6/01/23				CCC–				892,500
	11,854			Total Diversified Telecommunication Services																							7,546,241
				Health Care Providers & Services – 1.2% (0.7% of Total Investments)
	2,000			HCA Inc.											6.500%				2/15/20				BBB–				2,132,500
				Hotels, Restaurants & Leisure – 1.6% (1.0% of Total Investments)
	417			Scientific Games Corporation, 144A											7.000%				1/01/22				Ba3				439,935
	2,150			Scientific Games International Inc.											10.000%				12/01/22				B–				2,351,562
	2,567			Total Hotels, Restaurants & Leisure																							2,791,497

 

NUVEEN			71

---

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

 

Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Household Durables – 0.8% (0.5% of Total Investments)
$	1,410			Lennar Corporation											4.125%				12/01/18				BB+			$	1,424,100
				Media – 4.8% (3.0% of Total Investments)
	100			Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation											3.579%				7/23/20				BBB–				101,335
	3,214			Clear Channel Communications Inc., (5), (7)											12.000%				8/01/21				N/R				—
	1,400			Dish DBS Corporation											5.125%				5/01/20				Ba3				1,422,750
	1,000			Dish DBS Corporation											5.875%				11/15/24				Ba3				948,125
	1,000			Hughes Satellite Systems Corporation											6.500%				6/15/19				BBB–				1,043,790
	2,835			iHeartCommunications, Inc., (5)											9.000%				12/15/19				Caa1				2,182,950
	5,987			iHeartCommunications, Inc. (cash 12.000%, PIK 2.000%), (5)											14.000%				2/01/21				Ca				359,194
	1,000			iHeartCommunications, Inc., (5)											9.000%				3/01/21				Caa1				725,000
	1,635			Neptune Finco Corporation, 144A											10.125%				1/15/23				B2				1,844,484
	18,171			Total Media																							8,627,628
				Oil, Gas & Consumable Fuels – 2.8% (1.8% of Total Investments)
	2,425			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				2,029,422
	400			Denbury Resources Inc.											6.375%				8/15/21				CCC–				338,000
	1,340			Denbury Resources Inc.											9.250%				3/31/22				B				1,373,500
	400			EP Energy LLC and Everest Acquisition Finance, Inc.											9.375%				5/01/24				Caa2				339,000
	995			FTS International Inc., 144A, (3-Month LIBOR reference rate + 7.500% spread)											8.820%				6/15/20				B+				1,009,925
	5,560			Total Oil, Gas & Consumable Fuels																							5,089,847
				Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)
	106			Advanced Micro Devices, Inc.											7.500%				8/15/22				B–				117,660
				Software – 1.6% (1.0% of Total Investments)
	85			Avaya Inc., (7)											7.000%				4/01/19				NA				—
	2,085			Avaya Inc., (7)											10.500%				3/01/21				NA				—
	1,910			BMC Software Finance Inc., 144A											8.125%				7/15/21				CCC+				1,912,388
	226			Boxer Parent Company Inc./BMC Software, 144A (cash 9.000%, PIK 9.750%)											9.000%				10/15/19				CCC+				226,565
	725			Infor Us Inc., 144A											5.750%				8/15/20				BB				744,176
	5,031			Total Software																							2,883,129
				Technology Hardware, Storage & Peripherals – 0.9% (0.6% of Total Investments)
	1,475			Western Digital Corporation, 144A											7.375%				4/01/23				Baa2				1,605,906
				Wireless Telecommunication Services – 2.5% (1.6% of Total Investments)
	850			Sprint Communications Inc.											7.000%				8/15/20				B+				897,109
	2,750			Sprint Corporation											7.875%				9/15/23				B+				2,904,687
	250			Sprint Corporation											7.125%				6/15/24				B+				253,438
	400			Syniverse Foreign Holdings Corporation, 144A											9.125%				1/15/22				B				414,500
	75			T-Mobile USA Inc.											6.836%				4/28/23				BB+				78,278
	4,325			Total Wireless Telecommunication Services																							4,548,012
$	52,499			Total Corporate Bonds (cost $40,754,256)																							36,766,520
Shares				Description (1)																						Value
				COMMON STOCKS – 2.7% (1.7% of Total Investments)
				Diversified Consumer Services – 0.2% (0.1% of Total Investments)
	39,749			Cengage Learning Holdings II LP, (6)																						$	293,149
				Energy Equipment & Services – 1.2% (0.8% of Total Investments)
	39,988			C&J Energy Services Inc., (6)																							1,224,433
	26,111			Ocean Rig UDW Inc., (6)																							702,908

 

	72			NUVEEN

---

Shares				Description (1)																						Value
				Energy Equipment & Services (continued)
	1,318			Vantage Drill International, (6)																						$	289,960
				Total Energy Equipment & Services																							2,217,301
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	13,189			Millenium Health LLC, (6)																							1,438
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	18			Southcross Holdings Borrower LP, (6)																							6,750
				Software – 1.1% (0.7% of Total Investments)
	95,741			Avaya Holdings Corporation., (6)																							1,999,072
				Specialty Retail – 0.2% (0.1% of Total Investments)
	5,454			Gymboree Corporation, (6), (7)																							77,413
	14,849			Gymboree Corporation, (6)																							252,433
				Total Specialty Retail																							329,846
				Total Common Stocks (cost $7,086,437)																							4,847,556
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	8,503			Avaya Holdings Corp., (7)																						$	9,126
				Total Warrants (cost $565,168)																							9,126
				Total Long-Term Investments (cost $285,195,304)																							277,537,367
Shares				Description (1)																						Value
				SHORT-TERM INVESTMENTS – 5.3% (3.3% of Total Investments)
				INVESTMENT COMPANIES – 5.3% (3.3% of Total Investments)
	9,429,840			BlackRock Liquidity Funds T-Fund Portfolio, (8)																						$	9,429,840
				Total Short-Term Investments (cost $9,429,840)																							9,429,840
				Total Investments (cost $294,625,144) – 160.3%																							286,967,207
				Borrowings – (40.2)% (9), (10)																							(72,000,000	)
				Term Preferred Shares, net of deferred offering costs – (19.3)% (11)																							(34,468,757	)
				Other Assets Less Liabilities – (0.8)% (12)																							(1,494,656	)
				Net Assets Applicable to Common Shares – 100%																						$	179,003,794

Investments in Derivatives

Credit Default Swaps – OTC Cleared

 

Referenced Entity		Buy/Sell Protection (13)				Notional Amount				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Maturity Date				Value				Premiums Paid (Received)				Unrealized Appreciation (Depreciation)				Variation Margin Receivable/ (Payable)
Kroger Co.			Buy			$	2,000,000				1.000	%			Quarterly				12/20/22			$	(32,111	)		$	17,055			$	(49,166	)		$	(258	)
Dell Inc.			Buy				3,000,000				1.000				Quarterly				12/20/22				109,390				208,327				(98,937	)			(137	)
Total						$	5,000,000															$	77,279			$	225,382			$	(148,103	)		$	(396	)
Total credit default swap premiums paid																										$	225,382
Total credit default swap premiums received																										$	—
Total receivable for variation margin on swap contracts																																		$	—
Total payable for variation margin on swap contracts																																		$	(396	)

 

NUVEEN			73

---

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

 

Interest Rate Swaps – OTC Uncleared

 

Counterparty		Notional Amount				Fund Pay/Receive Floating Rate				Floating Rate Index				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Maturity Date				Value				Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services LLC		$	17,500,000				Receive				1-Month LIBOR				1.659	%			Monthly				9/15/18			$	23,836			$	23,836
Morgan Stanley Capital Services LLC			35,000,000				Pay				1-Month LIBOR				1.500	(14)			Monthly				11/01/20	(15)			(200,128	)			(200,128	)
Total		$	52,500,000																							$	(176,292	)		$	(176,292	)
Total unrealized appreciation on interest rate swaps																														$	23,836
Total unrealized depreciation on interest rate swaps																														$	(200,128	)

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

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

 

(7)

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

 

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

 

(9)	Borrowings as a percentage of Total Investments is 25.1%.

 

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

 

(11)	Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 12.0%.

 

(12)

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

 

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

 

(14)	Effective November 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

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

 

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

 

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

 

DD1	Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A	Not applicable

 

PIK

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

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

	74			NUVEEN

---

JQC

 

Nuveen Credit Strategies Income Fund
Portfolio of Investments		January 31, 2018 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 151.7% (95.8% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 116.8% (73.8% of Total Investments) (2)
				Airlines – 4.6% (2.9% of Total Investments)
$	19,122			American Airlines, Inc., Replacement Term Loan			3.567%				1-Month LIBOR				2.000%				6/27/20				BB+			$	19,218,984
	2,969			American Airlines, Inc., Replacement Term Loan			3.554%				1-Month LIBOR				2.000%				10/10/21				BB+				2,984,235
	8,473			American Airlines, Inc., Term Loan B			3.559%				1-Month LIBOR				2.000%				12/14/23				BB+				8,512,187
	7,920			American Airlines, Inc., Term Loan B			3.567%				1-Month LIBOR				2.000%				4/28/23				BB+				7,956,630
	17,865			United Air Lines, Inc., Term Loan B			3.772%				3-Month LIBOR				2.000%				4/01/24				BB+				17,979,425
	56,349			Total Airlines																							56,651,461
				Automobiles – 1.0% (0.6% of Total Investments)
	12,356			Chrysler Group LLC, Term Loan			3.570%				1-Month LIBOR				2.000%				12/31/18				BBB–				12,402,423
				Building Products – 0.2% (0.1% of Total Investments)
	2,644			Quikrete Holdings, Inc., Term Loan B			4.323%				1-Month LIBOR				2.750%				11/15/23				BB–				2,661,960
				Capital Markets – 1.3% (0.8% of Total Investments)
	16,359			RPI Finance Trust, Term Loan B6			3.693%				3-Month LIBOR				2.000%				3/27/23				Baa2				16,493,633
				Chemicals – 4.6% (2.9% of Total Investments)
	10,839			Axalta Coating Systems, Term Loan, First Lien			3.693%				3-Month LIBOR				2.000%				6/01/24				BBB–				10,931,935
	9,205			Ineos US Finance LLC, Term Loan			3.573%				1-Month LIBOR				2.000%				4/01/24				BB+				9,262,307
	36,614			Univar, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				7/01/24				BB				37,010,896
	56,658			Total Chemicals																							57,205,138
				Commercial Services & Supplies – 4.2% (2.7% of Total Investments)
	19,128			ADS Waste Holdings, Inc., Term Loan B			3.715%				1-Week LIBOR				2.250%				11/10/23				BB+				19,280,731
	10,159			Monitronics International, Inc., Term Loan B2, First Lien			7.193%				3-Month LIBOR				5.500%				9/30/22				B2				10,194,933
	13,000			Skillsoft Corporation, Initial Term Loan, First Lien			6.323%				1-Month LIBOR				4.750%				4/28/21				B–				12,756,250
	9,514			West Corporation, Term Loan B			5.573%				1-Month LIBOR				4.000%				10/10/24				Ba3				9,630,358
	51,801			Total Commercial Services & Supplies																							51,862,272
				Communications Equipment – 0.1% (0.1% of Total Investments)
	1,344			CommScope, Inc., Term Loan B			3.573%				1-Month LIBOR				2.000%				12/29/22				Baa3				1,356,539
				Containers & Packaging – 2.3% (1.4% of Total Investments)
	1,488			Berry Global, Inc., Term Loan M			3.816%				1-Month LIBOR				2.250%				10/01/22				BBB–				1,501,128
	26,462			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				2/05/23				B+				26,694,714
	27,950			Total Containers & Packaging																							28,195,842
				Diversified Consumer Services – 2.1% (1.4% of Total Investments)
	7,487			Cengage Learning Acquisitions, Inc., Term Loan B			5.809%				1-Month LIBOR				4.250%				6/07/23				B+				7,293,719
	19,069			Laureate Education, Inc., Term Loan B			6.067%				1-Month LIBOR				4.500%				4/26/24				B+				19,249,879
	26,556			Total Diversified Consumer Services																							26,543,598
				Diversified Telecommunication Services – 8.3% (5.3% of Total Investments)
	22,000			CenturyLink, Inc., Term Loan B			4.317%				1-Month LIBOR				2.750%				1/31/25				BBB–				21,704,430

 

NUVEEN			75

---

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Diversified Telecommunication Services (continued)
$	10,425			Greeneden U.S. Holdings II LLC, Term Loan B			5.443%				3-Month LIBOR				3.750%				12/01/23				B			$	10,516,409
	5,000			Intelsat Jackson Holdings, S.A., Term Loan B			5.212%				3-Month LIBOR				3.750%				11/30/23				B1				4,970,100
	766			Intelsat Jackson Holdings, S.A., Term Loan B4			6.195%				3-Month LIBOR				4.500%				1/02/24				B1				777,962
	1,226			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				1,236,156
	11,144			Level 3 Financing, Inc., Tranche B, Term Loan			3.696%				3-Month LIBOR				2.250%				2/22/24				BBB–				11,205,405
	20,533			WideOpenWest Finance LLC, Term Loan B			4.811%				1-Month LIBOR				3.250%				8/18/23				B				20,571,596
	32,000			Ziggo B.V., Term Loan E			4.059%				1-Month LIBOR				2.500%				4/15/25				BB–				32,020,000
	103,094			Total Diversified Telecommunication Services																							103,002,058
				Electric Utilities – 0.2% (0.2% of Total Investments)
	2,418			Vistra Operations Co., Term Loan B			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				2,439,807
	429			Vistra Operations Co., Term Loan C			4.064%				1-Month LIBOR				2.500%				8/04/23				BB+				432,360
	2,847			Total Electric Utilities																							2,872,167
				Energy Equipment & Services – 0.1% (0.0% of Total Investments)
	767			Ocean Rig UDW Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				778,446
				Equity Real Estate Investment Trusts – 3.6% (2.2% of Total Investments)
	17,707			Communications Sales & Leasing, Inc., Shortfall Term Loan			4.573%				1-Month LIBOR				3.000%				10/24/22				B+				17,101,606
	10,439			Realogy Group LLC, Term Loan B			3.829%				1-Month LIBOR				2.250%				1/26/25				BB+				10,535,486
	16,408			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)			5.323%				1-Month LIBOR				3.750%				12/18/20				Caa2				16,362,112
	44,554			Total Equity Real Estate Investment Trusts																							43,999,204
				Food & Staples Retailing – 2.8% (1.8% of Total Investments)
	25,340			Albertson’s LLC, Term Loan B4			4.323%				1-Month LIBOR				2.750%				8/25/21				BB				25,235,010
	5,124			Albertson’s LLC, Term Loan B6			4.462%				3-Month LIBOR				3.000%				6/22/23				BB				5,100,681
	4,331			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			4.953%				2-Month LIBOR				3.500%				2/03/24				B–				4,334,599
	34,795			Total Food & Staples Retailing																							34,670,290
				Food Products – 3.9% (2.4% of Total Investments)
	6,874			Jacobs Douwe Egberts, Term Loan B			3.688%				3-Month LIBOR				2.250%				7/04/22				BB				6,938,150
	11,649			Keurig Green Mountain, Inc., Term Loan A, First Lien			3.000%				1-Week LIBOR				1.500%				3/03/21				BB+				11,647,778
	28,954			US Foods, Inc., Term Loan B			4.073%				1-Month LIBOR				2.500%				6/27/23				BB				29,285,263
	47,477			Total Food Products																							47,871,191
				Health Care Equipment & Supplies – 2.4% (1.5% of Total Investments)
	4,757			Acelity, Term Loan B			4.943%				3-Month LIBOR				3.250%				2/02/24				B1				4,770,563
	4,460			ConvaTec, Inc., Term Loan B			3.943%				3-Month LIBOR				2.250%				10/25/23				BB				4,512,923
	12,180			Onex Carestream Finance LP, Term Loan, First Lien			5.693%				3-Month LIBOR				4.000%				6/07/19				B1				12,236,707
	7,875			Onex Carestream Finance LP, Term Loan, Second Lien			10.193%				3-Month LIBOR				8.500%				12/07/19				B–				7,820,803
	29,272			Total Health Care Equipment & Supplies																							29,340,996
				Health Care Providers & Services – 4.2% (2.6% of Total Investments)
	4,519			Community Health Systems, Inc., Term Loan G			4.229%				3-Month LIBOR				2.750%				12/31/19				Ba3				4,469,003
	7,252			Community Health Systems, Inc., Term Loan H			4.479%				3-Month LIBOR				3.000%				1/27/21				Ba3				7,129,320

 

	76			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Health Care Providers & Services (continued)
$	5,939			DJO Finance LLC, Term Loan B, First Lien			4.885%				1-Month LIBOR				3.250%				6/08/20				B+			$	5,880,616
	1,768			Envision Healthcare Corporation, Term Loan B, First Lien			4.580%				1-Month LIBOR				3.000%				12/01/23				BB–				1,778,028
	11,356			Millennium Laboratories, Inc., Term Loan B, First Lien			8.073%				1-Month LIBOR				6.500%				12/21/20				CCC+				4,556,672
	16,287			MultiPlan, Inc., Term Loan B			4.693%				3-Month LIBOR				3.000%				6/07/23				B+				16,418,578
	8,000			PharMerica, Term Loan, First Lien			5.055%				1-Month LIBOR				3.500%				12/06/24				B				8,092,480
	266			Quorum Health Corp., Term Loan B			8.323%				1-Month LIBOR				6.750%				4/29/22				B2				272,396
	3,000			Select Medical Corporation, Tranche B, Term Loan			5.210%				2-Month LIBOR				3.500%				3/01/21				Ba2				3,033,750
	58,387			Total Health Care Providers & Services																							51,630,843
				Health Care Technology – 1.9% (1.2% of Total Investments)
	22,828			Emdeon, Inc., Term Loan			4.323%				1-Month LIBOR				2.750%				3/01/24				Ba3				22,998,706
				Hotels, Restaurants & Leisure – 12.2% (7.7% of Total Investments)
	34,738			Burger King Corporation, Term Loan B3			3.870%				1-Month LIBOR				2.250%				2/16/24				Ba3				34,981,283
	10,000			Caesars Resort Collection, Term Loan, First Lien			4.323%				1-Month LIBOR				2.750%				12/23/24				BB				10,130,650
	1,262			CCM Merger, Inc., Term Loan B			4.319%				1-Month LIBOR				2.750%				8/09/21				BB–				1,274,425
	29,985			Hilton Hotels Corporation, Term Loan B2			3.561%				1-Month LIBOR				2.000%				10/25/23				BBB–				30,240,627
	23,296			Life Time Fitness, Inc., Term Loan B			4.228%				3-Month LIBOR				2.750%				6/10/22				BB–				23,507,245
	4,716			MGM Growth Properties, Term Loan B			3.823%				1-Month LIBOR				2.250%				4/25/23				BB+				4,756,416
	11,853			Scientific Games Corporation, Term Loan B4			4.823%				1-Month LIBOR				3.250%				8/14/24				B+				11,945,451
	15,616			Station Casino LLC, Term Loan B			4.070%				1-Month LIBOR				2.500%				6/08/23				BB				15,723,105
	17,885			YUM Brands, New Term Loan B			3.556%				1-Month LIBOR				2.000%				6/16/23				BBB–				18,052,697
	149,351			Total Hotels, Restaurants & Leisure																							150,611,899
				Household Products – 3.5% (2.2% of Total Investments)
	26,523			Revlon Consumer Products Corporation, Term Loan B, First Lien			5.073%				1-Month LIBOR				3.500%				11/16/20				B1				21,059,254
	23,081			Serta Simmons Holdings LLC, Term Loan, First Lien			5.130%				3-Month LIBOR				3.500%				11/08/23				B				22,665,206
	49,604			Total Household Products																							43,724,460
				Independent Power & Renewable Electricity Producers – 0.1% (0.1% of Total Investments)
	1,785			Dynegy, Inc., Tranche Term Loan C2			4.311%				1-Month LIBOR				2.750%				2/07/24				BB				1,804,668
				Insurance – 1.0% (0.6% of Total Investments)
	12,238			Hub International Holdings, Inc., Initial Term Loan			4.413%				3-Month LIBOR				3.000%				10/02/20				B1				12,338,397
				Internet and Direct Marketing Retail – 0.8% (0.5% of Total Investments)
	10,033			Travelport LLC, Term Loan B			4.166%				3-Month LIBOR				2.750%				8/31/21				B+				10,085,113
				Internet Software & Services – 3.6% (2.3% of Total Investments)
	18,206			Ancestry.com, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				3.250%				10/19/23				B				18,376,795
	1,524			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			4.385%				3-Month LIBOR				3.000%				11/03/23				BB–				1,539,564
	24,858			Sabre, Inc., Term Loan B			3.823%				1-Month LIBOR				2.250%				2/22/24				Ba2				25,062,198
	44,588			Total Internet Software & Services																							44,978,557
				IT Services – 4.7% (3.0% of Total Investments)
	17,644			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				7/10/22				BB				17,785,151
	17,324			First Data Corporation, Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				4/26/24				BB				17,468,312
	1,596			Neustar, Inc., Term Loan 2			5.147%				3-Month LIBOR				3.750%				8/08/24				BB				1,616,197
	1,499			Neustar, Inc., Term Loan B1, (WI/DD)			TBD				TBD				TBD				TBD				BB				1,516,875

 

NUVEEN			77

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				IT Services (continued)
$	6,232			PEAK 10, Inc., Term Loan B			5.193%				3-Month LIBOR				3.500%				8/01/24				B			$	6,272,731
	71			PEAK 10, Inc., Term Loan, Second Lien			8.627%				3-Month LIBOR				7.250%				8/01/25				CCC+				71,940
	12,940			Tempo Acquisition LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				5/01/24				B1				13,018,210
	57,306			Total IT Services																							57,749,416
				Leisure Products – 0.1% (0.0% of Total Investments)
	823			Academy, Ltd., Term Loan B			5.546%				1-Month LIBOR				4.000%				7/01/22				B3				665,147
				Life Sciences Tools & Services – 0.7% (0.5% of Total Investments)
	8,978			Parexel International Corp., Term Loan B			4.323%				1-Month LIBOR				2.750%				9/27/24				B1				9,054,931
				Machinery – 2.8% (1.8% of Total Investments)
	17,332			Gardner Denver, Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				7/30/24				B+				17,442,574
	15,000			Navistar, Inc., Tranche B, Term Loan, (DD1)			5.060%				1-Month LIBOR				3.500%				11/06/24				Ba3				15,156,300
	2,462			Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien			3.810%				1-Month LIBOR				2.250%				8/21/24				BB+				2,484,935
	34,794			Total Machinery																							35,083,809
				Media – 9.7% (6.2% of Total Investments)
	7,102			Acquisitions Cogeco Cable II L.P., Term Loan, First Lien			3.948%				1-Month LIBOR				2.375%				1/03/25				BB–				7,125,699
	3,531			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.017%				2-Month LIBOR				3.250%				7/23/21				B1				3,496,503
	2,000			Catalina Marketing Corporation, Term Loan, First Lien			5.073%				1-Month LIBOR				3.500%				4/09/21				B1				1,623,340
	1,235			Clear Channel Communications, Inc., Tranche D, Term Loan, (5)			8.443%				3-Month LIBOR				6.750%				1/30/19				Caa1				950,558
	1,358			Clear Channel Communications, Inc., Term Loan E, (5)			9.193%				3-Month LIBOR				7.500%				7/30/19				Caa1				1,041,158
	4,250			CSC Holdings LLC, Term Loan B			4.139%				3-Month LIBOR				2.500%				1/12/26				BB–				4,287,209
	30,172			Cumulus Media, Inc., Term Loan B, (5)			4.830%				1-Month LIBOR				3.250%				12/23/20				N/R				26,074,814
	26,443			EMI Music Publishing, Term Loan			3.984%				3-Month LIBOR				2.250%				8/20/23				BB–				26,646,729
	4,377			Getty Images, Inc., Term Loan B, First Lien, (DD1)			5.193%				3-Month LIBOR				3.500%				10/18/19				B3				4,163,364
	1,272			Lions Gate Entertainment Corp., Term Loan B			3.817%				1-Month LIBOR				2.250%				12/08/23				Ba2				1,286,979
	4,667			Meredith, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB				4,724,043
	419			Nexstar Broadcasting Group, Term Loan			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				421,800
	3,324			Nexstar Broadcasting Group, Term Loan B			4.068%				1-Month LIBOR				2.500%				1/17/24				BB+				3,348,715
	5,845			Springer Science & Business Media, Inc., Term Loan B13, First Lien			4.979%				3-Month LIBOR				3.500%				8/15/22				B				5,878,872
	25,238			Tribune Media Company, Term Loan C			4.573%				1-Month LIBOR				3.000%				1/27/24				BB+				25,324,858
	4,166			Univision Communications, Inc., Term Loan C5			4.323%				1-Month LIBOR				2.750%				3/15/24				BB–				4,175,255
	125,399			Total Media																							120,569,896
				Multiline Retail – 0.5% (0.3% of Total Investments)
	4,165			Belk, Inc., Term Loan B, First Lien			6.458%				3-Month LIBOR				4.750%				12/12/22				B2				3,600,208
	2,840			Dollar Tree, Inc., Term Loan B2			4.250%				N/A				N/A				7/06/22				BBB–				2,870,175
	7,005			Total Multiline Retail																							6,470,383
				Oil, Gas & Consumable Fuels – 1.5% (0.9% of Total Investments)
	4,000			California Resources Corporation, Term Loan B			6.306%				1-Month LIBOR				4.750%				12/31/22				B				4,084,200
	4,969			Fieldwood Energy LLC, Term Loan, First Lien			8.693%				3-Month LIBOR				7.000%				8/31/20				B3				4,790,993
	2,913			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				Ca				480,645
	9,242			Fieldwood Energy LLC, Term Loan, Second Lien, (5)			0.000%				N/A				N/A				9/30/20				Caa3				6,061,240
	4,509			Harvey Gulf International Marine, Inc., Term Loan B, (5)			0.000%				N/A				N/A				6/18/20				CCC–				2,102,167

 

	78			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Oil, Gas & Consumable Fuels (continued)
$	943			Seadrill Partners LLC, Initial Term Loan, (WI/DD)			TBD				TBD				TBD				TBD				CCC+			$	832,680
	26,576			Total Oil, Gas & Consumable Fuels																							18,351,925
				Pharmaceuticals – 2.8% (1.8% of Total Investments)
	10,992			Alphabet Holding Company, Inc., Initial Term Loan, First Lien, (DD1)			5.073%				1-Month LIBOR				3.500%				9/26/24				B1				10,888,071
	22,483			Pharmaceutical Product Development, Inc., Term Loan, First Lien			4.387%				1-Month LIBOR				2.750%				8/18/22				Ba3				22,668,138
	1,030			Valeant Pharmaceuticals International, Inc., Term Loan B			5.060%				1-Month LIBOR				3.500%				4/01/22				BB–				1,047,540
	34,505			Total Pharmaceuticals																							34,603,749
				Professional Services – 1.3% (0.8% of Total Investments)
	875			Ceridian Corporation, Term Loan B2			5.067%				1-Month LIBOR				3.500%				9/15/20				Ba3				881,630
	15,123			Formula One Group, Term Loan B			4.074%				1-Month LIBOR				2.500%				2/01/24				B+				15,209,978
	15,998			Total Professional Services																							16,091,608
				Real Estate Management & Development – 1.2% (0.8% of Total Investments)
	14,962			Capital Automotive LP, Term Loan, First Lien			4.073%				1-Month LIBOR				2.500%				3/25/24				B1				15,073,916
				Semiconductors & Semiconductor Equipment – 1.5% (0.9% of Total Investments)
	7,756			Lumileds, Term Loan B			5.074%				1-Month LIBOR				4.500%				6/30/24				Ba3				7,843,061
	3,467			Microsemi Corporation, Term Loan B			3.561%				1-Month LIBOR				2.000%				1/15/23				BB				3,495,638
	6,690			On Semiconductor Corp., Term Loan B			3.573%				1-Month LIBOR				2.000%				3/31/23				Ba1				6,748,538
	17,913			Total Semiconductors & Semiconductor Equipment																							18,087,237
				Software – 14.5% (9.1% of Total Investments)
	7,000			Avaya Inc., Term Loan, First Lien, (DD1)			6.309%				1-Month LIBOR				4.750%				12/15/24				B				7,045,185
	3,281			Blackboard, Inc., Term Loan B4			6.734%				3-Month LIBOR				5.000%				6/30/21				B1				3,225,995
	26,694			BMC Software, Inc., Term Loan, First Lien			4.823%				1-Month LIBOR				3.250%				9/10/22				B+				26,872,250
	12,171			Compuware Corporation, Term Loan B3			5.550%				2-Month LIBOR				4.250%				12/15/21				B				12,170,809
	25,853			Ellucian, Term Loan B, First Lien			4.943%				3-Month LIBOR				3.250%				9/30/22				B				26,034,942
	19,757			Infor (US), Inc., Term Loan B			4.443%				3-Month LIBOR				2.750%				2/01/22				B1				19,886,125
	5,433			Informatica, Term Loan B			4.943%				3-Month LIBOR				3.250%				8/05/22				B				5,468,579
	15,169			Kronos Incorporated, Term Loan B, Second Lien			9.627%				3-Month LIBOR				8.250%				11/01/24				CCC				15,827,941
	2,970			Kronos Incorporated, Term Loan, First Lien			4.903%				3-Month LIBOR				3.500%				11/01/23				B				3,003,128
	1,935			Micro Focus International PLC, New Term Loan			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				1,947,162
	13,065			Micro Focus International PLC, Term Loan B			4.323%				1-Month LIBOR				2.750%				6/21/24				BB–				13,149,663
	10,312			Micro Focus International PLC, Term Loan B2			4.073%				1-Month LIBOR				2.500%				11/19/21				BB–				10,383,428
	1,213			Misys, New Term Loan, Second Lien			8.729%				3-Month LIBOR				7.250%				6/13/25				CCC+				1,224,353
	3,980			RP Crown Parent, LLC, Term Loan B			4.573%				1-Month LIBOR				3.000%				10/15/23				B1				4,014,306
	9,435			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1			3.823%				1-Month LIBOR				2.250%				7/08/22				BB+				9,503,646
	147			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2			3.823%				1-Month LIBOR				2.250%				7/08/22				BB+				147,619
	18,843			Tibco Software, Inc., Term Loan, First Lien			5.070%				1-Month LIBOR				3.500%				12/04/20				B1				18,984,577
	177,258			Total Software																							178,889,708
				Specialty Retail – 0.8% (0.5% of Total Investments)
	3,699			Petco Animal Supplies, Inc., Term Loan B1			4.772%				3-Month LIBOR				3.000%				1/26/23				B1				2,817,655
	8,757			Petsmart Inc., Term Loan B, First Lien, (DD1)			4.570%				1-Month LIBOR				3.000%				3/11/22				B1				7,127,588
	12,456			Total Specialty Retail																							9,945,243

 

NUVEEN			79

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Technology Hardware, Storage & Peripherals – 3.1% (1.9% of Total Investments)
$	29,054			Dell International LLC, Refinancing Term Loan B			3.580%				1-Month LIBOR				2.000%				9/07/23				BBB–			$	29,202,781
	8,669			Western Digital U.S., Term Loan B3			3.561%				1-Month LIBOR				2.000%				4/29/23				Baa2				8,742,287
	37,723			Total Technology Hardware, Storage & Peripherals																							37,945,068
				Trading Companies & Distributors – 0.9% (0.6% of Total Investments)
	10,972			HD Supply Waterworks, Ltd., Term Loan B			4.455%				6-Month LIBOR				3.000%				8/01/24				B+				11,058,250
				Transportation Infrastructure – 0.7% (0.5% of Total Investments)
	9,046			Avolon, Repriced Term Loan B2			3.811%				1-Month LIBOR				2.250%				3/21/22				BBB–				9,042,062
				Wireless Telecommunication Services – 1.0% (0.7% of Total Investments)
	4,962			Sprint Corporation, Term Loan, First Lien			4.125%				1-Month LIBOR				2.500%				2/02/24				Ba2				4,981,630
	6,493			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.573%				1-Month LIBOR				3.000%				4/23/19				B				6,480,407
	1,498			Syniverse Technologies, Inc., Tranche B, Term Loan			4.573%				1-Month LIBOR				3.000%				4/23/19				B				1,495,379
	12,953			Total Wireless Telecommunication Services																							12,957,416
$	1,468,304			Total Variable Rate Senior Loan Interests (cost $1,462,183,979)																							1,445,719,625
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 23.5% (14.8% of Total Investments)
				Banks – 0.8% (0.5% of Total Investments)
$	5,000			JP Morgan Chase & Company											2.161%				6/01/21				A+			$	5,038,166
	5,000			Wells Fargo & Company, (6)											2.827%				3/04/21				A+				5,154,950
	10,000			Total Banks																							10,193,116
				Commercial Services & Supplies – 0.8% (0.5% of Total Investments)
	9,864			Olympus Merger Sub, Inc., 144A, (6)											8.500%				10/15/25				B3				9,716,040
				Communications Equipment – 0.7% (0.5% of Total Investments)
	8,510			CommScope Technologies Finance LLC, 144A, (6)											6.000%				6/15/25				BB–				8,954,137
				Diversified Financial Services – 0.2% (0.2% of Total Investments)
	3,000			Park Aerospace Holdings Limited, 144A, (6)											5.500%				2/15/24				BB				2,968,125
				Diversified Telecommunication Services – 2.9% (1.8% of Total Investments)
	7,000			CenturyLink Inc., (6)											5.625%				4/01/20				BB				7,096,250
	8,000			CenturyLink Inc.											6.450%				6/15/21				BB				8,129,520
	2,312			Inelsat Connect Finance SA, 144A											12.500%				4/01/22				CCC–				1,780,240
	2,300			IntelSat Jackson Holdings											5.500%				8/01/23				CCC+				1,805,500
	6,000			IntelSat Jackson Holdings											9.750%				7/15/25				CCC+				5,518,200
	5,413			IntelSat Limited											7.750%				6/01/21				CCC–				2,447,759
	21,355			IntelSat Limited											8.125%				6/01/23				CCC–				9,075,875
	52,380			Total Diversified Telecommunication Services																							35,853,344
				Health Care Providers & Services – 4.4% (2.8% of Total Investments)
	9,500			DJO Finco Inc. / DJO Finance LLC / DJO Finance Corporation, 144A											8.125%				6/15/21				CCC				9,167,500
	7,500			Envision Healthcare Corporation, 144A											5.125%				7/01/22				B				7,443,750
	6,000			IMS Health Incorporated, 144A, (6)											5.000%				10/15/26				BB+				6,112,500
	12,650			Polaris Intermediate Corp., 144A											8.500%				12/01/22				B–				13,171,812
	15,500			Tenet Healthcare Corporation, (6)											6.000%				10/01/20				BB–				16,246,015
	2,000			Wellcare Health Plans Inc.											5.250%				4/01/25				BB				2,088,400
	53,150			Total Health Care Providers & Services																							54,229,977

 

	80			NUVEEN

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Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Hotels, Restaurants & Leisure – 2.4% (1.5% of Total Investments)
$	8,500			Scientific Games Corporation, 144A, (6)											7.000%				1/01/22				Ba3			$	8,967,500
	18,750			Scientific Games International Inc., (6)											10.000%				12/01/22				B–				20,507,813
	27,250			Total Hotels, Restaurants & Leisure																							29,475,313
				Media – 4.8% (3.0% of Total Investments)
	2,860			Altice US Finance I Corporation, 144A											5.375%				7/15/23				BB				2,927,925
	4,000			CCO Holdings LLC Finance Corporation, 144A, (6)											5.125%				5/01/23				BB+				4,077,500
	41,015			Clear Channel Communications Inc., (5), (8)											12.000%				8/01/21				N/R				—
	7,000			CSC Holdings Inc., 144A, (6)											5.500%				4/15/27				Ba2				7,087,500
	19,000			Dish DBS Corporation, (6)											5.125%				5/01/20				Ba3				19,308,750
	3,000			Dish DBS Corporation, (6)											6.750%				6/01/21				Ba3				3,142,500
	6,000			Dish DBS Corporation, (6)											7.750%				7/01/26				Ba3				6,165,000
	6,000			Hughes Satellite Systems Corporation											5.250%				8/01/26				BBB–				6,060,000
	10,609			iHeartCommunications, Inc., (5)											9.000%				12/15/19				Caa1				8,168,930
	41,840			iHeartCommunications, Inc., (cash 12.000%, PIK 2.000%), (5)											14.000%				2/01/21				Ca				2,510,386
	300			iHeartCommunications, Inc., (5)											9.000%				3/01/21				Caa1				217,500
	141,624			Total Media																							59,665,991
				Oil, Gas & Consumable Fuels – 1.1% (0.7% of Total Investments)
	16,000			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				13,390,000
				Pharmaceuticals – 0.0% (0.0% of Total Investments)
	4,850			Concordia Healthcare Corporation, 144A, (5)											9.500%				10/21/22				C				460,750
				Semiconductors & Semiconductor Equipment – 0.5% (0.3% of Total Investments)
	3,167			Advanced Micro Devices, Inc.											7.500%				8/15/22				B–				3,515,370
	1,719			Advanced Micro Devices, Inc.											7.000%				7/01/24				B–				1,804,950
	4,886			Total Semiconductors & Semiconductor Equipment																							5,320,320
				Software – 0.0% (0.0% of Total Investments)
	19,375			Avaya Inc., (8)											7.000%				4/01/19				NA				—
	9,250			Avaya Inc., (8)											10.500%				3/01/21				NA				—
	28,625			Total Software																							—
				Specialty Retail – 0.2% (0.1% of Total Investments)
	3,165			Claires Stores, Inc., 144A											9.000%				3/15/19				Caa3				2,239,238
				Technology Hardware, Storage & Peripherals – 1.5% (0.9% of Total Investments)
	5,000			Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (6)											5.875%				6/15/21				BB+				5,178,150
	5,000			Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (6)											7.125%				6/15/24				BB+				5,462,500
	7,000			Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (6)											6.020%				6/15/26				BBB–				7,662,922
	17,000			Total Technology Hardware, Storage & Peripherals																							18,303,572
				Wireless Telecommunication Services – 3.2% (2.0% of Total Investments)
	1,000			Hughes Satellite Systems Corporation											6.625%				8/01/26				BB–				1,057,500
	2,500			Sprint Corporation											7.250%				9/15/21				B+				2,656,775
	22,000			Sprint Corporation, (6)											7.875%				9/15/23				B+				23,237,500
	12,000			T-Mobile USA Inc., (6)											6.375%				3/01/25				BB+				12,765,000
	37,500			Total Wireless Telecommunication Services																							39,716,775
$	417,804			Total Corporate Bonds (cost $340,557,316)																							290,486,698

 

NUVEEN			81

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

 

Shares				Description (1), (9)																						Value
				EXCHANGE-TRADED FUNDS – 9.7% (6.1% of Total Investments)
	159,300			I-Shares Russell 1000 Value Index Fund																						$	20,556,072
	3,693,683			PowerShares Senior Loan Portfolio																							85,804,256
	127,700			SPDR Oil and Gas Equipment and Services Exchange Traded Fund																							2,237,304
	417,900			VanEck Vectors Oil Service ETF																							11,475,534
				Total Exchange-Traded Funds (cost $122,203,951)																							120,073,166
Shares				Description (1)																						Value
				COMMON STOCKS – 1.7% (1.1% of Total Investments)
				Diversified Consumer Services – 0.2% (0.2% of Total Investments)
	403,318			Cengage Learning Holdings II LP, (7)																						$	2,974,470
				Energy Equipment & Services – 0.5% (0.3% of Total Investments)
	133,936			Ocean Rig UDW Inc., (7)																							3,605,557
	10,935			Vantage Drill International, (7)																							2,405,700
				Total Energy Equipment & Services																							6,011,257
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	227,437			Millenium Health LLC, (7)																							24,791
				Media – 0.1% (0.0% of Total Investments)
	51,719			Affinion Group Holdings, Inc., (7)																							698,207
	17,987			Tribune Media Company																							899
				Total Media																							699,106
				Software – 0.9% (0.6% of Total Investments)
	545,726			Avaya Holdings Corporation, (7)																							11,394,759
				Total Common Stocks (cost $45,002,758)																							21,104,383
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	37,723			Avaya Holdings Corporation, (8)																						$	40,488
				Total Warrants (cost $4,921,202)																							40,488
				Total Long-Term Investments (cost $1,974,869,206)																							1,877,424,360
Shares				Description (1)																						Value
				SHORT-TERM INVESTMENTS – 6.6% (4.2% of Total Investments)
				INVESTMENT COMPANIES – 6.6% (4.2% of Total Investments)
	81,692,852			BlackRock Liquidity Funds T-Fund Portfolio, (9)																						$	81,692,852
				Total Short-Term Investments (cost $81,692,852)																							81,692,852
				Total Investments (cost $2,056,562,058) – 158.3%																							1,959,117,212
				Borrowings – (45.3)% (10), (11)																							(561,000,000	)
				Reverse Repurchase Agreements – (11.7)% (12)																							(145,000,000	)
				Other Assets Less Liabilities – (1.3)% (13)																							(15,725,429	)
				Net Assets Applicable to Common Shares – 100%																						$	1,237,391,783

 

	82			NUVEEN

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

(6)	Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. As of the end of the reporting period, investments with a value of $179,810,652 have been pledged as collateral for reverse repurchase agreements.

 

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

 

(8)

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

 

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

 

(10)	Borrowings as a percentage of Total Investments is 28.6%.

 

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

 

(12)	Reverse Repurchase Agreements as a percentage of Total Investments is 7.4%.

 

(13)

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

 

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

 

DD1	Portion of investment purchased on a delayed delivery basis.

 

ETF	Exchange-Traded Fund

 

LIBOR

London Inter-Bank Offered Rate

 

N/A	Not applicable

 

PIK

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

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

NUVEEN			83

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Statement of Assets and Liabilities						January 31, 2018 (Unaudited)

 

		NSL				JFR				JRO				JSD				JQC
Assets
Long-term investments, at value (cost $420,521,438, $1,016,059,679, $717,247,692, $285,195,304 and $1,974,869,206, respectively)		$	402,501,638			$	984,217,024			$	691,605,414			$	277,537,367			$	1,877,424,360
Short-term investments, at value (cost approximates value)			18,368,074				53,431,081				35,466,645				9,429,840				81,692,852
Cash			216,506				1,238,537				362,613				126,531				4,012,000
Cash collateral at brokers for investments in swaps(1)			898,000				1,186,000				1,216,000				160,341				1,516
Credit default swaps premiums paid			—				—				—				225,382				—
Unrealized appreciation on interest rate swaps			—				3,187				—				23,836				—
Receivable for:
Interest			2,456,772				5,875,267				4,426,404				1,754,176				9,389,096
Investments sold			5,495,188				9,988,830				7,819,904				2,807,586				12,040,795
Reclaims			—				—				—				—				17,480
Shares sold			—				31,001				—				—				—
Other assets			150,991				139,265				137,160				44,739				366,711
Total assets			430,087,169				1,056,110,192				741,034,140				292,109,798				1,984,944,810
Liabilities
Borrowings			114,000,000				254,300,000				178,800,000				72,000,000				561,000,000
Reverse repurchase agreements			—				—				—				—				145,000,000
Cash overdraft denominated in foreign currencies (cost $968, $2,463, $1,646, $18 and $18, respectively)			1,102				2,805				1,874				19				19
Unrealized depreciation on interest rate swaps			1,070,548				1,475,766				1,417,881				200,128				—
Payable for:
Dividends			1,496,439				3,805,977				2,840,981				1,003,080				6,388,620
Investments purchased			5,910,234				13,802,154				9,562,883				4,997,852				30,963,758
Unfunded senior loans			101,580				181,676				141,628				83,017				—
Variation margin on swap contracts			—				—				—				396				—
Term Preferred Shares (“Term Preferred”), net of deferred offering costs (liquidation preference $43,000,000, $125,200,000, $84,000,000, $35,000,000 and $—, respectively)			42,310,698				123,910,823				82,788,055				34,468,757				—
Accrued expenses:
Interest			16,019				—				352,795				11,214				1,921,893
Management fees			289,312				699,725				494,388				196,223				1,322,771
Trustees fees			77,023				143,213				90,964				17,114				375,364
Other			255,494				377,569				324,331				128,204				580,602
Total liabilities			165,528,449				398,699,708				276,815,780				113,106,004				747,553,027
Net assets applicable to common shares		$	264,558,720			$	657,410,484			$	464,218,360			$	179,003,794			$	1,237,391,783
Common shares outstanding			38,621,872				56,918,468				40,561,218				10,095,648				135,766,990
Net asset value (“NAV”) per common share outstanding		$	6.85			$	11.55			$	11.44			$	17.73			$	9.11
Net assets applicable to common shares consist of:
Common shares, $0.01 par value per share		$	386,219			$	569,185			$	405,612			$	100,956			$	1,357,670
Paid-in surplus			317,264,037				776,154,672				550,121,211				192,058,055				1,396,532,977
Undistributed (Over-distribution of) net investment income			684,836				(6,258,412	)			(4,326,195	)			(716,165	)			(21,687,309	)
Accumulated net realized gain (loss)			(34,685,890	)			(79,739,385	)			(54,921,881	)			(4,456,719	)			(41,368,269	)
Net unrealized appreciation (depreciation)			(19,090,482	)			(33,315,576	)			(27,060,387	)			(7,982,333	)			(97,443,286	)
Net assets applicable to common shares		$	264,558,720			$	657,410,484			$	464,218,360			$	179,003,794			$	1,237,391,783
Authorized shares:
Common			Unlimited				Unlimited				Unlimited				Unlimited				Unlimited
Preferred			Unlimited				Unlimited				Unlimited				Unlimited				Unlimited

(1)	Cash pledged to collateralize the net payment obligations for investments in derivatives.

 

See accompanying notes to financial statements.

 

	84			NUVEEN

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Statement of Operations						Six Months Ended January 31, 2018 (Unaudited)

 

		NSL				JFR				JRO				JSD				JQC
Investment Income
Interest and dividends		$	11,963,145			$	27,871,036			$	20,028,580			$	8,515,533			$	46,896,806
Fees			249,485				598,147				473,795				185,967				1,179,466
Total investment income			12,212,630				28,469,183				20,502,375				8,701,500				48,076,272
Expenses
Management fees			1,722,883				4,164,150				2,938,490				1,169,275				7,885,786
Interest expense and amortization of offering costs			1,783,517				4,859,936				3,450,967				1,183,210				9,051,399
Custodian fees			74,947				150,066				105,780				59,156				210,895
Trustees fees			6,983				17,163				12,011				4,734				32,193
Professional fees			88,021				109,213				114,266				92,354				57,349
Shareholder reporting expenses			47,203				83,303				72,372				41,489				106,880
Shareholder servicing agent fees			6,900				22,656				14,536				6,355				1,289
Stock exchange listing fees			5,553				7,934				5,533				3,507				19,524
Investor relations expenses			16,572				37,993				27,214				13,173				69,460
Other			36,268				49,307				45,529				44,682				16,839
Total expenses			3,788,847				9,501,721				6,786,698				2,617,935				17,451,614
Net investment income (loss)			8,423,783				18,967,462				13,715,677				6,083,565				30,624,658
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments and foreign currency			1,428,067				(1,175,072	)			(766,142	)			(1,389,370	)			1,916,677
Swaps			(33,885	)			446,566				408,524				(41,733	)			1,412,885
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(4,666,894	)			(5,032,788	)			(4,480,590	)			(1,114,475	)			(21,261,279	)
Swaps			(522,213	)			(2,066,732	)			(1,938,051	)			(213,495	)			(1,375,436	)
Net realized and unrealized gain (loss)			(3,794,925	)			(7,828,026	)			(6,776,259	)			(2,759,073	)			(19,307,153	)
Net increase (decrease) in net assets applicable to common shares from operations		$	4,628,858			$	11,139,436			$	6,939,418			$	3,324,492			$	11,317,505

 

See accompanying notes to financial statements.

 

NUVEEN			85

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Statement of Changes in Net Assets						(Unaudited)

 

		NSL								JFR
		Six Months Ended 1/31/18				Year Ended 7/31/17				Six Months Ended 1/31/18				Year Ended 7/31/17
Operations
Net investment income (loss)		$	8,423,783			$	17,911,275			$	18,967,462			$	40,564,055
Net realized gain (loss) from:
Investments and foreign currency			1,428,067				(4,031,259	)			(1,175,072	)			(8,532,524	)
Swaps			(33,885	)			91,003				446,566				613,807
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(4,666,894	)			12,529,108				(5,032,788	)			32,737,753
Swaps			(522,213	)			(548,335	)			(2,066,732	)			594,153
Net increase (decrease) in net assets applicable to common shares from operations			4,628,858				25,951,792				11,139,436				65,977,244
Distributions to Common Shareholders
From net investment income			(9,153,384	)			(17,939,860	)			(23,029,134	)			(43,953,958	)
Decrease in net assets applicable to common shares from distributions to common shareholders			(9,153,384	)			(17,939,860	)			(23,029,134	)			(43,953,958	)
Capital Share Transactions
Common shares:
Proceeds from shelf offering, net of offering costs			—				—				5,297,434				15,091,303
Net proceeds from shares issued to shareholders due to reinvestment of distributions			—				—				139,663				121,767
Net increase (decrease) in net assets applicable to common shares from capital share transactions			—				—				5,437,097				15,213,070
Net increase (decrease) in net assets applicable to common shares			(4,524,526	)			8,011,932				(6,452,601	)			37,236,356
Net assets applicable to common shares at the beginning of period			269,083,246				261,071,314				663,863,085				626,626,729
Net assets applicable to common shares at the end of period		$	264,558,720			$	269,083,246			$	657,410,484			$	663,863,085
Undistributed (Over-distribution of) net investment income at the end of period		$	684,836			$	1,414,437			$	(6,258,412	)		$	(2,196,740	)

 

See accompanying notes to financial statements.

 

	86			NUVEEN

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		JRO								JSD
		Six Months Ended 1/31/18				Year Ended 7/31/17				Six Months Ended 1/31/18				Year Ended 7/31/17
Operations
Net investment income (loss)		$	13,715,677			$	29,600,300			$	6,083,565			$	13,027,167
Net realized gain (loss) from:
Investments and foreign currency			(766,142	)			(5,253,292	)			(1,389,370	)			(394,906	)
Swaps			408,524				551,837				(41,733	)			(219,417	)
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(4,480,590	)			21,359,115				(1,114,475	)			6,049,708
Swaps			(1,938,051	)			520,170				(213,495	)			36,637
Net increase (decrease) in net assets applicable to common shares from operations			6,939,418				46,778,130				3,324,492				18,499,189
Distributions to Common Shareholders
From net investment income			(17,076,196	)			(32,191,923	)			(6,788,314	)			(12,568,708	)
Decrease in net assets applicable to common shares from distributions to common shareholders			(17,076,196	)			(32,191,923	)			(6,788,314	)			(12,568,708	)
Capital Share Transactions
Common shares:
Proceeds from shelf offering, net of offering costs			9,134,335				15,230,348				—				6,592
Net proceeds from shares issued to shareholders due to reinvestment of distributions			59,873				155,546				—				—
Net increase (decrease) in net assets applicable to common shares from capital share transactions			9,194,208				15,385,894				—				6,592
Net increase (decrease) in net assets applicable to common shares			(942,570	)			29,972,101				(3,463,822	)			5,937,073
Net assets applicable to common shares at the beginning of period			465,160,930				435,188,829				182,467,616				176,530,543
Net assets applicable to common shares at the end of period		$	464,218,360			$	465,160,930			$	179,003,794			$	182,467,616
Undistributed (Over-distribution of) net investment income at the end of period		$	(4,326,195	)		$	(965,676	)		$	(716,165	)		$	(11,416	)

 

See accompanying notes to financial statements.

 

NUVEEN			87

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Statement of Changes in Net Assets (Unaudited) (continued)

 

 

		JQC
		Six Months Ended 1/31/18				Year Ended 7/31/17
Operations
Net investment income (loss)		$	30,624,658			$	70,740,263
Net realized gain (loss) from:
Investments and foreign currency			1,916,677				(10,861,280	)
Swaps			1,412,885				773,240
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(21,261,279	)			33,609,756
Swaps			(1,375,436	)			921,111
Net increase (decrease) in net assets applicable to common shares from operations			11,317,505				95,183,090
Distributions to Common Shareholders
From net investment income			(39,372,428	)			(84,990,137	)
Decrease in net assets applicable to common shares from distributions to common shareholders			(39,372,428	)			(84,990,137	)
Capital Share Transactions
Common shares:
Proceeds from shelf offering, net of offering costs			—				—
Net proceeds from shares issued to shareholders due to reinvestment of distributions			—				—
Net increase (decrease) in net assets applicable to common shares from capital share transactions			—				—
Net increase (decrease) in net assets applicable to common shares			(28,054,923	)			10,192,953
Net assets applicable to common shares at the beginning of period			1,265,446,706				1,255,253,753
Net assets applicable to common shares at the end of period		$	1,237,391,783			$	1,265,446,706
Undistributed (Over-distribution of) net investment income at the end of period		$	(21,687,309	)		$	(12,939,539	)

 

See accompanying notes to financial statements.

 

	88			NUVEEN

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Statement of Cash Flows						Six Months Ended January 31, 2018 (Unaudited)

 

		NSL				JFR				JRO				JSD				JQC
Cash Flows from Operating Activities:
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations		$	4,628,858			$	11,139,436			$	6,939,418			$	3,324,492			$	11,317,505
Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from operations to net cash provided by (used in) operating activities:
Purchases of investments			(53,666,010	)			(142,983,153	)			(107,630,614	)			(35,655,649	)			(328,953,213	)
Proceeds from sales and maturities of investments			65,798,522				152,281,531				105,350,371				39,943,603				341,710,645
Proceeds from (Purchases of) short-term investments, net			(5,786,754	)			(753,339	)			2,882,058				(3,171,059	)			(1,938,433	)
Proceeds from (Payments for) cash denominated in foreign currencies, net			—				—				—				18				18
Premiums received (paid) for credit default swaps			—				—				—				(225,382	)			395,974
Payment-in-kind distributions			(42,683	)			(87,272	)			(83,004	)			(10,285	)			(101,492	)
Taxes paid			17				39				28				—				—
Proceeds from litigation settlement			—				—				—				1,231				58,737
Amortization (Accretion) of premiums and discounts, net			(1,250,510	)			(1,985,419	)			(1,662,659	)			(977,969	)			(530,471	)
Amortization of deferred offering costs			86,507				102,298				118,252				97,262				—
(Increase) Decrease in:
Cash collateral at brokers for investments in swaps			(267,000	)			(1,186,000	)			(1,216,000	)			109,659				796,114
Receivable for dividends			—				—				—				—				72
Receivable for interest			74,765				(51,303	)			25,327				(1,358	)			2,403,812
Receivable for investments sold			4,321,840				14,348,112				10,667,799				5,795,689				25,571,980
Receivable for reclaims			—				—				—				—				15,176
Receivable for shares sold			—				29,353				637,360				—				—
Receivable for variation margin on swap contracts			—				—				—				—				5,302
Other assets			(38,576	)			113,363				(39,269	)			69,160				(27,394	)
Increase (Decrease) in:
Payable for investments purchased			(8,425,104	)			(20,497,997	)			(15,274,811	)			(5,062,835	)			(26,633,973	)
Payable for offering costs			—				(74,579	)			—				—				—
Payable for unfunded senior loans			78,736				135,989				107,362				60,173				—
Payable for variation margin on swap contracts			—				—				—				396				—
Accrued interest			15,876				(24	)			50,905				9,512				166,464
Accrued management fees			(2,550	)			(2,666	)			1,508				(2,154	)			(18,474	)
Accrued Trustees fees			8,625				15,234				9,622				1,491				39,490
Accrued other expenses			72,122				247,071				164,527				34,926				210,669
Net realized (gain) loss from:
Investments and foreign currency			(1,428,067	)			1,175,072				766,142				1,389,370				(1,916,677	)
Paydowns			—				(113,446	)			(75,644	)			—				—
Change in net unrealized (appreciation) depreciation of:
Investments and foreign currency			4,666,894				5,032,788				4,480,590				1,114,475				21,261,279
Swaps(1)			522,213				2,066,732				1,938,051				65,392				—
Net cash provided by (used in) operating activities			9,367,721				18,951,820				8,157,319				6,910,158				43,833,110
Cash Flows from Financing Activities:
(Payments for) deferred offering costs			—				(186,204	)			—				—				—
Proceeds from shelf offering, net of offering costs			—				5,297,434				9,134,335				—				—
Cash distributions paid to common shareholders			(9,152,508	)			(22,853,636	)			(16,946,841	)			(6,784,583	)			(40,039,006	)
Net cash provided by (used in) financing activities			(9,152,508	)			(17,742,406	)			(7,812,506	)			(6,784,583	)			(40,039,006	)
Net Increase (Decrease) in Cash			215,213				1,209,414				344,813				125,575				3,794,104
Cash at the beginning of period			1,293				29,123				17,800				956				217,896
Cash at the end of period		$	216,506			$	1,238,537			$	362,613			$	126,531			$	4,012,000
Supplemental Disclosure of Cash Flow Information		NSL				JFR				JRO				JSD				JQC
Cash paid for interest (excluding borrowing and amortization of offering costs)		$	1,651,532			$	4,801,771			$	3,246,860			$	1,066,984			$	8,884,935
Non-cash financing activities not included herein consists of reinvestments of common share distributions			—				139,663				59,873				—				—

(1)	Excluding over-the-counter cleared swaps.

 

See accompanying notes to financial statements.

 

NUVEEN			89

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Financial

Highlights (Unaudited)

 

Selected data for a common share outstanding throughout each period:

 

 

						Investment Operations												Less Distributions to Common Shareholders												Common Share
		Beginning Common Share NAV				Net Invest ment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumu lated Net Realized Gains				Total				Offering Costs				Discount from Shares Repurchased and Retired				Premium from Shares Sold through Shelf Offering				Ending NAV				Ending Share Price
NSL
Year Ended 7/31:
2018(e)		$	6.97			$	0.22			$	(0.10	)		$	0.12			$	(0.24	)		$	—			$	(0.24	)		$	—			$	—			$	—			$	6.85			$	6.43
2017			6.76				0.46				0.21				0.67				(0.46	)			—				(0.46	)			—				—				—				6.97				6.83
2016			7.16				0.45				(0.43	)			0.02				(0.42	)			—				(0.42	)			—				—	*			—				6.76				6.25
2015			7.51				0.45				(0.38	)			0.07				(0.42	)			—				(0.42	)			—				—				—				7.16				6.34
2014			7.46				0.44				0.05				0.49				(0.44	)			—				(0.44	)			—				—				—				7.51				6.98
2013			7.07				0.54				0.35				0.89				(0.56	)			—				(0.56	)			(0.01	)			—				0.07				7.46				7.45
JFR
Year Ended 7/31:
2018(e)			11.76				0.33				(0.13	)			0.20				(0.41	)			—				(0.41	)			—				—				—	*			11.55				11.09
2017			11.36				0.73				0.46				1.19				(0.79	)			—				(0.79	)			—				—				—	*			11.76				11.83
2016			12.01				0.73				(0.66	)			0.07				(0.72	)			—				(0.72	)			—				—				—				11.36				10.68
2015			12.59				0.75				(0.61	)			0.14				(0.72	)			—				(0.72	)			—				—				—				12.01				10.67
2014			12.54				0.75				0.06				0.81				(0.76	)			—				(0.76	)			—	*			—				—	*			12.59				11.72
2013			11.87				0.90				0.68				1.58				(0.97	)			—				(0.97	)			—	*			—				0.06				12.54				12.72

 

	90			NUVEEN

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								Common Share Supplemental Data/ Ratios Applicable to Common Shares
Common Share Total Returns												Ratios to Average Net Assets(c)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income (Loss)				Portfolio Turnover Rate(d)
	1.72	%			(2.41	)%		$	264,559				2.84	%**			6.30	%**			14	%
	10.22				17.00				269,083				2.64				6.70				55
	0.61				5.89				261,071				2.53				6.84				29
	0.96				(3.25	)			276,530				2.37				6.08				34
	6.78				(0.29	)			290,088				2.15				5.89				58
	13.89				10.23				288,025				1.74				7.32				76
	1.70				(2.86	)			657,410				2.86	**			5.71	**			16
	10.76				18.63				663,863				2.63				6.28				59
	0.93				7.50				626,627				2.46				6.52				26
	1.15				(2.88	)			662,801				2.29				6.08				33
	6.62				(1.84	)			694,584				2.05				5.94				52
	14.26				16.76				691,312				1.71				7.34				69

 

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

(b)

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

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

(c)		•		Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
		•		Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

 

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

(e)	For the six months ended January 31, 2018.

*	Rounds to less than $0.01 per share.

**	Annualized.

 

See accompanying notes to financial statements.

 

NUVEEN			91

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Financial Highlights (Unaudited) (continued)

 

Selected data for a common share outstanding throughout each period:

 

						Investment Operations												Less Distributions to Common Shareholders												Common Share
		Beginning Common Share NAV				Net Investment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumu lated Net Realized Gains				Total				Offering Costs				Premium from Shares Sold through Shelf Offering				Ending NAV				Ending Share Price
JRO
Year Ended 7/31:
2018(e)		$	11.70			$	0.34			$	(0.18	)		$	0.16			$	(0.42	)		$	—			$	(0.42	)		$	—			$	—	*		$	11.44			$	11.05
2017			11.31				0.76				0.45				1.21				(0.83	)			—				(0.83	)			—				0.01				11.70				11.87
2016			12.05				0.77				(0.75	)			0.02				(0.76	)			—				(0.76	)			—				—				11.31				10.72
2015			12.68				0.79				(0.66	)			0.13				(0.76	)			—				(0.76	)			—				—				12.05				10.82
2014			12.55				0.78				0.14				0.92				(0.79	)			—				(0.79	)			—	*			—	*			12.68				12.40
2013			11.84				0.95				0.68				1.63				(1.04	)			—				(1.04	)			(0.01	)			0.13				12.55				12.73
JSD
Year Ended 7/31:
2018(e)			18.07				0.60				(0.27	)			0.33				(0.67	)			—				(0.67	)			—				—				17.73				16.64
2017			17.49				1.29				0.54				1.83				(1.25	)			—				(1.25	)			—				—	*			18.07				17.75
2016			18.63				1.21				(1.16	)			0.05				(1.16	)			(0.03	)			(1.19	)			—				—				17.49				16.16
2015			19.48				1.22				(0.87	)			0.35				(1.16	)			(0.04	)			(1.20	)			—				—				18.63				16.41
2014			19.91				1.29				(0.02	)			1.27				(1.37	)			(0.33	)			(1.70	)			—	*			—				19.48				18.20
2013			19.49				1.61				0.49				2.10				(1.61	)			(0.07	)			(1.68	)			—				—	*			19.91				19.89

 

	92			NUVEEN

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								Common Share Supplemental Data/ Ratios Applicable to Common Shares
Common Share Total Returns												Ratios to Average Net Assets(c)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income (Loss)				Portfolio Turnover Rate(d)
	1.52	%			(3.36	)%		$	464,218				2.90	%**			5.86	%**			17	%
	11.06				18.92				465,161				2.68				6.57				57
	0.53				6.91				435,189				2.49				6.91				27
	1.03				(6.74	)			463,729				2.31				6.41				34
	7.54				3.91				487,784				2.07				6.16				55
	15.27				14.42				482,204				1.71				7.73				72
	1.89				(2.73	)			179,004				2.89	**			6.72	**			13
	10.68				17.91				182,468				2.52				7.18				58
	0.62				6.52				176,531				2.27				7.05				34
	1.87				(3.27	)			188,031				1.78				6.43				31
	6.59				0.16				196,613				1.88				6.52				45
	11.17				10.77				201,031				1.80				8.12				82

 

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

(b)

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

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

(c)		•		Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
		•		Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

 

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

(e)	For the six months ended January 31, 2018.

*	Rounds to less than $0.01 per share.

**	Annualized.

 

See accompanying notes to financial statements.

 

NUVEEN			93

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Financial Highlights (Unaudited) (continued)

 

Selected data for a common share outstanding throughout each period:

 

 

						Investment Operations												Less Distributions to Common Shareholders												Common Share
		Beginning Common Share NAV				Net Investment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumulated Net Realized Gains				Total				Discount from Shares Repurchased and Retired				Ending NAV				Ending Share Price
JQC
Year Ended 7/31:
2018(j)		$	9.32			$	0.23			$	(0.15	)		$	0.08			$	(0.29	)		$	—			$	(0.29	)		$	—			$	9.11			$	8.10
2017			9.25				0.52				0.18				0.70				(0.63	)			—				(0.63	)			—				9.32				8.69
2016			9.88				0.58				(0.60	)			(0.02	)			(0.61	)			—				(0.61	)			—	*			9.25				8.43
2015			10.25				0.62				(0.43	)			0.19				(0.56	)			—				(0.56	)			—	*			9.88				8.59
2014			10.13				0.60				0.16				0.76				(0.64	)			—				(0.64	)			—	*			10.25				9.05
2013(i)			9.88				0.42				0.29				0.71				(0.46	)			—				(0.46	)			—				10.13				10.03
Year Ended 12/31:
2012			9.18				0.78				0.72				1.50				(0.80	)			—				(0.80	)			—				9.88				9.65

 

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

(b)

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

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

(c)		•		Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and borrowings, where applicable (as described in Note 9 – Fund Leverage).
		•		Each ratio includes the effect of dividends expense on securities sold short and all interest expense and other costs related to reverse repurchase agreements and borrowings, where applicable, as follows:

 

JQC		Ratios of Dividends Expense on Securities Sold Short to Average Net Assets Applicable to Common Shares(h)				Ratios of Interest Expense to Average Net Assets Applicable to Common Shares
Year Ended 7/31:
2018(j)			—	%			1.45	%***
2017			—				1.23
2016			—				1.01
2015			—				0.66
2014			—				0.52
2013(i)			—				0.55	***
Year Ended 12/31:
2012			—	**			0.58

 

	94			NUVEEN

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								Common Share Supplemental Data/ Ratios Applicable to Common Shares
Common Share Total Returns												Ratios to Average Net Assets Before Reimbursement(c)								Ratios to Average Net Assets After Reimbursement(c)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income Loss(e)				Expenses				Net Investment Income Loss(e)				Portfolio Turnover Rate(g)
	1.00	%			(3.49	)%		$	1,237,392				2.79	%***			4.89	%***			N/A				N/A				35	%
	7.70				10.75				1,265,447				2.57				5.59				N/A				N/A				46
	0.11				5.98				1,255,254				2.41				6.32				N/A				N/A				46
	1.82				1.02				1,344,763				1.95				6.16				N/A				N/A				61
	7.74				(3.44	)			1,396,303				1.77				5.84				1.76	%(d)			5.85	%(d)			65
	7.32				8.80				1,380,261				1.77	***			7.22	***			N/A				N/A				44
	16.80				30.55				1,345,657				1.86				8.07				N/A				N/A				127

 

(d)

During the fiscal year ended July 31, 2014, the Adviser voluntarily reimbursed the Fund for certain expenses incurred in connection with a common shares equity shelf program. As a result the Expenses and Net Investment Income (Loss) Ratios to Average Net Assets Applicable to Common Shares reflect the voluntary expense reimbursement from Adviser.

(e)	Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

 

(f)	The Fund had no matured senior loans subsequent to the fiscal year ended December 31, 2012.

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

(h)	Effective for periods beginning after December 31, 2012, the Fund no longer makes short sales of securities.

(i)	For the seven months ended July 31, 2013.

(j)	For the six months ended January 31, 2018.

*	Rounds to less than $0.01 per share.

**	Rounds to less than 0.01%.

***	Annualized.

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

 

See accompanying notes to financial statements.

 

NUVEEN			95

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Financial Highlights (Unaudited) (continued)

 

 

		Borrowings at the End of Period								VRTP Shares at the End of Period								Term Preferred at the End of Period								Borrowings, VRTP Shares and/or Term Preferred at the End of Period
		Aggregate Amount Outstanding (000)				Asset Coverage Per $1,000 Share(c)				Aggregate Amount Outstanding (000)				Asset Coverage Per $100,000 Share				Aggregate Amount Outstanding (000)				Asset Coverage Per $1,000 Share				Asset Coverage Per $1 Liquidation Preference
NSL
Year Ended 7/31:
2018(a)		$	114,000			$	3,698			$	—			$	—			$	43,000			$	2,685			$	2.69
2017			114,000				3,738				—				—				43,000				2,714				2.71
2016			101,000				4,030				45,000				278,816				—				—				2.79
2015			112,500				3,974				58,000				262,188				—				—				2.62
2014			112,000				4,108				58,000				270,640				—				—				2.71
2013			123,000				3,342				—				—				—				—				—
JFR
Year Ended 7/31:
2018(a)			254,300				4,078				—				—				125,200				2,732				2.73
2017			254,300				4,103				—				—				125,200				2,749				2.75
2016			240,800				4,051				108,000				279,652				—				—				2.80
2015			270,300				3,966				139,000				261,935				—				—				2.62
2014			269,000				4,099				139,000				270,241				—				—				2.70
2013			295,200				3,342				—				—				—				—				—
JRO
Year Ended 7/31:
2018(a)			178,000				4,066				—				—				84,000				2,766				2.77
2017			178,800				4,071				—				—				84,000				2,770				2.77
2016			166,800				4,059				75,000				279,979				—				—				2.80
2015			188,800				3,975				98,000				261,691				—				—				2.62
2014			188,000				4,116				98,000				270,554				—				—				2.71
2013			201,900				3,388				—				—				—				—				—
JSD
Year Ended 7/31:
2018(a)			72,000				3,972				—				—				35,000				2,673				2.67
2017			72,000				4,020				—				—				35,000				2,705				2.71
2016			64,000				4,305				—				—				35,000				2,783				2.78
2015			85,200				3,207				—				—				—				—				—
2014			85,000				3,313				—				—				—				—				—
2013			85,000				3,365				—				—				—				—				—
JQC
Year Ended 7/31:
2018(a)			561,000				3,206				—				—				—				—				—
2017			561,000				3,256				—				—				—				—				—
2016			561,000				3,238				—				—				—				—				—
2015			640,000				3,101				—				—				—				—				—
2014			606,000				3,304				—				—				—				—				—
2013(b)			561,000				3,460				—				—				—				—				—
Year Ended 12/31:
2012			561,000				3,399				—				—				—				—				—

 

	96			NUVEEN

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(a)	For the six months ended January 31, 2018.

(b)	For the seven months ended July 31, 2013.

(c)

Beginning with the fiscal year ended July 31, 2017, the Funds are calculating Asset Coverage Per $1,000 of Borrowings as defined under the 1940 Act and not as defined for financial reporting purposes. For purposes of calculating Asset Coverage as defined under the 1940 Act, the outstanding preferred shares are excluded because they are treated as equity for regulatory purposes. The Asset Coverage amounts presented in the table above are calculated in accordance with the 1940 Act, and therefore the Asset Coverage per $1,000 of Borrowings reflects the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of borrowings alone.

For financial reporting purposes, preferred shares are considered to be debt. For the fiscal years ended July 31, 2014 through July 31, 2016, the Asset Coverage amounts per $1,000 of Borrowings reflected the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of the combined amount of borrowings and outstanding preferred shares and the Asset Coverage amounts per financial reporting purposes as follows:

 

 

See accompanying notes to financial statements.

 

NUVEEN			97

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Notes to

Financial Statements (Unaudited)

 

1. General Information and Significant Accounting Policies

General Information

Fund Information

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

 

•

Nuveen Senior Income Fund (NSL)

 

•

Nuveen Floating Rate Income Fund (JFR)

 

•

Nuveen Floating Rate Income Opportunity Fund (JRO)

 

•

Nuveen Short Duration Credit Opportunities Fund (JSD)

 

•

Nuveen Credit Strategies Income Fund (JQC)

The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. NSL, JFR, JRO, JSD and JQC were organized as Massachusetts business trusts on August 13, 1999, January 15, 2004, April 27, 2004, January 3, 2011 and May 17, 2003, respectively.

The end of the reporting period for the Funds is January 31, 2018, and the period covered by these Notes to Financial Statements is the six months ended January 31, 2018 (the “current fiscal period”).

Investment Adviser

The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony Asset Management, LLC (“Symphony”), an affiliate of Nuveen, under which Symphony manages the investment portfolios of the Funds. The Adviser is responsible for overseeing the Funds’ investments in interest rate and credit default swap contracts.

Investment Objectives and Principal Investment Strategies

NSL’s investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests at least 80% of its managed assets (as defined in Note 7 – Management Fees) in adjustable rate senior loans. Senior loans that satisfy the 80% requirement may be secured or unsecured so long as any unsecured senior loans are investment grade quality. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

JFR’s investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

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

JSD’s investment objective is to provide current income and the potential for capital appreciation. Under normal market circumstances the Fund will invest at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may make limited tactical investments in high yield debt and other debt instruments of up to 30% of its managed assets. No more than 30% of the Fund’s managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization or that are unrated but judged by Symphony, to be of comparable quality.

 

	98			NUVEEN

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The Fund may enter into tactical short positions consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating investment exposure or hedging existing long (positive) investment exposure in a notional amount up to 20% of its managed assets. The Fund may invest up to 20% of its managed assets in debt instruments of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s investments in debt instruments of non-U.S. issuers may include debt instruments of issuers located, or conducting their business, in emerging markets countries.

JQC’s investment objectives are high current income and total return. The Fund meets its investment objectives by investing approximately 70% of its managed assets in senior secured and second lien loans, and up to 30% of its managed assets across the capital structure of companies (including equity securities) with a primary emphasis on high yield bonds, convertible securities and other forms of income-producing securities.

The Funds can invest up to 5% in iBOXX Loan Total Return Swaps.

Significant Accounting Policies

Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).

Investment Transactions

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

As of the end of the reporting period, the Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:

 

		NSL				JFR				JRO				JSD				JQC
Outstanding when-issued/delayed delivery purchase commitments		$	5,779,318			$	13,132,820			$	9,063,115			$	4,195,081			$	25,065,589

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Non-cash dividends received in the form of stock, if any, are recognized on the ex-dividend date and recorded at fair value. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects payment-in-kind (“PIK”) interest and fee income, if any. PIK interest represents income received in the form of securities in lien of cash. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are recognized as “Fees” on the Statement of Operations.

Professional Fees

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

Dividends and Distributions to Common Shareholders

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

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

Compensation

The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Funds’ Board of Trustees (the “Board”) has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

 

NUVEEN			99

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Notes to Financial Statements (Unaudited) (continued)

 

Indemnifications

Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

Netting Agreements

In the ordinary course of business, the Funds may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivative Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.

The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.

Use of Estimates

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

2. Investment Valuation and Fair Value Measurements

The fair valuation input levels as described below are for fair value measurement purposes.

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

 

Level 1 –		Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –		Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –		Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

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

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

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

Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.

Exchange-traded funds are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1.

 

	100			NUVEEN

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

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

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of the Funds’ shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

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

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

 

NSL		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	347,127,041			$	—			$	347,127,041
Corporate Bonds**			—				48,505,924				—	***			48,505,924
Common Stocks**			6,778,587				1				77,413				6,856,001
Warrants**			—				—				12,672				12,672
$25 Par (or similar) Retail Preferred**			—				—				—	***			—
Short-Term Investments:
Investment Companies			18,368,074				—				—				18,368,074
Investments in Derivatives:
Interest Rate Swaps****			—				(1,070,548	)			—				(1,070,548	)
Total		$	25,146,661			$	394,562,418			$	90,085			$	419,799,164
JFR		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	819,999,968			$	—			$	819,999,968
Corporate Bonds**			—				124,102,595				—	***			124,102,595
Common Stocks**			15,147,056				1				154,826				15,301,883
Asset-Backed Securities			—				13,353,959				—				13,353,959
Investment Companies			11,395,702				—				—				11,395,702
Convertible Bonds			—				40,375				—				40,375
Warrants**			—				—				22,541				22,541
$25 Par (or similar) Retail Preferred**			—				—				1				1
Short-Term Investments:
Investment Companies			53,431,081				—				—				53,431,081
Investments in Derivatives:
Interest Rate Swaps****			—				(1,472,579	)			—				(1,472,579	)
Total		$	79,973,839			$	956,024,319			$	177,368			$	1,036,175,526

 

NUVEEN			101

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Notes to Financial Statements (Unaudited) (continued)

 

JRO		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	584,312,689			$	—			$	584,312,689
Corporate Bonds**			—				87,945,500				—	***			87,945,500
Common Stocks**			12,386,033				1				116,120				12,502,154
Asset-Backed Securities			—				6,802,182				—				6,802,182
Convertible Bonds			—				26,125				—				26,125
Warrants**			—				—				16,764				16,764
$25 Par (or similar) Retail Preferred**			—				—				—	***			—
Short-Term Investments:
Investment Companies			35,466,645				—				—				35,466,645
Investments in Derivatives:
Interest Rate Swaps****			—				(1,417,881	)			—				(1,417,881	)
Total		$	47,852,678			$	677,668,616			$	132,884			$	725,654,178
JSD		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	235,914,165			$	—			$	235,914,165
Corporate Bonds**			—				36,766,520				—	***			36,766,520
Common Stocks**			4,770,143				—				77,413				4,847,556
Warrants**			—				—				9,126				9,126
Short-Term Investments:
Investment Companies			9,429,840				—				—				9,429,840
Investments in Derivatives:
Credit Default Swaps****			—				(148,103	)			—				(148,103	)
Interest Rate Swaps****			—				(176,292	)			—				(176,292	)
Total		$	14,199,983			$	272,356,290			$	86,539			$	286,642,812
JQC		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	1,445,719,625			$	—			$	1,445,719,625
Corporate Bonds**			—				290,486,698				—	***			290,486,698
Exchange-Traded Funds			120,073,166				—				—				120,073,166
Common Stocks			21,104,383				—				—				21,104,383
Warrants**			—				—				40,488				40,488
Short-Term Investments:
Investment Companies			81,692,852				—				—				81,692,852
Total		$	222,870,401			$	1,736,206,323			$	40,488			$	1,959,117,212

*	Refer to the Fund’s Portfolio of Investments for industry classifications, where applicable.

**	Refer to the Fund’s Portfolio of Investments for securities classified as Level 2 and/or Level 3.

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

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

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

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

 

(i)

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

 

(ii)

If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such

 

	102			NUVEEN

---

 

analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis.

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

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

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Foreign Currency Transactions

To the extent that the Funds may invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern Time. Investment transactions, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received.

The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) foreign currency, (ii) investments, (iii) investments in derivatives and (iv) other assets and liabilities are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.

The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and (ii) other assets and liabilities are recognized as a component of “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable. The unrealized gains and losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivative’s related “Change in net unrealized appreciation (depreciation)” on the Statement of Operations, when applicable.

Zero Coupon Securities

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

Investments in Derivatives

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

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”).

 

NUVEEN			103

---

Notes to Financial Statements (Unaudited) (continued)

 

The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.

Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For an over-the-counter (“OTC”) swap that is not cleared through a clearing house (“OTC Uncleared”), the amount recorded on these transactions is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps.”

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers for investment in swaps” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps” as described in the preceding paragraph.

The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums received and/or paid” on the Statement of Assets and Liabilities.

During the current fiscal period, NSL, JFR, JRO and JSD used interest rate swaps in which each Fund received payments based upon floating (one- or three-month) LIBOR rates, and paid a fixed rate of interest. The purpose of the interest rate swaps is to convert some portion of a Fund’s floating rate leverage (bank borrowings) to fixed rate through the maturity date of the swap. The Funds also entered into a cancellable interest rate swap in which the Funds received payments based upon pre-determined fixed rates and paid one-month LIBOR plus a fixed spread. After a non-callable period, the swap counterparty owns the right on future monthly dates to terminate the swap at par. The purpose of the cancellable interest rate swap is to convert a fixed rate Term Preferred Share issuance to floating rate, and the cancellation dates of the swap correspond to dates on which the Funds can call the Term Preferred Share issue.

The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:

 

		NSL				JFR				JRO				JSD
Average notional amount of interest rate swap contracts outstanding*		$	43,000,000			$	125,200,000			$	84,000,000			$	52,500,000

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

Credit Default Swap Contracts

A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. When a Fund has bought (sold) protection in a credit default swap upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) deliver (receive) that security, or an equivalent amount of cash, from the counterparty in exchange for receipt (payment) of the notional amount to the counterparty, or (ii) receive (pay) a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security

 

	104			NUVEEN

---

 

received (delivered) and the notional amount delivered (received) is recorded as a realized gain or loss. Payments paid (received) at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.

Credit default swap contracts are valued daily. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations.

For OTC swaps not cleared through a clearing house (“OTC Uncleared”), the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps” on the Statement of Assets and Liabilities.

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers for investments in swaps” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation. Conversely, if a Fund has unrealized depreciation the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on credit default swaps” as described in the preceding paragraph. The maximum potential amount of future payments the Fund could incur as a buyer or seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity.

During the current fiscal period, JSD and JQC invested in credit default swap contracts to provide a benefit if particular bonds’ credit quality worsened.

The average notional amount of credit default swap contracts outstanding during the current fiscal period was as follows:

 

		JSD				JQC
Average notional amount of credit default swap contracts outstanding*		$	2,333,333			$	13,133,333

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

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

 

				Location on the Statement of Assets and Liabilities
Underlying Risk Exposure		Derivative Instrument		Asset Derivatives										(Liability) Derivatives
				Location		Value								Location		Value
NSL
Interest rate		Swaps (OTC Uncleared)		—		$	—							Unrealized depreciation on interest rate swaps		$	(1,070,548	)
JFR
Interest rate		Swaps (OTC Uncleared)		Unrealized appreciation on interest rate swaps		$	3,187							Unrealized depreciation on interest rate swaps		$	(1,475,766	)
JRO
Interest rate		Swaps (OTC Uncleared)		—		$	—							Unrealized depreciation on interest rate swaps		$	(1,417,881	)

 

NUVEEN			105

---

Notes to Financial Statements (Unaudited) (continued)

 

				Location on the Statement of Assets and Liabilities
Underlying Risk Exposure		Derivative Instrument		Asset Derivatives										(Liability) Derivatives
				Location		Value								Location		Value
JSD
Credit		Swaps (OTC Cleared)		—		$	—							Payable for variation margin on swap contracts**^		$	(148,103	)
Interest Rate		Swaps (OTC Uncleared)		Unrealized appreciation on interest rate swaps		$	23,836							Unrealized depreciation on interest rate swaps		$	(200,128	)
Total						$	23,836									$	348,231

**	Value represents the unrealized appreciation (depreciation) of swaps as reported in the Fund’s Portfolio of Investments and not the asset and/or liability amount as described above.

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

The following table presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of end of the reporting period.

 

Fund		Counterparty		Gross Unrealized Appreciation on Interest Rate Swaps***				Gross Unrealized (Depreciation) on Interest Rate Swaps***				Net Unrealized Appreciation (Depreciation) on Interest Rate Swaps				Collateral Pledged to (from) Counterparty				Net Exposure
NSL		Morgan Stanley Capital Services LLC		$	—			$	(1,070,548	)		$	(1,070,548	)		$	898,000			$	172,548
JFR		Morgan Stanley Capital Services LLC			3,187				(1,475,766	)			(1,472,579	)			1,186,000				286,579
JRO		Morgan Stanley Capital Services LLC			—				(1,417,881	)			(1,417,881	)			1,216,000				201,881
JSD		Morgan Stanley Capital Services LLC			23,836				(200,128	)			(176,292	)			176,292				—

***	Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.

 

Fund		Underlying Risk Exposure		Derivative Instrument		Net Realized Gain (Loss) from Swaps				Change in Net Unrealized Appreciation (Depreciation) of Swaps
NSL		Interest rate		Swaps		$	(33,885	)		$	(522,213	)
JFR		Interest rate		Swaps		$	446,566			$	(2,066,732	)
JRO		Interest rate		Swaps		$	408,524			$	(1,938,051	)
JSD
		Credit		Swaps		$	21,791			$	(148,103	)
		Interest rate		Swaps			(63,524	)			(65,392	)
Total						$	(41,733	)		$	(213,495	)
JQC		Credit		Swaps		$	1,412,885			$	(1,375,436	)

Market and Counterparty Credit Risk

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

Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to

 

	106			NUVEEN

---

 

pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

4. Fund Shares

Common Shares

Common Shares Equity Shelf Programs and Offering Costs

The following Funds have each filed registration statements with the Securities and Exchange Commission (“SEC”) authorizing each Fund to issue additional common shares through one or more equity shelf program (“Shelf Offering”), which became effective with the SEC during the prior fiscal period.

Under these Shelf Offerings, the Funds, subject to market conditions, may raise additional equity capital by issuing additional common shares from time to time in varying amounts and by different offering methods at a net price at or above each Fund’s NAV per common share. In the event a Fund’s Shelf Offering registration statement is no longer current, the Fund may not issue additional common shares until a post-effective amendment to the registration statement has been filed with the SEC.

Additional authorized common shares, common shares sold and offering proceeds, net of offering costs under each Fund’s Shelf Offering during the Fund’s current and prior fiscal period were as follows:

 

		NSL								JFR
		Six Months Ended 1/31/18*				Year Ended 7/31/17**				Six Months Ended 1/31/18				Year Ended 7/31/17***
Additional authorized common shares			8,800,000				8,800,000				12,900,000				12,900,000
Common shares sold			—				—				452,068				1,274,890
Offering proceeds, net of offering costs		$	—			$	—			$	5,297,434			$	15,091,303
		JRO								JSD
		Six Months Ended 1/31/18				Year Ended 7/31/17***				Six Months Ended 1/31/18*				Year Ended 7/31/17**
Additional authorized common shares			8,500,000				8,500,000				1,000,000				1,000,000
Common shares sold			783,600				1,280,410				—				362
Offering proceeds, net of offering costs		$	9,134,335			$	15,230,348			$	—			$	6,592

*	Represents additional authorized common shares for the period August 1, 2017 through December 8, 2017.

**	Represents additional authorized common shares for the period March 8, 2017 through July 31, 2017.

***	Represents additional authorized common shares for the period February 22, 2017 through July 31, 2017.

Costs incurred by the Funds in connection with their Shelf Offerings were recorded as a deferred charge and recognized as a component of “Deferred offering costs” on the Statement of Assets and Liabilities. The deferred assets are reduced during the one-year period that additional shares are sold by reducing the proceeds from such sales and recognized as a component of “Proceeds from shelf offering, net of offering costs” on the Statement of Changes in Net Assets. Any remaining deferred charges at the end of the one-year life of the Shelf Offering period will be expensed accordingly, as well as any additional Shelf Offering costs the Funds may incur. As Shelf Offering costs are expensed they are recognized as a component of “Other expenses” on the Statement of Operations.

Common Share Transactions

Transactions in common shares for the Funds during the Funds’ current and prior fiscal period, where applicable, were as follows:

 

		JFR								JRO
		Six Months Ended 1/31/18				Year Ended 7/31/17				Six Months Ended 1/31/18				Year Ended 7/31/17
Common shares:
Sold through shelf offering			452,068				1,274,890				783,600				1,280,410
Issued to shareholders due to reinvestment of distributions			11,975				10,319				5,155				13,271
Weighted average common share:
Premium to NAV per shelf offering share sold			1.38	%			1.62	%			1.71	%			2.17	%

 

NUVEEN			107

---

Notes to Financial Statements (Unaudited) (continued)

 

										JSD
										Six Months Ended 1/31/18				Year Ended 7/31/17
Common shares:
Sold through shelf offering											—				362
Issued to shareholders due to reinvestment of distributions											—				—
Weighted average common share:
Premium to NAV per shelf offering share sold											—				1.34	%

Preferred Shares

Term Preferred Shares

The following Funds have issued and have outstanding Term Preferred Shares (“Term Preferred”), with a $1,000 liquidation preference per share.

As of the end of the reporting period, the outstanding Term Preferred, at liquidation preference, for each Fund were as follows:

 

Fund		Series				Shares Outstanding				Liquidation Preference
NSL			2021				43,000			$	43,000,000
JFR			2019				10,200			$	10,200,000
			2022				25,000				25,000,000
			2024				35,000				35,000,000
			2027				55,000				55,000,000
JRO			2022				10,000			$	10,000,000
			2022-1				21,000				21,000,000
			2023				8,000				8,000,000
			2027				45,000				45,000,000
JSD			2020				35,000			$	35,000,000

Each Fund is obligated to redeem its Term Preferred by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. The Term Preferred are subject to redemption at the option of each Fund, subject to payment of a premium for approximately one year following the date of issuance (“Optional Redemption Premium Expiration Date”), and at liquidation preference per share plus accumulated but unpaid dividends. Term Preferred are subject to mandatory redemption in certain circumstances. Each Fund may be obligated to redeem a certain amount of the Term Preferred if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date. The redemption price per share is equal to the sum of the liquidation preference per share (plus any premium) plus any accumulated but unpaid dividends. The Term Redemption Date and Optional Redemption Premium Expiration Date for each Fund’s series of Term Preferred are as follows:

 

Fund

Series

Term Redemption Date

Optional Redemption Premium Expiration Date

NSL

2021

November 1, 2021

October 31, 2017

JFR

2019

December 1, 2019

November 30, 2017

2022

January 1, 2022

December 31, 2017

2024

June 1, 2024

N/A

2027

January 1, 2027

December 31, 2017

JRO

2022

January 1, 2022

December 31, 2017

2022-1

April 1, 2022

March 31, 2018

2023

December 1, 2023

November 30, 2017

2027

January 1, 2027

December 31, 2017

JSD

2020

November 1, 2020

October 31, 2016

N/A	– Not applicable

 

	108			NUVEEN

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The average liquidation preference of Term Preferred outstanding and the annualized dividend rate for each Fund during the current fiscal period were as follows:

 

		NSL				JFR				JRO				JSD
Average liquidation preference of Term Preferred outstanding		$	43,000,000			$	125,200,000			$	84,000,000			$	35,000,000
Annualized dividend rate			1.98	%			3.25	%			3.25	%			1.61	%

Term Preferred generally do not trade, and market quotations are generally not available. Term Preferred are short-term instruments that pay a dividend rate, subject to adjustment as set forth in accordance with the offering documents. The fair value of Term Preferred is expected to be approximately its liquidation preference so long as the fixed “spread” on the Term Preferred remains roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Fund’s Adviser has determined that the fair value of Term Preferred is approximately its liquidation preference, but its fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of Term Preferred is a liability and is recognized as “Term Preferred Shares (“Term Preferred”), net of deferred offering costs” on the Statement of Assets and Liabilities.

Dividends on Term Preferred (which are treated as interest payments for financial reporting purposes) are at the rates set forth in its offering document. The initial dividend rate will expire approximately two years after the first issuance of shares and will be adjusted upwards semi-annually thereafter. Unpaid dividends on Term Preferred are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on Term Preferred are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Costs incurred in connection with each Fund’s offering of Term Preferred were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components of “Term Preferred Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

Preferred Share Transactions

Transactions in preferred shares for the Funds during the Funds’ current and prior fiscal period, where applicable, are noted in the following tables.

Transactions in Term Preferred for the Funds, where applicable, were as follows:

 

		Year Ended July 31, 2017
NSL		Series				Shares				Amount
Term Preferred issued			2021				43,000			$	43,000,000
		Year Ended July 31, 2017
JFR		Series				Shares				Amount
Term Preferred issued			2019				10,200			$	10,200,000
			2022				25,000				25,000,000
			2024				35,000				35,000,000
			2027				55,000				55,000,000
Total							125,200			$	125,200,000
		Year Ended July 31, 2017
JRO		Series				Shares				Amount
Term Preferred issued			2022				10,000			$	10,000,000
			2022-1				21,000				21,000,000
			2023				8,000				8,000,000
			2027				45,000				45,000,000
Total							84,000			$	84,000,000

Transactions in Variable Rate Term Preferred (“VRTP”) Shares for the Funds, where applicable, were as follows:

 

		Year Ended July 31, 2017
NSL		Series				Shares				Amount
VRTP Shares redeemed			C-4				(450	)		$	(45,000,000	)

 

NUVEEN			109

---

Notes to Financial Statements (Unaudited) (continued)

 

		Year Ended July 31, 2017
JFR		Series				Shares				Amount
VRTP Shares redeemed			C-4				(1,080	)		$	(108,000,000	)
		Year Ended July 31, 2017
JRO		Series				Shares				Amount
VRTP Shares redeemed			C-4				(750	)		$	(75,000,000	)

5. Investment Transactions

Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period, were as follows:

 

		NSL				JFR				JRO				JSD				JQC
Purchases		$	53,666,010			$	142,983,153			$	107,630,614			$	35,655,649			$	328,953,213
Sales and maturities		$	65,798,522			$	152,281,531			$	105,350,371			$	39,943,603			$	341,710,645

6. Income Tax Information

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

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

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

The tables below present the cost and unrealized appreciation (depreciation) of each Fund’s investment portfolio, as determined on a federal income tax basis, as of January 31, 2018.

For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.

 

		NSL				JFR				JRO				JSD				JQC
Tax cost of investments		$	441,266,288			$	1,079,560,195			$	759,475,824			$	296,796,865			$	2,069,834,485
Gross unrealized:
Appreciation			7,558,324				18,296,947				13,634,212				5,705,530				24,512,968
Depreciation			(27,954,900	)			(60,209,037	)			(46,037,977	)			(15,535,188	)			(135,230,241	)
Net unrealized appreciation (depreciation) of investments			(20,396,576	)			(41,912,090	)			(32,403,765	)			(9,829,658	)			(110,717,273	)
						NSL				JFR				JRO				JSD
Tax cost of swaps						$	—			$	—			$	—			$	77,279
Net unrealized appreciation (depreciation) of swaps							(1,070,548	)			(1,472,579	)			(1,417,881	)			(176,292	)

 

	110			NUVEEN

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Permanent differences, primarily due to expiration of capital loss carryforwards, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships and federal taxes paid, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2017, the Funds’ last tax year end, as follows:

 

		NSL				JFR				JRO				JSD				JQC
Paid-in-surplus		$	(7,199,110	)		$	(10,215,386	)		$	(814,834	)		$	(192,952	)		$	(289,143,715	)
Undistributed (Over-distribution of) net investment income			307,609				1,468,632				1,219,849				57,833				2,040,108
Accumulated net realized gain (loss)			6,891,501				8,746,754				(405,015	)			135,119				287,103,607

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2017, the Funds’ last tax year end, were as follows:

 

		NSL				JFR				JRO				JSD				JQC
Undistributed net ordinary income1		$	3,293,810			$	6,885,628			$	5,076,968			$	1,797,316			$	6,125,241
Undistributed net long-term capital gains			—				—				—				—				—
1  Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 3, 2017, paid on August 1, 2017. Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

The tax character of distributions paid during the Funds’ last tax year ended July 31, 2017, was designated for purposes of the dividends paid deduction as follows:

 

		NSL				JFR				JRO				JSD				JQC
Distributions from net ordinary income2		$	18,847,638			$	46,717,216			$	34,204,030			$	13,046,562			$	84,784,370
Distributions from net long-term capital gains			—				—				—				—				—

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

As of July 31, 2017, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

 

		NSL				JFR				JRO				JSD				JQC
Expiration:
July 31, 2018		$	29,264,459			$	67,020,214			$	46,332,843			$	—			$	8,513,146
Not subject to expiration			4,797,932				7,999,822				5,175,330				1,782,858				35,107,702
Total		$	34,062,391			$	75,020,036			$	51,508,173			$	1,782,858			$	43,620,848

As of July 31, 2017, the Funds’ last tax year end, the following Funds’ capital loss carryforwards expired as follows:

 

 

		NSL				JFR				JRO				JQC
Expired capital loss carryforwards		$	6,925,213			$	9,819,992			$	503,687			$	289,143,715

During the Funds’ last tax year ended, July 31, 2017, JSD utilized $578,749 of its capital loss carryforward.

7. Management Fees

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

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

 

NUVEEN			111

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Notes to Financial Statements (Unaudited) (continued)

 

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

 

Average Daily Managed Assets*		NSL JFR JRO JSD Fund-Level Fee Rate				JQC Fund-Level Fee Rate
For the first $500 million			0.6500	%			0.6800	%
For the next $500 million			0.6250				0.6550
For the next $500 million			0.6000				0.6300
For the next $500 million			0.5750				0.6050
For managed assets over $2 billion			0.5500				0.5800

The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Funds’ daily managed assets:

 

Complex-Level Eligible Asset Breakpoint Level*		Effective Complex-Level Fee Rate at Breakpoint Level
$55 billion			0.2000	%
$56 billion			0.1996
$57 billion			0.1989
$60 billion			0.1961
$63 billion			0.1931
$66 billion			0.1900
$71 billion			0.1851
$76 billion			0.1806
$80 billion			0.1773
$91 billion			0.1691
$125 billion			0.1599
$200 billion			0.1505
$250 billion			0.1469
$300 billion			0.1445

*

For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen open-end and closed-end funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of January 31, 2018, the complex-level fee for each Fund was 0.1591%.

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of the end of the reporting period, the following Funds’ outstanding unfunded senior loan commitments were as follows:

 

		NSL				JFR				JRO				JSD
Outstanding unfunded senior loan commitments		$	101,580			$	181,676			$	141,628			$	83,017

Participation Commitments

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

9. Fund Leverage

Borrowings

Each Fund has entered into a borrowing arrangement (“Borrowings”) as a means of leverage.

 

	112			NUVEEN

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Borrowings Information for NSL, JFR and JRO

The following Funds have entered into a revolving credit and security agreement with certain banks and their affiliates. As of the end of the reporting period, each Fund’s maximum commitment amount under its Borrowings is as follows:

 

		NSL				JFR				JRO
Maximum commitment amount		$	115,000,000			$	290,000,000			$	195,000,000

As of the end of the reporting period, each Fund’s outstanding balance on its Borrowings was as follows:

 

		NSL				JFR				JRO
Outstanding balance on Borrowings		$	114,000,000			$	254,300,000			$	178,800,000

For NSL, JFR and JRO, interest is charged at a rate equal to 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.80%. NSL accrues 0.15% per annum on the undrawn balance if it is less than 50% of the maximum commitment amount; however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue 0.25% per annum on the undrawn portion. JFR accrues 0.25% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 20% of the maximum commitment amount. JRO accrues 0.30% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 10% of the maximum commitment amount. NSL and JRO also accrued an upfront fee of 0.05% and 0.025% per annum on the maximum commitment amount, respectively.

On December 22, 2017, JFR and JRO renewed their Borrowings through December 21, 2018. On January 29, 2018, NSL renewed its Borrowings through January 28, 2019. All other items of the Borrowings remain unchanged.

During the current fiscal period, the average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:

 

		NSL				JFR				JRO
Average daily balance outstanding		$	114,000,000			$	254,300,000			$	178,800,000
Average annual interest rate			2.11	%			2.11	%			2.11	%

Borrowings Information for JSD

The Fund has outstanding a 364-day revolving line of credit. As of the end of the reporting period, the Fund’s maximum commitment amount under its Borrowings is as follows:

 

		JSD
Maximum commitment amount		$	75,000,000

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

		JSD
Outstanding balance on Borrowings		$	72,000,000

For the period August 1, 2017 to October 31, 2017, the interest was charged on these Borrowings at a rate per annum equal to the greater of 1-Month LIBOR or the Federal Funds Rate, plus 0.85%. The Fund also accrued 0.15% per annum on the undrawn portion if it was less than 50% of the maximum commitment; however, if the undrawn portion of the Borrowings was greater than 50% of the maximum commitment amount the Fund accrued a 0.25% per annum on the undrawn portion of the Borrowings.

On November 1, 2017, JSD renewed its Borrowings through October 31, 2018. The interest charged on these Borrowings is at a rate per annum equal to 1-Month LIBOR or the Federal Funds Rate, plus 0.80%. The Fund also accrued an upfront fee of 0.05% per annum on the maximum commitment amount. All other items of the Borrowings remain unchanged.

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

		JSD
Average daily balance outstanding		$	72,000,000
Average annual interest rate			2.14	%

Borrowings Information for JQC

The Fund has entered into a borrowing agreement with a bank and its affiliate. As of the end of the reporting period, the Fund’s maximum commitment amount under its Borrowings is as follows:

 

		JQC
Maximum commitment amount		$	640,000,000

 

NUVEEN			113

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Notes to Financial Statements (Unaudited) (continued)

 

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

		JQC
Outstanding balance on Borrowings		$	561,000,000

Interest is charged on the Borrowings at a rate per annum equal to the 3-Month LIBOR plus 1.15%. The Fund also accrues 1.15% per annum on any positive difference between 90% of the maximum commitment amount and the daily drawn amount.

During the current fiscal period, the average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

		JQC
Average daily balance outstanding		$	561,000,000
Average annual interest rate			2.53	%

Reverse Repurchase Agreements

During the current fiscal period, JQC used reverse repurchase agreements as a means of leverage.

In a reverse repurchase agreement, the Fund sells to the counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will pledge assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded as a liability and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.

Payments made on reverse repurchase agreements are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. In periods of increased demand for the security, the Fund receives a fee for use of the security by the counterparty. This results in interest income to the Fund, which is recognized as a component of the “Interest and dividend income” on the Statement of Operations.

As of the end of the reporting period, the Fund’s outstanding balances on its reverse repurchase agreements were as follows:

 

Counterparty		Rate				Principal Amount				Maturity*				Value				Value and Accrued Interest
Societe Generale			3-Month LIBOR plus 1.15	%		$	(145,000,000	)			4/15/20			$	(145,000,000	)		$	(145,401,275	)

*	The Fund may repurchase the reverse repurchase agreement prior to the maturity date.

During the current fiscal period, the average daily balance outstanding and average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

		JQC
Average daily balance outstanding			$145,000,000
Average interest rate			2.53	%

The following table presents the reverse repurchase agreements subject to netting agreements and the collateral delivered related to those reverse repurchase agreements.

 

Counterparty		Reverse Repurchase Agreements*				Collateral Pledged to Counterparty**				Net Exposure
Societe Generale		$	(145,401,275	)		$	145,401,275			$	—

*	Represents gross value and accrued interest for the counterparty as reported in the preceding table.

**	As of the end of the reporting period, the value of the collateral pledged to the counterparty exceeded the value of the reverse repurchase agreements.

Other Borrowings Information for the Funds

In order to maintain their Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Each Fund’s Borrowings outstanding is fully secured by eligible securities held in its portfolio of investments.

Each Funds’ Borrowings outstanding is recognized as “Borrowings” on the Statement of Assets and Liabilities. Interest expense incurred on the borrowed amount, undrawn balance and initial fees are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

10. Inter-Fund Lending

The SEC has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may directly lend to and borrow money from each other for temporary purposes (e.g., to satisfy redemption requests or when

 

	114			NUVEEN

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a sale of securities “fails,” resulting in an unanticipated cash shortfall) (the “Inter-Fund Program”). The closed-end Nuveen funds, including the Funds covered by this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed 5% of the lending fund’s net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business day’s notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the fund’s investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.

The limitations detailed above and the other conditions of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there is a risk that the loan could be called on one day’s notice or not renewed, in which case the fund may have to borrow from a bank at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing costs.

During the current reporting period, the Funds did not enter into any inter-fund loan activity.

11. New Accounting Pronouncements

FASB Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities

The FASB has issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies that the premium amortization period ends at the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of ASU 2017-08, if any.

FASB ASU 2016-18: Statement of Cash Flows – Restricted Cash (“ASU 2016-18”)

The FASB has issued ASU 2016-18, which will require entities to include the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the beginning and ending cash balances in the Statement of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is currently evaluating the implications of ASU 2016-18, if any.

 

NUVEEN			115

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Additional

Fund Information

 

Board of Trustees
Margo Cook*		Jack B. Evans		William C. Hunter		Albin F. Moschner		John K. Nelson		William J. Schneider
Judith M. Stockdale		Carole E. Stone		Terence J. Toth		Margaret L Wolff		Robert L. Young

 

*	Interested Board Member.

 

Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606		Custodian State Street Bank & Trust Company One Lincoln Street Boston, MA 02111		Legal Counsel Chapman and Cutler LLP Chicago, IL 60603		Independent Registered Public Accounting Firm KPMG LLP 200 East Randolph Street Chicago, IL 60601		Transfer Agent and Shareholder Services Computershare Trust Company, N.A. 250 Royall Street Canton, MA 02021 (800) 257-8787

 

 

Quarterly Form N-Q Portfolio of Investments Information

Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.

 

 

Nuveen Funds’ Proxy Voting Information

You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.

 

 

CEO Certification Disclosure

Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

 

 

Common Share Repurchases

Each Fund intends to repurchase, through its open market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock, as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

 

NSL

JFR

JRO

JSD

JQC

Common shares repurchased

—

—

—

—

—

FINRA BrokerCheck

The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

 

 

 

	116			NUVEEN

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Glossary of Terms

Used in this Report

 

∎

Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

 

∎

Collateralized Loan Obligation (CLO): A security backed by a pool of debt, often low rated corporate loans. Collateralized loan obligations (CLOs) are similar to collateralized mortgage obligations, except for the different type of underlying loan.

 

∎

Convexity: A tool used in risk management to measure the sensitivity of bond duration to interest rate changes. Higher convexity generally means higher sensitivity to interest rate changes.

 

∎

Credit Suisse Leveraged Loan Index: A representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.

 

∎

Effective Leverage: Effective leverage is a fund’s effective economic leverage, and includes both regulatory leverage (see below) and the leverage effects of certain derivative investments in the fund’s portfolio.

 

∎

Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.

 

∎

Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund’s Net Assets divided by its number of shares outstanding.

 

∎

Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund’s capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

 

NUVEEN			117

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Reinvest Automatically,

Easily and Conveniently

 

 

	118			NUVEEN

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Notes

 

 

NUVEEN			119

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Nuveen:

Serving Investors for Generations

Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality solutions designed to be integral components of a well-diversified core portfolio.

Focused on meeting investor needs.   Nuveen is the investment manager of TIAA. We have grown into one of the world’s premier global asset managers, with specialist knowledge across all major asset classes and particular strength in solutions that provide income for investors and that draw on our expertise in alternatives and responsible investing. Nuveen is driven not only by the independent investment processes across the firm, but also the insights, risk management, analytics and other tools and resources that a truly world-class platform provides. As a global asset manager, our mission is to work in partnership with our clients to create solutions which help them secure their financial future.

Find out how we can help you.   To learn more about how the products and services of Nuveen may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.   Learn more about Nuveen Funds at: www.nuveen.com/cef

Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com

 

ESA-A-0118D        445040-INV-B-03/19

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Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

Item 6. Schedule of Investments.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this filing.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this item.

Item 11. Controls and Procedures.

 

(a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.

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

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

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

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SIGNATURES

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

(Registrant) Nuveen Floating Rate Income Opportunity Fund

 

By (Signature and Title)		/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman
		Vice President and Secretary

Date: April 5, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)		/s/ Cedric H. Antosiewicz
		Cedric H. Antosiewicz
		Chief Administrative Officer
		(principal executive officer)

Date: April 5, 2018

 

By (Signature and Title)		/s/ Stephen D. Foy
		Stephen D. Foy
		Vice President and Controller
		(principal financial officer)

Date: April 5, 2018