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		811-09571

Nuveen Senior Income Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Name and address of agent for service)

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

Date of fiscal year end:    July 31                                

Date of reporting period:    July 31, 2015                   

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

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

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ITEM 1. REPORTS TO STOCKHOLDERS.

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Closed-End Funds

 

		Nuveen Investments
		Closed-End Funds

 

 

 

 

						Annual Report  July 31, 2015
NSL
Nuveen Senior Income Fund
JFR
Nuveen Floating Rate Income Fund
JRO
Nuveen Floating Rate Income Opportunity Fund
JSD
Nuveen Short Duration Credit Opportunities Fund
JQC
Nuveen Credit Strategies Income Fund

 

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Table

of Contents

 

Chairman’s Letter to Shareholders			4
Portfolio Managers’ Comments			5
Fund Leverage			9
Common Share Information			10
Risk Considerations			12
Performance Overview and Holding Summaries			14
Shareholder Meeting Report			24
Report of Independent Registered Public Accounting Firm			25
Portfolios of Investments			26
Statement of Assets and Liabilities			78
Statement of Operations			79
Statement of Changes in Net Assets			80
Statement of Cash Flows			83
Financial Highlights			84
Notes to Financial Statements			91
Additional Fund Information			110
Glossary of Terms Used in this Report			111
Reinvest Automatically, Easily and Conveniently			112
Annual Investment Management Agreement Approval Process			113
Board Members & Officers			121

 

Nuveen Investments			3

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Chairman’s Letter

to Shareholders

 

 

	4			Nuveen Investments

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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 Investments, Inc. Gunther Stein, who serves as the firm’s Chief Investment Officer and Chief Executive Officer, and Scott Caraher manage NSL, JFR and JRO. Gunther and Sutanto Widjaja manage JQC, while JSD is managed by Gunther, Scott and Jenny Rhee.

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

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

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

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

 

 

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

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

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

 

Nuveen Investments			5

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Portfolio Managers’ Comments (continued)

 

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

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

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

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

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

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

 

	6			Nuveen Investments

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

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

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

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

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

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

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

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

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

 

Nuveen Investments			7

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Portfolio Managers’ Comments (continued)

 

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

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

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

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

 

	8			Nuveen Investments

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

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

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

 

		NSL				JFR				JRO				JSD				JQC
Effective Leverage*			38.14	%			38.18	%			38.21	%			31.18	%			37.30	%
Regulatory Leverage*			38.14	%			38.18	%			38.21	%			31.18	%			32.25	%

*

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

THE FUNDS’ REGULATORY LEVERAGE

Bank Borrowings

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

 

		NSL				JFR				JRO				JSD				JQC
Bank Borrowings		$	112,500,000			$	270,300,000			$	188,800,000			$	85,200,000			$	640,000,000

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

Variable Rate Term Preferred Shares

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

 

		NSL				JFR				JRO
VRTP Shares, at liquidation value		$	58,000,000			$	139,000,000			$	98,000,000

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

 

Nuveen Investments			9

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Common Share

Information

 

COMMON SHARE DISTRIBUTION INFORMATION

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

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

 

		Per Common Share Amounts
Ex-Dividend Date		NSL				JFR				JRO				JSD				JQC
August 2014		$	0.0350			$	0.0600			$	0.0630			$	0.0970			$	0.0435
September			0.0350				0.0600				0.0630				0.0970				0.0435
October			0.0350				0.0600				0.0630				0.0970				0.0435
November			0.0350				0.0600				0.0630				0.0970				0.0435
December			0.0350				0.0600				0.0630				0.0970				0.0435
January			0.0350				0.0600				0.0630				0.0970				0.0435
February			0.0350				0.0600				0.0630				0.0970				0.0485
March			0.0350				0.0600				0.0630				0.0970				0.0485
April			0.0350				0.0600				0.0630				0.0970				0.0485
May			0.0350				0.0600				0.0630				0.0970				0.0485
June			0.0350				0.0600				0.0630				0.0970				0.0500
July 2015			0.0350				0.0600				0.0630				0.0970				0.0500
Long-Term Capital Gain*		$	—			$	—			$	—			$	0.0376			$	—
Current Distribution Rate**			6.62	%			6.75	%			6.99	%			7.09	%			6.98	%

*	Distribution paid in December 2014.

**

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

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

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

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

 

	10			Nuveen Investments

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COMMON SHARE REPURCHASES

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

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

 

		NSL				JFR				JRO				JSD				JQC
Common shares cumulatively repurchased and retired			0				147,593				19,400				0				4,500,400
Common shares authorized for repurchase			3,865,000				5,515,000				3,850,000				1,010,000				13,605,000

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

 

		NSL				JFR				JRO				JSD				JQC
Common shares repurchased and retired			0				0				0				0				144,208
Weighted average price per common share repurchased and retired			$0				$0				$0				$0				$8.57
Weighted average discount per common share repurchased and retired			0	%			0	%			0	%			0	%			13.77	%

COMMON SHARE EQUITY SHELF PROGRAMS

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

 

		JSD				JQC
Additional common shares authorized			1,000,000				13,600,000

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

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

OTHER COMMON SHARE INFORMATION

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

 

		NSL				JFR				JRO				JSD				JQC
Common share NAV			$7.16				$12.01				$12.05				$18.63				$9.88
Common share price			$6.34				$10.67				$10.82				$16.41				$8.59
Premium/(Discount) to NAV			(11.45	)%			(11.16	)%			(10.21	)%			(11.92	)%			(13.06	)%
12-month average premium/(discount) to NAV			(9.32	)%			(9.13	)%			(7.68	)%			(9.83	)%			(12.17	)%

 

Nuveen Investments			11

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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 Investments

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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 Investments			13

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NSL

 

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

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

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

Common Share Price Performance — Weekly Closing Price

 

	14			Nuveen Investments

---

 

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

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

 

 

Nuveen Investments			15

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JFR

 

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

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

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

Common Share Price Performance — Weekly Closing Price

 

	16			Nuveen Investments

---

 

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

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

 

 

Nuveen Investments			17

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JRO

 

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

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

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

Common Share Price Performance — Weekly Closing Price

 

	18			Nuveen Investments

---

 

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

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

 

 

Nuveen Investments			19

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JSD

 

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

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

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

Common Share Price Performance — Weekly Closing Price

 

	20			Nuveen Investments

---

 

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

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

 

 

1	Excluding investments in derivatives.

 

Nuveen Investments			21

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JQC

 

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of July 31, 2015

 

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

Average Annual Total Returns as of July 31, 2015

 

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

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

Common Share Price Performance — Weekly Closing Price

 

	22			Nuveen Investments

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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.

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

 

 

Nuveen Investments			23

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Shareholder

Meeting Report

 

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

 

		NSL								JFR								JRO								JSD				JQC
		Common and Preferred shares voting together as a class				Preferred Shares				Common and Preferred shares voting together as a class				Preferred Shares				Common and Preferred shares voting together as a class				Preferred Shares				Common Shares				Common Shares
Approval of the Board Members was reached as follows:
William Adams IV
For			33,683,317				—				48,580,529				—				32,734,715				—				8,898,657				—
Withhold			599,202				—				817,190				—				1,061,675				—				133,328				—
Total			34,282,519				—				49,397,719				—				33,796,390				—				9,031,985				—
Jack B. Evans
For			33,714,801				—				48,595,769				—				32,727,078				—				8,938,309				110,900,089
Withhold			567,718				—				801,950				—				1,069,312				—				93,676				6,584,067
Total			34,282,519				—				49,397,719				—				33,796,390				—				9,031,985				117,484,156
William C. Hunter
For			—				580				—				1,390				—				980				—				—
Withhold			—				—				—				—				—				—				—				—
Total			—				580				—				1,390				—				980				—				—
David J. Kundert
For			33,698,308				—				48,579,068				—				32,699,606				—				8,916,924				—
Withhold			584,211				—				818,651				—				1,096,784				—				115,061				—
Total			34,282,519				—				49,397,719				—				33,796,390				—				9,031,985				—
John K. Nelson
For			33,725,408				—				48,591,638				—				32,794,054				—				8,917,730				—
Withhold			557,111				—				806,081				—				1,002,336				—				114,255				—
Total			34,282,519				—				49,397,719				—				33,796,390				—				9,031,985				—
William J. Schneider
For			—				580				—				1,390				—				980				8,930,019				110,897,345
Withhold			—				—				—				—				—				—				101,966				6,586,811
Total			—				580				—				1,390				—				980				9,031,985				117,484,156
Thomas S. Schreier, Jr.
For			33,673,216				—				48,521,481				—				32,749,286				—				8,917,230				110,919,928
Withhold			609,303				—				876,238				—				1,047,104				—				114,755				6,564,228
Total			34,282,519				—				49,397,719				—				33,796,390				—				9,031,985				117,484,156
Terence J. Toth
For			33,711,949				—				48,583,194				—				32,801,199				—				8,885,955				—
Withhold			570,570				—				814,525				—				995,191				—				146,030				—
Total			34,282,519				—				49,397,719				—				33,796,390				—				9,031,985				—

 

	24			Nuveen Investments

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Report of

Independent Registered Public Accounting Firm

 

To the Board of Trustees and Shareholders of

Nuveen Senior Income Fund

Nuveen Floating Rate Income Fund

Nuveen Floating Rate Income Opportunity Fund

Nuveen Short Duration Credit Opportunities Fund

Nuveen Credit Strategies Income Fund:

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

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

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

/s/ KPMG LLP

Chicago, Illinois

September 29, 2015

 

Nuveen Investments			25

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NSL

 

Nuveen Senior Income Fund
Portfolio of Investments		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 156.8% (91.7% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 136.5% (79.8% of Total Investments) (4)
				Aerospace & Defense – 2.5% (1.4% of Total Investments)
$	1,829			B/E Aerospace, Inc., Term Loan B, First Lien			4.000%				12/16/21				BB+			$	1,848,322
	3,369			Sequa Corporation, Term Loan B, (DD1)			5.250%				6/19/17				B3				2,990,149
	1,995			Transdigm, Inc., Term Loan E, First Lien			3.500%				5/16/22				Ba3				1,988,115
	7,193			Total Aerospace & Defense															6,826,586
				Airlines – 3.9% (2.3% of Total Investments)
	1,466			American Airlines, Inc., Term Loan B, First Lien			3.250%				6/27/20				BB+				1,461,350
	2,000			American Airlines, Inc., Term Loan B, First Lien			3.500%				10/08/21				BB+				2,001,876
	3,895			Delta Air Lines, Inc., Term Loan B1			3.250%				10/18/18				BBB				3,895,708
	975			Delta Air Lines, Inc., Term Loan B2			2.438%				4/18/16				BBB				975,261
	2,450			US Airways, Inc., Term Loan B1			3.500%				5/23/19				BB+				2,450,218
	10,786			Total Airlines															10,784,413
				Automobiles – 2.8% (1.6% of Total Investments)
	3,456			Chrysler Group LLC, Tranche B, Term Loan			3.250%				12/31/18				BB+				3,459,274
	3,341			Formula One Group, Term Loan, First Lien			4.750%				7/30/21				B				3,341,257
	1,000			Formula One Group, Term Loan, Second Lien			7.750%				7/29/22				CCC+				1,000,938
	7,797			Total Automobiles															7,801,469
				Building Products – 1.1% (0.6% of Total Investments)
	1,588			Gates Global LLC, Term Loan			4.250%				7/06/21				B+				1,583,906
	1,418			Quikrete Holdings, Inc., Term Loan, First Lien			4.000%				9/28/20				B+				1,420,456
	3,006			Total Building Products															3,004,362
				Capital Markets – 0.5% (0.3% of Total Investments)
	1,474			Guggenheim Partners LLC, Initial Term Loan			4.250%				7/22/20				N/R				1,482,270
				Chemicals – 2.0% (1.2% of Total Investments)
	1,542			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				1,542,876
	335			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				336,118
	1,595			Mineral Technologies, Inc., Term Loan B2			4.750%				5/07/21				BB				1,615,405
	975			PQ Corporation, Term Loan B			4.000%				8/07/17				B+				975,061
	1,164			Univar, Inc., Term Loan B, First Lien			4.250%				6/24/22				BB–				1,168,031
	5,611			Total Chemicals															5,637,491
				Commercial Services & Supplies – 3.6% (2.1% of Total Investments)
	709			Acosta, Inc., Term Loan B			4.250%				9/26/21				B1				710,798
	1,988			CCS Income Trust, Term Loan, First Lien			6.250%				5/12/18				B–				1,794,868
	130			Education Management LLC, Tranche A, Term Loan, (5)			5.500%				7/02/20				N/R				88,547
	224			Education Management LLC, Tranche B, Term Loan, (5)			2.000%				7/02/20				N/R				129,161
	2,295			iQor US, Inc., Term Loan, First Lien			6.000%				4/01/21				B				2,077,284
	250			iQor US, Inc., Term Loan, Second Lien			9.750%				4/01/22				CCC+				228,333
	5,898			Millennium Laboratories, Inc., Tranche B, Term Loan			5.250%				4/16/21				CCC+				2,477,125
	1,500			Protection One, Inc., Term Loan, First Lien			5.000%				6/18/21				B1				1,507,500
	66			Universal Services of America, Delayed Draw, Term Loan, First Lien, (WI/DD)			TBD				TBD				B				65,662
	934			Universal Services of America, Term Loan, First Lien, (WI/DD)			TBD				TBD				B				931,213
	13,994			Total Commercial Services & Supplies															10,010,491
				Communications Equipment – 1.8% (1.1% of Total Investments)
	2,663			Avaya, Inc., Term Loan B3			4.691%				10/26/17				B1				2,646,523
	326			Avaya, Inc., Term Loan B6			6.500%				3/31/18				B1				324,211
	1,083			Commscope, Inc., Term Loan B, First Lien			3.750%				5/28/22				BB				1,088,298
	998			Riverbed Technology, Inc., Term Loan B, First Lien			6.000%				4/25/22				B1				1,011,571
	5,070			Total Communications Equipment															5,070,603

 

	26			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Consumer Finance – 2.2% (1.3% of Total Investments)
$	1,500			First Data Corporation, Term Loan B			3.937%				6/24/22				BB–			$	1,500,938
	1,000			First Data Corporation, Second New Dollar, Term Loan			3.687%				3/24/17				BB–				999,922
	3,500			First Data Corporation, Term Loan			3.687%				3/23/18				BB				3,495,898
	6,000			Total Consumer Finance															5,996,758
				Containers & Packaging – 0.5% (0.3% of Total Investments)
	1,287			BWAY Holding Company, Term Loan B, First Lien			5.500%				8/14/20				B2				1,296,049
				Diversified Consumer Services – 6.5% (3.8% of Total Investments)
	1,000			AlixPartners LLP, Term Loan B, First Lien, (WI/DD)			TBD				TBD				B+				1,004,250
	4,839			Cengage Learning Acquisitions, Inc., Exit Term Loan			7.000%				3/31/20				B+				4,867,660
	2,902			Harland Clarke Holdings Corporation, Term Loan B3			7.000%				5/22/18				B+				2,914,408
	3,712			Hilton Hotels Corporation, Term Loan B2			3.500%				10/25/20				BBB–				3,723,939
	1,500			Houghton Mifflin, Term Loan B, First Lien			4.000%				5/28/21				BB				1,499,063
	568			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B				532,463
	1,756			New Albertson’s, Inc., Term Loan			4.750%				6/24/21				Ba3				1,762,327
	1,822			ServiceMaster Company, Term Loan			4.250%				7/01/21				B+				1,828,724
	18,099			Total Diversified Consumer Services															18,132,834
				Diversified Financial Services – 0.7% (0.4% of Total Investments)
	1,000			MJ Acquisition Corp., Term Loan, First Lien			4.000%				6/01/22				BB–				1,000,625
	995			Transdigm, Inc., Term Loan, Second Lien			4.750%				11/12/21				N/R				999,198
	1,995			Total Diversified Financial Services															1,999,823
				Diversified Telecommunication Services – 4.7% (2.8% of Total Investments)
	858			Greeneden U.S. Holdings II LLC, Term Loan B			4.000%				2/08/20				B				858,238
	974			Level 3 Financing, Inc., Term Loan B2			3.500%				5/31/22				BB				971,248
	1,667			Level 3 Financing, Inc., Term Loan, Tranche B3			4.000%				8/01/19				BB+				1,671,528
	990			TelX Group, Inc., Initial Term Loan, First Lien			4.500%				4/09/20				B1				993,918
	500			TelX Group, Inc., Initial Term Loan, Second Lien			7.500%				4/09/21				CCC				505,250
	3,118			WideOpenWest Finance LLC, Term Loan B			4.500%				4/01/19				Ba3				3,126,192
	1,849			Ziggo N.V., Term Loan B1			3.500%				1/15/22				BB–				1,843,389
	1,191			Ziggo N.V., Term Loan B2			3.500%				1/15/22				BB–				1,187,915
	1,960			Ziggo N.V., Term Loan B3, Delayed Draw			3.500%				1/15/22				BB–				1,953,696
	13,107			Total Diversified Telecommunication Services															13,111,374
				Electronic Equipment, Instruments & Components – 1.2% (0.7% of Total Investments)
	1,540			SMART Modular Technologies, Inc., Term Loan B			8.250%				8/26/17				B				1,493,401
	1,778			TTM Technologies, Term Loan B			6.000%				5/31/21				B+				1,765,925
	3,318			Total Electronic Equipment, Instruments & Components															3,259,326
				Energy Equipment & Services – 1.4% (0.8% of Total Investments)
	2,519			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.000%				3/31/21				B				1,970,477
	347			Dynamic Energy Services International LLC, Term Loan			9.500%				3/06/18				B3				323,682
	1,442			Offshore Group Investment Limited, Term Loan B			5.000%				10/25/17				CCC				888,665
	739			Pacific Drilling S.A., Term Loan B			4.500%				6/03/18				B+				596,300
	5,047			Total Energy Equipment & Services															3,779,124
				Food & Staples Retailing – 7.8% (4.6% of Total Investments)
	2,474			Albertson’s LLC, Term Loan B2			5.375%				3/21/19				BB–				2,487,757
	12,968			Albertson’s LLC, Term Loan B4			5.500%				8/25/21				BB–				13,037,499
	2,357			BJ’s Wholesale Club, Inc., Replacement Loan, First Lien			4.500%				9/26/19				B–				2,364,173
	2,000			BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien			8.500%				3/26/20				CCC				2,018,750
	750			Rite Aid Corporation, Tranche 2, Term Loan, Second Lien			4.875%				6/21/21				BB				752,696
	972			Supervalu, Inc., New Term Loan			4.500%				3/21/19				BB				977,085
	21,521			Total Food & Staples Retailing															21,637,960
				Food Products – 6.6% (3.9% of Total Investments)
	990			Hearthside Group Holdings, Term Loan, First Lien			4.500%				6/02/21				B1				991,510
	4,000			Jacobs Douwe Egberts, Term Loan B			4.250%				7/23/21				BB				4,000,000

 

Nuveen Investments			27

---

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

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Food Products (continued)
$	2,175			Pinnacle Foods Finance LLC, Term Loan G			3.000%				4/29/20				BB+			$	2,173,236
	7,985			US Foods, Inc., Incremental Term Loan			4.500%				3/31/19				B2				8,020,339
	3,230			Wilton Products, Inc., Tranche B, Term Loan			7.500%				8/30/18				B3				3,161,362
	18,380			Total Food Products															18,346,447
				Health Care Equipment & Supplies – 4.4% (2.5% of Total Investments)
	583			Ardent Medical Services, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				B1				586,328
	1,280			Ardent Medical Services, Inc., Term Loan, First Lien			7.500%				7/02/18				B+				1,284,074
	714			Ardent Medical Services, Inc., Term Loan, Second Lien			11.750%				1/02/19				CCC+				722,321
	992			CareCore National LLC, Term Loan			5.500%				3/05/21				B				987,500
	973			ConvaTec Healthcare, Term Loan B			4.250%				6/09/20				Ba2				971,629
	2,106			Kinetic Concepts, Inc., Incremental Term Loan E1			4.500%				5/04/18				BB–				2,118,963
	3,393			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				3,401,441
	973			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				969,968
	1,000			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				1,007,500
	12,014			Total Health Care Equipment & Supplies															12,049,724
				Health Care Providers & Services – 4.6% (2.7% of Total Investments)
	6			Community Health Systems, Inc., Term Loan F			3.534%				12/31/18				BB				5,702
	527			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB				528,661
	1,054			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB				1,059,831
	2,302			DaVita HealthCare Partners, Inc., Tranche B, Term Loan			3.500%				6/24/21				Ba1				2,310,138
	3,506			Drumm Investors LLC, Term Loan			6.750%				5/04/18				B				3,552,506
	578			Genesis Healthcare LLC, Term Loan			10.000%				12/04/17				B–				592,180
	995			Healogics, Inc., Term Loan, First Lien			5.250%				7/01/21				B				996,219
	1,721			Heartland Dental Care, Inc., Term Loan, First Lien			5.500%				12/21/18				B1				1,726,756
	500			Heartland Dental Care, Inc., Term Loan, Second Lien			9.750%				6/21/19				CCC+				505,000
	868			LHP Operations Co. LLC, Term Loan B			9.000%				7/03/18				B2				851,056
	596			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				597,484
	12,653			Total Health Care Providers & Services															12,725,533
				Health Care Technology – 0.5% (0.3% of Total Investments)
	1,329			Catalent Pharma Solutions, Inc., Term Loan			4.250%				5/20/21				BB				1,335,916
				Hotels, Restaurants & Leisure – 7.9% (4.6% of Total Investments)
	3,571			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				3,583,085
	3,359			CCM Merger, Inc., Term Loan B			4.500%				8/08/21				BB–				3,374,737
	2,955			CityCenter Holdings LLC, Term Loan			4.250%				10/16/20				BB–				2,966,721
	537			Extended Stay America, Inc., Term Loan			5.000%				6/24/19				BB+				545,877
	1,663			Intrawest Resorts Holdings, Inc., Term Loan B, First Lien			4.750%				12/09/20				CCC				1,679,747
	1,500			Life Time Fitness, Inc., Term Loan B			4.250%				6/10/22				BB–				1,499,688
	1,463			MGM Resorts International, Term Loan B			3.500%				12/20/19				BB+				1,459,910
	1,992			Scientific Games Corporation, Term Loan B2			6.000%				10/01/21				BB–				2,003,452
	1,970			Scientific Games Corporation, Term Loan			6.000%				10/18/20				BB–				1,980,534
	912			Seaworld Parks and Entertainment, Inc., Term Loan B2			3.000%				5/14/20				BB				887,587
	1,818			Station Casino LLC, Term Loan B			4.250%				3/02/20				B+				1,824,014
	21,740			Total Hotels, Restaurants & Leisure															21,805,352
				Household Durables – 0.2% (0.1% of Total Investments)
	443			Serta Simmons Holdings LLC, Term Loan			4.250%				10/01/19				B+				444,337
				Industrial Conglomerates – 0.5% (0.3% of Total Investments)
	1,375			Brand Energy & Infrastructure Services, Inc., Initial Term Loan			4.750%				11/26/20				B1				1,325,151
				Insurance – 3.5% (2.1% of Total Investments)
	1,726			Alliant Holdings I LLC, Incremental Term Loan			5.000%				12/23/19				B+				1,728,730
	2,340			Alliant Holdings I LLC, Initial Term Loan B, First Lien, (WI/DD)			TBD				TBD				B2				2,342,886
	2,704			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				B1				2,695,631
	2,930			USI Holdings Corporation, Initial Term Loan			4.250%				12/27/19				B1				2,934,582
	9,700			Total Insurance															9,701,829

 

	28			Nuveen Investments

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Internet & Catalog Retail – 1.1% (0.6% of Total Investments)
$	2,985			Travelport LLC, Term Loan B, First Lien			5.750%				9/02/21				B			$	2,999,615
				Internet Software & Services – 1.7% (1.0% of Total Investments)
	491			Sabre Inc., Term Loan B2			4.000%				2/19/19				Ba3				493,952
	116			Sabre Inc., Term Loan C			3.500%				2/19/18				Ba3				116,232
	731			Sabre Inc., Term Loan			4.000%				2/19/19				Ba3				734,830
	3,325			Tibco Software, Inc., Term Loan B			6.500%				12/04/20				B1				3,336,431
	4,663			Total Internet Software & Services															4,681,445
				IT Services – 1.1% (0.6% of Total Investments)
	2,082			EIG Investors Corp., Term Loan			5.000%				11/09/19				B				2,081,237
	285			VFH Parent LLC, New Term Loan			5.250%				11/08/19				N/R				286,308
	553			Zayo Group LLC, Term Loan B			3.216%				5/06/21				Ba2				551,820
	2,920			Total IT Services															2,919,365
				Leisure Products – 2.3% (1.3% of Total Investments)
	1,506			24 Hour Fitness Worldwide, Inc., Term Loan B			4.750%				5/28/21				Ba3				1,451,329
	2,500			Academy, Ltd., Term Loan B			5.000%				7/01/22				B				2,512,110
	688			Bombardier Recreational Products, Inc., Term Loan B			3.750%				1/30/19				BB–				690,668
	1,173			Equinox Holdings, Inc., New Initial Term Loan, First Lien			5.000%				1/31/20				B1				1,184,845
	500			Four Seasons Holdings, Inc., Term Loan, Second Lien			6.250%				12/27/20				B–				502,500
	6,367			Total Leisure Products															6,341,452
				Machinery – 0.8% (0.5% of Total Investments)
	1,709			Doosan Infracore International, Inc., Term Loan			4.500%				5/27/21				BB–				1,720,920
	498			Rexnord LLC, Term Loan B			4.000%				8/21/20				BB–				498,980
	2,207			Total Machinery															2,219,900
				Media – 14.1% (8.3% of Total Investments)
	3,500			Cequel Communications LLC, Extended Term Loan, (WI/DD)			TBD				TBD				N/R				3,489,790
	1,290			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.250%				7/25/21				B1				1,290,250
	950			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				945,844
	639			Affinion Group Holdings, Inc., Initial Term Loan, Second Lien			8.500%				10/31/18				Caa1				576,511
	1,485			Catalina Marketing Corporation, Term Loan, First Lien			4.500%				4/09/21				B+				1,277,100
	1,000			Catalina Marketing Corporation, Term Loan, Second Lien			7.750%				4/11/22				CCC+				733,333
	3,000			Charter Communications Operating Holdings LLC, Term Loan I, (WI/DD)			TBD				TBD				N/R				3,009,912
	2,111			Clear Channel Communications, Inc. Term Loan E			7.690%				7/30/19				CCC+				1,969,912
	6,705			Cumulus Media, Inc., Term Loan B, (DD1)			4.250%				12/23/20				B+				6,202,331
	1,257			Emerald Expositions Holdings, Inc., Term Loan, First Lien			4.750%				6/17/20				BB–				1,260,547
	445			Gray Television, Inc., Initial Term Loan			3.750%				6/13/21				BB				446,680
	990			IMG Worldwide, Inc., First Lien			5.250%				5/06/21				B1				992,970
	2,228			Interactive Data Corporation, Term Loan B			4.750%				5/02/21				B+				2,238,916
	750			Lions Gate Entertainment Corporation, Term Loan B, Second Lien			5.000%				3/13/22				BB–				754,688
	1,673			McGraw-Hill Education Holdings LLC, Term Loan B			4.750%				3/22/19				B+				1,682,567
	973			Mediacom Broadband LLC, Tranche G, Term Loan			4.000%				1/20/20				BB+				975,337
	1,600			Numericable Group S.A., Term Loan B1			4.500%				5/21/20				Ba3				1,607,088
	1,385			Numericable Group S.A., Term Loan B2			4.500%				5/21/20				Ba3				1,390,350
	1,654			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.750%				8/14/20				B1				1,662,209
	3,821			Univision Communications, Inc., Replacement Term Loan, First Lien			4.000%				3/01/20				B+				3,823,294
	1,013			Weather Channel Corporation, Term Loan, Second Lien			7.000%				6/26/20				CCC+				951,766
	1,304			WMG Acquisition Corporation, Tranche B, Refinancing Term Loan			3.750%				7/01/20				B+				1,293,546
	263			Yell Group PLC, Term Loan A2			5.281%				3/01/19				N/R				505,591
	21			Yell Group PLC, Term Loan A2, (8)			1.500%				3/03/19				N/R				—
	756			Yell Group PLC, Term Loan B2, PIK, (8)			0.000%				3/03/24				N/R				—
	40,813			Total Media															39,080,532
				Multiline Retail – 2.4% (1.4% of Total Investments)
	998			Bass Pro Group LLC, Term Loan B, First Lien			4.000%				6/05/20				BB–				1,001,241
	2,645			Dollar Tree, Inc., Term Loan B1			3.500%				7/06/22				BB+				2,655,469
	830			Dollar Tree, Inc., Term Loan B2			4.250%				3/09/22				BB+				832,594
	2,228			J.C. Penney Corporation, Inc., Term Loan			5.000%				6/20/19				B				2,231,677
	6,701			Total Multiline Retail															6,720,981

 

Nuveen Investments			29

---

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

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Oil, Gas & Consumable Fuels – 2.3% (1.3% of Total Investments)
$	562			Western Refining, Inc., Term Loan B			4.250%				11/12/20				BB–			$	563,015
	351			Crestwood Holdings LLC, Term Loan B			7.000%				6/19/19				B2				344,663
	2,718			Energy and Exploration Partners, Term Loan			7.750%				1/22/19				N/R				2,254,356
	916			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B2				506,565
	1,402			Harvey Gulf International Marine, Inc., Term Loan B			5.500%				6/18/20				B				1,085,634
	1,851			Seadrill Partners LLC, Initial Term Loan			4.000%				2/21/21				BB–				1,391,534
	184			Southcross Holdings Borrower L.P., Holdco Term Loan			6.000%				8/04/21				B2				176,486
	7,984			Total Oil, Gas & Consumable Fuels															6,322,253
				Pharmaceuticals – 9.5% (5.5% of Total Investments)
	8,000			Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)			TBD				TBD				Ba1				8,015,000
	3,000			Endo Health Solutions, Inc., Term Loan B, (WI/DD)			TBD				TBD				Ba1				3,017,577
	2,000			Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)			0.000%				5/03/13				N/R				12,500
	95			Graceway Pharmaceuticals LLC, Term Loan, (5)			0.000%				5/03/12				N/R				95,707
	963			Grifols, Inc., Term Loan			3.190%				2/27/21				Ba1				967,365
	1,776			Par Pharmaceutical Companies, Inc., Term Loan B2			4.000%				9/30/19				B1				1,777,099
	308			Par Pharmaceutical Companies, Inc., Term Loan B3			4.250%				9/30/19				B1				307,851
	990			Patheon, Inc., Term Loan B			4.250%				3/11/21				B1				987,967
	2,799			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.000%				12/01/18				Ba2				2,803,405
	2,322			Pharmaceutical Research Associates, Inc., Term Loan			4.500%				9/23/20				B+				2,333,601
	1,412			Therakos, Inc., Term Loan, First Lien			7.000%				12/27/17				B				1,409,954
	1,318			Valeant Pharmaceuticals International, Inc., Term Loan E			3.500%				8/05/20				BB+				1,321,438
	3,092			Valeant Pharmaceuticals International, Inc., Term Loan F			4.000%				4/01/22				BB+				3,110,346
	28,075			Total Pharmaceuticals															26,159,810
				Professional Services – 0.3% (0.2% of Total Investments)
	774			Ceridian Corporation, Term Loan B2			4.500%				9/15/20				Ba3				771,511
				Real Estate Investment Trust – 4.8% (2.8% of Total Investments)
	8,100			Communications Sales & Leasing, Inc., Term Loan B, First Lien			5.000%				10/24/22				BBB–				7,907,625
	2,444			Realogy Corporation, Initial Term Loan B			3.750%				3/05/20				BB				2,448,980
	572			Starwood Property Trust, Inc., Term Loan B			3.500%				4/17/20				BB				570,342
	2,431			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien			4.750%				12/18/20				B+				2,331,366
	13,547			Total Real Estate Investment Trust															13,258,313
				Real Estate Management & Development – 1.4% (0.8% of Total Investments)
	1,861			Capital Automotive LP, Term Loan, Second Lien			6.000%				4/30/20				B1				1,894,797
	1,855			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				Ba2				1,865,779
	3,716			Total Real Estate Management & Development															3,760,576
				Road & Rail – 0.4% (0.2% of Total Investments)
	1,000			Quality Distribution Inc., First Lien Term Loan, (WI/DD)			TBD				TBD				B1				990,000
				Semiconductors & Semiconductor Equipment – 3.3% (1.9% of Total Investments)
	3,208			Avago Technologies, Term Loan B			3.750%				5/06/21				BBB–				3,216,607
	3,433			Freescale Semiconductor, Inc., Term Loan, Tranche B4			4.250%				2/28/20				BB–				3,446,349
	1,474			Freescale Semiconductor, Inc., Term Loan, Tranche B5			5.000%				1/15/21				BB–				1,483,514
	969			NXP Semiconductor LLC, Term Loan D			3.250%				1/11/20				BBB–				968,541
	9,084			Total Semiconductors & Semiconductor Equipment															9,115,011
				Software – 9.8% (5.7% of Total Investments)
	1,179			Blackboard, Inc., Term Loan B3			4.750%				10/04/18				B+				1,181,341
	2,091			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B1				1,916,426
	2,694			Compuware Corporation, Tranche B2, Term Loan, First Lien			6.250%				12/15/21				B				2,635,533
	1,002			Datatel Parent Corp, Term Loan B1			4.000%				7/19/18				BB–				1,005,005
	1,045			Emdeon Business Services LLC, Term Loan B2			3.750%				11/02/18				Ba3				1,044,411
	5,961			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5, (DD1)			3.750%				6/03/20				Ba3				5,931,629
	1,000			Informatica Corp., Term Loan B, (WI/DD)			TBD				TBD				B				1,001,979
	792			Micro Focus International PLC, Term Loan B			5.250%				11/19/21				BB–				796,251
	1,316			Micro Focus International PLC, Term Loan C			4.500%				11/20/19				BB–				1,318,169

 

	30			Nuveen Investments

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Software (continued)
$	3,404			Misys PLC, Term Loan B, First Lien			5.000%				12/12/18				B+			$	3,417,652
	2,448			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.000%				7/08/22				BB				2,471,129
	404			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.000%				7/08/22				BB				407,329
	872			SunGard Data Systems, Inc., Term Loan E			4.000%				3/08/20				BB				874,137
	946			Vertafore, Inc., Term Loan, First Lien			4.250%				10/03/19				B+				948,655
	2,111			Zebra Technologies Corporation, Term Loan B, First Lien			4.750%				10/27/21				BB+				2,139,313
	27,265			Total Software															27,088,959
				Specialty Retail – 2.0% (1.2% of Total Investments)
	1,568			Jo-Ann Stores, Inc., Term Loan, First Lien			4.000%				3/16/18				Ba3				1,552,775
	1,347			Petsmart, Inc., Term Loan B			4.250%				3/11/22				BB–				1,353,435
	337			Pilot Travel Centers LLC, Term Loan B, First Lien			4.250%				10/01/21				BB+				341,639
	2,200			Staples, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				BBB				2,203,355
	5,452			Total Specialty Retail															5,451,204
				Technology Hardware, Storage & Peripherals – 3.2% (1.9% of Total Investments)
	8,865			Dell, Inc., Term Loan B2			4.000%				4/29/20				BBB				8,873,287
				Textiles, Apparel & Luxury Goods – 0.7% (0.4% of Total Investments)
	1,976			Polymer Group, Inc., Initial Term Loan			5.250%				12/19/19				B2				1,990,475
				Trading Companies & Distributors – 1.8% (1.1% of Total Investments)
	4,277			HD Supply, Inc., Term Loan			4.000%				6/28/18				BB–				4,289,084
	833			Neff Rental/Neff Finance Closing Date Loan, Second Lien			7.250%				6/09/21				B–				826,796
	5,110			Total Trading Companies & Distributors															5,115,880
				Transportation Infrastructure – 0.4% (0.3% of Total Investments)
	67			Ceva Group PLC, Canadian Term Loan			6.500%				3/19/21				B2				61,576
	387			Ceva Group PLC, Dutch B.V., Term Loan			6.500%				3/19/21				B2				357,141
	371			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				3/19/21				B2				342,946
	534			Ceva Group PLC, US Term Loan			6.500%				3/19/21				B2				492,608
	1,359			Total Transportation Infrastructure															1,254,271
				Wireless Telecommunication Services – 1.7% (1.0% of Total Investments)
	869			Asurion LLC, Term Loan B4, First Lien, (WI/DD)			TBD				TBD				B				869,482
	869			Asurion LLC, Term Loan B1			5.000%				5/24/19				Ba3				872,984
	2,974			Fairpoint Communications, Inc., Term Loan B			7.500%				2/14/19				B				3,014,052
	4,712			Total Wireless Telecommunication Services															4,756,518
$	388,514			Total Variable Rate Senior Loan Interests (cost $384,956,571)															377,436,580
Shares				Description (1)														Value
				COMMON STOCKS – 1.6% (0.9% of Total Investments)
				Diversified Consumer Services – 0.5% (0.3% of Total Investments)
	53,514			Cengage Learning Holdings II LP, (6), (7)														$	1,418,121
	1,561,859			Education Management Corporation, (6), (7)															15,619
				Total Diversified Consumer Services															1,433,740
				Hotels, Restaurants & Leisure – 0.5% (0.3% of Total Investments)
	40,968			BLB Worldwide Holdings Inc., (6), (7)															1,433,880
				Media – 0.5% (0.3% of Total Investments)
	3,479			Cumulus Media, Inc., (6)															5,740
	6,268			Metro-Goldwyn-Mayer, (6), (7)															491,255
	18,422			Tribune Media Company															930,127
	14,825			Tribune Media Company, (8)															—
	4,605			Tribune Publishing Company															68,568
				Total Media															1,495,690

 

Nuveen Investments			31

---

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

 

Shares				Description (1)														Value
				Professional Services – 0.1% (0.0% of Total Investments)
	47,152			Vertrue, Inc., (6), (7)														$	117,880
				Software – 0.0% (0.0% of Total Investments)
	291,294			Eagle Topco LP, (6), (8)															—
				Total Common Stocks (cost $3,775,587)															4,481,190
Shares				Description (1)		Coupon								Ratings (3)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	1,738			Education Management Corporation			7.500%								N/R			$	43,450
				Total $25 Par (or similar) Retail Preferred (cost $4,219)															43,450
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CONVERTIBLE BONDS – 0.3% (0.2% of Total Investments)
				Communications Equipment – 0.3% (0.2% of Total Investments)
$	850			Nortel Networks Corp., (5)			1.750%				4/15/12				N/R			$	745,875
$	850			Total Convertible Bonds (cost $710,500)															745,875
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 18.4% (10.8% of Total Investments)
				Commercial Services & Supplies – 0.3% (0.2% of Total Investments)
$	900			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	900,000
				Communications Equipment – 0.4% (0.3% of Total Investments)
	1,500			Avaya Inc., 144A			10.500%				3/01/21				CCC+				1,218,750
				Consumer Finance – 0.2% (0.1% of Total Investments)
	402			First Data Corporation, 144A			7.375%				6/15/19				BB				419,326
				Containers & Packaging – 0.3% (0.2% of Total Investments)
	776			Reynolds Group			9.875%				8/15/19				CCC+				816,255
				Diversified Telecommunication Services – 2.0% (1.2% of Total Investments)
	750			Frontier Communications Corporation			6.875%				1/15/25				BB				638,438
	300			IntelSat Limited			6.750%				6/01/18				CCC+				280,500
	3,050			IntelSat Limited			7.750%				6/01/21				CCC+				2,424,750
	2,650			IntelSat Limited			8.125%				6/01/23				CCC+				2,106,750
	6,750			Total Diversified Telecommunication Services															5,450,438
				Health Care Equipment & Supplies – 3.6% (2.1% of Total Investments)
	2,025			Kinetic Concepts			10.500%				11/01/18				B–				2,154,094
	1,000			Kinetic Concepts			12.500%				11/01/19				CCC+				1,072,500
	3,500			Tenet Healthcare Corporation			6.000%				10/01/20				Ba2				3,806,250
	1,100			Tenet Healthcare Corporation			8.125%				4/01/22				B3				1,234,068
	1,560			THC Escrow Corporation II, 144A			6.750%				6/15/23				B3				1,630,200
	9,185			Total Health Care Equipment & Supplies															9,897,112
				Health Care Providers & Services – 2.1% (1.2% of Total Investments)
	1,500			Community Health Systems, Inc.			5.125%				8/01/21				BB				1,556,250
	2,400			Community Health Systems, Inc.			6.875%				2/01/22				B+				2,568,000
	600			IASIS Healthcare Capital Corporation			8.375%				5/15/19				CCC+				624,750
	1,000			Truven Health Analytics Inc.			10.625%				6/01/20				CCC+				1,045,000
	5,500			Total Health Care Providers & Services															5,794,000

 

	32			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)
$	275			Scientific Games Corporation			8.125%				9/15/18				B–			$	265,375
	1,550			Scientific Games International Inc.			10.000%				12/01/22				B				1,505,438
	1,825			Total Hotels, Restaurants & Leisure															1,770,813
				Media – 4.2% (2.4% of Total Investments)
	100			CCO Safari II LLC, 144A			3.579%				7/23/20				BBB–				100,295
	1,524			Clear Channel Communications, Inc.			10.000%				1/15/18				CCC–				1,219,200
	2,872			Clear Channel Communications, Inc.			9.000%				12/15/19				CCC+				2,760,710
	6,340			Clear Channel Communications, Inc.			14.000%				2/01/21				CCC–				4,192,490
	3,050			Clear Channel Communications, Inc.			9.000%				3/01/21				CCC+				2,760,250
	500			McGraw-Hill Global Education Holdings			9.750%				4/01/21				BB				553,750
	14,386			Total Media															11,586,695
				Pharmaceuticals – 1.6% (0.9% of Total Investments)
	750			Valeant Pharmaceuticals International, 144A			6.750%				8/15/18				B1				787,969
	2,000			Valeant Pharmaceuticals International, 144A			7.000%				10/01/20				B1				2,077,500
	500			Valeant Pharmaceuticals International, 144A			7.250%				7/15/22				B1				527,500
	1,000			VPII Escrow Corporation, 144A			7.500%				7/15/21				B1				1,085,000
	4,250			Total Pharmaceuticals															4,477,969
				Real Estate Investment Trust – 0.3% (0.2% of Total Investments)
	750			iStar Financial Inc.			4.000%				11/01/17				B+				736,875
				Semiconductors & Semiconductor Equipment – 0.6% (0.3% of Total Investments)
	1,075			Advanced Micro Devices, Inc.			7.750%				8/01/20				B–				723,608
	1,200			Advanced Micro Devices, Inc.			7.500%				8/15/22				B–				828,000
	2,275			Total Semiconductors & Semiconductor Equipment															1,551,608
				Software – 0.5% (0.3% of Total Investments)
	1,330			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+				990,850
	700			Boxer Parent Company Inc./BMC Software, 144A			9.000%				10/15/19				CCC+				434,000
	2,030			Total Software															1,424,850
				Wireless Telecommunication Services – 1.7% (1.0% of Total Investments)
	500			FairPoint Communications Inc., 144A			8.750%				8/15/19				B				525,000
	500			Sprint Corporation			7.875%				9/15/23				B+				479,375
	2,000			Sprint Corporation			7.125%				6/15/24				B+				1,830,000
	1,750			T-Mobile USA Inc.			6.250%				4/01/21				BB				1,833,125
	75			T-Mobile USA Inc.			6.731%				4/28/22				BB				79,500
	75			T-Mobile USA Inc.			6.836%				4/28/23				BB				80,250
	4,900			Total Wireless Telecommunication Services															4,827,250
$	55,429			Total Corporate Bonds (cost $54,843,363)															50,871,941
				Total Long-Term Investments (cost $444,290,240)															433,579,036

 

Nuveen Investments			33

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

 

Principal Amount (000)				Description (1)		Coupon				Maturity						Value
				SHORT-TERM INVESTMENTS – 14.2% (8.3% of Total Investments)
				REPURCHASE AGREEMENTS – 14.2% (8.3% of Total Investments)
$	39,279			Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $39,279,324, collateralized by $40,065,000 U.S. Treasury Notes, 2.000%, due 7/31/22, value $40,065,000			0.000%				8/03/15					$	39,279,324
				Total Short-Term Investments (cost $39,279,324)													39,279,324
				Total Investments (cost $483,569,564) – 171.0%													472,858,360
				Borrowings – (40.7)% (9), (10)													(112,500,000	)
				Variable Rate Term Preferred Shares, at Liquidation Value – (21.0)% (11)													(58,000,000	)
				Other Assets Less Liabilities – (9.3)%													(25,828,139	)
				Net Assets Applicable to Common Shares – 100%												$	276,530,221

 

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

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

 

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

 

(8)

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

 

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

 

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

 

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

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

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

 

TBD

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

 

See accompanying notes to financial statements.

 

	34			Nuveen Investments

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JFR

 

Nuveen Floating Rate Income Fund
Portfolio of Investments		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 154.3% (91.2% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 128.1% (75.7% of Total Investments) (4)
				Aerospace & Defense – 1.8% (1.1% of Total Investments)
$	4,269			B/E Aerospace, Inc., Term Loan B, First Lien			4.000%				12/16/21				BB+			$	4,312,751
	5,532			Sequa Corporation, Term Loan B, (DD1)			5.250%				6/19/17				B3				4,909,624
	2,993			Transdigm, Inc., Term Loan E, First Lien			3.500%				5/16/22				Ba3				2,982,173
	12,794			Total Aerospace & Defense															12,204,548
				Airlines – 3.4% (2.0% of Total Investments)
	3,431			American Airlines, Inc., Term Loan B, First Lien			3.250%				6/27/20				BB+				3,419,683
	3,000			American Airlines, Inc., Term Loan B, First Lien			3.500%				10/08/21				BB+				3,002,814
	9,745			Delta Air Lines, Inc., Term Loan B1			3.250%				10/18/18				BBB				9,746,621
	1,950			Delta Air Lines, Inc., Term Loan B2			2.438%				4/18/16				BBB				1,950,523
	4,410			US Airways, Inc., Term Loan B1			3.500%				5/23/19				BB+				4,410,392
	22,536			Total Airlines															22,530,033
				Automobiles – 3.0% (1.8% of Total Investments)
	9,875			Chrysler Group LLC, Tranche B, Term Loan			3.250%				12/31/18				BB+				9,883,641
	7,795			Formula One Group, Term Loan, First Lien			4.750%				7/30/21				B				7,796,265
	2,000			Formula One Group, Term Loan, Second Lien			7.750%				7/29/22				CCC+				2,001,876
	19,670			Total Automobiles															19,681,782
				Building Products – 0.7% (0.4% of Total Investments)
	2,779			Gates Global LLC, Term Loan			4.250%				7/06/21				B+				2,771,836
	2,115			Quikrete Holdings, Inc., Term Loan, First Lien			4.000%				9/28/20				B+				2,118,787
	4,894			Total Building Products															4,890,623
				Capital Markets – 0.9% (0.5% of Total Investments)
	2,808			Citco III Limited, Term Loan B			4.250%				6/29/18				N/R				2,816,931
	2,948			Guggenheim Partners LLC, Initial Term Loan			4.250%				7/22/20				N/R				2,964,539
	5,756			Total Capital Markets															5,781,470
				Chemicals – 1.8% (1.0% of Total Investments)
	2,748			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				2,749,941
	597			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				599,080
	2,319			Mineral Technologies, Inc., Term Loan B2			4.750%				5/07/21				BB				2,348,569
	2,438			PQ Corporation, Term Loan B			4.000%				8/07/17				B+				2,437,654
	3,507			Univar, Inc., Term Loan B, First Lien			4.250%				6/24/22				BB–				3,517,932
	11,609			Total Chemicals															11,653,176
				Commercial Services & Supplies – 3.8% (2.3% of Total Investments)
	2,127			Acosta, Inc., Term Loan B			4.250%				9/26/21				B1				2,132,395
	956			ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2			3.750%				10/09/19				B+				953,297
	4,472			CCS Income Trust, Term Loan, First Lien			6.250%				5/12/18				B–				4,038,452
	824			Education Management LLC, Tranche A, Term Loan, (5)			5.500%				7/02/20				N/R				559,821
	1,415			Education Management LLC, Tranche B, Term Loan, (5)			2.000%				7/02/20				N/R				816,596
	4,591			iQor US, Inc., Term Loan, First Lien			6.000%				4/01/21				B				4,154,568
	500			iQor US, Inc., Term Loan, Second Lien			9.750%				4/01/22				CCC+				456,667
	11,380			Millennium Laboratories, Inc., Tranche B, Term Loan			5.250%				4/16/21				CCC+				4,779,692
	3,875			Protection One, Inc., Term Loan, First Lien			5.000%				6/18/21				B1				3,894,375
	132			Universal Services of America, Delayed Draw, Term Loan, First Lien, (WI/DD)			TBD				TBD				B				131,325
	107			Universal Services of America, Delayed Draw, Term Loan, Second Lien, (WI/DD)			TBD				TBD				CCC+				106,674
	1,868			Universal Services of America, Term Loan, First Lien, (WI/DD)			TBD				TBD				B				1,862,425
	1,643			Universal Services of America, Term Loan, Second Lien, (WI/DD)			TBD				TBD				CCC+				1,635,670
	33,890			Total Commercial Services & Supplies															25,521,957

 

Nuveen Investments			35

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

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Communications Equipment – 1.7% (1.0% of Total Investments)
$	5,224			Avaya, Inc., Term Loan B3			4.691%				10/26/17				B1			$	5,190,722
	1,060			Avaya, Inc., Term Loan B6			6.500%				3/31/18				B1				1,054,872
	1,896			Commscope, Inc., Term Loan B, First Lien			3.750%				5/28/22				BB				1,904,522
	2,993			Riverbed Technology, Inc., Term Loan B, First Lien			6.000%				4/25/22				B1				3,034,715
	11,173			Total Communications Equipment															11,184,831
				Consumer Finance – 1.8% (1.1% of Total Investments)
	2,500			First Data Corporation, Term Loan B			3.937%				6/24/22				BB–				2,501,562
	2,000			First Data Corporation, Second New Dollar, Term Loan			3.687%				3/24/17				BB–				1,999,844
	7,750			First Data Corporation, Term Loan			3.687%				3/23/18				BB				7,740,917
	12,250			Total Consumer Finance															12,242,323
				Containers & Packaging – 1.1% (0.6% of Total Investments)
	4,330			BWAY Holding Company, Term Loan B, First Lien			5.500%				8/14/20				B2				4,360,929
	2,827			Reynolds Group Holdings, Inc., Incremental US Term Loan, First Lien			4.500%				12/01/18				B+				2,845,928
	7,157			Total Containers & Packaging															7,206,857
				Diversified Consumer Services – 6.1% (3.6% of Total Investments)
	1,750			AlixPartners LLP, Term Loan B, First Lien, (WI/DD)			TBD				TBD				B+				1,757,438
	7,953			Cengage Learning Acquisitions, Inc., Exit Term Loan			7.000%				3/31/20				B+				8,000,320
	453			Harland Clarke Holdings Corporation, Extended Term Loan			5.532%				6/30/17				B+				454,144
	3,304			Harland Clarke Holdings Corporation, Term Loan B3			7.000%				5/22/18				B+				3,318,174
	1,444			Harland Clarke Holdings Corporation, Term Loan B4			6.000%				8/04/19				B+				1,448,487
	9,923			Hilton Hotels Corporation, Term Loan B2			3.500%				10/25/20				BBB–				9,954,739
	3,000			Houghton Mifflin, Term Loan B, First Lien			4.000%				5/28/21				BB				2,998,125
	1,144			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B				1,071,754
	3,512			New Albertson’s, Inc., Term Loan			4.750%				6/24/21				Ba3				3,524,654
	7,811			ServiceMaster Company, Term Loan			4.250%				7/01/21				B+				7,840,168
	40,294			Total Diversified Consumer Services															40,368,003
				Diversified Financial Services – 0.7% (0.4% of Total Investments)
	1,500			MJ Acquisition Corp., Term Loan, First Lien			4.000%				6/01/22				BB–				1,500,938
	1,990			Transdigm, Inc., Term Loan, Second Lien			4.750%				11/12/21				N/R				1,998,396
	1,000			TransFirst, Inc., Term Loan, Second Lien			9.000%				11/15/22				CCC+				1,004,750
	4,490			Total Diversified Financial Services															4,504,084
				Diversified Telecommunication Services – 5.2% (3.1% of Total Investments)
	1,716			Greeneden U.S. Holdings II LLC, Term Loan B			4.000%				2/08/20				B				1,716,476
	395			Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan			3.750%				6/30/19				BB–				391,947
	2,435			Level 3 Financing, Inc., Term Loan B2			3.500%				5/31/22				BB				2,428,121
	3,667			Level 3 Financing, Inc., Term Loan, Tranche B3			4.000%				8/01/19				BB+				3,677,362
	1,980			TelX Group, Inc., Initial Term Loan, First Lien			4.500%				4/09/20				B1				1,987,837
	1,250			TelX Group, Inc., Initial Term Loan, Second Lien			7.500%				4/09/21				CCC				1,263,125
	10,854			WideOpenWest Finance LLC, Term Loan B			4.500%				4/01/19				Ba3				10,882,001
	4,437			Ziggo N.V., Term Loan B1			3.500%				1/15/22				BB–				4,424,134
	2,860			Ziggo N.V., Term Loan B2			3.500%				1/15/22				BB–				2,850,996
	4,703			Ziggo N.V., Term Loan B3, Delayed Draw			3.500%				1/15/22				BB–				4,688,870
	34,297			Total Diversified Telecommunication Services															34,310,869
				Electronic Equipment, Instruments & Components – 1.1% (0.6% of Total Investments)
	4,175			SMART Modular Technologies, Inc., Term Loan B			8.250%				8/26/17				B				4,049,766
	3,111			TTM Technologies, Term Loan B			6.000%				5/31/21				B+				3,090,369
	7,286			Total Electronic Equipment, Instruments & Components															7,140,135
				Energy Equipment & Services – 1.1% (0.6% of Total Investments)
	5,240			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.000%				3/31/21				B				4,099,282
	656			Dynamic Energy Services International LLC, Term Loan			9.500%				3/06/18				B3				611,400
	2,077			Offshore Group Investment Limited, Term Loan B			5.000%				10/25/17				CCC				1,279,968
	1,231			Pacific Drilling S.A., Term Loan B			4.500%				6/03/18				B+				992,835
	9,204			Total Energy Equipment & Services															6,983,485

 

	36			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Food & Staples Retailing – 7.1% (4.2% of Total Investments)
$	4,948			Albertson’s LLC, Term Loan B2			5.375%				3/21/19				BB–			$	4,975,514
	27,930			Albertson’s LLC, Term Loan B4			5.500%				8/25/21				BB–				28,080,764
	3,237			BJ’s Wholesale Club, Inc., Replacement Loan, First Lien			4.500%				9/26/19				B–				3,246,428
	4,000			BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien			8.500%				3/26/20				CCC				4,037,500
	739			Del Monte Foods Company, Term Loan, First Lien			4.258%				2/18/21				B				718,434
	1,500			Rite Aid Corporation, Tranche 1, Term Loan, Second Lien			5.750%				8/21/20				BB				1,517,812
	1,675			Rite Aid Corporation, Tranche 2, Term Loan, Second Lien			4.875%				6/21/21				BB				1,681,020
	3,114			Supervalu, Inc., New Term Loan			4.500%				3/21/19				BB				3,130,542
	47,143			Total Food & Staples Retailing															47,388,014
				Food Products – 5.3% (3.2% of Total Investments)
	1,980			Hearthside Group Holdings, Term Loan, First Lien			4.500%				6/02/21				B1				1,983,020
	7,000			Jacobs Douwe Egberts, Term Loan B			4.250%				7/23/21				BB				7,000,000
	4,778			Pinnacle Foods Finance LLC, Term Loan G			3.000%				4/29/20				BB+				4,774,137
	16,835			US Foods, Inc., Incremental Term Loan			4.500%				3/31/19				B2				16,910,498
	4,845			Wilton Products, Inc., Tranche B, Term Loan			7.500%				8/30/18				B3				4,742,044
	35,438			Total Food Products															35,409,699
				Health Care Equipment & Supplies – 3.4% (2.0% of Total Investments)
	583			Ardent Medical Services, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				B1				586,328
	1,280			Ardent Medical Services, Inc., Term Loan, First Lien			7.500%				7/02/18				B+				1,284,074
	1,985			CareCore National LLC, Term Loan			5.500%				3/05/21				B				1,975,000
	2,432			ConvaTec Healthcare, Term Loan B			4.250%				6/09/20				Ba2				2,429,072
	6,772			Kinetic Concepts, Inc., Incremental Term Loan E1			4.500%				5/04/18				BB–				6,812,622
	5,089			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				5,102,161
	2,553			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				2,546,167
	2,000			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				2,015,000
	22,694			Total Health Care Equipment & Supplies															22,750,424
				Health Care Providers & Services – 5.8% (3.4% of Total Investments)
	1,990			Acadia Healthcare, Inc., Term Loan B, First Lien			4.250%				2/11/22				Ba2				2,008,656
	1,739			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB				1,744,367
	3,478			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB				3,497,014
	3,625			DaVita HealthCare Partners, Inc., Tranche B, Term Loan			3.500%				6/24/21				Ba1				3,638,014
	12,541			Drumm Investors LLC, Term Loan			6.750%				5/04/18				B				12,708,429
	1,444			Genesis Healthcare LLC, Term Loan			10.000%				12/04/17				B–				1,480,452
	1,302			HCA, Inc., Tranche B5, Term Loan			2.940%				3/31/17				BBB–				1,304,872
	2,487			Healogics, Inc., Term Loan, First Lien			5.250%				7/01/21				B				2,490,548
	3,672			Heartland Dental Care, Inc., Term Loan, First Lien			5.500%				12/21/18				B1				3,683,104
	2,000			Heartland Dental Care, Inc., Term Loan, Second Lien			9.750%				6/21/19				CCC+				2,020,000
	1,737			LHP Operations Co. LLC, Term Loan B			9.000%				7/03/18				B2				1,702,112
	2,382			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				2,389,935
	38,397			Total Health Care Providers & Services															38,667,503
				Health Care Technology – 0.8% (0.5% of Total Investments)
	5,141			Catalent Pharma Solutions, Inc., Term Loan			4.250%				5/20/21				BB				5,167,195
				Hotels, Restaurants & Leisure – 6.1% (3.6% of Total Investments)
	7,856			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				7,882,787
	3,116			CCM Merger, Inc., Term Loan B			4.500%				8/08/21				BB–				3,130,221
	5,228			CityCenter Holdings LLC, Term Loan			4.250%				10/16/20				BB–				5,248,814
	586			Extended Stay America, Inc., Term Loan			5.000%				6/24/19				BB+				595,502
	2,772			Intrawest Resorts Holdings, Inc., Term Loan B, First Lien			4.750%				12/09/20				CCC				2,799,577
	2,250			Life Time Fitness, Inc., Term Loan B			4.250%				6/10/22				BB–				2,249,532
	2,925			MGM Resorts International, Term Loan B			3.500%				12/20/19				BB+				2,919,820
	4,481			Scientific Games Corporation, Term Loan B2			6.000%				10/01/21				BB–				4,505,887
	3,940			Scientific Games Corporation, Term Loan			6.000%				10/18/20				BB–				3,961,067
	3,282			Seaworld Parks and Entertainment, Inc., Term Loan B2			3.000%				5/14/20				BB				3,195,894
	3,635			Station Casino LLC, Term Loan B			4.250%				3/02/20				B+				3,648,029
	40,071			Total Hotels, Restaurants & Leisure															40,137,130

 

Nuveen Investments			37

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

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Household Durables – 0.6% (0.4% of Total Investments)
$	2,435			Serta Simmons Holdings LLC, Term Loan			4.250%				10/01/19				B+			$	2,443,855
	1,655			Tempur-Pedic International, Inc., New Term Loan B			3.500%				3/18/20				BB+				1,661,467
	4,090			Total Household Durables															4,105,322
				Industrial Conglomerates – 0.3% (0.2% of Total Investments)
	2,291			Brand Energy & Infrastructure Services, Inc., Initial Term Loan			4.750%				11/26/20				B1				2,208,585
				Insurance – 3.2% (1.9% of Total Investments)
	3,940			Alliant Holdings I LLC, Incremental Term Loan			5.000%				12/23/19				B+				3,945,432
	5,340			Alliant Holdings I LLC, Initial Term Loan B, First Lien, (WI/DD)			TBD				TBD				B2				5,347,104
	5,900			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				B1				5,882,269
	6,112			USI Holdings Corporation, Initial Term Loan			4.250%				12/27/19				B1				6,120,686
	21,292			Total Insurance															21,295,491
				Internet & Catalog Retail – 1.3% (0.8% of Total Investments)
	8,460			Travelport LLC, Term Loan B, First Lien			5.750%				9/02/21				B				8,501,414
				Internet Software & Services – 1.9% (1.1% of Total Investments)
	737			Sabre Inc., Term Loan B2			4.000%				2/19/19				Ba3				740,928
	290			Sabre Inc., Term Loan C			3.500%				2/19/18				Ba3				290,581
	3,413			Sabre Inc., Term Loan			4.000%				2/19/19				Ba3				3,429,208
	7,897			Tibco Software, Inc., Term Loan B			6.500%				12/04/20				B1				7,924,024
	12,337			Total Internet Software & Services															12,384,741
				IT Services – 0.8% (0.5% of Total Investments)
	3,794			EIG Investors Corp., Term Loan			5.000%				11/09/19				B				3,792,608
	570			VFH Parent LLC, New Term Loan			5.250%				11/08/19				N/R				572,616
	1,224			Zayo Group LLC, Term Loan B			3.750%				5/06/21				Ba2				1,222,115
	5,588			Total IT Services															5,587,339
				Leisure Products – 2.1% (1.2% of Total Investments)
	3,765			24 Hour Fitness Worldwide, Inc., Term Loan B			4.750%				5/28/21				Ba3				3,628,324
	4,500			Academy, Ltd., Term Loan B			5.000%				7/01/22				B				4,521,798
	1,594			Bombardier Recreational Products, Inc., Term Loan B			3.750%				1/30/19				BB–				1,599,004
	3,177			Equinox Holdings, Inc., New Initial Term Loan, First Lien			5.000%				1/31/20				B1				3,208,955
	1,000			Four Seasons Holdings, Inc., Term Loan, Second Lien			6.250%				12/27/20				B–				1,005,000
	14,036			Total Leisure Products															13,963,081
				Machinery – 0.6% (0.4% of Total Investments)
	2,279			Doosan Infracore International, Inc., Term Loan			4.500%				5/27/21				BB–				2,294,452
	1,832			Rexnord LLC, Term Loan B			4.000%				8/21/20				BB–				1,835,806
	4,111			Total Machinery															4,130,258
				Media – 13.5% (8.0% of Total Investments)
	7,500			Cequel Communications LLC, Extended Term Loan, (WI/DD)			TBD				TBD				N/R				7,478,122
	3,126			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.250%				7/25/21				B1				3,126,375
	2,200			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				2,190,375
	1,743			Affinion Group Holdings, Inc., Initial Term Loan, Second Lien			8.500%				10/31/18				Caa1				1,572,981
	1,980			Catalina Marketing Corporation, Term Loan, First Lien			4.500%				4/09/21				B+				1,702,800
	2,000			Catalina Marketing Corporation, Term Loan, Second Lien			7.750%				4/11/22				CCC+				1,466,666
	5,000			Charter Communications Operating Holdings LLC, Term Loan I, (WI/DD)			TBD				TBD				N/R				5,016,520
	1,038			Clear Channel Communications, Inc., Tranche D, Term Loan			6.940%				1/30/19				CCC+				955,408
	2,718			Clear Channel Communications, Inc. Term Loan E			7.690%				7/30/19				CCC+				2,535,754
	13,537			Cumulus Media, Inc., Term Loan B, (DD1)			4.250%				12/23/20				B+				12,521,282
	3,772			Emerald Expositions Holdings, Inc., Term Loan, First Lien			4.750%				6/17/20				BB–				3,781,642
	643			EMI Music Publishing LLC, Term Loan B			3.750%				6/29/18				BB–				644,094
	890			Gray Television, Inc., Initial Term Loan			3.750%				6/13/21				BB				893,361
	2,970			IMG Worldwide, Inc., First Lien			5.250%				5/06/21				B1				2,978,910
	3,713			Interactive Data Corporation, Term Loan B			4.750%				5/02/21				B+				3,731,527
	1,500			Lions Gate Entertainment Corporation, Term Loan B, Second Lien			5.000%				3/13/22				BB–				1,509,375

 

	38			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Media (continued)
$	3,346			McGraw-Hill Education Holdings LLC, Term Loan B			4.750%				3/22/19				B+			$	3,365,132
	1,945			Mediacom Broadband LLC, Tranche G, Term Loan			4.000%				1/20/20				BB+				1,950,674
	3,201			Numericable Group S.A., Term Loan B1			4.500%				5/21/20				Ba3				3,214,176
	2,769			Numericable Group S.A., Term Loan B2			4.500%				5/21/20				Ba3				2,780,701
	3,308			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.750%				8/14/20				B1				3,324,418
	17,575			Univision Communications, Inc., Replacement Term Loan, First Lien			4.000%				3/01/20				B+				17,587,152
	673			Virgin Media Investment Holdings, Term Loan F, First Lien			3.500%				6/30/23				BB–				671,954
	1,520			Weather Channel Corporation, Term Loan, Second Lien			7.000%				6/26/20				CCC+				1,427,649
	1,999			WMG Acquisition Corporation, Tranche B, Refinancing Term Loan			3.750%				7/01/20				B+				1,982,317
	670			Yell Group PLC, Term Loan A2			5.281%				3/01/19				N/R				1,287,237
	55			Yell Group PLC, Term Loan A2, (8)			1.500%				3/03/19				N/R				—
	1,925			Yell Group PLC, Term Loan B2, PIK, (8)			0.000%				3/03/24				N/R				—
	93,316			Total Media															89,696,602
				Multiline Retail – 2.2% (1.3% of Total Investments)
	2,244			Bass Pro Group LLC, Term Loan B, First Lien			4.000%				6/05/20				BB–				2,252,791
	6,430			Dollar Tree, Inc., Term Loan B1			3.500%				7/06/22				BB+				6,455,450
	2,010			Dollar Tree, Inc., Term Loan B2			4.250%				3/09/22				BB+				2,016,281
	4,084			J.C. Penney Corporation, Inc., Term Loan			5.000%				6/20/19				B				4,091,407
	14,768			Total Multiline Retail															14,815,929
				Oil, Gas & Consumable Fuels – 2.4% (1.4% of Total Investments)
	1,124			Western Refining, Inc., Term Loan B			4.250%				11/12/20				BB–				1,126,030
	702			Crestwood Holdings LLC, Term Loan B			7.000%				6/19/19				B2				689,325
	6,794			Energy and Exploration Partners, Term Loan			7.750%				1/22/19				N/R				5,635,891
	867			EP Energy LLC, Term Loan B3, Second Lien			3.500%				5/24/18				Ba2				853,938
	1,704			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B2				942,523
	4,270			Harvey Gulf International Marine, Inc., Term Loan B			5.500%				6/18/20				B				3,305,777
	3,852			Seadrill Partners LLC, Initial Term Loan			4.000%				2/21/21				BB–				2,896,497
	428			Southcross Holdings Borrower L.P., Holdco Term Loan			6.000%				8/04/21				B2				411,801
	19,741			Total Oil, Gas & Consumable Fuels															15,861,782
				Pharmaceuticals – 8.2% (4.9% of Total Investments)
	15,000			Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)			TBD				TBD				Ba1				15,028,124
	6,000			Endo Health Solutions, Inc., Term Loan B, (WI/DD)			TBD				TBD				Ba1				6,035,154
	5,625			Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)			0.000%				5/03/13				N/R				35,156
	51			Graceway Pharmaceuticals LLC, Term Loan, (5)			0.000%				5/03/12				N/R				51,125
	1,181			Grifols, Inc., Term Loan			3.190%				2/27/21				Ba1				1,186,448
	3,552			Par Pharmaceutical Companies, Inc., Term Loan B2			4.000%				9/30/19				B1				3,554,199
	615			Par Pharmaceutical Companies, Inc., Term Loan B3			4.250%				9/30/19				B1				615,702
	3,960			Patheon, Inc., Term Loan B			4.250%				3/11/21				B1				3,951,866
	5,597			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.000%				12/01/18				Ba2				5,606,811
	4,451			Pharmaceutical Research Associates, Inc., Term Loan			4.500%				9/23/20				B+				4,472,736
	3,294			Therakos, Inc., Term Loan, First Lien			7.000%				12/27/17				B				3,289,893
	2,639			Valeant Pharmaceuticals International, Inc., Term Loan E			3.500%				8/05/20				BB+				2,644,393
	7,880			Valeant Pharmaceuticals International, Inc., Term Loan F			4.000%				4/01/22				BB+				7,926,365
	59,845			Total Pharmaceuticals															54,397,972
				Professional Services – 0.2% (0.1% of Total Investments)
	1,131			Ceridian Corporation, Term Loan B2			4.500%				9/15/20				Ba3				1,127,143
				Real Estate Investment Trust – 4.2% (2.5% of Total Investments)
	15,300			Communications Sales & Leasing, Inc., Term Loan B, First Lien			5.000%				10/24/22				BBB–				14,936,625
	4,888			Realogy Corporation, Initial Term Loan B			3.750%				3/05/20				BB				4,897,961
	2,292			Starwood Property Trust, Inc., Term Loan B			3.500%				4/17/20				BB				2,287,151
	5,672			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien			4.750%				12/18/20				B+				5,440,523
	28,152			Total Real Estate Investment Trust															27,562,260
				Real Estate Management & Development – 1.4% (0.8% of Total Investments)
	3,723			Capital Automotive LP, Term Loan, Second Lien			6.000%				4/30/20				B1				3,789,595

 

Nuveen Investments			39

---

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

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Real Estate Management & Development (continued)
$	5,608			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				Ba2			$	5,640,252
	9,331			Total Real Estate Management & Development															9,429,847
				Road & Rail – 0.3% (0.2% of Total Investments)
	2,000			Quality Distribution Inc., First Lien Term Loan, (WI/DD)			TBD				TBD				B1				1,980,000
				Semiconductors & Semiconductor Equipment – 3.1% (1.8% of Total Investments)
	7,080			Avago Technologies, Term Loan B			3.750%				5/06/21				BBB–				7,099,799
	7,368			Freescale Semiconductor, Inc., Term Loan, Tranche B4			4.250%				2/28/20				BB–				7,397,143
	2,948			Freescale Semiconductor, Inc., Term Loan, Tranche B5			5.000%				1/15/21				BB–				2,967,027
	2,906			NXP Semiconductor LLC, Term Loan D			3.250%				1/11/20				BBB–				2,905,623
	20,302			Total Semiconductors & Semiconductor Equipment															20,369,592
				Software – 9.2% (5.4% of Total Investments)
	3,089			Blackboard, Inc., Term Loan B3			4.750%				10/04/18				B+				3,095,541
	5,655			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B1				5,182,412
	5,389			Compuware Corporation, Tranche B2, Term Loan, First Lien			6.250%				12/15/21				B				5,271,067
	3,007			Datatel Parent Corp, Term Loan B1			4.000%				7/19/18				BB–				3,016,818
	4,684			Emdeon Business Services LLC, Term Loan B2			3.750%				11/02/18				Ba3				4,681,875
	12,881			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5, (DD1)			3.750%				6/03/20				Ba3				12,818,155
	1,750			Informatica Corp., Term Loan B, (WI/DD)			TBD				TBD				B				1,753,463
	2,816			Micro Focus International PLC, Term Loan B			5.250%				11/19/21				BB–				2,831,116
	3,218			Micro Focus International PLC, Term Loan C			4.500%				11/20/19				BB–				3,222,191
	6,321			Misys PLC, Term Loan B, First Lien			5.000%				12/12/18				B+				6,347,069
	4,081			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.000%				7/08/22				BB				4,118,549
	673			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.000%				7/08/22				BB				678,881
	2,615			SunGard Data Systems, Inc., Term Loan E			4.000%				3/08/20				BB				2,622,410
	5,278			Zebra Technologies Corporation, Term Loan B, First Lien			4.750%				10/27/21				BB+				5,348,281
	61,457			Total Software															60,987,828
				Specialty Retail – 1.6% (0.9% of Total Investments)
	3,598			Jo-Ann Stores, Inc., Term Loan, First Lien			4.000%				3/16/18				Ba3				3,562,203
	2,693			Petsmart, Inc., Term Loan B			4.250%				3/11/22				BB–				2,706,870
	674			Pilot Travel Centers LLC, Term Loan B, First Lien			4.250%				10/01/21				BB+				683,279
	3,400			Staples, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				BBB				3,405,185
	10,365			Total Specialty Retail															10,357,537
				Technology Hardware, Storage & Peripherals – 2.7% (1.6% of Total Investments)
	17,731			Dell, Inc., Term Loan B2			4.000%				4/29/20				BBB				17,746,572
				Textiles, Apparel & Luxury Goods – 0.7% (0.4% of Total Investments)
	4,446			Polymer Group, Inc., Initial Term Loan			5.250%				12/19/19				B2				4,478,332
				Trading Companies & Distributors – 1.9% (1.1% of Total Investments)
	10,673			HD Supply, Inc., Term Loan			4.000%				6/28/18				BB–				10,702,480
	1,666			Neff Rental/Neff Finance Closing Date Loan, Second Lien			7.250%				6/09/21				B–				1,653,591
	12,339			Total Trading Companies & Distributors															12,356,071
				Transportation Infrastructure – 0.5% (0.3% of Total Investments)
	167			Ceva Group PLC, Canadian Term Loan			6.500%				3/19/21				B2				153,940
	967			Ceva Group PLC, Dutch B.V., Term Loan			6.500%				3/19/21				B2				892,851
	929			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				3/19/21				B2				857,365
	1,333			Ceva Group PLC, US Term Loan			6.500%				3/19/21				B2				1,231,519
	3,396			Total Transportation Infrastructure															3,135,675
				Wireless Telecommunication Services – 2.5% (1.5% of Total Investments)
	4,781			Asurion LLC, Term Loan B4, First Lien, (WI/DD)			TBD				TBD				B				4,782,152
	4,781			Asurion LLC, Term Loan B1			5.000%				5/24/19				Ba3				4,801,411
	4,887			Fairpoint Communications, Inc., Term Loan B			7.500%				2/14/19				B				4,954,092

 

	40			Nuveen Investments

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Wireless Telecommunication Services (continued)
$	2,000			UPC Broadband Holding BV, Term Loan AH			3.250%				6/30/21				BB			$	1,987,858
	16,449			Total Wireless Telecommunication Services															16,525,513
$	873,158			Total Variable Rate Senior Loan Interests (cost $867,049,947)															848,729,027
Shares				Description (1)														Value
				COMMON STOCKS – 1.4% (0.8% of Total Investments)
				Diversified Consumer Services – 0.4% (0.2% of Total Investments)
	78,490			Cengage Learning Holdings II LP, (6), (7)														$	2,079,985
	9,876,769			Education Management Corporation, (6), (7)															98,768
				Total Diversified Consumer Services															2,178,753
				Hotels, Restaurants & Leisure – 0.2% (0.1% of Total Investments)
	42,041			BLB Worldwide Holdings Inc., (6), (7)															1,471,435
	2,670			Buffets Term Loan, (6), (7)															6,675
				Total Hotels, Restaurants & Leisure															1,478,110
				Media – 0.8% (0.5% of Total Investments)
	6,597			Cumulus Media, Inc., (6)															10,885
	26,045			Metro-Goldwyn-Mayer, (6), (7)															2,041,277
	57,088			Tribune Media Company															2,882,373
	45,942			Tribune Media Company, (8)															—
	14,272			Tribune Publishing Company															212,510
				Total Media															5,147,045
				Professional Services – 0.0% (0.0% of Total Investments)
	47,152			Vertrue, Inc., (6), (7)															117,880
				Software – 0.0% (0.0% of Total Investments)
	743,286			Eagle Topco LP, (6), (8)															1
				Total Common Stocks (cost $8,375,158)															8,921,789
Shares				Description (1)		Coupon								Ratings (3)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	10,989			Education Management Corporation			7.500%								N/R			$	274,725
				Total $25 Par (or similar) Retail Preferred (cost $26,686)															274,725
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CONVERTIBLE BONDS – 0.2% (0.1% of Total Investments)
				Communications Equipment – 0.2% (0.1% of Total Investments)
$	850			Nortel Networks Corp., (5)			1.750%				4/15/12				N/R			$	745,875
	1,000			Nortel Networks Corp., (5)			2.125%				4/15/14				N/R				879,375
$	1,850			Total Convertible Bonds (cost $1,563,750)															1,625,250
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 16.7% (9.9% of Total Investments)
				Commercial Services & Supplies – 0.1% (0.1% of Total Investments)
$	700			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	700,000

 

Nuveen Investments			41

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

 

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Communications Equipment – 0.3% (0.2% of Total Investments)
$	2,500			Avaya Inc., 144A			10.500%				3/01/21				CCC+			$	2,031,250
				Consumer Finance – 0.2% (0.1% of Total Investments)
	1,205			First Data Corporation, 144A			7.375%				6/15/19				BB				1,256,936
				Containers & Packaging – 0.3% (0.2% of Total Investments)
	1,715			Reynolds Group			9.875%				8/15/19				CCC+				1,803,966
				Diversified Telecommunication Services – 1.6% (1.0% of Total Investments)
	1,500			Frontier Communications Corporation			6.875%				1/15/25				BB				1,276,875
	1,500			IntelSat Limited			6.750%				6/01/18				CCC+				1,402,500
	5,750			IntelSat Limited			7.750%				6/01/21				CCC+				4,571,250
	4,550			IntelSat Limited			8.125%				6/01/23				CCC+				3,617,250
	13,300			Total Diversified Telecommunication Services															10,867,875
				Health Care Equipment & Supplies – 2.5% (1.4% of Total Investments)
	3,250			Kinetic Concepts			10.500%				11/01/18				B–				3,457,188
	2,000			Kinetic Concepts			12.500%				11/01/19				CCC+				2,145,000
	1,000			Tenet Healthcare Corporation			6.750%				2/01/20				B3				1,057,500
	4,000			Tenet Healthcare Corporation			6.000%				10/01/20				Ba2				4,350,000
	1,650			Tenet Healthcare Corporation			8.125%				4/01/22				B3				1,851,102
	3,335			THC Escrow Corporation II, 144A			6.750%				6/15/23				B3				3,485,075
	15,235			Total Health Care Equipment & Supplies															16,345,865
				Health Care Providers & Services – 2.0% (1.2% of Total Investments)
	4,000			Community Health Systems, Inc.			5.125%				8/01/21				BB				4,150,000
	6,400			Community Health Systems, Inc.			6.875%				2/01/22				B+				6,848,000
	1,200			IASIS Healthcare Capital Corporation			8.375%				5/15/19				CCC+				1,249,500
	1,000			Truven Health Analytics Inc.			10.625%				6/01/20				CCC+				1,045,000
	12,600			Total Health Care Providers & Services															13,292,500
				Hotels, Restaurants & Leisure – 0.5% (0.3% of Total Investments)
	275			Scientific Games Corporation			8.125%				9/15/18				B–				265,375
	3,200			Scientific Games International Inc.			10.000%				12/01/22				B				3,108,000
	3,475			Total Hotels, Restaurants & Leisure															3,373,375
				Media – 4.7% (2.8% of Total Investments)
	1,000			CCO Holdings LLC Finance Corporation			5.750%				9/01/23				BB–				1,023,750
	200			CCO Safari II LLC, 144A			3.579%				7/23/20				BBB–				200,591
	1,762			Clear Channel Communications, Inc.			10.000%				1/15/18				CCC–				1,409,600
	6,562			Clear Channel Communications, Inc.			9.000%				12/15/19				CCC+				6,307,723
	10,734			Clear Channel Communications, Inc.			14.000%				2/01/21				CCC–				7,097,968
	10,350			Clear Channel Communications, Inc.			9.000%				3/01/21				CCC+				9,366,750
	2,000			Dish DBS Corporation			5.875%				7/15/22				BB–				1,990,000
	1,500			Dish DBS Corporation			5.875%				11/15/24				BB–				1,455,000
	1,875			McGraw-Hill Global Education Holdings			9.750%				4/01/21				BB				2,076,563
	35,983			Total Media															30,927,945
				Pharmaceuticals – 1.1% (0.7% of Total Investments)
	2,000			Valeant Pharmaceuticals International, 144A			6.750%				8/15/18				B1				2,101,250
	1,000			Valeant Pharmaceuticals International, 144A			7.000%				10/01/20				B1				1,038,750
	1,000			Valeant Pharmaceuticals International, 144A			7.250%				7/15/22				B1				1,055,000
	3,000			VPII Escrow Corporation, 144A			7.500%				7/15/21				B1				3,255,000
	7,000			Total Pharmaceuticals															7,450,000
				Real Estate Investment Trust – 0.2% (0.1% of Total Investments)
	1,500			IStar Financial Inc.			4.000%				11/01/17				B+				1,473,750
				Semiconductors & Semiconductor Equipment – 0.7% (0.4% of Total Investments)
	500			Advanced Micro Devices, Inc.			6.750%				3/01/19				B–				363,750

 

	42			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Semiconductors & Semiconductor Equipment (continued)
$	2,800			Advanced Micro Devices, Inc.			7.750%				8/01/20				B–			$	1,884,750
	2,468			Advanced Micro Devices, Inc.			7.500%				8/15/22				B–				1,702,920
	1,000			Advanced Micro Devices, Inc.			7.000%				7/01/24				B–				665,000
	6,768			Total Semiconductors & Semiconductor Equipment															4,616,420
				Software – 0.4% (0.2% of Total Investments)
	2,500			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+				1,862,500
	1,500			Boxer Parent Company Inc./BMC Software, 144A			9.000%				10/15/19				CCC+				930,000
	4,000			Total Software															2,792,500
				Wireless Telecommunication Services – 2.1% (1.2% of Total Investments)
	750			FairPoint Communications Inc., 144A			8.750%				8/15/19				B				787,500
	7,750			Sprint Corporation			7.875%				9/15/23				B+				7,430,310
	1,750			Sprint Corporation			7.125%				6/15/24				B+				1,601,250
	3,750			T-Mobile USA Inc.			6.250%				4/01/21				BB				3,928,125
	14,000			Total Wireless Telecommunication Services															13,747,185
$	119,981			Total Corporate Bonds (cost $118,797,655)															110,679,567
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				ASSET-BACKED SECURITIES – 6.2% (3.7% of Total Investments)
$	1,200			Bluemountain Collateralized Loan Obligation, Series 2012 2A E14			5.274%				11/20/24				BB			$	1,156,472
	2,500			Bluemountain Collateralized Loan Obligations Limited 2012-1A, 144A			5.787%				7/20/23				BB				2,417,067
	500			Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A			5.287%				4/18/25				BB				465,144
	1,750			Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A			4.889%				7/15/25				BB				1,583,344
	1,000			Finn Square Collateralized Loan Obligations Limited, Series 2012-1A, 144A			5.332%				12/24/23				BB				942,369
	1,500			Flatiron Collateralized Loan Obligation Limited, Series 2011-1A			4.689%				1/15/23				BB				1,368,984
	500			ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A			5.289%				4/15/24				BB				462,863
	2,700			LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A			6.037%				10/19/22				BB				2,681,694
	6,000			LCM Limited Partnership, Collateralized Loan Obligation, 2015A			5.282%				2/25/17				BB–				5,531,502
	3,000			LCM Limited Partnership, Collateralized Loan Obligation, Series 10AR, 144A			5.789%				4/15/22				BB				3,039,753
	1,500			LCM Limited Partnership, Collateralized Loan Obligation, Series 11A			5.437%				4/19/22				BB+				1,426,460
	1,500			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-8A, 144A			5.524%				4/22/22				BB				1,499,565
	2,750			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A			5.802%				4/20/26				Ba3				2,559,939
	1,500			Madison Park Funding Limited, Series 2012-10A			5.537%				1/20/25				BB				1,426,005
	500			North End CLO Limited, Loan Pool, 144A			4.774%				7/17/25				BB				442,485
	750			Northwoods Capital Corporation, Collateralized Loan Obligations 2012-9A			5.387%				1/18/24				BB–				681,434
	3,000			Oak Hill Credit Partners IV Limited, Collateralized Loan Obligation Series 2012-6A			5.774%				5/15/23				BB				2,900,610
	800			Oak Hill Credit Partners Series 2013-9A			5.287%				10/20/25				BB–				747,843
	3,360			Oak Hill Credit Partners, Series 2012-7A			5.276%				11/20/23				BB				3,166,010
	3,000			Race Point Collateralized Loan Obligation Series 2012-7A, 144A			5.276%				11/08/24				BB–				2,801,115
	1,000			Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A			6.286%				12/15/22				BB				988,293
	3,000			Race Point Collateralized Loan Obligations, Series 2012-6A, 144A			6.032%				5/24/23				BB				2,999,799
$	43,310			Total Asset-Backed Securities (cost $40,100,244)															41,288,750
Shares				Description (1), (9)														Value
				INVESTMENT COMPANIES – 1.7% (1.0% of Total Investments)
	353,668			Eaton Vance Floating-Rate Income Trust Fund														$	4,923,058
	968,586			Eaton Vance Senior Income Trust															6,034,291
				Total Investment Companies (cost $11,981,509)															10,957,349
				Total Long-Term Investments (cost $1,047,894,949)															1,022,476,457

 

Nuveen Investments			43

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

 

Principal Amount (000)				Description (1)		Coupon				Maturity						Value
				SHORT-TERM INVESTMENTS – 14.9% (8.8% of Total Investments)
				REPURCHASE AGREEMENTS – 14.9% (8.8% of Total Investments)
$	98,944			Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $98,943,902, collateralized by $100,925,000 U.S. Treasury Notes, 2.000%, due 7/31/22, value $100,925,000			0.000%				8/03/15					$	98,943,902
				Total Short-Term Investments (cost $98,943,902)													98,943,902
				Total Investments (cost $1,146,838,851) – 169.2%													1,121,420,359
				Borrowings – (40.8)% (10), (11)													(270,300,000	)
				Variable Rate Term Preferred Shares, at Liquidation Value – (21.0)% (12)													(139,000,000	)
				Other Assets Less Liabilities – (7.4)%													(49,318,917	)
				Net Assets Applicable to Common Shares – 100%												$	662,801,442

 

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

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

 

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

 

(8)

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

 

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

 

(10)	Borrowings as a percentage of Total Investments is 24.1%.

 

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

 

(12)	Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 12.4%.

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

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

 

TBD

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

 

See accompanying notes to financial statements.

 

	44			Nuveen Investments

---

JRO

 

Nuveen Floating Rate Income Opportunity Fund
Portfolio of Investments		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 156.1% (92.1% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 129.4% (76.3% of Total Investments) (4)
				Aerospace & Defense – 2.3% (1.3% of Total Investments)
$	3,049			B/E Aerospace, Inc., Term Loan B, First Lien			4.000%				12/16/21				BB+			$	3,080,536
	4,576			Sequa Corporation, Term Loan B, (DD1)			5.250%				6/19/17				B3				4,060,824
	3,406			Transdigm, Inc., Term Loan E, First Lien			3.500%				5/16/22				Ba3				3,394,120
	11,031			Total Aerospace & Defense															10,535,480
				Airlines – 3.5% (2.1% of Total Investments)
	2,449			American Airlines, Inc., Term Loan B, First Lien			3.250%				6/27/20				BB+				2,440,517
	2,000			American Airlines, Inc., Term Loan B, First Lien			3.500%				10/08/21				BB+				2,001,876
	5,840			Delta Air Lines, Inc., Term Loan B1			3.250%				10/18/18				BBB				5,841,112
	2,925			Delta Air Lines, Inc., Term Loan B2			2.438%				4/18/16				BBB				2,925,784
	2,940			US Airways, Inc., Term Loan B1			3.500%				5/23/19				BB+				2,940,262
	16,154			Total Airlines															16,149,551
				Automobiles – 3.7% (2.2% of Total Investments)
	9,875			Chrysler Group LLC, Tranche B, Term Loan			3.250%				12/31/18				BB+				9,883,641
	5,568			Formula One Group, Term Loan, First Lien			4.750%				7/30/21				B				5,568,761
	1,500			Formula One Group, Term Loan, Second Lien			7.750%				7/29/22				CCC+				1,501,407
	16,943			Total Automobiles															16,953,809
				Building Products – 0.7% (0.4% of Total Investments)
	1,985			Gates Global LLC, Term Loan			4.250%				7/06/21				B+				1,979,883
	1,170			Quikrete Holdings, Inc., Term Loan, First Lien			4.000%				9/28/20				B+				1,171,817
	3,155			Total Building Products															3,151,700
				Capital Markets – 1.0% (0.6% of Total Investments)
	2,808			Citco III Limited, Term Loan B			4.250%				6/29/18				N/R				2,816,931
	1,965			Guggenheim Partners LLC, Initial Term Loan			4.250%				7/22/20				N/R				1,976,360
	4,773			Total Capital Markets															4,793,291
				Chemicals – 1.2% (0.7% of Total Investments)
	2,024			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				2,025,702
	440			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				441,303
	1,521			Mineral Technologies, Inc., Term Loan B2			4.750%				5/07/21				BB				1,540,867
	1,463			PQ Corporation, Term Loan B			4.000%				8/07/17				B+				1,462,592
	5,448			Total Chemicals															5,470,464
				Commercial Services & Supplies – 4.0% (2.4% of Total Investments)
	1,418			Acosta, Inc., Term Loan B			4.250%				9/26/21				B1				1,421,597
	958			ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2			3.750%				10/09/19				B+				955,698
	3,230			CCS Income Trust, Term Loan, First Lien			6.250%				5/12/18				B–				2,916,660
	261			Education Management LLC, Tranche A, Term Loan, (5)			5.500%				7/02/20				N/R				177,093
	448			Education Management LLC, Tranche B, Term Loan, (5)			2.000%				7/02/20				N/R				258,321
	3,213			iQor US, Inc., Term Loan, First Lien			6.000%				4/01/21				B				2,908,198
	333			iQor US, Inc., Term Loan, Second Lien			9.750%				4/01/22				CCC+				304,444
	8,340			Millennium Laboratories, Inc., Tranche B, Term Loan			5.250%				4/16/21				CCC+				3,502,887
	2,875			Protection One, Inc., Term Loan, First Lien			5.000%				6/18/21				B1				2,889,375
	99			Universal Services of America, Delayed Draw, Term Loan, First Lien, (WI/DD)			TBD				TBD				B				98,494
	107			Universal Services of America, Delayed Draw, Term Loan, Second Lien, (WI/DD)			TBD				TBD				CCC+				106,674
	1,401			Universal Services of America, Term Loan, First Lien, (WI/DD)			TBD				TBD				B				1,396,819
	1,643			Universal Services of America, Term Loan, Second Lien, (WI/DD)			TBD				TBD				CCC+				1,635,670
	24,326			Total Commercial Services & Supplies															18,571,930

 

Nuveen Investments			45

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

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Communications Equipment – 1.9% (1.1% of Total Investments)
$	3,918			Avaya, Inc., Term Loan B3			4.691%				10/26/17				B1			$	3,893,041
	1,060			Avaya, Inc., Term Loan B6			6.500%				3/31/18				B1				1,054,872
	1,625			Commscope, Inc., Term Loan B, First Lien			3.750%				5/28/22				BB				1,632,447
	1,995			Riverbed Technology, Inc., Term Loan B, First Lien			6.000%				4/25/22				B1				2,023,143
	8,598			Total Communications Equipment															8,603,503
				Consumer Finance – 2.3% (1.4% of Total Investments)
	2,000			First Data Corporation, Term Loan B			3.937%				6/24/22				BB–				2,001,250
	1,941			First Data Corporation, Second New Dollar, Term Loan			3.687%				3/24/17				BB–				1,941,176
	6,750			First Data Corporation, Term Loan			3.687%				3/23/18				BB–				6,742,089
	10,691			Total Consumer Finance															10,684,515
				Containers & Packaging – 0.7% (0.4% of Total Investments)
	3,289			BWAY Holding Company, Term Loan B, First Lien			5.500%				8/14/20				B2				3,312,237
				Diversified Consumer Services – 7.0% (4.1% of Total Investments)
	1,250			AlixPartners LLP, Term Loan B, First Lien, (WI/DD)			TBD				TBD				B+				1,255,312
	6,795			Cengage Learning Acquisitions, Inc., Exit Term Loan			7.000%				3/31/20				B+				6,835,920
	2,360			Harland Clarke Holdings Corporation, Term Loan B3			7.000%				5/22/18				B+				2,370,124
	1,444			Harland Clarke Holdings Corporation, Term Loan B4			6.000%				8/04/19				B+				1,448,487
	6,590			Hilton Hotels Corporation, Term Loan B2			3.500%				10/25/20				BBB–				6,610,782
	2,500			Houghton Mifflin, Term Loan B, First Lien			4.000%				5/28/21				BB				2,498,438
	821			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B				769,306
	2,634			New Albertson’s, Inc., Term Loan			4.750%				6/24/21				Ba3				2,643,490
	7,985			ServiceMaster Company, Term Loan			4.250%				7/01/21				B+				8,015,259
	32,379			Total Diversified Consumer Services															32,447,118
				Diversified Financial Services – 1.2% (0.7% of Total Investments)
	1,500			MJ Acquisition Corp., Term Loan, First Lien			4.000%				6/01/22				BB–				1,500,938
	1,500			Protection One, Inc., Term Loan, Second Lien			9.750%				6/17/22				B				1,488,750
	1,493			Transdigm, Inc., Term Loan, Second Lien			4.750%				11/12/21				B				1,498,797
	1,000			TransFirst, Inc., Term Loan, Second Lien			9.000%				11/15/22				CCC+				1,004,750
	5,493			Total Diversified Financial Services															5,493,235
				Diversified Telecommunication Services – 5.3% (3.1% of Total Investments)
	1,073			Greeneden U.S. Holdings II LLC, Term Loan B			4.000%				2/08/20				B				1,072,798
	209			Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan			3.750%				6/30/19				BB–				207,556
	1,948			Level 3 Financing, Inc., Term Loan B2			3.500%				5/31/22				BB				1,942,497
	2,667			Level 3 Financing, Inc., Term Loan, Tranche B3			4.000%				8/01/19				BB				2,674,445
	1,485			TelX Group, Inc., Initial Term Loan, First Lien			4.500%				4/09/20				B1				1,490,878
	750			TelX Group, Inc., Initial Term Loan, Second Lien			7.500%				4/09/21				CCC				757,875
	7,556			WideOpenWest Finance LLC, Term Loan B			4.500%				4/01/19				Ba3				7,575,239
	3,328			Ziggo N.V., Term Loan B1			3.500%				1/15/22				BB–				3,318,101
	2,145			Ziggo N.V., Term Loan B2			3.500%				1/15/22				BB–				2,138,247
	3,527			Ziggo N.V., Term Loan B3, Delayed Draw			3.500%				1/15/22				BB–				3,516,652
	24,688			Total Diversified Telecommunication Services															24,694,288
				Electronic Equipment, Instruments & Components – 1.0% (0.6% of Total Investments)
	2,400			SMART Modular Technologies, Inc., Term Loan B			8.250%				8/26/17				B				2,328,016
	2,222			TTM Technologies, Term Loan B			6.000%				5/31/21				B+				2,207,407
	4,622			Total Electronic Equipment, Instruments & Components															4,535,423
				Energy Equipment & Services – 1.2% (0.7% of Total Investments)
	4,032			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.000%				3/31/21				B				3,154,207
	656			Dynamic Energy Services International LLC, Term Loan			9.500%				3/06/18				B+				611,400
	1,969			Offshore Group Investment Limited, Term Loan B			5.000%				10/25/17				CCC				1,213,496
	985			Pacific Drilling S.A., Term Loan B			4.500%				6/03/18				B+				794,068
	7,642			Total Energy Equipment & Services															5,773,171

 

	46			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Food & Staples Retailing – 6.8% (4.0% of Total Investments)
$	3,464			Albertson’s LLC, Term Loan B2			5.375%				3/21/19				BB–			$	3,483,360
	18,454			Albertson’s LLC, Term Loan B4			5.500%				8/25/21				BB–				18,553,362
	3,289			BJ’s Wholesale Club, Inc., Replacement Loan, First Lien			4.500%				9/26/19				B–				3,299,066
	2,500			BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien			8.500%				3/26/20				CCC				2,523,438
	1,175			Rite Aid Corporation, Tranche 2, Term Loan, Second Lien			4.875%				6/21/21				B+				1,179,223
	2,628			Supervalu, Inc., New Term Loan			4.500%				3/21/19				BB–				2,641,999
	31,510			Total Food & Staples Retailing															31,680,448
				Food Products – 5.9% (3.5% of Total Investments)
	1,485			Hearthside Group Holdings, Term Loan, First Lien			4.500%				6/02/21				B1				1,487,265
	6,000			Jacobs Douwe Egberts, Term Loan B			4.250%				7/23/21				BB				6,000,000
	1,925			Pinnacle Foods Finance LLC, Term Loan G			3.000%				4/29/20				BB+				1,923,396
	14,089			US Foods, Inc., Incremental Term Loan			4.500%				3/31/19				B2				14,151,839
	4,038			Wilton Products, Inc., Tranche B, Term Loan			7.500%				8/30/18				B3				3,951,703
	27,537			Total Food Products															27,514,203
				Health Care Equipment & Supplies – 3.3% (1.9% of Total Investments)
	714			Ardent Medical Services, Inc., Term Loan, Second Lien			11.750%				1/02/19				CCC+				722,321
	1,489			CareCore National LLC, Term Loan			5.500%				3/05/21				B				1,481,250
	1,946			ConvaTec Healthcare, Term Loan B			4.250%				6/09/20				Ba2				1,943,257
	2,224			Kinetic Concepts, Inc., Incremental Term Loan E1			4.500%				5/04/18				BB–				2,237,426
	4,241			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				4,251,801
	2,553			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				2,546,167
	2,000			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				2,015,000
	15,167			Total Health Care Equipment & Supplies															15,197,222
				Health Care Providers & Services – 4.5% (2.7% of Total Investments)
	1,391			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB				1,395,494
	2,783			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB				2,797,611
	7,323			Drumm Investors LLC, Term Loan			6.750%				5/04/18				B				7,420,954
	867			Genesis Healthcare LLC, Term Loan			10.000%				12/04/17				B–				888,271
	1,492			Healogics, Inc., Term Loan, First Lien			5.250%				7/01/21				B				1,494,329
	2,209			Heartland Dental Care, Inc., Term Loan, First Lien			5.500%				12/21/18				B1				2,215,843
	1,500			Heartland Dental Care, Inc., Term Loan, Second Lien			9.750%				6/21/19				CCC+				1,515,000
	1,303			LHP Operations Co. LLC, Term Loan B			9.000%				7/03/18				B2				1,276,584
	1,787			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				1,792,451
	20,655			Total Health Care Providers & Services															20,796,537
				Health Care Technology – 0.5% (0.3% of Total Investments)
	2,121			Catalent Pharma Solutions, Inc., Term Loan			4.250%				5/20/21				BB				2,132,026
				Hotels, Restaurants & Leisure – 5.9% (3.5% of Total Investments)
	5,714			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				5,732,936
	2,335			CCM Merger, Inc., Term Loan B			4.500%				8/08/21				BB–				2,346,116
	3,864			CityCenter Holdings LLC, Term Loan			4.250%				10/16/20				BB–				3,879,558
	391			Extended Stay America, Inc., Term Loan			5.000%				6/24/19				BB+				397,001
	2,217			Intrawest Resorts Holdings, Inc., Term Loan B, First Lien			4.750%				12/09/20				CCC				2,239,662
	1,750			Life Time Fitness, Inc., Term Loan B			4.250%				6/10/22				BB–				1,749,636
	1,950			MGM Resorts International, Term Loan B			3.500%				12/20/19				BB				1,946,547
	3,486			Scientific Games Corporation, Term Loan B2			6.000%				10/01/21				BB–				3,505,415
	2,955			Scientific Games Corporation, Term Loan			6.000%				10/18/20				BB–				2,970,800
	2,726			Station Casino LLC, Term Loan B			4.250%				3/02/20				B+				2,736,022
	27,388			Total Hotels, Restaurants & Leisure															27,503,693
				Household Durables – 0.3% (0.2% of Total Investments)
	886			Serta Simmons Holdings LLC, Term Loan			4.250%				10/01/19				B+				888,675
	638			Tempur-Pedic International, Inc., New Term Loan B			3.500%				3/18/20				BB+				640,738
	1,524			Total Household Durables															1,529,413

 

Nuveen Investments			47

---

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

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Industrial Conglomerates – 0.2% (0.1% of Total Investments)
$	893			Brand Energy & Infrastructure Services, Inc., Initial Term Loan			4.750%				11/26/20				B1			$	861,237
				Insurance – 3.2% (1.9% of Total Investments)
	2,457			Alliant Holdings I LLC, Incremental Term Loan			5.000%				12/23/19				B+				2,460,688
	3,330			Alliant Holdings I LLC, Initial Term Loan B, First Lien, (WI/DD)			TBD				TBD				B				3,334,884
	4,425			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				B1				4,411,702
	4,644			USI Holdings Corporation, Initial Term Loan			4.250%				12/27/19				B1				4,650,934
	14,856			Total Insurance															14,858,208
				Internet & Catalog Retail – 1.1% (0.6% of Total Investments)
	4,975			Travelport LLC, Term Loan B, First Lien			5.750%				9/02/21				B				4,999,358
				Internet Software & Services – 2.2% (1.3% of Total Investments)
	737			Sabre Inc., Term Loan B2			4.000%				2/19/19				Ba3				740,928
	290			Sabre Inc., Term Loan C			3.500%				2/19/18				Ba3				290,581
	3,413			Sabre Inc., Term Loan			4.000%				2/19/19				Ba3				3,429,208
	5,819			Tibco Software, Inc., Term Loan B			6.500%				12/04/20				B1				5,838,755
	10,259			Total Internet Software & Services															10,299,472
				IT Services – 0.8% (0.5% of Total Investments)
	3,251			EIG Investors Corp., Term Loan			5.000%				11/09/19				B				3,249,931
	246			VFH Parent LLC, New Term Loan			5.250%				11/08/19				N/R				247,600
	65			Zayo Group LLC, Term Loan B			3.750%				5/06/21				Ba2				64,649
	3,562			Total IT Services															3,562,180
				Leisure Products – 2.3% (1.3% of Total Investments)
	2,259			24 Hour Fitness Worldwide, Inc., Term Loan B			4.750%				5/28/21				Ba3				2,176,994
	4,000			Academy, Ltd., Term Loan B			5.000%				7/01/22				B				4,019,376
	1,079			Bombardier Recreational Products, Inc., Term Loan B			3.750%				1/30/19				BB–				1,082,471
	2,151			Equinox Holdings, Inc., New Initial Term Loan, First Lien			5.000%				1/31/20				B1				2,172,216
	1,000			Four Seasons Holdings, Inc., Term Loan, Second Lien			6.250%				12/27/20				B–				1,005,000
	10,489			Total Leisure Products															10,456,057
				Machinery – 0.6% (0.3% of Total Investments)
	1,709			Doosan Infracore International, Inc., Term Loan			4.500%				5/27/21				BB–				1,720,758
	993			Rexnord LLC, Term Loan B			4.000%				8/21/20				BB–				994,556
	2,702			Total Machinery															2,715,314
				Media – 14.8% (8.7% of Total Investments)
	5,500			Cequel Communications LLC, Extended Term Loan, (WI/DD)			TBD				TBD				BB–				5,483,956
	2,184			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.250%				7/25/21				B1				2,183,500
	1,450			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				1,443,656
	1,743			Affinion Group Holdings, Inc., Initial Term Loan, Second Lien			8.500%				10/31/18				B3				1,572,981
	3,465			Catalina Marketing Corporation, Term Loan, First Lien			4.500%				4/09/21				B+				2,979,900
	1,500			Catalina Marketing Corporation, Term Loan, Second Lien			7.750%				4/11/22				CCC+				1,100,000
	4,000			Charter Communications Operating Holdings LLC, Term Loan I, (WI/DD)			TBD				TBD				BBB				4,013,216
	360			Clear Channel Communications, Inc., Tranche D, Term Loan			6.940%				1/30/19				CCC+				331,170
	1,646			Clear Channel Communications, Inc. Term Loan E			7.690%				7/30/19				CCC+				1,535,687
	10,716			Cumulus Media, Inc., Term Loan B , (DD1)			4.250%				12/23/20				B+				9,912,266
	2,515			Emerald Expositions Holdings, Inc., Term Loan, First Lien			4.750%				6/17/20				BB–				2,521,095
	191			EMI Music Publishing LLC, Term Loan B			3.750%				6/29/18				BB–				191,797
	594			Gray Television, Inc., Initial Term Loan			3.750%				6/13/21				BB				595,574
	1,980			IMG Worldwide, Inc., First Lien			5.250%				5/06/21				B1				1,985,940
	3,218			Interactive Data Corporation, Term Loan B			4.750%				5/02/21				B+				3,233,990
	1,125			Lions Gate Entertainment Corporation, Term Loan B, Second Lien			5.000%				3/13/22				BB–				1,132,031
	2,510			McGraw-Hill Education Holdings LLC, Term Loan B			4.750%				3/22/19				B+				2,523,849
	2,463			McGraw-Hill Education Holdings LLC, Term Loan B			6.250%				12/18/19				BB–				2,482,508
	1,945			Mediacom Broadband LLC, Tranche G, Term Loan			4.000%				1/20/20				BB+				1,950,674
	3,734			Numericable Group S.A., Term Loan B1			4.500%				5/21/20				Ba3				3,749,872
	3,231			Numericable Group S.A., Term Loan B2			4.500%				5/21/20				Ba3				3,244,151

 

	48			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Media (continued)
$	2,205			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.750%				8/14/20				B1			$	2,216,278
	8,405			Univision Communications, Inc., Replacement Term Loan, First Lien			4.000%				3/01/20				B+				8,411,247
	1,520			Weather Channel Corporation, Term Loan, Second Lien			7.000%				6/26/20				CCC+				1,427,649
	1,474			WMG Acquisition Corporation, Tranche B, Refinancing Term Loan			3.750%				7/01/20				B+				1,461,539
	448			Yell Group PLC, Term Loan A2			5.281%				3/01/19				CCC+				859,939
	36			Yell Group PLC, Term Loan A2, (8)			1.500%				3/03/19				CCC+				—
	1,286			Yell Group PLC, Term Loan B2, PIK, (8)			0.000%				3/03/24				CCC–				—
	71,444			Total Media															68,544,465
				Multiline Retail – 2.5% (1.5% of Total Investments)
	1,746			Bass Pro Group LLC, Term Loan B, First Lien			4.000%				6/05/20				BB–				1,752,171
	5,300			Dollar Tree, Inc., Term Loan B1			3.500%				7/06/22				BB+				5,320,977
	1,650			Dollar Tree, Inc., Term Loan B2			4.250%				3/09/22				BB+				1,655,156
	2,846			J.C. Penney Corporation, Inc., Term Loan			5.000%				6/20/19				B				2,851,587
	11,542			Total Multiline Retail															11,579,891
				Oil, Gas & Consumable Fuels – 2.5% (1.5% of Total Investments)
	843			Western Refining, Inc., Term Loan B			4.250%				11/12/20				BB–				844,522
	712			Crestwood Holdings LLC, Term Loan B			7.000%				6/19/19				B2				698,467
	5,435			Energy and Exploration Partners, Term Loan			7.750%				1/22/19				N/R				4,508,713
	173			EP Energy LLC, Term Loan B3, Second Lien			3.500%				5/24/18				Ba2				170,788
	1,630			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B2				901,823
	2,748			Harvey Gulf International Marine, Inc., Term Loan B			5.500%				6/18/20				B				2,127,133
	2,926			Seadrill Partners LLC, Initial Term Loan			4.000%				2/21/21				BB–				2,200,152
	306			Southcross Holdings Borrower L.P., Holdco Term Loan			6.000%				8/04/21				B2				294,143
	14,773			Total Oil, Gas & Consumable Fuels															11,745,741
				Pharmaceuticals – 8.0% (4.7% of Total Investments)
	10,000			Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)			TBD				TBD				Ba1				10,018,749
	4,500			Endo Health Solutions, Inc., Term Loan B, (WI/DD)			TBD				TBD				Ba1				4,526,366
	3,125			Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)			0.000%				5/03/13				N/R				19,531
	62			Graceway Pharmaceuticals LLC, Term Loan, (5)			0.000%				5/03/12				N/R				62,632
	941			Grifols, Inc., Term Loan			3.190%				2/27/21				Ba1				945,243
	2,220			Par Pharmaceutical Companies, Inc., Term Loan B2			4.000%				9/30/19				B1				2,221,374
	384			Par Pharmaceutical Companies, Inc., Term Loan B3			4.250%				9/30/19				B1				384,814
	2,970			Patheon, Inc., Term Loan B			4.250%				3/11/21				B1				2,963,900
	2,479			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.000%				12/01/18				Ba2				2,483,222
	3,677			Pharmaceutical Research Associates, Inc., Term Loan			4.500%				9/23/20				B+				3,694,869
	1,882			Therakos, Inc., Term Loan, First Lien			7.000%				12/27/17				B				1,879,939
	1,418			Valeant Pharmaceuticals International, Inc., Term Loan E			3.500%				8/05/20				BB+				1,421,523
	6,484			Valeant Pharmaceuticals International, Inc., Term Loan F			4.000%				4/01/22				Ba1				6,521,693
	40,142			Total Pharmaceuticals															37,143,855
				Professional Services – 0.0% (0.0% of Total Investments)
	156			Ceridian Corporation, Term Loan B2			4.500%				9/15/20				Ba3				155,074
				Real Estate Investment Trust – 4.2% (2.5% of Total Investments)
	10,800			Communications Sales & Leasing, Inc., Term Loan B, First Lien			5.000%				10/24/22				BBB–				10,543,499
	3,910			Realogy Corporation, Initial Term Loan B			3.750%				3/05/20				BB				3,918,369
	1,427			Starwood Property Trust, Inc., Term Loan B			3.500%				4/17/20				BB				1,423,951
	3,956			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien			4.750%				12/18/20				B+				3,794,315
	20,093			Total Real Estate Investment Trust															19,680,134
				Real Estate Management & Development – 1.3% (0.8% of Total Investments)
	2,482			Capital Automotive LP, Term Loan, Second Lien			6.000%				4/30/20				B1				2,526,396
	3,381			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				Ba2				3,401,077
	5,863			Total Real Estate Management & Development															5,927,473
				Road & Rail – 0.3% (0.2% of Total Investments)
	1,500			Quality Distribution Inc., First Lien Term Loan, (WI/DD)			TBD				TBD				B1				1,485,000

 

Nuveen Investments			49

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

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Semiconductors & Semiconductor Equipment – 3.0% (1.8% of Total Investments)
$	4,930			Avago Technologies, Term Loan B			3.750%				5/06/21				BBB–			$	4,943,433
	4,903			Freescale Semiconductor, Inc., Term Loan, Tranche B4			4.250%				2/28/20				B1				4,922,297
	1,965			Freescale Semiconductor, Inc., Term Loan, Tranche B5			5.000%				1/15/21				B1				1,978,018
	1,937			NXP Semiconductor LLC, Term Loan D			3.250%				1/11/20				BBB–				1,937,082
	13,735			Total Semiconductors & Semiconductor Equipment															13,780,830
				Software – 10.1% (6.0% of Total Investments)
	2,000			Ascend Learning LLC, Term Loan, Second Lien			9.500%				11/30/20				CCC+				1,998,750
	3,482			Blackboard, Inc., Term Loan B3			4.750%				10/04/18				B+				3,488,801
	4,229			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B1				3,876,018
	4,491			Compuware Corporation, Tranche B2, Term Loan, First Lien			6.250%				12/15/21				B				4,392,555
	1,623			Datatel Parent Corp, Term Loan B1			4.000%				7/19/18				BB–				1,628,187
	2,907			Emdeon Business Services LLC, Term Loan B2			3.750%				11/02/18				Ba3				2,905,308
	9,100			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5, (DD1)			3.750%				6/03/20				Ba3				9,055,596
	1,250			Informatica Corp., Term Loan B, (WI/DD)			TBD				TBD				B				1,252,474
	1,232			Micro Focus International PLC, Term Loan B			5.250%				11/19/21				BB–				1,238,613
	2,048			Micro Focus International PLC, Term Loan C			4.500%				11/20/19				BB–				2,050,485
	4,619			Misys PLC, Term Loan B, First Lien			5.000%				12/12/18				B+				4,638,243
	3,265			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.000%				7/08/22				BB				3,294,839
	538			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.000%				7/08/22				BB				543,105
	2,179			SunGard Data Systems, Inc., Term Loan E			4.000%				3/08/20				BB				2,185,342
	4,223			Zebra Technologies Corporation, Term Loan B, First Lien			4.750%				10/27/21				BB+				4,278,625
	47,186			Total Software															46,826,941
				Specialty Retail – 1.6% (0.9% of Total Investments)
	1,938			Jo-Ann Stores, Inc., Term Loan, First Lien			4.000%				3/16/18				Ba3				1,918,148
	2,244			Petsmart, Inc., Term Loan B			4.250%				3/11/22				BB–				2,255,725
	449			Pilot Travel Centers LLC, Term Loan B, First Lien			4.250%				10/01/21				BB+				455,519
	2,600			Staples, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				BBB				2,603,965
	7,231			Total Specialty Retail															7,233,357
				Technology Hardware, Storage & Peripherals – 2.8% (1.6% of Total Investments)
	12,805			Dell, Inc., Term Loan B2			4.000%				4/29/20				BBB				12,816,969
				Textiles, Apparel & Luxury Goods – 0.5% (0.3% of Total Investments)
	2,470			Polymer Group, Inc., Initial Term Loan			5.250%				12/19/19				B2				2,488,489
				Trading Companies & Distributors – 1.2% (0.7% of Total Investments)
	4,498			HD Supply, Inc., Term Loan			4.000%				6/28/18				B+				4,510,097
	1,250			Neff Rental/Neff Finance Closing Date Loan, Second Lien			7.250%				6/09/21				B–				1,240,193
	5,748			Total Trading Companies & Distributors															5,750,290
				Transportation Infrastructure – 0.4% (0.2% of Total Investments)
	100			Ceva Group PLC, Canadian Term Loan			6.500%				3/19/21				B2				92,364
	580			Ceva Group PLC, Dutch B.V., Term Loan			6.500%				3/19/21				B2				535,711
	557			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				3/19/21				B2				514,419
	800			Ceva Group PLC, US Term Loan			6.500%				3/19/21				B2				738,911
	2,037			Total Transportation Infrastructure															1,881,405
				Wireless Telecommunication Services – 1.6% (1.0% of Total Investments)
	2,173			Asurion LLC, Term Loan B4, First Lien, (WI/DD)			TBD				TBD				B				2,173,705
	2,173			Asurion LLC, Term Loan B1			5.000%				5/24/19				Ba3				2,182,460
	3,176			Fairpoint Communications, Inc., Term Loan B			7.500%				2/14/19				B				3,220,163
	7,522			Total Wireless Telecommunication Services															7,576,328
$	617,117			Total Variable Rate Senior Loan Interests (cost $611,642,451)															599,891,325

 

	50			Nuveen Investments

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Shares				Description (1)														Value
				COMMON STOCKS – 1.6% (1.0% of Total Investments)
				Diversified Consumer Services – 0.4% (0.3% of Total Investments)
	71,949			Cengage Learning Holdings II LP, (6), (7)														$	1,906,648
	3,124,035			Education Management Corporation, (6), (7)															31,240
				Total Diversified Consumer Services															1,937,888
				Hotels, Restaurants & Leisure – 0.3% (0.2% of Total Investments)
	42,041			BLB Worldwide Holdings Inc., (6), (7)															1,471,435
				Media – 0.9% (0.5% of Total Investments)
	5,752			Cumulus Media, Inc., (6)															9,491
	23,363			Metro-Goldwyn-Mayer, (6), (7)															1,831,075
	44,843			Tribune Media Company															2,264,123
	36,087			Tribune Media Company, (8)															—
	11,210			Tribune Publishing Company															166,917
				Total Media															4,271,606
				Software – 0.0% (0.0% of Total Investments)
	496,552			Eagle Topco LP, (6), (8)															1
				Total Common Stocks (cost $6,653,411)															7,680,930
Shares				Description (1)		Coupon								Ratings (3)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	3,476			Education Management Corporation			7.500%								N/R			$	86,900
				Total $25 Par (or similar) Retail Preferred (cost $8,437)															86,900
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CONVERTIBLE BONDS – 0.3% (0.2% of Total Investments)
				Communications Equipment – 0.3% (0.2% of Total Investments)
$	550			Nortel Networks Corp., (5)			1.750%				4/15/12				N/R			$	482,625
	1,000			Nortel Networks Corp., (5)			2.125%				4/15/14				N/R				879,375
$	1,550			Total Convertible Bonds (cost $1,307,500)															1,362,000
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 18.9% (11.1% of Total Investments)
				Commercial Services & Supplies – 0.2% (0.1% of Total Investments)
$	900			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	900,000
				Communications Equipment – 0.4% (0.2% of Total Investments)
	2,000			Avaya Inc., 144A			10.500%				3/01/21				CCC+				1,625,000
				Consumer Finance – 0.2% (0.1% of Total Investments)
	803			First Data Corporation, 144A			7.375%				6/15/19				BB				837,609
				Containers & Packaging – 0.3% (0.2% of Total Investments)
	1,178			Reynolds Group			9.875%				8/15/19				CCC+				1,239,109
				Diversified Telecommunication Services – 1.9% (1.1% of Total Investments)
	1,000			Frontier Communications Corporation			6.875%				1/15/25				BB				851,250
	1,400			IntelSat Limited			6.750%				6/01/18				CCC+				1,309,000
	4,300			IntelSat Limited			7.750%				6/01/21				CCC+				3,418,500
	4,100			IntelSat Limited			8.125%				6/01/23				CCC+				3,259,500
	10,800			Total Diversified Telecommunication Services															8,838,250

 

Nuveen Investments			51

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

 

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Health Care Equipment & Supplies – 2.6% (1.5% of Total Investments)
$	3,000			Kinetic Concepts			10.500%				11/01/18				B–			$	3,191,250
	2,000			Kinetic Concepts			12.500%				11/01/19				CCC+				2,145,000
	3,000			Tenet Healthcare Corporation			6.000%				10/01/20				Ba2				3,262,500
	1,100			Tenet Healthcare Corporation			8.125%				4/01/22				B3				1,234,068
	2,225			THC Escrow Corporation II, 144A			6.750%				6/15/23				B3				2,325,125
	11,325			Total Health Care Equipment & Supplies															12,157,943
				Health Care Providers & Services – 2.2% (1.3% of Total Investments)
	3,000			Community Health Systems, Inc.			5.125%				8/01/21				BB				3,112,500
	4,800			Community Health Systems, Inc.			6.875%				2/01/22				B+				5,136,000
	900			IASIS Healthcare Capital Corporation			8.375%				5/15/19				CCC+				937,125
	1,000			Truven Health Analytics Inc.			10.625%				6/01/20				CCC+				1,045,000
	9,700			Total Health Care Providers & Services															10,230,625
				Hotels, Restaurants & Leisure – 0.6% (0.3% of Total Investments)
	275			Scientific Games Corporation			8.125%				9/15/18				B–				265,375
	2,550			Scientific Games International Inc.			10.000%				12/01/22				B				2,476,688
	2,825			Total Hotels, Restaurants & Leisure															2,742,063
				Machinery – 0.2% (0.1% of Total Investments)
	1,030			Xerium Technologies			8.875%				6/15/18				B				1,060,900
				Media – 5.2% (3.1% of Total Investments)
	150			CCO Safari II LLC, 144A			3.579%				7/23/20				BBB–				150,443
	1,714			Clear Channel Communications, Inc.			10.000%				1/15/18				CCC–				1,371,200
	6,412			Clear Channel Communications, Inc.			9.000%				12/15/19				CCC+				6,163,535
	10,718			Clear Channel Communications, Inc.			14.000%				2/01/21				CCC–				7,087,352
	7,850			Clear Channel Communications, Inc.			9.000%				3/01/21				CCC+				7,104,250
	1,200			Expo Event Transco Inc., 144A			9.000%				6/15/21				B–				1,233,000
	1,000			McGraw-Hill Global Education Holdings			9.750%				4/01/21				BB				1,107,500
	29,044			Total Media															24,217,280
				Pharmaceuticals – 1.4% (0.8% of Total Investments)
	1,250			Valeant Pharmaceuticals International, 144A			6.750%				8/15/18				B1				1,313,281
	2,000			Valeant Pharmaceuticals International, 144A			7.000%				10/01/20				B1				2,077,500
	1,000			Valeant Pharmaceuticals International, 144A			7.250%				7/15/22				B1				1,055,000
	2,000			VPII Escrow Corporation, 144A			7.500%				7/15/21				B1				2,170,000
	6,250			Total Pharmaceuticals															6,615,781
				Real Estate Investment Trust – 0.3% (0.2% of Total Investments)
	1,250			iStar Financial Inc.			4.000%				11/01/17				B+				1,228,125
				Semiconductors & Semiconductor Equipment – 0.7% (0.4% of Total Investments)
	500			Advanced Micro Devices, Inc.			6.750%				3/01/19				B–				363,750
	2,050			Advanced Micro Devices, Inc.			7.750%				8/01/20				B–				1,379,906
	2,200			Advanced Micro Devices, Inc.			7.500%				8/15/22				B–				1,518,000
	4,750			Total Semiconductors & Semiconductor Equipment															3,261,656
				Software – 0.4% (0.3% of Total Investments)
	1,750			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+				1,303,750
	1,100			Boxer Parent Company Inc./BMC Software, 144A			9.000%				10/15/19				CCC+				682,000
	2,850			Total Software															1,985,750
				Specialty Retail – 0.1% (0.1% of Total Investments)
	500			99 Cents Only Stores			11.000%				12/15/19				Caa1				410,000
				Wireless Telecommunication Services – 2.2% (1.3% of Total Investments)
	750			FairPoint Communications Inc., 144A			8.750%				8/15/19				B				787,500
	6,000			Sprint Corporation			7.875%				9/15/23				B+				5,752,500

 

	52			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Wireless Telecommunication Services (continued)
$	500			Sprint Corporation			7.125%				6/15/24				B+			$	457,500
	2,750			T-Mobile USA Inc.			6.250%				4/01/21				BB				2,880,625
	175			T-Mobile USA Inc.			6.731%				4/28/22				BB				185,500
	175			T-Mobile USA Inc.			6.836%				4/28/23				BB				187,250
	10,350			Total Wireless Telecommunication Services															10,250,875
$	95,555			Total Corporate Bonds (cost $94,131,297)															87,600,966
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				ASSET-BACKED SECURITIES – 5.9% (3.5% of Total Investments)
$	800			Bluemountain Collateralized Loan Obligation, Series 2012 2A E14			5.274%				11/20/24				BB			$	770,982
	2,500			Bluemountain Collateralized Loan Obligations Limited 2012-1A, 144A			5.787%				7/20/23				BB				2,417,068
	1,250			Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A			4.889%				7/15/25				BB				1,130,960
	1,500			Flatiron Collateralized Loan Obligation Limited, Series 2011-1A			4.689%				1/15/23				BB				1,368,984
	250			ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A			5.289%				4/15/24				BB				231,431
	1,800			LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A			6.037%				10/19/22				BB				1,787,796
	4,000			LCM Limited Partnership, Collateralized Loan Obligation, 2015A			5.282%				2/25/17				BB–				3,687,668
	2,000			LCM Limited Partnership, Collateralized Loan Obligation, Series 10AR, 144A			5.789%				4/15/22				BB				2,026,502
	1,500			LCM Limited Partnership, Collateralized Loan Obligation, Series 11A			5.437%				4/19/22				BB+				1,426,460
	1,500			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-8A, 144A			5.524%				4/22/22				BB				1,499,565
	1,250			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A			5.802%				4/20/26				Ba3				1,163,609
	500			North End CLO Limited, Loan Pool, 144A			4.774%				7/17/25				BB				442,485
	2,000			Oak Hill Credit Partners IV Limited, Collateralized Loan Obligation Series 2012-6A			5.774%				5/15/23				BB				1,933,740
	450			Oak Hill Credit Partners Series 2013-9A			5.287%				10/20/25				BB–				420,662
	2,240			Oak Hill Credit Partners, Series 2012-7A			5.276%				11/20/23				BB				2,110,673
	2,000			Race Point Collateralized Loan Obligation Series 2012-7A, 144A			5.276%				11/08/24				BB–				1,867,410
	1,000			Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A			6.286%				12/15/22				BB				988,293
	2,000			Race Point Collateralized Loan Obligations, Series 2012-6A, 144A			6.032%				5/24/23				BB				1,999,865
$	28,540			Total Asset-Backed Securities (cost $26,362,702)															27,274,153
				Total Long-Term Investments (cost $740,105,798)															723,896,274
Principal Amount (000)				Description (1)		Coupon				Maturity								Value
				SHORT-TERM INVESTMENTS – 13.3% (7.9% of Total Investments)
				REPURCHASE AGREEMENTS – 13.3% (7.9% of Total Investments)
$	61,801			Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $61,801,154, collateralized by $62,260,000 U.S. Treasury Notes, 1.875%, due 6/30/20, value $63,038,250			0.000%				8/03/15							$	61,801,154
				Total Short-Term Investments (cost $61,801,154)															61,801,154
				Total Investments (cost $801,906,952) – 169.4%															785,697,428
				Borrowings – (40.7)% (9), (10)															(188,800,000	)
				Variable Rate Term Preferred Shares, at Liquidation Value – (21.1)% (11)															(98,000,000	)
				Other Assets Less Liabilities – (7.6)%															(35,168,626	)
				Net Assets Applicable to Common Shares – 100%														$	463,728,802

 

Nuveen Investments			53

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

 

 

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

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

 

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

 

(8)

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

 

(9)	Borrowings as a percentage of Total Investments is 24.0%.

 

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

 

(11)	Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 12.5%.

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

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

 

TBD

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

 

See accompanying notes to financial statements.

 

	54			Nuveen Investments

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JSD

 

Nuveen Short Duration Credit Opportunities Fund
Portfolio of Investments		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 141.2% (94.4% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 123.0% (82.2% of Total Investments) (4)
				Aerospace & Defense – 2.1% (1.4% of Total Investments)
$	1,829			B/E Aerospace, Inc., Term Loan B, First Lien			4.000%				12/16/21				BB+			$	1,848,322
	2,391			Sequa Corporation, Term Loan B			5.250%				6/19/17				B3				2,122,000
	4,220			Total Aerospace & Defense															3,970,322
				Airlines – 5.2% (3.5% of Total Investments)
	983			American Airlines, Inc., Term Loan B, First Lien			3.250%				6/27/20				BB+				979,166
	1,750			American Airlines, Inc., Term Loan B, First Lien			3.500%				10/08/21				BB+				1,751,642
	3,120			Delta Air Lines, Inc., Term Loan B1			3.250%				10/18/18				BBB				3,120,487
	975			Delta Air Lines, Inc., Term Loan B2			2.438%				4/18/16				BBB				975,261
	1,920			Delta Air Lines, Inc., Term Loan B			3.250%				4/20/17				BBB				1,922,160
	980			US Airways, Inc., Term Loan B1			3.500%				5/23/19				BB+				980,087
	9,728			Total Airlines															9,728,803
				Automobiles – 2.4% (1.6% of Total Investments)
	988			Chrysler Group LLC, Tranche B, Term Loan			3.250%				12/31/18				BB+				988,364
	2,784			Formula One Group, Term Loan, First Lien			4.750%				7/30/21				B				2,784,380
	750			Formula One Group, Term Loan, Second Lien			7.750%				7/29/22				CCC+				750,704
	4,522			Total Automobiles															4,523,448
				Building Products – 0.6% (0.4% of Total Investments)
	1,191			Gates Global LLC, Term Loan			4.250%				7/06/21				B+				1,187,930
				Chemicals – 0.8% (0.6% of Total Investments)
	965			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				965,652
	210			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				210,369
	399			Mineral Technologies, Inc., Term Loan B2			4.750%				5/07/21				BB				403,851
	1,574			Total Chemicals															1,579,872
				Commercial Services & Supplies – 3.1% (2.0% of Total Investments)
	709			Acosta, Inc., Term Loan B			4.250%				9/26/21				B1				710,798
	1,491			CCS Income Trust, Term Loan, First Lien			6.250%				5/12/18				B–				1,346,151
	1,836			iQor US, Inc., Term Loan, First Lien			6.000%				4/01/21				B				1,661,827
	167			iQor US, Inc., Term Loan, Second Lien			9.750%				4/01/22				CCC+				152,222
	2,027			Millennium Laboratories, Inc., Tranche B, Term Loan			5.250%				4/16/21				CCC+				851,203
	66			Universal Services of America, Delayed Draw, Term Loan, First Lien, (WI/DD)			TBD				TBD				B				65,662
	934			Universal Services of America, Term Loan, First Lien, (WI/DD)			TBD				TBD				B				931,213
	7,230			Total Commercial Services & Supplies															5,719,076
				Communications Equipment – 2.7% (1.8% of Total Investments)
	1,524			Avaya, Inc., Term Loan B3			4.691%				10/26/17				B1				1,513,928
	326			Avaya, Inc., Term Loan B6			6.500%				3/31/18				B1				324,211
	1,083			Commscope, Inc., Term Loan B, First Lien			3.750%				5/28/22				BB				1,088,298
	998			Riverbed Technology, Inc., Term Loan B, First Lien			6.000%				4/25/22				B1				1,011,571
	1,140			Telesat Canada Inc., Term Loan B			3.500%				3/28/19				BB–				1,140,730
	5,071			Total Communications Equipment															5,078,738
				Consumer Finance – 1.6% (1.1% of Total Investments)
	3,000			First Data Corporation, Term Loan			3.687%				3/23/18				BB–				2,996,484
				Containers & Packaging – 1.2% (0.8% of Total Investments)
	1,089			BWAY Holding Company, Term Loan B, First Lien			5.500%				8/14/20				B2				1,096,657

 

Nuveen Investments			55

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JSD		Nuveen Short Duration Credit Opportunities Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Containers & Packaging (continued)
$	1,095			Reynolds Group Holdings, Inc., Incremental US Term Loan, First Lien			4.500%				12/01/18				B+			$	1,102,342
	2,184			Total Containers & Packaging															2,198,999
				Diversified Consumer Services – 4.8% (3.2% of Total Investments)
	750			AlixPartners LLP, Term Loan B, First Lien, (WI/DD)			TBD				TBD				B+				753,188
	2,499			Cengage Learning Acquisitions, Inc., Exit Term Loan			7.000%				3/31/20				B+				2,513,957
	2,522			Harland Clarke Holdings Corporation, Term Loan B3			7.000%				5/22/18				B+				2,532,543
	492			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B				461,038
	878			New Albertson’s, Inc., Term Loan			4.750%				6/24/21				Ba3				881,163
	1,822			ServiceMaster Company, Term Loan			4.250%				7/01/21				B+				1,828,724
	8,963			Total Diversified Consumer Services															8,970,613
				Diversified Financial Services – 0.5% (0.4% of Total Investments)
	995			Transdigm, Inc., Term Loan, Second Lien			4.750%				11/12/21				B				999,198
				Diversified Telecommunication Services – 4.4% (2.9% of Total Investments)
	858			Greeneden U.S. Holdings II LLC, Term Loan B			4.000%				2/08/20				B				858,238
	974			Level 3 Financing, Inc., Term Loan B2			3.500%				5/31/22				BB				971,248
	470			SBA Communication, Incremental Term Loan, Tranche B1			3.250%				3/24/21				BB				467,746
	990			TelX Group, Inc., Initial Term Loan, First Lien			4.500%				4/09/20				B1				993,918
	2,934			WideOpenWest Finance LLC, Term Loan B			4.500%				4/01/19				Ba3				2,941,788
	740			Ziggo N.V., Term Loan B1			3.500%				1/15/22				BB–				737,356
	477			Ziggo N.V., Term Loan B2			3.500%				1/15/22				BB–				475,166
	784			Ziggo N.V., Term Loan B3, Delayed Draw			3.500%				1/15/22				BB–				781,478
	8,227			Total Diversified Telecommunication Services															8,226,938
				Electronic Equipment, Instruments & Components – 1.3% (0.8% of Total Investments)
	1,096			SMART Modular Technologies, Inc., Term Loan B			8.250%				8/26/17				B				1,062,964
	1,333			TTM Technologies, Term Loan B			6.000%				5/31/21				B+				1,324,444
	2,429			Total Electronic Equipment, Instruments & Components															2,387,408
				Energy Equipment & Services – 1.1% (0.7% of Total Investments)
	1,809			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.000%				3/31/21				B				1,415,214
	1,054			Offshore Group Investment Limited, Term Loan B			5.000%				10/25/17				CCC				649,662
	2,863			Total Energy Equipment & Services															2,064,876
				Food & Staples Retailing – 8.1% (5.4% of Total Investments)
	2,474			Albertson’s LLC, Term Loan B2			5.375%				3/21/19				BB–				2,487,757
	8,978			Albertson’s LLC, Term Loan B4			5.500%				8/25/21				BB–				9,025,961
	493			BJ’s Wholesale Club, Inc., Replacement Loan, First Lien			4.500%				9/26/19				B–				494,386
	250			BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien			8.500%				3/26/20				CCC				252,344
	985			Del Monte Foods Company, Term Loan, First Lien			4.258%				2/18/21				B				957,913
	1,000			Rite Aid Corporation, Tranche 2, Term Loan, Second Lien			4.875%				6/21/21				B+				1,003,594
	972			Supervalu, Inc., New Term Loan			4.500%				3/21/19				BB–				977,085
	15,152			Total Food & Staples Retailing															15,199,040
				Food Products – 4.0% (2.7% of Total Investments)
	3,000			Jacobs Douwe Egberts, Term Loan B			4.250%				7/23/21				BB				3,000,000
	3,371			US Foods, Inc., Incremental Term Loan			4.500%				3/31/19				B2				3,386,300
	1,211			Wilton Products, Inc., Tranche B, Term Loan			7.500%				8/30/18				B3				1,185,511
	7,582			Total Food Products															7,571,811
				Health Care Equipment & Supplies – 5.6% (3.7% of Total Investments)
	394			Ardent Medical Services, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				B1				396,838
	867			Ardent Medical Services, Inc., Term Loan, First Lien			7.500%				7/02/18				B+				869,085
	714			Ardent Medical Services, Inc., Term Loan, Second Lien			11.750%				1/02/19				CCC+				722,321
	1,741			ConvaTec Healthcare, Term Loan B			4.250%				6/09/20				Ba2				1,739,400
	1,804			Kinetic Concepts, Inc., Incremental Term Loan E1			4.500%				5/04/18				BB-				1,814,562
	2,968			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				2,976,261
	973			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				969,968

 

	56			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Health Care Equipment & Supplies (continued)
$	1,000			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1			$	1,007,500
	10,461			Total Health Care Equipment & Supplies															10,495,935
				Health Care Providers & Services – 6.2% (4.2% of Total Investments)
	1,584			Amsurg Corporation, Term Loan			3.750%				7/16/21				Ba2				1,589,693
	50			Community Health Systems, Inc., Term Loan F			3.534%				12/31/18				BB				49,870
	568			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB				570,107
	1,137			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB				1,142,920
	2,564			Drumm Investors LLC, Term Loan			6.750%				5/04/18				B				2,597,924
	806			Genesis Healthcare LLC, Term Loan			10.000%				12/04/17				B–				825,884
	1,721			Heartland Dental Care, Inc., Term Loan, First Lien			5.500%				12/21/18				B1				1,726,756
	500			Heartland Dental Care, Inc., Term Loan, Second Lien			9.750%				6/21/19				CCC+				505,000
	1,200			IASIS Healthcare LLC, Term Loan B2, First Lien			4.500%				5/03/18				Ba3				1,204,925
	868			LHP Operations Co. LLC, Term Loan B			9.000%				7/03/18				B2				851,056
	596			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				597,484
	11,594			Total Health Care Providers & Services															11,661,619
				Health Care Technology – 0.4% (0.3% of Total Investments)
	792			Catalent Pharma Solutions, Inc., Term Loan			4.250%				5/20/21				BB				796,110
				Hotels, Restaurants & Leisure – 6.4% (4.3% of Total Investments)
	2,856			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				2,866,468
	2,082			CCM Merger, Inc., Term Loan B			4.500%				8/08/21				BB–				2,092,978
	2,273			CityCenter Holdings LLC, Term Loan			4.250%				10/16/20				BB–				2,282,093
	1,000			Life Time Fitness, Inc., Term Loan B			4.250%				6/10/22				BB–				999,792
	1,990			Scientific Games Corporation, Term Loan B2			6.000%				10/01/21				BB–				2,000,945
	1,818			Station Casino LLC, Term Loan B			4.250%				3/02/20				B+				1,824,014
	12,019			Total Hotels, Restaurants & Leisure															12,066,290
				Industrial Conglomerates – 0.5% (0.3% of Total Investments)
	916			Brand Energy & Infrastructure Services, Inc., Initial Term Loan			4.750%				11/26/20				B1				883,434
				Insurance – 1.4% (0.9% of Total Investments)
	607			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				B1				604,841
	1,950			USI Holdings Corporation, Initial Term Loan			4.250%				12/27/19				B1				1,953,106
	2,557			Total Insurance															2,557,947
				Internet & Catalog Retail – 1.6% (1.1% of Total Investments)
	2,985			Travelport LLC, Term Loan B, First Lien			5.750%				9/02/21				B				2,999,615
				Internet Software & Services – 3.3% (2.2% of Total Investments)
	713			Ancestry.com, Inc., Replacement Term Loan B1			4.500%				12/28/18				Ba2				716,433
	116			Sabre Inc., Term Loan C			3.500%				2/19/18				Ba3				116,232
	2,438			Sabre Inc., Term Loan			4.000%				2/19/19				Ba3				2,449,434
	2,909			Tibco Software, Inc., Term Loan B			6.500%				12/04/20				B1				2,919,377
	6,176			Total Internet Software & Services															6,201,476
				IT Services – 1.6% (1.1% of Total Investments)
	1,741			EIG Investors Corp., Term Loan			5.000%				11/09/19				B				1,740,140
	323			VFH Parent LLC, New Term Loan			5.250%				11/08/19				N/R				324,684
	977			Zayo Group LLC, Term Loan B			3.750%				5/06/21				Ba2				974,941
	3,041			Total IT Services															3,039,765
				Leisure Products – 3.0% (2.0% of Total Investments)
	1,506			24 Hour Fitness Worldwide, Inc., Term Loan B			4.750%				5/28/21				Ba3				1,451,329
	2,000			Academy, Ltd., Term Loan B			5.000%				7/01/22				B				2,009,688
	772			Bombardier Recreational Products, Inc., Term Loan B			3.750%				1/30/19				BB–				774,800
	1,466			Equinox Holdings, Inc., New Initial Term Loan, First Lien			5.000%				1/31/20				B1				1,481,056
	5,744			Total Leisure Products															5,716,873

 

Nuveen Investments			57

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JSD		Nuveen Short Duration Credit Opportunities Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Machinery – 0.9% (0.6% of Total Investments)
$	1,140			Doosan Infracore International, Inc., Term Loan			4.500%				5/27/21				BB–			$	1,147,388
	597			TNT Crane and Rigging Inc., Initial Term Loan, First Lien			5.500%				11/27/20				B1				577,553
	1,737			Total Machinery															1,724,941
				Media – 9.3% (6.2% of Total Investments)
	859			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.250%				7/25/21				B1				858,512
	750			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				746,719
	392			Affinion Group Holdings, Inc., Initial Term Loan, Second Lien			8.500%				10/31/18				B3				354,043
	495			Catalina Marketing Corporation, Term Loan, First Lien			4.500%				4/09/21				B+				425,700
	500			Catalina Marketing Corporation, Term Loan, Second Lien			7.750%				4/11/22				CCC+				366,666
	2,000			Charter Communications Operating Holdings LLC, Term Loan I, (WI/DD)			TBD				TBD				BBB				2,006,608
	62			Clear Channel Communications, Inc., Tranche D, Term Loan			6.940%				1/30/19				CCC+				57,136
	1,633			Clear Channel Communications, Inc. Term Loan E			7.690%				7/30/19				CCC+				1,523,158
	2,820			Cumulus Media, Inc., Term Loan B			4.250%				12/23/20				B+				2,609,014
	1,257			Emerald Expositions Holdings, Inc., Term Loan, First Lien			4.750%				6/17/20				BB–				1,260,547
	445			Gray Television, Inc., Initial Term Loan			3.750%				6/13/21				BB				446,680
	743			IMG Worldwide, Inc., First Lien			5.250%				5/06/21				B1				744,728
	990			Interactive Data Corporation, Term Loan B			4.750%				5/02/21				B+				995,074
	750			Lions Gate Entertainment Corporation, Term Loan B, Second Lien			5.000%				3/13/22				BB–				754,688
	1,254			McGraw-Hill Education Holdings LLC, Term Loan B			4.750%				3/22/19				B+				1,261,925
	985			McGraw-Hill Education Holdings LLC, Term Loan B			6.250%				12/18/19				BB–				993,003
	533			Numericable Group S.A., Term Loan B1			4.500%				5/21/20				Ba3				535,696
	462			Numericable Group S.A., Term Loan B2			4.500%				5/21/20				Ba3				463,450
	1,103			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.750%				8/14/20				B1				1,108,139
	18,033			Total Media															17,511,486
				Multiline Retail – 0.9% (0.6% of Total Investments)
	998			Bass Pro Group LLC, Term Loan B, First Lien			4.000%				6/05/20				BB–				1,001,241
	619			J.C. Penney Corporation, Inc., Term Loan			5.000%				6/20/19				B				619,910
	1,617			Total Multiline Retail															1,621,151
				Oil, Gas & Consumable Fuels – 2.3% (1.6% of Total Investments)
	420			Crestwood Holdings LLC, Term Loan B			7.000%				6/19/19				B2				411,810
	2,038			Energy and Exploration Partners, Term Loan			7.750%				1/22/19				N/R				1,690,767
	810			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B2				447,781
	1,326			Harvey Gulf International Marine, Inc., Term Loan B			5.500%				6/18/20				B				1,026,870
	926			Seadrill Partners LLC, Initial Term Loan			4.000%				2/21/21				BB–				696,353
	122			Southcross Holdings Borrower L.P., Holdco Term Loan			6.000%				8/04/21				B2				117,657
	5,642			Total Oil, Gas & Consumable Fuels															4,391,238
				Pharmaceuticals – 6.3% (4.2% of Total Investments)
	1,000			Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)			TBD				TBD				Ba1				1,001,875
	1,125			Endo Health Solutions, Inc., Term Loan B, (WI/DD)			TBD				TBD				Ba1				1,131,591
	990			Patheon, Inc., Term Loan B			4.250%				3/11/21				B1				987,967
	2,541			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.000%				12/01/18				Ba2				2,544,868
	774			Pharmaceutical Research Associates, Inc., Term Loan			4.500%				9/23/20				B+				777,867
	941			Therakos, Inc., Term Loan, First Lien			7.000%				12/27/17				B				939,969
	2,381			Valeant Pharmaceuticals International, Inc., Term Loan E			3.500%				8/05/20				BB+				2,385,901
	2,095			Valeant Pharmaceuticals International, Inc., Term Loan F			4.000%				4/01/22				Ba1				2,107,008
	11,847			Total Pharmaceuticals															11,877,046
				Professional Services – 0.3% (0.2% of Total Investments)
	491			Ceridian Corporation, Term Loan B2			4.500%				9/15/20				Ba3				489,146
				Real Estate Investment Trust – 5.6% (3.8% of Total Investments)
	6,300			Communications Sales & Leasing, Inc., Term Loan B, First Lien			5.000%				10/24/22				BBB–				6,150,375
	1,955			Realogy Corporation, Initial Term Loan B			3.750%				3/05/20				BB				1,959,184
	55			Realogy Corporation, Synthetic Letter of Credit			6.918%				10/10/16				BB				54,141
	286			Starwood Property Trust, Inc., Term Loan B			3.500%				4/17/20				BB				285,500
	2,229			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien			4.750%				12/18/20				B+				2,137,621
	10,825			Total Real Estate Investment Trust															10,586,821

 

	58			Nuveen Investments

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Real Estate Management & Development – 1.9% (1.2% of Total Investments)
$	1,861			Capital Automotive LP, Term Loan, Second Lien			6.000%				4/30/20				B1			$	1,894,797
	1,573			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				Ba2				1,582,319
	3,434			Total Real Estate Management & Development															3,477,116
				Road & Rail – 0.5% (0.4% of Total Investments)
	1,000			Quality Distribution Inc., First Lien Term Loan, (WI/DD)			TBD				TBD				B1				990,000
				Semiconductors & Semiconductor Equipment – 2.3% (1.5% of Total Investments)
	431			Avago Technologies, Term Loan B			3.750%				5/06/21				BBB–				431,707
	1,955			Freescale Semiconductor, Inc., Term Loan, Tranche B4			4.250%				2/28/20				B1				1,962,985
	983			Freescale Semiconductor, Inc., Term Loan, Tranche B5			5.000%				1/15/21				B1				989,009
	969			NXP Semiconductor LLC, Term Loan D			3.250%				1/11/20				BBB–				968,541
	4,338			Total Semiconductors & Semiconductor Equipment															4,352,242
				Software – 10.0% (6.7% of Total Investments)
	944			Blackboard, Inc., Term Loan B3			4.750%				10/04/18				B+				945,547
	950			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B1				870,930
	1,796			Compuware Corporation, Tranche B2, Term Loan, First Lien			6.250%				12/15/21				B				1,757,022
	959			Emdeon Business Services LLC, Term Loan B2			3.750%				11/02/18				Ba3				958,372
	2,538			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5			3.750%				6/03/20				Ba3				2,526,599
	1,000			Informatica Corp., Term Loan B, (WI/DD)			TBD				TBD				B				1,001,979
	528			Micro Focus International PLC, Term Loan B			5.250%				11/19/21				BB–				530,834
	878			Micro Focus International PLC, Term Loan C			4.500%				11/20/19				BB–				878,779
	2,673			Misys PLC, Term Loan B, First Lien			5.000%				12/12/18				B+				2,685,298
	1,632			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.000%				7/08/22				BB				1,647,419
	269			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.000%				7/08/22				BB				271,552
	872			SunGard Data Systems, Inc., Term Loan E			4.000%				3/08/20				BB				874,137
	708			Vertafore, Inc., Term Loan, First Lien			4.250%				10/03/19				B+				710,229
	1,000			Vertafore, Inc., Term Loan, Second Lien			9.750%				10/29/17				CCC+				1,013,125
	2,111			Zebra Technologies Corporation, Term Loan B, First Lien			4.750%				10/27/21				BB+				2,139,313
	18,858			Total Software															18,811,135
				Specialty Retail – 1.6% (1.0% of Total Investments)
	996			Jo-Ann Stores, Inc., Term Loan, First Lien			4.000%				3/16/18				Ba3				985,562
	898			Petsmart, Inc., Term Loan B			4.250%				3/11/22				BB–				902,290
	225			Pilot Travel Centers LLC, Term Loan B, First Lien			4.250%				10/01/21				BB+				227,760
	800			Staples, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				BBB				801,220
	2,919			Total Specialty Retail															2,916,832
				Technology Hardware, Storage & Peripherals – 2.6% (1.8% of Total Investments)
	4,924			Dell, Inc., Term Loan B2			4.000%				4/29/20				BBB				4,929,604
				Textiles, Apparel & Luxury Goods – 0.8% (0.5% of Total Investments)
	1,482			Polymer Group, Inc., Initial Term Loan			5.250%				12/19/19				B2				1,493,094
				Trading Companies & Distributors – 1.8% (1.2% of Total Investments)
	2,824			HD Supply, Inc., Term Loan			4.000%				6/28/18				B+				2,831,354
	625			Neff Rental/Neff Finance Closing Date Loan, Second Lien			7.250%				6/09/21				B–				620,097
	3,449			Total Trading Companies & Distributors															3,451,451
				Transportation Infrastructure – 0.7% (0.4% of Total Investments)
	67			Ceva Group PLC, Canadian Term Loan			6.500%				3/19/21				B2				61,576
	387			Ceva Group PLC, Dutch B.V., Term Loan			6.500%				3/19/21				B2				357,142
	371			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				3/19/21				B2				342,947
	533			Ceva Group PLC, US Term Loan			6.500%				3/19/21				B2				492,609
	1,358			Total Transportation Infrastructure															1,254,274
				Wireless Telecommunication Services – 1.3% (0.9% of Total Investments)
	2,443			Fairpoint Communications, Inc., Term Loan B			7.500%				2/14/19				B				2,477,046
$	235,613			Total Variable Rate Senior Loan Interests (cost $232,582,366)															231,177,243

 

Nuveen Investments			59

---

JSD		Nuveen Short Duration Credit Opportunities Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Shares				Description (1)														Value
				COMMON STOCKS – 0.6% (0.4% of Total Investments)
				Diversified Consumer Services – 0.6% (0.4% of Total Investments)
	39,749			Cengage Learning Holdings II LP, (5)														$	1,053,349
				Total Common Stocks (cost $1,286,905)															1,053,349
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 17.6% (11.8% of Total Investments)
				Commercial Services & Supplies – 0.9% (0.6% of Total Investments)
$	1,650			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	1,650,000
				Communications Equipment – 0.1% (0.1% of Total Investments)
	250			Avaya Inc., 144A			10.500%				3/01/21				CCC+				203,125
				Containers & Packaging – 0.1% (0.1% of Total Investments)
	209			Reynolds Group			9.875%				8/15/19				CCC+				219,842
				Diversified Telecommunication Services – 2.0% (1.3% of Total Investments)
	750			Frontier Communications Corporation			6.875%				1/15/25				BB				638,438
	300			IntelSat Limited			6.750%				6/01/18				CCC+				280,500
	1,800			IntelSat Limited			7.750%				6/01/21				CCC+				1,431,000
	1,750			IntelSat Limited			8.125%				6/01/23				CCC+				1,391,250
	4,600			Total Diversified Telecommunication Services															3,741,188
				Health Care Equipment & Supplies – 1.9% (1.3% of Total Investments)
	2,700			Kinetic Concepts			10.500%				11/01/18				B–				2,872,125
	660			THC Escrow Corporation II, 144A			6.750%				6/15/23				B3				689,700
	3,360			Total Health Care Equipment & Supplies															3,561,825
				Health Care Providers & Services – 1.3% (0.9% of Total Investments)
	1,350			IASIS Healthcare Capital Corporation			8.375%				5/15/19				CCC+				1,405,688
	1,000			Truven Health Analytics Inc.			10.625%				6/01/20				CCC+				1,045,000
	2,350			Total Health Care Providers & Services															2,450,688
				Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)
	175			Scientific Games Corporation			8.125%				9/15/18				B–				168,875
				Media – 4.1% (2.7% of Total Investments)
	100			CCO Safari II LLC, 144A			3.579%				7/23/20				BBB-				100,295
	3,585			Clear Channel Communications, Inc.			9.000%				12/15/19				CCC+				3,446,081
	3,120			Clear Channel Communications, Inc.			14.000%				2/01/21				CCC–				2,063,048
	1,000			Clear Channel Communications, Inc.			9.000%				3/01/21				CCC+				905,000
	600			Expo Event Transco Inc., 144A			9.000%				6/15/21				B–				616,500
	500			McGraw-Hill Global Education Holdings			9.750%				4/01/21				BB				553,750
	8,905			Total Media															7,684,674
				Oil, Gas & Consumable Fuels – 0.7% (0.5% of Total Investments)
	2,000			Chaparral Energy Inc.			9.875%				10/01/20				B–				1,355,000
				Pharmaceuticals – 2.5% (1.7% of Total Investments)
	1,000			Jaguar Holding Company I, 144A			9.375%				10/15/17				CCC+				1,021,250
	2,000			Valeant Pharmaceuticals International, 144A			7.000%				10/01/20				B1				2,077,500
	500			Valeant Pharmaceuticals International, 144A			7.250%				7/15/22				B1				527,500
	1,000			VPII Escrow Corporation, 144A			7.500%				7/15/21				B1				1,085,000
	4,500			Total Pharmaceuticals															4,711,250
				Semiconductors & Semiconductor Equipment – 0.1% (0.1% of Total Investments)
	250			Advanced Micro Devices, Inc.			7.750%				8/01/20				B–				168,281

 

	60			Nuveen Investments

---

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Semiconductors & Semiconductor Equipment (continued)
$	166			Advanced Micro Devices, Inc.			7.500%				8/15/22				B–			$	114,540
	416			Total Semiconductors & Semiconductor Equipment															282,821
				Software – 0.4% (0.2% of Total Investments)
	580			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+				432,100
	450			Boxer Parent Company Inc./BMC Software, 144A			9.000%				10/15/19				CCC+				279,000
	1,030			Total Software															711,100
				Specialty Retail – 0.2% (0.1% of Total Investments)
	500			99 Cents Only Stores			11.000%				12/15/19				Caa1				410,000
				Trading Companies & Distributors – 0.6% (0.4% of Total Investments)
	1,000			HD Supply Inc.			11.500%				7/15/20				B–				1,161,870
				Wireless Telecommunication Services – 2.6% (1.7% of Total Investments)
	500			FairPoint Communications Inc., 144A			8.750%				8/15/19				B				525,000
	2,750			Sprint Corporation			7.875%				9/15/23				B+				2,636,562
	250			Sprint Corporation			7.125%				6/15/24				B+				228,750
	1,250			T-Mobile USA Inc.			6.250%				4/01/21				BB				1,309,375
	75			T-Mobile USA Inc.			6.731%				4/28/22				BB				79,500
	75			T-Mobile USA Inc.			6.836%				4/28/23				BB				80,250
	4,900			Total Wireless Telecommunication Services															4,859,437
$	35,845			Total Corporate Bonds (cost $35,185,551)															33,171,695
				Total Long-Term Investments (cost $269,054,822)															265,402,287
Principal Amount (000)				Description (1)		Coupon				Maturity								Value
				SHORT-TERM INVESTMENTS – 8.4% (5.6% of Total Investments)
				REPURCHASE AGREEMENTS – 8.4% (5.6% of Total Investments)
$	15,857			Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $15,857,005, collateralized by $16,175,000 U.S. Treasury Notes, 2.000%, due 7/31/22, value $16,175,000			0.000%				8/03/15							$	15,857,005
				Total Short-Term Investments (cost $15,857,005)															15,857,005
				Total Investments (cost $284,911,827) – 149.6%															281,259,292
				Borrowings – (45.3)% (6), (7)															(85,200,000	)
				Other Assets Less Liabilities – (4.3)% (8)															(8,027,932	)
				Net Assets Applicable to Common Shares – 100%														$	188,031,360

Investments in Derivatives as of July 31, 2015

Interest Rate Swaps outstanding:

 

Counterparty

Notional Amount

Fund Pay/Receive Floating Rate

Floating Rate Index

Fixed Rate (Annualized)

Fixed Rate Payment Frequency

Termination Date

Unrealized Appreciation Depreciation)

Morgan Stanley

$

17,500,000

Receive

1-Month USD-LIBOR-ICE

1.659

%

Monthly

9/15/18

$

(302,028

)

 

Nuveen Investments			61

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JSD		Nuveen Short Duration Credit Opportunities Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Credit Default Swaps outstanding:

 

Counterparty		Referenced entity		Buy/Sell Protection (9)				Current Credit Spread (10)				Notional Amount				Fixed Rate (Annualized)				Termination Date				Value				Unrealized Appreciation Depreciation
Citigroup		Barrick Gold Corporation			Buy				3.23	%		$	2,000,000				1.000	%			9/20/20			$	193,803			$	41,350
Citigroup		Newmont Mining Corporation			Buy				2.33				1,000,000				1.000				9/20/20				59,461				43,605
JPMorgan		Avon Products			Buy				7.19				2,000,000				5.000				9/20/20				153,209				9,162
JPMorgan		Darden Restaurants, Inc.			Buy				0.83				2,000,000				1.000				9/20/20				(18,919	)			(33,222	)
JPMorgan		Newmont Mining Corporation			Buy				2.33				1,000,000				1.000				9/20/20				59,461				42,905
												$	8,000,000											$	447,015			$	103,800

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

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

 

(6)	Borrowings as a percentage of Total Investments is 30.3%.

 

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

 

(8)

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

 

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

 

(10)

The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of a higher likelihood of performance by the seller of protection.

 

(WI/DD)

Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.

 

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

 

TBD

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

 

USD-LIBOR-ICE

United States Dollar – London Inter-Bank Offered Rate Intercontinental Exchange.

 

See accompanying notes to financial statements.

 

	62			Nuveen Investments

---

JQC

 

Nuveen Credit Strategies Income Fund
Portfolio of Investments		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 154.5% (96.6% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 114.9% (71.8% of Total Investments) (4)
				Aerospace & Defense – 0.3% (0.2% of Total Investments)
$	4,269			B/E Aerospace, Inc., Term Loan B, First Lien			4.000%				12/16/21				BB+			$	4,312,751
				Airlines – 1.5% (0.9% of Total Investments)
	7,369			American Airlines, Inc., Term Loan B, First Lien			3.250%				6/27/20				BB+				7,343,748
	10,575			Delta Air Lines, Inc., Term Loan B1			3.250%				10/18/18				BBB				10,576,650
	2,165			Delta Air Lines, Inc., Term Loan B			3.250%				4/20/17				BB+				2,167,391
	20,109			Total Airlines															20,087,789
				Automobiles – 3.2% (2.0% of Total Investments)
	4,533			Chrysler Group LLC, Term Loan B			3.500%				5/24/17				BB+				4,537,040
	21,196			Chrysler Group LLC, Tranche B, Term Loan			3.250%				12/31/18				BB+				21,214,981
	15,795			Formula One Group, Term Loan, First Lien, (DD1)			4.750%				7/30/21				B				15,797,097
	2,000			Formula One Group, Term Loan, Second Lien			7.750%				7/29/22				CCC+				2,001,876
	43,524			Total Automobiles															43,550,994
				Chemicals – 5.4% (3.4% of Total Investments)
	17,066			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				17,078,647
	5,412			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				5,431,697
	34,413			Univar, Inc., Term Loan B, First Lien			4.250%				6/24/22				BB–				34,521,032
	15,459			US Coatings Acquisition, Term Loan B			3.750%				2/01/20				BB–				15,465,586
	72,350			Total Chemicals															72,496,962
				Commercial Services & Supplies – 1.8% (1.1% of Total Investments)
	9,583			ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2			3.750%				10/09/19				B+				9,556,979
	34,949			Millennium Laboratories, Inc., Tranche B, Term Loan			5.250%				4/16/21				CCC+				14,678,424
	44,532			Total Commercial Services & Supplies															24,235,403
				Communications Equipment – 1.5% (0.9% of Total Investments)
	3,296			Avaya, Inc., Term Loan B3			4.691%				10/26/17				B1				3,274,762
	1,896			Commscope, Inc., Term Loan B, First Lien			3.750%				5/28/22				BB				1,904,522
	14,820			Telesat Canada Inc., Term Loan B			3.500%				3/28/19				BB				14,832,100
	20,012			Total Communications Equipment															20,011,384
				Consumer Finance – 3.7% (2.3% of Total Investments)
	5,000			First Data Corporation, Term Loan B1, Second Lien			3.687%				9/24/18				BB				4,994,270
	23,173			First Data Corporation, Second New Dollar, Term Loan			3.687%				3/24/17				BB–				23,171,106
	21,000			First Data Corporation, Term Loan			3.687%				3/23/18				BB				20,975,388
	49,173			Total Consumer Finance															49,140,764
				Containers & Packaging – 1.3% (0.8% of Total Investments)
	17,641			Reynolds Group Holdings, Inc., Incremental US Term Loan, First Lien			4.500%				12/01/18				B+				17,762,456
				Diversified Consumer Services – 4.3% (2.7% of Total Investments)
	10,244			Cengage Learning Acquisitions, Inc., Exit Term Loan			7.000%				3/31/20				B+				10,305,457
	26,492			Hilton Hotels Corporation, Term Loan B2			3.500%				10/25/20				BBB–				26,576,459
	3,419			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B				3,203,707
	17,231			ServiceMaster Company, Term Loan			4.250%				7/01/21				B+				17,295,061
	57,386			Total Diversified Consumer Services															57,380,684
				Diversified Telecommunication Services – 5.0% (3.1% of Total Investments)
	2,279			Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan			3.750%				6/30/19				BB–				2,259,704

 

Nuveen Investments			63

---

JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Diversified Telecommunication Services (continued)
$	7,382			Level 3 Financing, Inc., Term Loan B2			3.500%				5/31/22				BB			$	7,362,743
	16,470			WideOpenWest Finance LLC, Term Loan B			4.500%				4/01/19				Ba3				16,512,764
	15,161			Ziggo N.V., Term Loan B1			3.500%				1/15/22				BB–				15,115,793
	9,770			Ziggo N.V., Term Loan B2			3.500%				1/15/22				BB–				9,740,902
	16,069			Ziggo N.V., Term Loan B3, Delayed Draw			3.500%				1/15/22				BB–				16,020,305
	67,131			Total Diversified Telecommunication Services															67,012,211
				Energy Equipment & Services – 0.6% (0.4% of Total Investments)
	6,041			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.000%				3/31/21				B				4,725,375
	6,355			Vantage Drilling Company, Term Loan B			5.750%				3/28/19				CCC				3,280,795
	12,396			Total Energy Equipment & Services															8,006,170
				Food & Staples Retailing – 4.8% (3.0% of Total Investments)
	13,332			Albertson’s LLC, Term Loan B2			5.375%				3/21/19				BB–				13,406,898
	28,928			Albertson’s LLC, Term Loan B4			5.500%				8/25/21				BB–				29,083,651
	12,816			BJ’s Wholesale Club, Inc., Replacement Loan, First Lien			4.500%				9/26/19				B–				12,854,047
	7,500			BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien			8.500%				3/26/20				CCC				7,570,312
	1,944			Supervalu, Inc., New Term Loan			4.500%				3/21/19				BB				1,954,169
	64,520			Total Food & Staples Retailing															64,869,077
				Food Products – 4.0% (2.5% of Total Investments)
	12,000			Jacobs Douwe Egberts, Term Loan B			4.250%				7/23/21				BB				12,000,000
	42,299			US Foods, Inc., Incremental Term Loan			4.500%				3/31/19				B2				42,488,810
	54,299			Total Food Products															54,488,810
				Health Care Equipment & Supplies – 4.5% (2.8% of Total Investments)
	10,000			ConvaTec Healthcare, Term Loan B			4.250%				6/09/20				Ba2				9,987,500
	15,591			Kinetic Concepts, Inc., Incremental Term Loan E1			4.500%				5/04/18				BB–				15,684,910
	9,512			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				9,535,434
	11,672			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				11,639,619
	13,500			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				13,601,250
	60,275			Total Health Care Equipment & Supplies															60,448,713
				Health Care Providers & Services – 3.9% (2.4% of Total Investments)
	439			Community Health Systems, Inc., Term Loan F			3.534%				12/31/18				BB				440,046
	7,586			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB				7,610,932
	15,177			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB				15,257,986
	20,513			Drumm Investors LLC, Term Loan			6.750%				5/04/18				B				20,786,419
	8,339			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				8,364,650
	52,054			Total Health Care Providers & Services															52,460,033
				Hotels, Restaurants & Leisure – 6.8% (4.3% of Total Investments)
	30,585			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				30,687,807
	1,723			CCM Merger, Inc., Term Loan B			4.500%				8/08/21				BB–				1,731,202
	6,721			Landry’s Restaraunts, Inc., Term Loan B			4.000%				4/24/18				BB–				6,753,101
	13,000			Life Time Fitness, Inc., Term Loan B			4.250%				6/10/22				BB–				12,997,296
	6,398			MGM Resorts International, Term Loan B, (DD1)			3.500%				12/20/19				BB+				6,386,471
	7,463			Scientific Games Corporation, Term Loan B2			6.000%				10/01/21				BB–				7,503,544
	8,865			Scientific Games Corporation, Term Loan			6.000%				10/18/20				BB–				8,912,401
	16,358			Station Casino LLC, Term Loan B			4.250%				3/02/20				B+				16,416,130
	91,113			Total Hotels, Restaurants & Leisure															91,387,952
				Household Durables – 0.9% (0.6% of Total Investments)
	11,956			Serta Simmons Holdings LLC, Term Loan			4.250%				10/01/19				B+				11,997,107
				Insurance – 1.4% (0.9% of Total Investments)
	10,808			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				B1				10,775,158
	7,801			USI Holdings Corporation, Initial Term Loan			4.250%				12/27/19				B1				7,812,424
	18,609			Total Insurance															18,587,582

 

	64			Nuveen Investments

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Internet & Catalog Retail – 2.2% (1.4% of Total Investments)
$	29,870			Travelport LLC, Term Loan B, First Lien			5.750%				9/02/21				B			$	30,016,193
				Internet Software & Services – 3.5% (2.2% of Total Investments)
	36,672			Sabre Inc., Term Loan			4.000%				2/19/19				Ba3				36,851,688
	9,975			Tibco Software, Inc., Term Loan B			6.500%				12/04/20				B1				10,009,294
	46,647			Total Internet Software & Services															46,860,982
				IT Services – 0.2% (0.1% of Total Investments)
	2,902			Zayo Group LLC, Term Loan B			3.750%				5/06/21				Ba2				2,896,969
				Leisure Products – 0.5% (0.3% of Total Investments)
	4,500			Academy, Ltd., Term Loan B			5.000%				7/01/22				B				4,521,798
	2,574			Bombardier Recreational Products, Inc., Term Loan B			3.750%				1/30/19				BB–				2,582,668
	7,074			Total Leisure Products															7,104,466
				Machinery – 0.4% (0.3% of Total Investments)
	5,895			Rexnord LLC, Term Loan B			4.000%				8/21/20				BB–				5,906,053
				Media – 10.8% (6.7% of Total Investments)
	32,143			Tribune Company, Term Loan B			3.750%				12/28/20				BB+				32,222,742
	7,382			Acquisitions Cogeco Cable II L.P., Term Loan B			3.250%				11/30/19				BB				7,385,752
	3,623			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.250%				7/25/21				B1				3,622,625
	2,950			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				2,937,094
	1,235			Clear Channel Communications, Inc., Tranche D, Term Loan			6.940%				1/30/19				CCC+				1,137,580
	1,358			Clear Channel Communications, Inc. Term Loan E			7.690%				7/30/19				CCC+				1,266,815
	33,846			Cumulus Media, Inc., Term Loan B			4.250%				12/23/20				B+				31,308,167
	29,666			EMI Music Publishing LLC, Term Loan B			3.750%				6/29/18				BB–				29,724,488
	19,066			Interactive Data Corporation, Term Loan B			4.750%				5/02/21				B+				19,165,170
	6,616			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.750%				8/14/20				B1				6,648,835
	4,279			Univision Communications, Inc., Replacement Term Loan, First Lien			4.000%				3/01/20				B+				4,282,089
	5,190			Virgin Media Investment Holdings, Term Loan F, First Lien			3.500%				6/30/23				BB–				5,179,108
	147,354			Total Media															144,880,465
				Multiline Retail – 0.9% (0.6% of Total Investments)
	9,080			Dollar Tree, Inc., Term Loan B1			3.500%				7/06/22				BB+				9,115,939
	2,840			Dollar Tree, Inc., Term Loan B2			4.250%				3/09/22				BB+				2,848,875
	11,920			Total Multiline Retail															11,964,814
				Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments)
	1,182			Crestwood Holdings LLC, Term Loan B			7.000%				6/19/19				B2				1,160,120
	5,115			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B2				2,829,260
	3,653			Harvey Gulf International Marine, Inc., Term Loan B			5.500%				6/18/20				B				2,828,330
	9,950			Total Oil, Gas & Consumable Fuels															6,817,710
				Pharmaceuticals – 5.9% (3.7% of Total Investments)
	13,000			Endo Health Solutions, Inc., Asset Sale Bridge Loan, (WI/DD)			TBD				TBD				Ba1				13,024,375
	4,500			Endo Health Solutions, Inc., Term Loan B, (WI/DD)			TBD				TBD				Ba1				4,526,366
	36,294			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.000%				12/01/18				Ba2				36,355,337
	12,712			Valeant Pharmaceuticals International, Inc., Term Loan E			3.500%				8/05/20				BB+				12,740,477
	4,888			Valeant Pharmaceuticals International, Inc., Term Loan F			4.000%				4/01/22				BB+				4,916,353
	7,234			Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan C2			3.500%				12/11/19				BB+				7,252,249
	78,628			Total Pharmaceuticals															78,815,157
				Professional Services – 0.1% (0.0% of Total Investments)
	930			Ceridian Corporation, Term Loan B2			4.500%				9/15/20				Ba3				926,381
				Real Estate Investment Trust – 5.6% (3.5% of Total Investments)
	29,000			Communications Sales & Leasing, Inc., Term Loan B, First Lien			5.000%				10/24/22				BBB–				28,311,250
	25,341			iStar Financial, Inc., Term Loan, Tranche A2, First Lien			7.000%				3/19/17				Ba3				26,006,095

 

Nuveen Investments			65

---

JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Real Estate Investment Trust (continued)
$	17,138			Realogy Corporation, Initial Term Loan B			3.750%				3/05/20				BB			$	17,172,473
	4,318			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien			4.750%				12/18/20				B+				4,141,403
	75,797			Total Real Estate Investment Trust															75,631,221
				Real Estate Management & Development – 1.6% (1.0% of Total Investments)
	21,540			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				Ba2				21,664,660
				Semiconductors & Semiconductor Equipment – 5.1% (3.2% of Total Investments)
	32,718			Avago Technologies, Term Loan B			3.750%				5/06/21				BBB–				32,809,728
	35,193			Freescale Semiconductor, Inc., Term Loan, Tranche B4			4.250%				2/28/20				BB–				35,332,320
	67,911			Total Semiconductors & Semiconductor Equipment															68,142,048
				Software – 15.3% (9.6% of Total Investments)
	4,133			Blackboard, Inc., Term Loan B3			4.750%				10/04/18				B+				4,141,947
	31,944			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B1				29,276,591
	10,778			Compuware Corporation, Tranche B2, Term Loan, First Lien			6.250%				12/15/21				B				10,542,133
	28,375			Datatel Parent Corp, Term Loan B1			4.000%				7/19/18				BB–				28,467,341
	16,937			Emdeon Business Services LLC, Term Loan B2			3.750%				11/02/18				Ba3				16,929,566
	24,577			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5			3.750%				6/03/20				Ba3				24,458,009
	6,500			Informatica Corp., Term Loan B, (WI/DD)			TBD				TBD				B				6,512,864
	18,169			Kronos Incorporated, Initial Term Loan, Second Lien			9.750%				4/30/20				CCC				18,725,768
	9,106			Micro Focus International PLC, Term Loan B			5.250%				11/19/21				BB–				9,156,891
	1,609			Micro Focus International PLC, Term Loan C			4.500%				11/20/19				BB–				1,611,096
	15,000			Misys PLC, Term Loan, Second Lien			12.000%				6/12/19				CCC+				16,354,695
	13,873			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.000%				7/08/22				BB				14,003,069
	2,287			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.000%				7/08/22				BB				2,308,198
	4,794			SunGard Data Systems, Inc., Term Loan E			4.000%				3/08/20				BB				4,807,751
	10,000			Vertafore, Inc., Term Loan, Second Lien			9.750%				10/29/17				CCC+				10,131,250
	8,445			Zebra Technologies Corporation, Term Loan B, First Lien			4.750%				10/27/21				BB+				8,557,250
	206,527			Total Software															205,984,419
				Specialty Retail – 4.0% (2.5% of Total Investments)
	7,447			Burlington Coat Factory Warehouse Corporation, Term Loan B3			4.250%				8/13/21				BB–				7,472,574
	1,661			Jo-Ann Stores, Inc., Term Loan, First Lien			4.000%				3/16/18				Ba3				1,644,055
	2,855			Michaels Stores, Inc. Term Loan, First Lien			3.750%				1/28/20				Ba2				2,863,625
	28,628			Petsmart, Inc., Term Loan B			4.250%				3/11/22				BB–				28,773,023
	12,400			Staples, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				BBB				12,418,910
	52,991			Total Specialty Retail															53,172,187
				Technology Hardware, Storage & Peripherals – 1.9% (1.2% of Total Investments)
	25,611			Dell, Inc., Term Loan B2			4.000%				4/29/20				BBB				25,633,939
				Trading Companies & Distributors – 1.5% (0.9% of Total Investments)
	19,765			HD Supply, Inc., Term Loan			4.000%				6/28/18				BB–				19,819,476
$	1,572,661			Total Variable Rate Senior Loan Interests (cost $1,564,798,155)															1,544,473,982
Shares				Description (1)														Value
				COMMON STOCKS – 6.6% (4.1% of Total Investments)
				Aerospace & Defense – 0.0% (0.0% of Total Investments)
	21,263			Aerojet Rocketdyne Holdings Inc., (5)														$	497,767
	138			Boeing Company															19,895
	255			Honeywell International Inc.															26,788
	59			Lockheed Martin Corporation															12,219
	39			TransDigm Group Inc., (5)															8,826
				Total Aerospace & Defense															565,495

 

	66			Nuveen Investments

---

Shares				Description (1)								Value
				Air Freight & Logistics – 0.1% (0.1% of Total Investments)
	111			FedEx Corporation								$	19,028
	8,892			Park Ohio Holdings Corporation									399,340
	14,063			XPO Logistics, Incorporated, (5)									609,631
				Total Air Freight & Logistics									1,027,999
				Airlines – 0.0% (0.0% of Total Investments)
	4,616			Ryanair Holdings PLC									342,092
	321			Southwest Airlines Co.									11,620
	156			United Continental Holdings Inc., (5)									8,797
				Total Airlines									362,509
				Auto Components – 0.0% (0.0% of Total Investments)
	2,238			Delphi Automotive PLC									174,743
	8,852			Remy International Inc.									262,019
				Total Auto Components									436,762
				Automobiles – 0.1% (0.1% of Total Investments)
	4,494			Daimler AG, (7)									400,730
	4,384			Toyota Motor Corporation, Sponsored ADR									585,089
	12,219			Winnebago Industries Inc.									272,850
				Total Automobiles									1,258,669
				Banks – 0.5% (0.3% of Total Investments)
	14,359			Banco Latinoamericano de Exportaciones S.A									395,160
	25,101			Banco Santander SA									170,938
	3,094			Bank of Nova Scotia									151,946
	13,914			Banner Corporation									663,141
	11,799			BNP Paribas SA, (7)									385,473
	20,856			FCB Financial Holdings, Inc., Class A Shares, (5)									724,329
	19,820			Lloyds TSB Group PLC									104,253
	67,566			Mitsubishi UFJ Financial Group Inc.									495,259
	9,491			National Australia Bank Limited, (7)									119,776
	11,117			Pacwest Bancorp.									514,606
	19,876			Privatebancorp, Inc.									821,674
	8,001			Stonegate Bank									246,191
	43,599			Sumitomo Mitsui Financial Group, Inc.									403,727
	14,234			Trico Bancshares									352,861
	11,235			Western Alliance Bancorporation, (5)									380,080
	13,887			Wintrust Financial Corporation									748,787
				Total Banks									6,678,201
				Beverages – 0.1% (0.0% of Total Investments)
	516			Coca-Cola Company									21,197
	138			Constellation Brands, Inc., Class A									16,563
	13,598			Embotelladora Andina SA									226,407
	241			PepsiCo, Inc.									23,220
	7,961			SABMiller PLC, (7)									417,515
				Total Beverages									704,902
				Biotechnology – 0.1% (0.1% of Total Investments)
	180			Amgen Inc.									31,786
	46			Biogen Inc., (5)									14,664
	32			BioMarin Pharmaceutical Inc., (5)									4,681
	39,895			Catalyst Pharmaceutical Partners, Inc., (5)									197,081
	114			Celgene Corporation, (5)									14,963
	15,862			Emergent BioSolutions, Inc., (5)									520,749
	6,236			Enanta Pharmaceuticals Inc., (5)									315,853
	317			Gilead Sciences, Inc.									37,362
	8,151			Grifols SA									264,500
	5,219			ISIS Pharmaceuticals, Inc., (5)									286,680
	24,342			Progenics Pharmaceuticals, Inc., (5)									210,802
	14			Regeneron Pharmaceuticals, Inc., (5)									7,751

 

Nuveen Investments			67

---

JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Shares				Description (1)								Value
				Biotechnology (continued)
	63			Vertex Pharmaceuticals Inc., (5)								$	8,505
				Total Biotechnology									1,915,377
				Building Products – 0.1% (0.1% of Total Investments)
	12,788			Caesarstone Sdot-Yam Limited, (5)									917,411
				Capital Markets – 0.1% (0.1% of Total Investments)
	29,827			American Capital Limited, (5)									391,032
	341			Charles Schwab Corporation									11,894
	5,085			Credit Suisse Group									149,753
	6,699			Deutsche Bank AG									234,599
	24,633			Julius Baer Holding Limited Zurich AG, (7)									271,456
	31,120			KCG Holdings Inc., Class A Shares, (5)									330,494
	45,183			Nomura Holdings Inc.									325,318
	221			SEI Investments Company									11,782
				Total Capital Markets									1,726,328
				Chemicals – 0.1% (0.1% of Total Investments)
	25,507			Axalta Coating Systems Limited, (5)									811,378
	49			International Flavors & Fragrances Inc.									5,664
	36,417			Israel Chemicals Limited									249,456
	146			LyondellBasell Industries NV									13,699
	6,024			Methanex Corporation									271,622
	66			Monsanto Company									6,725
	14			NewMarket Corporation									5,568
	128			PPG Industries, Inc.									13,873
	56			Praxair, Inc.									6,392
				Total Chemicals									1,384,377
				Commercial Services & Supplies – 0.1% (0.1% of Total Investments)
	69,545			Casella Waste Systems, Inc., (5)									441,611
	9,641			G&K Services, Inc.									632,064
	8,659			Ritchie Bros. Auctioneers Incorporated									233,966
	3,193			UniFirst Corporation									353,848
				Total Commercial Services & Supplies									1,661,489
				Communications Equipment – 0.0% (0.0% of Total Investments)
	92			F5 Networks, Inc., (5)									12,341
	32			Palo Alto Networks, Incorporated, (5)									5,947
	19,902			Radware, Limited, (5)									378,934
				Total Communications Equipment									397,222
				Construction & Engineering – 0.0% (0.0% of Total Investments)
	8,373			Abengoa SA, Class B									92,564
				Construction Materials – 0.0% (0.0% of Total Investments)
	77			Martin Marietta Materials									12,075
				Consumer Finance – 0.0% (0.0% of Total Investments)
	239			American Express Company									18,178
				Containers & Packaging – 0.1% (0.0% of Total Investments)
	17,970			Berry Plastics Corporation, (5)									585,103
				Diversified Consumer Services – 0.8% (0.5% of Total Investments)
	403,318			Cengage Learning Holdings II LP, (5), (7)									10,687,927
				Diversified Financial Services – 0.0% (0.0% of Total Investments)
	200			Voya Financial Inc.									9,390

 

	68			Nuveen Investments

---

Shares				Description (1)								Value
				Diversified Telecommunication Services – 0.2% (0.1% of Total Investments)
	5,825			BT Group PLC								$	420,915
	7,849			Chunghwa Telecom Co., Ltd									243,711
	12,140			Deutsche Telekom AG, (7)									218,520
	8,693			Nippon Telegraph and Telephone Corporation, ADR									335,811
	6,126			PT Telekomunikasi Indonesia									263,479
	12,776			Spark New Zealand Limited, (7)									124,310
	12,299			Telstra Corporation Limited, (7)									290,010
	513			Verizon Communications Inc.									24,003
	190			Zayo Group Holdings, Inc., (5)									5,073
				Total Diversified Telecommunication Services									1,925,832
				Electric Utilities – 0.1% (0.0% of Total Investments)
	12,171			Korea Electric Power Corporation									262,285
	13,331			Unitil Corp.									473,917
				Total Electric Utilities									736,202
				Electrical Equipment – 0.0% (0.0% of Total Investments)
	197			Ametek Inc.									10,451
				Electronic Equipment, Instruments & Components – 0.1% (0.1% of Total Investments)
	50,686			Au Optronic Corporation									168,784
	6,081			SYNNEX Corporation									459,906
	6,392			Zebra Technologies Corporation, Class A, (5)									687,971
				Total Electronic Equipment, Instruments & Components									1,316,661
				Energy Equipment & Services – 0.0% (0.0% of Total Investments)
	83			Schlumberger Limited									6,874
				Food & Staples Retailing – 0.2% (0.1% of Total Investments)
	5,053			Casey’s General Stores, Inc.									516,492
	152			Costco Wholesale Corporation									22,086
	15,077			Delhaize America Inc.									340,137
	468			Kroger Co.									18,364
	38,062			Metro AG, (7)									237,507
	63,390			Rite Aid Corporation, (5)									564,805
	49,194			SUPERVALU INC.									453,569
	162			Walgreens Boots Alliance Inc.									15,654
				Total Food & Staples Retailing									2,168,614
				Food Products – 0.0% (0.0% of Total Investments)
	114			Hershey Foods Corporation									10,589
	2,957			Nestle S.A, (7)									223,549
				Total Food Products									234,138
				Gas Utilities – 0.0% (0.0% of Total Investments)
	5,013			Laclede Group Inc.									271,253
				Health Care Equipment & Supplies – 0.2% (0.1% of Total Investments)
	5,053			DexCom, Inc., (5)									427,736
	13,147			Insulet Corporation, (5)									445,552
	13,460			Merit Medical Systems, Inc., (5)									344,038
	13,125			Tandem Diabetes Care Inc., (5)									164,719
	4,843			Teleflex Inc.									648,914
	10,467			Wright Medical Group, Inc., (5)									270,467
				Total Health Care Equipment & Supplies									2,301,426
				Health Care Providers & Services – 0.2% (0.1% of Total Investments)
	11,038			AMN Healthcare Services Inc., (5)									324,848
	46			CIGNA Corporation									6,627
	117			Express Scripts, Holding Company, (5)									10,538
	135			HCA Holdings Inc., (5)									12,556

 

Nuveen Investments			69

---

JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Shares				Description (1)								Value
				Health Care Providers & Services (continued)
	27,202			Kindred Healthcare Inc.								$	561,177
	6,969			Lifepoint Hospitals Inc., (5)									577,451
	107			McKesson HBOC Inc.									23,601
	8,689			Pharmerica Corporation, (5)									296,903
	9,411			Team Health Holdings Inc., (5)									634,396
	166			UnitedHealth Group Incorporated									20,152
	37,421			Universal American Corporation, (5)									346,893
				Total Health Care Providers & Services									2,815,142
				Health Care Technology – 0.0% (0.0% of Total Investments)
	19,676			MedAssets Inc., (5)									458,451
				Hotels, Restaurants & Leisure – 0.3% (0.2% of Total Investments)
	6,691			BJ’s Restaurants, Inc., (5)									344,988
	231			Brinker International Inc.									13,837
	6,258			Carnival Corporation									346,318
	10,199			China Lodging Group Limited, (5)									236,209
	18,764			Dave & Buster’s Entertainment Inc., (5)									728,043
	3,577			Intercontinental Hotels Group									149,626
	20,839			La Quinta Holdings Inc., (5)									442,204
	9,294			Marriott Vacations World									776,978
	149			McDonald’s Corporation									14,879
	33,448			Penn National Gaming, Inc., (5)									638,188
	16,938			Sonic Corporation									503,397
	479			Starbucks Corporation									27,748
	204			Wyndham Worldwide Corporation									16,834
				Total Hotels, Restaurants & Leisure									4,239,249
				Household Durables – 0.0% (0.0% of Total Investments)
	25,288			Panasonic Corporation, (7)									295,111
				Household Products – 0.0% (0.0% of Total Investments)
	49			Kimberly-Clark Corporation									5,634
				Independent Power & Renewable Electricity Producers – 0.0% (0.0% of Total Investments)
	6,042			Huaneng Power International Inc.									292,735
				Industrial Conglomerates – 0.0% (0.0% of Total Investments)
	156			Carlisle Companies Inc.									15,797
	149			Danaher Corporation									13,642
				Total Industrial Conglomerates									29,439
				Insurance – 0.3% (0.2% of Total Investments)
	30,811			Allinaz S.E, (7)									505,300
	12,101			Argo Group International Holdings Inc.									682,254
	176			Arthur J. Gallagher & Co.									8,348
	10,066			AXA-UAP, (7)									264,836
	22,372			Fidelity & Guaranty Life									582,343
	36,640			FNFV Group, (5)									533,478
	39,061			Patriot National Inc., (5)									726,535
	11,465			Primerica Inc.									518,562
	96			Prudential Corporation PLC									4,537
	7,833			Sun Life Financial Inc.									255,512
				Total Insurance									4,081,705
				Internet & Catalog Retail – 0.0% (0.0% of Total Investments)
	80			Amazon.com, Inc., (5)									42,892
	3,282			CTRIP.com, (5)									234,926
	49			NetFlix.com Inc., (5)									5,601
	8			priceline.com Incorporated, (5)									9,949
				Total Internet & Catalog Retail									293,368

 

	70			Nuveen Investments

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Shares				Description (1)								Value
				Internet Software & Services – 0.1% (0.0% of Total Investments)
	176			Akamai Technologies, Inc., (5)								$	13,501
	207			eBay Inc., (5)									5,821
	461			Facebook Inc., Class A Shares, (5)									43,339
	117			Google Inc., Class A, (5)									76,928
	1,743			Netease.com, Inc.									241,632
	3,436			Qihoo 360 Technology Co. Ltd, (5)									213,066
				Total Internet Software & Services									594,287
				IT Services – 0.3% (0.2% of Total Investments)
	170			Amdocs Limited									9,971
	22,729			Black Knight Financial Services, Inc., Class A Shares, (5)									740,511
	18,014			Blackhawk Network Holdings Inc., (5)									827,383
	214			Cognizant Technology Solutions Corporation, Class A, (5)									13,503
	11,335			CSG Systems International Inc.									352,519
	22,043			Evertec Inc.									414,849
	266			MasterCard, Inc.									25,908
	35,675			Net 1 Ueps Technologies, Inc., (5)									692,809
	207			PayPal Holdings, Inc., (5)									8,011
	231			Total System Services Inc.									10,677
	9,666			VeriFone Holdings Inc., (5)									311,052
	341			Visa Inc.									25,691
	9,380			WNS Holdings Limited, (5)									279,618
				Total IT Services									3,712,502
				Life Sciences Tools & Services – 0.0% (0.0% of Total Investments)
	383			Bruker Biosciences Corporation, (5)									8,062
	3,872			ICON plc, (5)									312,858
				Total Life Sciences Tools & Services									320,920
				Machinery – 0.2% (0.1% of Total Investments)
	17,430			Barnes Group Inc.									678,550
	20,528			Briggs & Stratton Corporation									379,357
	5,349			Fanuc Limited, (7)									148,542
	3,543			Greenbrier Companies Inc.									162,092
	20,587			John Bean Technologies Corporation									750,396
	9,975			Sun Hydraulics Corporation									353,315
	83			WABCO Holdings Inc.									10,248
	135			Wabtec Corporation									13,661
				Total Machinery									2,496,161
				Media – 0.2% (0.2% of Total Investments)
	596			Comcast Corporation, Class A									37,196
	2,174			Cumulus Media, Inc., (5)									3,587
	7,146			Madison Square Garden Inc., (5)									595,976
	12,825			Pearson Public Limited Company									239,315
	14,741			Publicis Groupe, (7)									279,195
	10,835			Starz, Class A, (5)									438,276
	22,352			Tribune Media Company									1,128,552
	17,987			Tribune Media Company, (6)									—
	5,588			Tribune Publishing Company									83,205
	218			Twenty First Century Fox Inc., Class A Shares									7,519
	63			Viacom Inc., Class B									3,591
	410			Walt Disney Company									49,200
	2,937			WPP Group PLC									338,166
				Total Media									3,203,778
				Metals & Mining – 0.1% (0.0% of Total Investments)
	58,911			Alumina Limited, (7)									251,550
	24,683			Compania De Minas Buenaventura									175,743
	104			Compass Minerals International, Inc.									8,320
	19,754			Constellium N.V., Class A Shares, (5)									219,269
	23,357			Newcrest Mining Limited, (7)									194,330
				Total Metals & Mining									849,212

 

Nuveen Investments			71

---

JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Shares				Description (1)								Value
				Multiline Retail – 0.1% (0.0% of Total Investments)
	12,334			Burlington Store Inc., (5)								$	678,863
	190			Dollar Tree Stores Inc., (5)									14,826
				Total Multiline Retail									693,689
				Multi-Utilities – 0.0% (0.0% of Total Investments)
	4,974			E.ON SE, (7)									65,508
	15,465			Veolia Environment S.A., ADR, (7)									344,560
				Total Multi-Utilities									410,068
				Oil, Gas & Consumable Fuels – 0.3% (0.2% of Total Investments)
	11,955			BP PLC									441,976
	6,369			Carrizo Oil & Gas, Inc., (5)									242,850
	1,826			CNOOC Limited									223,959
	69			EOG Resources, Inc.									5,326
	5,420			NuStar Group Holdings LLC									182,600
	4,258			PDC Energy Inc., (5)									199,913
	24,823			Petroleo Brasileiro, Sponsored ADR									168,796
	8,084			Royal Dutch Shell PLC, Class A									464,668
	6,157			Royal Dutch Shell PLC, Class B Shares									358,030
	6,352			SemGroup Corporation, A Shares									451,564
	14,112			Statoil ASA									238,634
	7,912			Suncor Energy, Inc.									222,802
	2,611			Targa Resources Corporation									230,943
	9,189			Total SA, Sponsored ADR									452,926
	121			Williams Companies, Inc.									6,350
				Total Oil, Gas & Consumable Fuels									3,891,337
				Paper & Forest Products – 0.1% (0.0% of Total Investments)
	7,303			Clearwater Paper Corporation, (5)									429,782
	17,517			Fibria Celulose S.A									233,326
				Total Paper & Forest Products									663,108
				Personal Products – 0.1% (0.0% of Total Investments)
	8,778			L’Oreal, (7)									327,419
	7,881			Unilever PLC									357,246
				Total Personal Products									684,665
				Pharmaceuticals – 0.3% (0.2% of Total Investments)
	485			AbbVie Inc.									33,955
	92			Allergan PLC, (5)									30,466
	11,845			AstraZeneca PLC									400,243
	245			Bristol-Myers Squibb Company									16,082
	83			Eli Lilly and Company									7,014
	1,279			Jazz Pharmaceuticals, Inc., (5)									245,875
	135			Mylan NV, (5)									7,559
	7,025			Novartis AG, Sponsored ADR									728,844
	9,648			Novo-Nordisk A/S									568,846
	503			Pfizer Inc.									18,138
	16,740			Roche Holdings AG, Sponsored ADR, (7)									604,481
	9,728			Sanofi-Aventis									525,215
	1,710			Shire plc, ADR									456,245
	1,245			Valeant Pharmaceuticals International									320,625
				Total Pharmaceuticals									3,963,588
				Real Estate Investment Trust – 0.3% (0.2% of Total Investments)
	20,469			CubeSmart									535,469
	53			Equinix Inc.									14,782
	20,449			Hudson Pacific Properties Inc.									629,420
	23,455			iStar Financial Inc., (5)									307,261
	16,367			LaSalle Hotel Properties									544,530
	23,803			Northstar Realty Finance Corporation									380,848

 

	72			Nuveen Investments

---

Shares				Description (1)								Value
				Real Estate Investment Trust (continued)
	441			Paramount Group Inc.								$	7,881
	6,423			PS Business Parks Inc.									494,507
	87			Simon Property Group, Inc.									16,288
	8,229			Sun Communities Inc.									571,998
				Total Real Estate Investment Trust									3,502,984
				Real Estate Management & Development – 0.0% (0.0% of Total Investments)
	365			CBRE Group Inc., (5)									13,859
				Road & Rail – 0.0% (0.0% of Total Investments)
	80			J.B. Hunt Transports Services Inc.									6,730
	266			Union Pacific Corporation									25,959
				Total Road & Rail									32,689
				Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)
	1,492			ARM Holdings PLC									70,184
	176			Avago Technologies Limited									22,025
	174,213			Axcelis Technologies Inc., (5)									513,928
	252			Broadcom Corporation, Class A									12,754
	17,950			Infineon Technologies AG, (7)									202,835
	25,364			Inphi Corporation, (5)									576,524
	17,430			MA-COM Technology Solutions Holdings Incorporated, (5)									587,565
	13,566			Mellanox Technologies, Limited, (5)									570,450
	2,633			NXP Semiconductors NV, (5)									255,375
	22,055			Tokyo Electron Limited, (7)									302,815
	23,823			Xcerra Corporation, (5)									149,728
				Total Semiconductors & Semiconductor Equipment									3,264,183
				Software – 0.1% (0.1% of Total Investments)
	96			Adobe Systems Incorporated, (5)									7,871
	6,176			Aspen Technology Inc., (5)									274,091
	10,409			Manhattan Associates Inc., (5)									674,711
	709			Microsoft Corporation									33,110
	798			Oracle Corporation									31,872
	183			Parametric Technology Corporation, (5)									6,652
	200			Salesforce.com, Inc., (5)									14,660
	13,283			Take-Two Interactive Software, Inc., (5)									419,477
				Total Software									1,462,444
				Specialty Retail – 0.1% (0.1% of Total Investments)
	6,004			Group 1 Automotive Inc.									582,208
	372			Home Depot, Inc.									43,535
	18,809			Industria de Diseno Textil SA, Inditex, (7)									323,927
	5,827			Lithia Motors Inc.									697,434
	101			O’Reilly Automotive Inc., (5)									24,271
	128			Restoration Hardware Holdings Incorporated, (5)									12,987
	362			Ross Stores, Inc.									19,244
	131			TJX Companies, Inc.									9,146
				Total Specialty Retail									1,712,752
				Technology Hardware, Storage & Peripherals – 0.0% (0.0% of Total Investments)
	912			Apple, Inc.									110,626
	17,181			Logitech International SA									246,032
				Total Technology Hardware, Storage & Peripherals									356,658
				Textiles, Apparel & Luxury Goods – 0.0% (0.0% of Total Investments)
	49			Carter’s Inc.									4,969
	4,961			Luxottica Group SpA									358,283
	214			Nike, Inc., Class B									24,657
				Total Textiles, Apparel & Luxury Goods									387,909

 

Nuveen Investments			73

---

JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Shares				Description (1)														Value
				Thrifts & Mortgage Finance – 0.1% (0.1% of Total Investments)
	21,887			Essent Group Limited, (5)														$	640,631
	11,520			First Defiance Financial Corporation															442,944
	31,727			Walker & Dunlop Inc., (5)															759,862
				Total Thrifts & Mortgage Finance															1,843,437
				Tobacco – 0.0% (0.0% of Total Investments)
	3,987			British American Tobacco PLC															474,452
	4,557			Japan Tobacco Inc., (7)															88,679
	117			Philip Morris International															10,007
				Total Tobacco															573,138
				Trading Companies & Distributors – 0.1% (0.1% of Total Investments)
	5,861			AerCap Holdings N.V, (5)															274,529
	43,703			Fly Leasing Limited															657,293
	6,392			Watsco Inc.															819,710
				Total Trading Companies & Distributors															1,751,532
				Transportation Infrastructure – 0.0% (0.0% of Total Investments)
	3,000			Grupo Aeroportuario del Pacifico S.A.B. de CV															236,640
	1,245			Grupo Aeroportuario del Sureste SA de CV															186,264
				Total Transportation Infrastructure															422,904
				Wireless Telecommunication Services – 0.0% (0.0% of Total Investments)
	34,812			KDDI Corporation, (7)															440,372
				Total Common Stocks (cost $91,090,415)															89,172,439
Shares				Description (1), (9)														Value
				EXCHANGE-TRADED FUNDS – 0.8% (0.5% of Total Investments)
	4,318			First Trust NYSE Arca Biotechnology Index Fund															545,752
	113,500			iShares iBoxx $ High Yield Corporate Bond ETF															9,984,595
				Total Exchange-Traded Funds (cost $10,542,696)															10,530,347
Shares				Description (1)		Coupon								Ratings (3)				Value
				CONVERTIBLE PREFERRED SECURITIES – 0.4% (0.3% of Total Investments)
				Diversified Telecommunication Services – 0.4% (0.3% of Total Investments)
	60,000			Frontier Communications Corporation			11.125%								N/R			$	5,865,000
				Total Convertible Preferred Securities (cost $5,912,528)															5,865,000
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 31.8% (19.9% of Total Investments)
				Chemicals – 0.5% (0.3% of Total Investments)
$	7,500			Hexion Inc.			6.625%				4/15/20				B3			$	6,871,875
				Commercial Services & Supplies – 0.3% (0.2% of Total Investments)
	3,900			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–				3,900,000
				Communications Equipment – 2.6% (1.6% of Total Investments)
	19,000			Avaya Inc., 144A, (8)			7.000%				4/01/19				B1				18,335,000
	10,000			Avaya Inc., 144A			10.500%				3/01/21				CCC+				8,125,000
	8,510			CommScope Technologies Finance LLC, 144A			6.000%				6/15/25				B				8,403,625
	37,510			Total Communications Equipment															34,863,625

 

	74			Nuveen Investments

---

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Diversified Financial Services – 0.4% (0.3% of Total Investments)
$	5,015			Argos Merger Sub Inc., 144A			7.125%				3/15/23				B–			$	5,303,363
				Diversified Telecommunication Services – 3.1% (2.0% of Total Investments)
	10,000			Frontier Communications Corporation, (8)			6.250%				9/15/21				BB				9,225,000
	6,000			Frontier Communications Corporation			6.875%				1/15/25				BB				5,107,500
	11,800			IntelSat Limited			7.750%				6/01/21				CCC+				9,381,000
	23,355			IntelSat Limited, (8)			8.125%				6/01/23				CCC+				18,567,225
	51,155			Total Diversified Telecommunication Services															42,280,725
				Electronic Equipment, Instruments & Components – 1.2% (0.7% of Total Investments)
	14,500			Zebra Technologies Corporation, 144A, (8)			7.250%				10/15/22				B				15,877,500
				Food & Staples Retailing – 0.4% (0.3% of Total Investments)
	5,000			Rite Aid Corporation, 144A			6.125%				4/01/23				B				5,193,750
				Health Care Equipment & Supplies – 2.6% (1.6% of Total Investments)
	25,460			Tenet Healthcare Corporation, (8)			8.125%				4/01/22				B3				28,563,065
	5,600			THC Escrow Corporation II, 144A			6.750%				6/15/23				B3				5,852,000
	31,060			Total Health Care Equipment & Supplies															34,415,065
				Health Care Providers & Services – 1.7% (1.1% of Total Investments)
	10,000			Community Health Systems, Inc., (8)			6.875%				2/01/22				B+				10,700,000
	12,500			DJO Finco Inc / DJO Finance LLC / DJO Finance Corporation, 144A			8.125%				6/15/21				CCC+				12,843,750
	22,500			Total Health Care Providers & Services															23,543,750
				Hotels, Restaurants & Leisure – 1.9% (1.2% of Total Investments)
	2,000			MGM Resorts International Inc.			7.750%				3/15/22				BB				2,220,000
	4,250			Scientific Games Corporation, 144A			7.000%				1/01/22				BB–				4,404,063
	20,000			Scientific Games International Inc.			10.000%				12/01/22				B				19,425,000
	26,250			Total Hotels, Restaurants & Leisure															26,049,063
				Media – 4.2% (2.6% of Total Investments)
	2,500			Affinion Investments LLC			13.500%				8/15/18				CCC–				1,131,250
	6,860			Altice US Finance I Corporation, 144A			5.375%				7/15/23				BB–				6,894,300
	10,609			Clear Channel Communications, Inc., (8)			9.000%				12/15/19				CCC+				10,197,901
	39,809			Clear Channel Communications, Inc.			14.000%				2/01/21				CCC–				26,323,773
	300			Clear Channel Communications, Inc.			9.000%				3/01/21				CCC+				271,500
	10,000			McGraw-Hill Global Education Holdings, (8)			9.750%				4/01/21				BB				11,075,000
	70,078			Total Media															55,893,724
				Multiline Retail – 0.6% (0.4% of Total Investments)
	7,375			Family Tree Escrow LLC, 144A			5.750%				3/01/23				Ba3				7,780,625
				Pharmaceuticals – 2.1% (1.3% of Total Investments)
	3,600			Endo Finance LLC / Endo Finco Inc., 144A			6.000%				7/15/23				B1				3,744,000
	5,350			Endo Finance LLC / Endo Finco Inc., 144A			6.000%				2/01/25				B1				5,510,500
	14,000			Jaguar Holding Company I, 144A, (8)			9.375%				10/15/17				CCC+				14,297,500
	2,060			VRX Escrow Corp., 144A			5.875%				5/15/23				B1				2,142,194
	2,060			VRX Escrow Corp., 144A			6.125%				4/15/25				B1				2,152,700
	27,070			Total Pharmaceuticals															27,846,894
				Real Estate Investment Trust – 1.0% (0.6% of Total Investments)
	13,950			Communications Sales & Leasing Inc., 144A			8.250%				10/15/23				BB				13,322,250
				Semiconductors & Semiconductor Equipment – 0.7% (0.4% of Total Investments)
	14,000			Advanced Micro Devices, Inc., (8)			7.000%				7/01/24				B–				9,310,000
				Software – 0.8% (0.5% of Total Investments)
	7,500			Balboa Merger Sub Inc., 144A, (8)			11.375%				12/01/21				CCC				7,518,750

 

Nuveen Investments			75

---

JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		July 31, 2015

 

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Software (continued)
$	5,000			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+			$	3,725,000
	12,500			Total Software															11,243,750
				Specialty Retail – 1.1% (0.7% of Total Investments)
	7,000			99 Cents Only Stores, (8)			11.000%				12/15/19				Caa1				5,740,000
	9,500			Claires Stores, Inc., 144A, (8)			9.000%				3/15/19				B3				8,229,375
	1,200			Claires Stores, Inc.			10.500%				6/01/17				CC				744,000
	17,700			Total Specialty Retail															14,713,375
				Trading Companies & Distributors – 1.3% (0.8% of Total Investments)
	14,650			HD Supply Inc., (8)			11.500%				7/15/20				B–				17,021,396
				Wireless Telecommunication Services – 5.3% (3.3% of Total Investments)
	12,000			Altice Financing SA, 144A			6.625%				2/15/23				BB–				12,360,000
	2,500			Sprint Corporation			7.250%				9/15/21				B+				2,390,623
	41,000			Sprint Corporation			7.875%				9/15/23				B+				39,308,750
	5,000			T-Mobile USA Inc.			6.250%				4/01/21				BB				5,237,500
	12,000			T-Mobile USA Inc., (8)			6.375%				3/01/25				BB				12,585,000
	72,500			Total Wireless Telecommunication Services															71,881,873
$	454,213			Total Corporate Bonds (cost $451,005,635)															427,312,603
				Total Long-Term Investments (cost $2,123,349,429)															2,077,354,371
Principal Amount (000)				Description (1)		Coupon				Maturity								Value
				SHORT-TERM INVESTMENTS – 5.4% (3.4% of Total Investments)
				REPURCHASE AGREEMENTS – 5.4% (3.4% of Total Investments)
$	73,474			Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/31/15, repurchase price $73,473,894, collateralized by: $20,135,000 U.S. Treasury Notes, 1.500%, due 1/31/22, value $19,556,119; $55,810,000 U.S. Treasury Notes, 1.750%, due 2/28/22, value $55,391,425			0.000%				8/03/15							$	73,473,894
				Total Short-Term Investments (cost $73,473,894)															73,473,894
				Total Investments (cost $2,196,823,323) – 159.9%															2,150,828,265
				Borrowings – (47.6)% (10), (11)															(640,000,000	)
				Reverse Repurchase Agreements – (11.9)% (12)															(160,194,265	)
				Other Assets Less Liabilities – (0.4)%															(5,871,155	)
				Net Assets Applicable to Common Shares – 100%														$	1,344,762,845

 

	76			Nuveen Investments

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

 

(3)

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

 

(4)

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

 

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

 

(6)

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

 

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

 

(8)	Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements.

 

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

 

(10)	Borrowings as a percentage of Total Investments is 29.8%.

 

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

 

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

 

ADR	American Depositary Receipt

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

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

 

TBD

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

 

See accompanying notes to financial statements.

 

Nuveen Investments			77

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Statement of Assets and Liabilities						July 31, 2015

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Assets
Long-term investments, at value (cost $444,290,240, $1,047,894,949, $740,105,798, $269,054,822 and $2,123,349,429, respectively)		$	433,579,036			$	1,022,476,457			$	723,896,274			$	265,402,287			$	2,077,354,371
Short-term investments, at value (cost approximates value)			39,279,324				98,943,902				61,801,154				15,857,005				73,473,894
Cash collateral at brokers(1)			—				—				—				650,000				—
Cash denominated in foreign currencies (cost $1,805, $4,597, $3,071, $— and $—, respectively)			1,778				4,527				3,024				—				—
Credit default swaps premiums paid			—				—				—				343,215				—
Unrealized appreciation on credit default swaps, net			—				—				—				103,800				—
Receivable for:
Dividends			806				2,498				1,962				—				72,701
Interest			2,890,314				6,728,455				5,177,106				1,814,883				18,164,698
Investments sold			3,071,258				10,537,401				6,020,320				966,482				89,232,946
Reclaims			—				—				—				—				24,238
Deferred offering costs			333,476				725,353				528,227				—				—
Other assets			198,068				420,524				263,531				21,585				335,680
Total assets			479,354,060				1,139,839,117				797,691,598				285,159,257				2,258,658,528
Liabilities
Borrowings			112,500,000				270,300,000				188,800,000				85,200,000				640,000,000
Reverse repurchase agreements			—				—				—				—				160,194,265
Unrealized depreciation on interest rate swaps			—				—				—				302,028				—
Payable for:
Dividends			1,327,324				3,276,390				2,391,393				904,705				6,720,662
Investments purchased			30,242,406				62,936,748				43,660,781				10,363,257				104,068,082
Variable Rate Term Preferred (“VRTP”) Shares, at liquidation value			58,000,000				139,000,000				98,000,000				—				—
Accrued expenses:
Interest			110,092				265,151				185,755				77,971				812,117
Management fees			310,018				729,633				515,275				189,498				1,464,839
Trustees fees			64,379				115,796				72,490				10,003				321,604
Other			269,620				413,957				337,102				80,435				314,114
Total liabilities			202,823,839				477,037,675				333,962,796				97,127,897				913,895,683
Net assets applicable to common shares		$	276,530,221			$	662,801,442			$	463,728,802			$	188,031,360			$	1,344,762,845
Common shares outstanding			38,626,872				55,169,216				38,478,782				10,095,286				136,071,090
Net asset value (“NAV”) per common share outstanding		$	7.16			$	12.01			$	12.05			$	18.63			$	9.88
Net assets applicable to common shares consist of:
Common shares, $0.01 par value per share		$	386,269			$	551,692			$	384,788			$	100,953			$	1,360,711
Paid-in surplus			324,736,937				766,273,473				526,775,524				192,369,788				1,838,004,678
Undistributed (Over-distribution of) net investment income			(342,112	)			(1,108,914	)			(282,189	)			(899,188	)			2,140,829
Accumulated net realized gain (loss)			(37,539,642	)			(77,496,247	)			(46,939,750	)			310,570				(450,748,463	)
Net unrealized appreciation (depreciation)			(10,711,231	)			(25,418,562	)			(16,209,571	)			(3,850,763	)			(45,994,910	)
Net assets applicable to common shares		$	276,530,221			$	662,801,442			$	463,728,802			$	188,031,360			$	1,344,762,845
Authorized shares:
Common			Unlimited				Unlimited				Unlimited				Unlimited				Unlimited
Preferred			Unlimited				Unlimited				Unlimited				Unlimited				Unlimited

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

 

See accompanying notes to financial statements.

 

	78			Nuveen Investments

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Statement of Operations						Year Ended July 31, 2015

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Investment Income
Interest and dividends (net of foreign tax withheld of $57,630, $—, $—, $— and $38,623, respectively)		$	23,659,955			$	56,031,662			$	40,939,709			$	15,520,853			$	110,033,751
Fees			231,162				609,345				439,035				224,275				1,473,363
Total investment income			23,891,117				56,641,007				41,378,744				15,745,128				111,507,114
Expenses
Management fees			3,688,645				8,670,680				6,130,691				2,253,160				16,361,298
Interest expense and amortization of offering costs			2,526,629				5,950,989				4,210,057				869,487				9,111,403
Custodian fees			157,454				345,468				243,663				115,889				524,808
Trustees fees			16,868				40,055				28,149				10,430				76,109
Professional fees			111,175				141,390				125,207				97,439				138,900
Shareholder reporting expenses			70,193				101,144				59,773				45,572				341,809
Shareholder servicing agent fees			20,297				18,512				17,996				210				5,812
Stock exchange listing fees			12,449				17,778				12,400				8,315				43,877
Investor relations expenses			49,773				138,055				97,822				4,681				149,761
Other			37,060				50,352				44,307				12,559				45,375
Total expenses			6,690,543				15,474,423				10,970,065				3,417,742				26,799,152
Net investment income (loss)			17,200,574				41,166,584				30,408,679				12,327,386				84,707,962
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments and foreign currency			(370,349	)			1,075,483				890,595				401,299				22,176,347
Swaps			(607,114	)			(1,623,403	)			(962,762	)			(438,439	)			(3,031,192	)
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(14,108,045	)			(34,151,330	)			(26,174,687	)			(8,796,752	)			(81,354,562	)
Swaps			550,340				1,471,592				872,730				54,909				2,744,568
Net realized and unrealized gain (loss)			(14,535,168	)			(33,227,658	)			(25,374,124	)			(8,778,983	)			(59,464,839	)
Net increase (decrease) in net assets applicable to common shares from operations		$	2,665,406			$	7,938,926			$	5,034,555			$	3,548,403			$	25,243,123

 

See accompanying notes to financial statements.

 

Nuveen Investments			79

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Statement of Changes in Net Assets

 

		Senior Income (NSL)								Floating Rate Income (JFR)
		Year Ended 7/31/15				Year Ended 7/31/14				Year Ended 7/31/15				Year Ended 7/31/14
Operations
Net investment income (loss)		$	17,200,574			$	17,092,463			$	41,166,584			$	41,303,198
Net realized gain (loss) from:
Investments and foreign currency			(370,349	)			3,139,965				1,075,483				5,977,009
Swaps			(607,114	)			(531,232	)			(1,623,403	)			(1,420,498	)
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(14,108,045	)			(937,044	)			(34,151,330	)			(2,127,767	)
Swaps			550,340				423,385				1,471,592				1,132,120
Net increase (decrease) in net assets applicable to common shares from operations			2,665,406				19,187,537				7,938,926				44,864,062
Distributions to Common Shareholders
From net investment income			(16,223,287	)			(17,150,331	)			(39,721,836	)			(41,928,604	)
From accumulated net realized gains			—				—				—				—
Decrease in net assets applicable to common shares from distributions to common shareholders			(16,223,287	)			(17,150,331	)			(39,721,836	)			(41,928,604	)
Capital Share Transactions
Common shares:
Proceeds from shelf offering, net of offering costs and adjustments			—				—				—				284,185
Net proceeds from shares issued to shareholders due to reinvestment of distributions			—				25,528				—				52,666
Cost of shares repurchased and retired			—				—				—				—
Net increase (decrease) in net assets applicable to common shares from capital share transactions			—				25,528				—				336,851
Net increase (decrease) in net assets applicable to common shares			(13,557,881	)			2,062,734				(31,782,910	)			3,272,309
Net assets applicable to common shares at the beginning of period			290,088,102				288,025,368				694,584,352				691,312,043
Net assets applicable to common shares at the end of period		$	276,530,221			$	290,088,102			$	662,801,442			$	694,584,352
Undistributed (Over-distribution of) net investment income at the end of period		$	(342,112	)		$	(1,407,209	)		$	(1,108,914	)		$	(3,020,467	)

 

See accompanying notes to financial statements.

 

	80			Nuveen Investments

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		Floating Rate Income Opportunity (JRO)								Short Duration Credit Opportunities (JSD)
		Year Ended 7/31/15				Year Ended 7/31/14				Year Ended 7/31/15				Year Ended 7/31/14
Operations
Net investment income (loss)		$	30,408,679			$	30,031,172			$	12,327,386			$	12,995,874
Net realized gain (loss) from:
Investments and foreign currency			890,595				4,586,814				401,299				1,603,624
Swaps			(962,762	)			(842,428	)			(438,439	)			(763,186	)
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(26,174,687	)			1,039,424				(8,796,752	)			(1,381,412	)
Swaps			872,730				671,405				54,909				263,554
Net increase (decrease) in net assets applicable to common shares from operations			5,034,555				35,486,387				3,548,403				12,718,454
Distributions to Common Shareholders
From net investment income			(29,089,959	)			(30,513,055	)			(11,750,913	)			(13,830,542	)
From accumulated net realized gains			—				—				(379,583	)			(3,300,149	)
Decrease in net assets applicable to common shares from distributions to common shareholders			(29,089,959	)			(30,513,055	)			(12,130,496	)			(17,130,691	)
Capital Share Transactions
Common shares:
Proceeds from shelf offering, net of offering costs and adjustments			—				542,095				—				(5,690	)
Net proceeds from shares issued to shareholders due to reinvestment of distributions			—				64,515				—				—
Cost of shares repurchased and retired			—				—				—				—
Net increase (decrease) in net assets applicable to common shares from capital share transactions			—				606,610				—				(5,690	)
Net increase (decrease) in net assets applicable to common shares			(24,055,404	)			5,579,942				(8,582,093	)			(4,417,927	)
Net assets applicable to common shares at the beginning of period			487,784,206				482,204,264				196,613,453				201,031,380
Net assets applicable to common shares at the end of period		$	463,728,802			$	487,784,206			$	188,031,360			$	196,613,453
Undistributed (Over-distribution of) net investment income at the end of period		$	(282,189	)		$	(1,962,572	)		$	(899,188	)		$	(1,128,155	)

 

See accompanying notes to financial statements.

 

Nuveen Investments			81

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Statement of Changes in Net Assets (continued)

 

 

		Credit Strategies Income (JQC)
		Year Ended 7/31/15				Year Ended 7/31/14
Operations
Net investment income (loss)		$	84,707,962			$	81,415,145
Net realized gain (loss) from:
Investments and foreign currency			22,176,347				35,651,566
Swaps			(3,031,192	)			(2,646,702	)
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(81,354,562	)			(12,338,040	)
Swaps			2,744,568				2,084,814
Net increase (decrease) in net assets applicable to common shares from operations			25,243,123				104,166,783
Distributions to Common Shareholders
From net investment income			(75,543,576	)			(87,747,986	)
From accumulated net realized gains			—				—
Decrease in net assets applicable to common shares from distributions to common shareholders			(75,543,576	)			(87,747,986	)
Capital Share Transactions
Common shares:
Proceeds from shelf offering, net of offering costs and adjustments			—				—
Net proceeds from shares issued to shareholders due to reinvestment of distributions			—				—
Cost of shared repurchased and retired			(1,239,262	)			(377,250	)
Net increase (decrease) in net assets applicable to common shares from capital share transactions			(1,239,262	)			(377,250	)
Net increase (decrease) in net assets applicable to common shares			(51,539,715	)			16,041,547
Net assets applicable to common shares at the beginning of period			1,396,302,560				1,380,261,013
Net assets applicable to common shares at the end of period		$	1,344,762,845			$	1,396,302,560
Undistributed (Over-distribution of) net investment income at the end of period		$	2,140,829			$	(7,365,007	)

 

See accompanying notes to financial statements.

 

	82			Nuveen Investments

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Statement of Cash Flows						Year Ended July 31, 2015

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Cash Flows from Operating Activities:
Net Increase (Decrease) In Net Assets Applicable to Common Shares from Operations		$	2,665,406			$	7,938,926			$	5,034,555			$	3,548,403			$	25,243,123
Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from operations to net cash provided by (used in) operating activities:
Purchases of investments			(161,729,023	)			(354,288,727	)			(257,062,074	)			(91,566,022	)			(1,371,152,412	)
Proceeds from sales and maturities of investments			149,331,097				340,696,618				252,289,123				83,880,569				1,173,597,533
Proceeds from (Purchases of) short-term investments, net			(16,985,843	)			(33,304,713	)			(29,141,057	)			4,963,851				35,302,216
Proceeds from (Payments for) swap contracts, net			(607,114	)			(1,623,403	)			(962,762	)			(438,439	)			(3,031,192	)
Proceeds from (Payments for) cash denominated in foreign currencies			(1,778	)			(4,527	)			(3,024	)			—				—
Proceeds from (Payments for) closed foreign currency spot contracts			(5,885	)			(14,983	)			(10,009	)			—				—
Proceeds from litigation settlement			442				885				442				—				1,319,286
Investment transaction adjustments, net			(122,967	)			(278,519	)			(210,835	)			(50,715	)			(659,049	)
Amortization (Accretion) of premiums and discounts, net			(575,483	)			(1,400,449	)			(1,185,645	)			(583,553	)			(1,427,651	)
Amortization of deferred offering costs			250,172				450,471				328,520				—				—
(Increase) Decrease in:
Cash collateral at brokers			704,350				1,642,915				875,000				(120,000	)			2,948,000
Credit default swaps premiums paid			—				—				—				(159,228	)			—
Receivable for dividends			(806	)			(2,498	)			(1,962	)			—				(27,818	)
Receivable for interest			183,930				270,525				217,291				(14,222	)			(3,925,198	)
Receivable for investments sold			11,923,966				14,294,102				12,371,102				3,107,198				(64,633,166	)
Receivable for reclaims			—				—				—				—				1,386
Other assets			(60,993	)			(133,116	)			(91,212	)			(3,489	)			513,779
Increase (Decrease) in:
Payable for investments purchased			16,388,407				31,694,782				19,443,404				766,378				27,345,437
Payable for unfunded senior loans			(133,735	)			(793,786	)			(551,839	)			(133,735	)			—
Accrued interest			5,804				22,977				9,772				23,481				768,489
Accrued management fees			(9,808	)			(21,535	)			(16,822	)			(6,126	)			84,158
Accrued Trustees fees			16,785				27,099				17,038				2,429				69,717
Accrued other expenses			79,094				62,809				72,179				(28,948	)			(62,173	)
Net realized (gain) loss from:
Investments and foreign currency			370,349				(1,075,483	)			(890,595	)			(401,299	)			(22,176,347	)
Swaps			607,114				1,623,403				962,762				438,439				3,031,192
Change in net unrealized (appreciation) depreciation of:
Investments and foreign currency			14,108,045				34,151,330				26,174,687				8,796,752				81,354,562
Swaps			(550,340	)			(1,471,592	)			(872,730	)			(54,909	)			(2,744,568	)
Net cash provided by (used in) operating activities			15,851,186				38,463,511				26,795,309				11,966,815				(118,260,696	)
Cash Flows from Financing Activities:
Net borrowings through reverse repurchase agreements			—				—				—				—				160,194,265
Proceeds from borrowings			500,000				1,300,000				800,000				200,000				34,000,000
Increase (Decrease) in:
Payable for offering costs			(28,638	)			—				—				—				—
Accrued shelf offering costs			(99,857	)			(46,620	)			(93,295	)			—				(18,734	)
Cash distributions paid to common shareholders			(16,222,691	)			(39,716,891	)			(29,090,508	)			(12,166,815	)			(74,675,573	)
Cost of common shares repurchased and retired			—				—				—				—				(1,239,262	)
Net cash provided by (used in) financing activities			(15,851,186	)			(38,463,511	)			(28,383,803	)			(11,966,815	)			118,260,696
Net Increase (Decrease) in Cash			—				—				(1,588,494	)			—				—
Cash at the beginning of period			—				—				1,588,494				—				—
Cash at the end of period		$	—			$	—			$	—			$	—			$	—
Supplemental Disclosures of Cash Flow Information		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Cash paid for interest (excluding borrowing costs and amortization of offering costs)		$	2,139,972			$	5,094,342			$	3,604,280			$	751,006			$	7,432,943

 

See accompanying notes to financial statements.

 

Nuveen Investments			83

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Financial

Highlights

 

Selected data for a common share outstanding throughout each period:

 

 

						Investment Operations												Less Distributions to Common Shareholders												Common Share
		Beginning Common Share NAV				Net Invest ment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumu lated Net Realized Gains				Total				Offering Costs				Premium Per Share Sold through Shelf Offering				Ending NAV				Ending Share Price
Senior Income (NSL)
Year Ended 7/31:
2015		$	7.51			$	0.45			$	(0.38	)		$	0.07			$	(0.42	)		$	—			$	(0.42	)		$	—			$	—			$	7.16			$	6.34
2014			7.46				0.44				0.05				0.49				(0.44	)			—				(0.44	)			—				—				7.51				6.98
2013			7.07				0.54				0.35				0.89				(0.56	)			—				(0.56	)			(0.01	)			0.07				7.46				7.45
2012			7.12				0.57				(0.10	)			0.47				(0.54	)			—				(0.54	)			—				0.02				7.07				7.29
2011			6.81				0.64				0.09				0.73				(0.49	)			—				(0.49	)			—				0.07				7.12				6.99
Floating Rate Income (JFR)
Year Ended 7/31:
2015			12.59				0.75				(0.61	)			0.14				(0.72	)			—				(0.72	)			—				—				12.01				10.67
2014			12.54				0.75				0.06				0.81				(0.76	)			—				(0.76	)			—	*			—	*			12.59				11.72
2013			11.87				0.90				0.68				1.58				(0.97	)			—				(0.97	)			—	*			0.06				12.54				12.72
2012			12.06				1.02				(0.25	)			0.77				(0.96	)			—				(0.96	)			—				—	*			11.87				11.78
2011			11.47				1.07				0.19				1.26				(0.69	)			—				(0.69	)			—				0.02				12.06				11.41

 

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

(b)

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

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

(c)     •

Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Borrowing Arrangements), where applicable.

•

Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

 

	84			Nuveen Investments

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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)(d)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income (Loss)(e)				Expenses				Net Investment Income (Loss)(e)				Portfolio Turnover Rate(g)
	0.96	%			(3.25	)%		$	276,530				2.37	%			6.08	%			N/A				N/A				34	%
	6.78				(0.29	)			290,088				2.15				5.89				N/A				N/A				58
	13.89				10.23				288,025				1.74				7.32				N/A				N/A				76
	7.34				12.78				231,866				1.82				8.34				N/A				N/A				64
	12.01				7.72				227,986				1.78				8.99				N/A				N/A				100
	1.15				(2.88	)			662,801				2.29				6.08				N/A				N/A				33
	6.62				(1.84	)			694,584				2.05				5.94				N/A				N/A				52
	14.26				16.76				691,312				1.71				7.34				N/A				N/A				69
	6.91				12.43				572,118				1.79				8.72				1.72				8.80				57
	11.31				7.96				580,419				1.72				8.74				1.54				8.92				99

 

(d)	After expense reimbursement from the Adviser, where applicable. As of March 31, 2012, the Adviser is no longer reimbursing Floating Rate Income (JFR) for any fees or expenses.

(e)

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

 

 

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

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

*	Rounds to less than $0.01 per share.

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

 

See accompanying notes to financial statements.

 

Nuveen Investments			85

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Financial Highlights (continued)

 

Selected data for a common share outstanding throughout each period:

 

						Investment Operations												Less Distributions to Common Shareholders												Common Share
		Beginning Common Share NAV				Net Investment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumu lated Net Realized Gains				Total				Offering Costs				Premium Per Share Sold through Shelf Offering				Ending NAV				Ending Share Price
Floating Rate Income Opportunity (JRO)
Year Ended 7/31:
2015		$	12.68			$	0.79			$	(0.66	)		$	0.13			$	(0.76	)		$	—			$	(0.76	)		$	—			$	—			$	12.05			$	10.82
2014			12.55				0.78				0.14				0.92				(0.79	)			—				(0.79	)			—	*			—	*			12.68				12.40
2013			11.84				0.95				0.68				1.63				(1.04	)			—				(1.04	)			(0.01	)			0.13				12.55				12.73
2012			11.96				1.13				(0.26	)			0.87				(1.01	)			—				(1.01	)			—				0.02				11.84				12.09
2011			11.34				1.12				0.22				1.34				(0.79	)			—				(0.79	)			—				0.07				11.96				11.46
Short Duration Credit Opportunities (JSD)
Year Ended 7/31:
2015			19.48				1.22				(0.87	)			0.35				(1.16	)			(0.04	)			(1.20	)			—				—				18.63				16.41
2014			19.91				1.29				(0.02	)			1.27				(1.37	)			(0.33	)			(1.70	)			—	*			—				19.48				18.20
2013			19.49				1.61				0.49				2.10				(1.61	)			(0.07	)			(1.68	)			—				—	*			19.91				19.89
2012			19.08				1.56				0.25				1.81				(1.40	)			—				(1.40	)			—				—				19.49				19.54
2011(f)			19.10				0.05				0.08				0.13				(0.11	)			—				(0.11	)			(0.04	)			—				19.08				18.37

 

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

(b)

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

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

(c)     •

Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Borrowing Arrangements), where applicable.

•

Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

 

	86			Nuveen Investments

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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)(d)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income (Loss)(e)				Expenses				Net Investment Income (Loss)(e)				Portfolio Turnover Rate(h)
	1.03	%			(6.74	)%		$	463,729				2.31	%			6.41	%			N/A				N/A				34	%
	7.54				3.91				487,784				2.07				6.16				N/A				N/A				55
	15.27				14.42				482,204				1.71				7.73				N/A				N/A				72
	8.03				15.20				369,939				1.74				9.75				1.65	%			9.85	%			85
	12.77				5.20				364,883				1.75				9.19				1.56				9.38				101
	1.87				(3.27	)			188,031				1.78				6.43				N/A				N/A				31
	6.59				0.16				196,613				1.88				6.52				N/A				N/A				45
	11.17				10.77				201,031				1.80				8.12				N/A				N/A				82
	9.96				14.77				195,165				1.75				8.25				N/A				N/A				62
	0.49				(7.58	)			190,868				1.16	**			1.52	**			N/A				N/A				5

 

(d)	After expense reimbursement from the Adviser, where applicable. As of July 31, 2012, the Adviser is no longer reimbursing Floating Rate Income Opportunity (JRO) for any fees or expenses.

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

 

 

(f)	For the period May 25, 2011 (commencement of operations) through July 31, 2011.

(g)	Floating Rate Income Opportunity (JRO) had no matured senior loans subsequent to the fiscal year ended July 31, 2012. Short Duration Credit Opportunities (JSD) has not had any matured senior loans since its commencement of operations on May 25, 2011.

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

*	Rounds to less than $0.01 per share.

**	Annualized.

N/A	Fund does not have, or no longer has, a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

Nuveen Investments			87

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Financial Highlights (continued)

 

Selected data for a common share outstanding throughout each period:

 

 

						Investment Operations												Less Distributions to Common Shareholders																Common Share
		Beginning Common Share NAV				Net Investment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumulated Net Realized Gains				Return of Capital				Total				Discount Per Share Repurchased and Retired				Ending NAV				Ending Share Price
Credit Strategies Income (JQC)
Year Ended 7/31:
2015		$	10.25			$	0.62			$	(0.43	)		$	0.19			$	(0.56	)		$	—			$	—			$	(0.56	)		$	—	*		$	9.88			$	8.59
2014			10.13				0.60				0.16				0.76				(0.64	)			—				—				(0.64	)			—	*			10.25				9.05
2013(j)			9.88				0.42				0.29				0.71				(0.46	)			—				—				(0.46	)			—				10.13				10.03
Year Ended 12/31:
2012			9.18				0.78				0.72				1.50				(0.80	)			—				—				(0.80	)			—				9.88				9.65
2011			10.13				0.55				(0.72	)			(0.17	)			(0.79	)			—				—				(0.79	)			0.01				9.18				8.05
2010			9.00				0.53				1.29				1.82				(0.60	)			—				(0.10	)			(0.70	)			0.01				10.13				8.80

 

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

(b)

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

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

(c)	After expense reimbursement from the Adviser, where applicable. As of June 30, 2011, the Adviser is no longer reimbursing the Fund for any fees or expenses.

(d)     •

Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and borrowings, where applicable, as described in Note 3 – Portfolio Securities and Investments in Derivatives, Reverse Repurchase Agreements and Note 9 – Borrowing Arrangements, respectively.

•

Each ratio includes the effect of dividends expense on securities sold short and all interest expense and other costs related to reverse repurchase agreements and borrowings, where applicable, as follows:

 

Credit Strategies Income (JQC)		Ratios of Dividends Expense on Securities Sold Short to Average Net Assets Applicable to Common Shares(i)				Ratios of Borrowings Interest Expense to Average Net Assets Applicable to Common Shares
Year Ended 7/31:
2015			—	%			0.66	%
2014			—				0.52
2013(j)			—				0.55	***
Year Ended 12/31:
2012			—	**			0.58
2011			—	**			0.43
2010			—	**			0.40

 

	88			Nuveen Investments

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								Common Share Supplemental Data/ Ratios Applicable to Common Shares
Common Share Total Returns												Ratios to Average Net Assets Before Reimbursement(d)								Ratios to Average Net Assets After Reimbursement(c)(d)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income Loss(f)				Expenses				Net Investment Income Loss(f)				Portfolio Turnover Rate(h)
	1.82	%			1.02	%		$	1,344,763				1.95	%			6.16	%			N/A				N/A				61	%
	7.74				(3.44	)			1,396,303				1.77	(e)			5.84	(e)			N/A				N/A				65
	7.32				8.80				1,380,261				1.77	***			7.22	***			N/A				N/A				44
	16.80				30.55				1,345,657				1.86				8.07				N/A				N/A				127
	(1.70	)			0.24				1,250,245				1.70				5.44				1.65	%			5.49	%			37
	21.02				24.26				1,388,235				1.64				5.41				1.48				5.57				48

 

(e)

During the fiscal year ended July 31, 2014, the Adviser voluntarily reimbursed the Fund for certain expenses incurred in connection with its common shares equity shelf program. As a result the Expenses and Net Investment Income (Loss) Ratios to Average Net Assets Applicable to Common Shares do not reflect the voluntary expense reimbursement from Adviser as described in Note 4 – Fund Shares, Common Shares Equity Shelf Program and Offering Costs. The expenses and net investment income (loss) ratios to average net assets applicable to common shares including this expense reimbursement from Adviser are as follows:

 

Credit Strategies Income (JQC)		Expenses				Net Investment Income Loss
Year Ended 7/31:
2014			1.76	%			5.85	%

 

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

 

 

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

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

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

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

*	Rounds to less than $0.01 per share.

**	Rounds to less than 0.01%.

***	Annualized.

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

 

See accompanying notes to financial statements.

 

Nuveen Investments			89

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Financial Highlights (continued)

 

 

		Borrowings at the End of Period								VRTP Shares at the End of Period								Borrowings and VRTP Shares at the End of Period
		Aggregate Amount Outstanding (000)				Asset Coverage Per $1,000 Share				Aggregate Amount Outstanding (000)				Asset Coverage Per $100,000 Share				Asset Coverage Per $1 Liquidation Preference
Senior Income (NSL)
Year Ended 7/31:
2015		$	112,500			$	2,622			$	58,000			$	262,188			$	2.62
2014			112,000				2,706				58,000				270,640				2.71
2013			123,000				3,342				—				—				—
2012			100,000				3,319				—				—				—
2011			73,950				4,083				—				—				—
Floating Rate Income (JFR)
Year Ended 7/31:
2015			270,300				2,619				139,000				261,935				2.62
2014			269,000				2,702				139,000				270,241				2.70
2013			295,200				3,342				—				—				—
2012			249,200				3,296				—				—				—
2011			197,740				3,935				—				—				—
Floating Rate Income Opportunity (JRO)
Year Ended 7/31:
2015			188,800				2,617				98,000				261,691				2.62
2014			188,000				2,706				98,000				270,554				2.71
2013			201,900				3,388				—				—				—
2012			159,900				3,314				—				—				—
2011			117,270				4,111				—				—				—
Short Duration Credit Opportunities (JSD)
Year Ended 7/31:
2015			85,200				3,207				—				—				—
2014			85,000				3,313				—				—				—
2013			85,000				3,365				—				—				—
2012			85,000				3,296				—				—				—
2011(a)			—				—				—				—				—
Credit Strategies Income (JQC)
Year Ended 7/31:
2015			640,000				3,101				—				—				—
2014			606,000				3,304				—				—				—
2013(b)			561,000				3,460				—				—				—
Year Ended 12/31:
2012			561,000				3,399				—				—				—
2011			517,000				3,418				—				—				—
2010			400,000				4,471				—				—				—

 

(a)	For the period May 25, 2011 (commencement of operations) through July 31, 2011.

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

 

See accompanying notes to financial statements.

 

	90			Nuveen Investments

---

Notes to

Financial Statements

 

1. General Information and Significant Accounting Policies

General Information

Fund Information

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

 

•

Nuveen Senior Income Fund (NSL) (“Senior Income (NSL)”)

 

•

Nuveen Floating Rate Income Fund (JFR) (“Floating Rate Income (JFR)”)

 

•

Nuveen Floating Rate Income Opportunity Fund (JRO) (“Floating Rate Income Opportunity (JRO)”)

 

•

Nuveen Short Duration Credit Opportunities Fund (JSD) (“Short Duration Credit Opportunities (JSD)”)

 

•

Nuveen Credit Strategies Income Fund (JQC) (“Credit Strategies Income (JQC)”)

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

The end of the reporting period for the Funds is July 31, 2015, and the period covered by these Notes to Financial Statements is the fiscal year ended July 31, 2015 (“the current fiscal period”).

Investment Adviser

The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a wholly owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). The Adviser is responsible for each Fund’s overall investment strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony Asset Management, LLC (“Symphony”), an affiliate of Nuveen, under which Symphony manages the investment portfolios of the Funds. The Adviser is responsible for overseeing the Funds’ investments in interest rate and credit default swap contracts.

Investment Objectives and Principal Investment Strategies

Senior Income’s (NSL) investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests at least 80% of its managed assets (as defined in Note 7 – Management Fees and Other Transactions with Affiliates) in adjustable rate senior secured loans. The Fund may invest up to 20% of its managed assets in U.S. dollar denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities and equity securities and warrants acquired in connection with the Fund’s investment in senior loans.

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

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

Short Duration Credit Opportunities’ (JSD) investment objective is to provide current income and the potential for capital appreciation. Under normal market circumstances the Fund will invest at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may make limited tactical investments in high yield debt and other debt instruments of up to 30% of its managed assets. No more than 30% of the Fund’s managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization or that are unrated but judged by Symphony, to be of comparable quality. The Fund may enter into tactical short positions consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating investment exposure or hedging existing long (positive) investment exposure in a

 

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Notes to Financial Statements (continued)

 

notional amount up to 20% of its managed assets. The Fund may invest up to 20% of its managed assets in debt instruments of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s investments in debt instruments of non-U.S. issuers may include debt instruments of issuers located, or conducting their business, in emerging markets countries.

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

Significant Accounting Policies

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

Investment Transactions

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

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

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Outstanding when-issued/delayed delivery purchase commitments		$	28,596,835			$	58,425,163			$	40,981,931				$9,029,014			$	42,356,750

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are recognized as “Fees income” on the Statement of Operations.

Professional Fees

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

Dividends and Distributions to Common Shareholders

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

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

Indemnifications

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

 

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Netting Agreements

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

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

Use of Estimates

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

2. Investment Valuation and Fair Value Measurements

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

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

 

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

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the NASDAQ National Market (“NASDAQ”) are valued at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and are generally classified as Level 2. Prices of certain American Depositary Receipts (“ADR”) held by the Funds that trade in the United States are valued based on the last traded price, official closing price or the most recent bid price of the underlying non-U.S.-traded stock, adjusted as appropriate for the underlying-to-ADR conversion ratio and foreign exchange rate, and from time-to-time may also be adjusted further to take into account material events that may take place after the close of the local non-U.S. market but before the close of the NYSE, which may represent a transfer from a Level 1 to a Level 2 security.

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

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

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

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

 

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Notes to Financial Statements (continued)

 

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

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

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

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

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

 

Senior Income (NSL)		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests**		$	—			$	377,436,580			$	—	***		$	377,436,580
Common Stocks**			1,004,436				3,476,754				—	***			4,481,190
$25 Par (or similar) Retail Preferred			—				43,450				—				43,450
Convertible Bonds			—				745,875				—				745,875
Corporate Bonds			—				50,871,941				—				50,871,941
Short-Term Investments:
Repurchase Agreements			—				39,279,324				—				39,279,324
Total		$	1,004,436			$	471,853,924			$	—	***		$	472,858,360
Floating Rate Income (JFR)
Long-Term Investments*:
Variable Rate Senior Loan Interests**		$	—			$	848,729,027			$	—	***		$	848,729,027
Common Stocks**			3,105,768				5,816,020				1				8,921,789
$25 Par (or similar) Retail Preferred			—				274,725				—				274,725
Convertible Bonds			—				1,625,250				—				1,625,250
Corporate Bonds			—				110,679,567				—				110,679,567
Asset-Backed Securities			—				41,288,750				—				41,288,750
Investment Companies			10,957,349				—				—				10,957,349
Short-Term Investments:
Repurchase Agreements			—				98,943,902				—				98,943,902
Total		$	14,063,117			$	1,107,357,241			$	1			$	1,121,420,359

 

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Floating Rate Income Opportunity (JRO)		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests**		$	—			$	599,891,325			$	—	***		$	599,891,325
Common Stocks**			2,440,531				5,240,398				1				7,680,930
$25 Par (or similar) Retail Preferred			—				86,900				—				86,900
Convertible Bonds			—				1,362,000				—				1,362,000
Corporate Bonds			—				87,600,966				—				87,600,966
Asset-Backed Securities			—				27,274,153				—				27,274,153
Short-Term Investments:
Repurchase Agreements			—				61,801,154				—				61,801,154
Total		$	2,440,531			$	783,256,896			$	1			$	785,697,428
Short Duration Credit Opportunities (JSD)
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	231,177,243			$	—			$	231,177,243
Common Stocks**			—				1,053,349				—				1,053,349
Corporate Bonds			—				33,171,695				—				33,171,695
Short-Term Investments:
Repurchase Agreements			—				15,857,005				—				15,857,005
Investments in Derivatives:
Interest Rate Swaps****			—				(302,028	)			—				(302,028	)
Credit Default Swaps****			—				103,800				—				103,800
Total		$	—			$	281,061,064			$	—			$	281,061,064
Credit Strategies Income (JQC)
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	1,544,473,982			$	—			$	1,544,473,982
Common Stocks**			71,156,206				18,016,233				—	***			89,172,439
Exchange-Traded Funds			10,530,347				—				—				10,530,347
Convertible Preferred Securities			5,865,000				—				—				5,865,000
Corporate Bonds			—				427,312,603				—				427,312,603
Short-Term Investments:
Repurchase Agreements			—				73,473,894				—				73,473,894
Total		$	87,551,553			$	2,063,276,712			$	—	***		$	2,150,828,265

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

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

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

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

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

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

 

(i)

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

 

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Notes to Financial Statements (continued)

 

 

(ii)

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

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

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

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Foreign Currency Transactions

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

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

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

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

Repurchase Agreements

In connection with transactions in repurchase agreements, it is each Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following table presents the repurchase agreements for the Funds that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.

 

Fund		Counterparty		Short-Term Investments, at Value				Collateral Pledged To (From) Counterparty*				Net Exposure
Senior Income (NSL)		Fixed Income Clearing Corporation		$	39,279,324			$	(39,279,324	)		$	—
Floating Rate Income (JFR)		Fixed Income Clearing Corporation			98,943,902				(98,943,902	)			—
Floating Rate Income Opportunity (JRO)		Fixed Income Clearing Corporation			61,801,154				(61,801,154	)			—
Short Duration Credit Opportunities (JSD)		Fixed Income Clearing Corporation			15,857,005				(15,857,005	)			—
Credit Strategies Income (JQC)		Fixed Income Clearing Corporation			73,473,894				(73,473,894	)			—

*	As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Fund’s Portfolio of Investments for details on the repurchase agreements.

 

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Reverse Repurchase Agreements

During the current fiscal period, Credit Strategies Income (JQC) invested in reverse repurchase agreements as a means of leverage. In a reverse repurchase agreement, the Fund sells to the counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will segregate assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.

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

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

 

Fund		Counterparty		Coupon				Principal Amount				Maturity				Value				Value and Accrued Interest
Credit Strategies Income (JQC)		Societe Generale			1.43	%		$	(160,000,000	)			4/15/20			$	(160,000,000	)		$	160,194,265

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

 

		Credit Strategies Income (JQC)*
Average daily balance outstanding			$160,000,000
Weighted average interest rate			1.43	%

*	For the period April 15, 2015 through July 31, 2015.

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

 

Counterparty		Reverse Repurchase** Agreements				Collateral Pledged to Counterparty				Net Exposure
Societe Generale		$	(160,194,265	)		$	160,194,265			$	—

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

Zero Coupon Securities

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

Investments in Derivatives

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

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”). The amount of the payment obligation is based on the notional amount of the swap contract and the termination date of the swap contract. Swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.

Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations

 

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Notes to Financial Statements (continued)

 

under the contracts. For over-the-counter (“OTC”) swaps, the net amount recorded on these transactions, for each counterparty, is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net).”

Upon the execution of an exchanged-cleared swap contract, in certain instances the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in exchange-cleared interest rate swap contracts obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities.

The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contacts are treated as ordinary income or expense, respectively.

Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps.” In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.

During the current fiscal period, the Funds continued to use interest rate swap contracts to partially fix the interest cost of leverage, which the Funds employ through the use of bank borrowings and VRTP Shares, where applicable. During the current fiscal period, Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO) and Credit Strategies Income (JQC) unwound their respective swap contracts. Short Duration Credit Opportunities (JSD) began the reporting period with three swap contracts, one of which matured and another was unwound prior to the end of the reporting period.

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

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Average notional amount of interest rate swap contracts outstanding*		$	7,395,000			$	19,774,000			$	11,727,000			$	28,000,000			$	41,230,000

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

Credit Default Swaps

A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) receive that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty, or (ii) pay a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain or loss. Payments received or made at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.

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

For OTC swaps, the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps (, net)” on the Statement of Assets and Liabilities.

Investments in swaps cleared through an exchange obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit a Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for

 

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“Variation margin on swap contracts” on the Statement of Assets and Liabilities. The maximum potential amount of future payments the Fund could incur as a buyer or seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity. In certain instances, a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities.

During the current fiscal period, Short Duration Credit Opportunities (JSD) continued to invest in credit default swap contracts to provide a benefit if particular bonds’ credit quality worsened.

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

 

		Short Duration Credit Opportunities (JSD)
Average notional amount of credit default swap contracts outstanding*		$	5,010,000

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

The following table presents the fair value of all swap contracts held by Short Duration Credit Opportunities (JSD) as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.

 

				Location on the Statement of Assets and Liabilities
Underlying Risk Exposure		Derivative Instrument		Asset Derivatives								(Liability) Derivatives
				Location		Value						Location		Value
Short Duration Credit Opportunities (JSD)
Interest rate		Swaps		—		$	—					Unrealized depreciation on interest rate swaps		$	(302,028	)
Credit		Swaps		Unrealized appreciation on credit default swaps, net**			137,022					—			—
Credit		Swaps		Unrealized appreciation on credit default swaps, net**			(33,222	)				—			—
Total						$	103,800							$	(302,028	)

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

The following tables present the swap contacts subject to netting agreements and the collateral delivered related to those swap contracts, as of end of the reporting period.

 

Fund		Counterparty		Gross Unrealized Appreciation on Interest Rate Swaps***				Gross Unrealized (Depreciation) on Interest Rate Swaps***				Amounts Netted on Statement of Assets and Liabilities				Net Unrealized Appreciation (Depreciation) on Interest Rate Swaps				Collateral Pledged to (from) Counterparty				Net Exposure
Short Duration Credit
Opportunities (JSD)		Morgan Stanley		$	—			$	(302,028	)		$	—			$	(302,028	)		$	302,028			$	—

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

 

Fund		Counterparty		Gross Unrealized Appreciation on Credit Default Swaps***				Gross Unrealized (Depreciation) on Credit Default Swaps***				Amounts Netted on Statement of Assets and Liabilities				Net Unrealized Appreciation (Depreciation) on Credit Default Swaps				Collateral Pledged to (from) Counterparty				Net Exposure
Short Duration Credit
Opportunities (JSD)		JPMorgan		$	52,067			$	(33,222	)		$	(33,222	)		$	18,845			$	—			$	18,845
		Citigroup			84,955				—				—				84,955				(84,955	)			—
Total				$	137,022			$	(33,222	)		$	(33,222	)		$	103,800			$	(84,955	)		$	18,845

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

 

Nuveen Investments			99

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Notes to Financial Statements (continued)

 

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

 

Fund		Underlying Risk Exposure		Derivative Instrument		Net Realized Gain (Loss) from Swaps				Change in Net Unrealized Appreciation (Depreciation) of Swaps
Senior Income (NSL)		Interest		Swaps		$	(607,114	)		$	550,340
Floating Rate Income (JFR)		Interest		Swaps		$	(1,623,403	)		$	1,471,592
Floating Rate Income Opportunity (JRO)		Interest		Swaps		$	(962,762	)		$	872,730
Short Duration Credit Opportunities (JSD)
		Credit		Swaps		$	94,792			$	58,315
		Interest		Swaps			(533,231	)			(3,406	)
Total						$	(438,439	)		$	54,909
Credit Strategies Income (JQC)		Interest		Swaps		$	(3,031,192	)		$	2,744,568

Market and Counterparty Credit Risk

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

Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

4. Fund Shares

Common Shares Equity Shelf Programs and Offering Costs

Each Fund has filed registration statements with the Securities and Exchange Commission (“SEC”) authorizing the Funds to issue additional common shares through an equity shelf program (“Shelf Offering”), which became effective with the SEC during a prior fiscal period.

Under the Shelf Offering, each Fund, subject to market conditions, may raise additional equity capital from time to time in varying amounts and offering methods at a net price at or above the Fund’s NAV per common share.

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

 

		Senior Income (NSL)								Floating Rate Income (JFR)								Floating Rate Income Opportunity (JRO)
		Year Ended 7/31/15				Year Ended 7/31/14				Year Ended 7/31/15				Year Ended 7/31/14				Year Ended 7/31/15				Year Ended 7/31/14
Common shares authorized			—				12,000,000				—				12,900,000				—				11,600,000
Common shares issued			—				—				—				22,610				—				43,186
Offering proceeds, net of offering costs		$	—			$	—			$	—			$	284,185			$	—			$	542,095

 

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		Short Duration Credit Opportunities (JSD)								Credit Strategies Income (JQC)
		Year Ended 7/31/15				Year Ended 7/31/14				Year Ended 7/31/15				Year Ended 7/31/14
Common shares authorized			1,000,000				1,000,000				13,600,000				13,600,000
Common shares issued			—				—				—				—
Offering proceeds, net of offering costs		$	—			$	—			$	—			$	—

As of the end of the reporting period, each Fund’s shelf offering registration statements are no longer current. Therefore, the Funds may not issue additional common shares under their Shelf Offering until a post-effective amendment to the registration statement is filed and declared effective by the SEC.

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

Common Share Transactions

Transactions in common shares during the current and prior fiscal period were as follows:

 

		Senior Income (NSL)								Floating Rate Income (JFR)								Floating Rate Income Opportunity (JRO)
		Year Ended 7/31/15				Year Ended 7/31/14				Year Ended 7/31/15				Year Ended 7/31/14				Year Ended 7/31/15				Year Ended 7/31/14
Common shares:
Sold through shelf offering			—				—				—				22,610				—				43,186
Issued to shareholders due to reinvestment of distributions			—				3,421				—				4,199				—				5,155
Repurchased and retired			—				—				—				—				—				—
Total			—				3,421				—				26,809				—				48,341
Weighted average common share:
Premium to NAV per shelf offering share sold			—	%			—	%			—	%			1.46	%			—	%			1.34	%
Price per share repurchased and retired		$	—			$	—			$	—			$	—			$	—			$	—
Discount per share repurchased and retired			—	%			—	%			—	%			—	%			—	%			—	%

 

Nuveen Investments			101

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Notes to Financial Statements (continued)

 

						Short Duration Credit Opportunities (JSD)								Credit Strategies Income (JQC)
						Year Ended 7/31/15				Year Ended 7/31/14				Year Ended 7/31/15				Year Ended 7/31/14
Common shares repurchased and retired							—				—				(144,208	)			(41,100	)
Weighted average common share:
Price per share repurchased and retired						$	—			$	—			$	8.57			$	9.16
Discount per share repurchased and retired							—	%			—	%			13.77	%			11.17	%

Preferred Shares

Variable Rate Term Preferred Shares

During the current fiscal period, the following Funds have issued and outstanding Variable Rate Term Preferred (“VRTP”) Shares, with a $100,000 liquidation value per share. VRTP Shares are issued via private placement and are not publicly available.

As of the end of the reporting period, VRTP Shares outstanding, at liquidation value, for each Fund was as follows:

 

Fund		Series				Shares Outstanding				Shares Outstanding at $100,000 Per Share Liquidation Value
Senior Income (NSL)			C-4				580			$	58,000,000
Floating Rate Income (JFR)			C-4				1,390			$	139,000,000
Floating Rate Income Opportunity (JRO)			C-4				980			$	98,000,000

Each Fund is obligated to redeem its VRTP Shares by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. VRTP Shares are subject to optional and mandatory redemption in certain circumstances. The VRTP Shares are subject to redemption at the option of each Fund, subject to payment of premium for approximately one year following the date of issuance (“Premium Expiration Date”), and at par thereafter. The Term Redemption Date and Premium Expiration Date for each Fund’s VRTP Shares are as follows:

 

Fund

Series

Term Redemption Date

Premium Expiration Date

Senior Income (NSL)

C-4

February 1, 2017

January 31, 2015

Floating Rate Income (JFR)

C-4

February 1, 2017

January 31, 2015

Floating Rate Income Opportunity (JRO)

C-4

February 1, 2017

January 31, 2015

The average liquidation value of VRTP Shares outstanding and annualized dividend rate for each Fund during the current fiscal period were as follows:

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)
Average liquidation value of VRTP Shares outstanding		$	58,000,000			$	139,000,000			$	98,000,000
Annualized dividend rate			1.74	%			1.74	%			1.74	%

VRTP Shares generally do not trade, and market quotations are generally not available. VRTP Shares are short-term or short/intermediate-term instruments that pay a variable dividend rate tied to a short-term index, plus an additional fixed “spread” amount established at the time of issuance. The fair value of VRTP Shares is expected to be approximately their liquidation (par) value so long as the fixed “spread” on the VRTP Shares remains roughly in line with the “spread” rates being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Funds’ Adviser has determined that the fair value of VRTP Shares is their liquidation value, but their fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation value of VRTP Shares is recorded as a liability and is recognized as “Variable Rate Term Preferred (“VRTP”) Shares, at liquidation value” on the Statement of Assets and Liabilities.

 

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Dividends on the VRTP Shares (which are treated as interest payments for financial reporting purposes) are set monthly. Unpaid dividends on VRTP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on VRTP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Costs incurred by the Funds in connection with their offerings of VRTP Shares were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components of “Deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

Preferred Share Transactions

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

Transactions in VRTP Shares for the Funds, where applicable, were as follows:

 

		Year Ended July 31, 2014
		Series				Shares				Amount
Senior Income (NSL)
VRTP Shares issued			C-4				580			$	58,000,000
Floating Rate Income (JFR)
VRTP Shares issued			C-4				1,390			$	139,000,000
Floating Rate Income Opportunity (JRO)
VRTP Shares issued			C-4				980			$	98,000,000

5. Investment Transactions

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

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Purchases		$	161,729,023			$	354,288,727			$	257,062,074			$	91,566,022			$	1,371,152,412
Sales and maturities			149,331,097				340,696,618				252,289,123				83,880,569				1,173,597,533

6. Income Tax Information

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

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

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

 

Nuveen Investments			103

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Notes to Financial Statements (continued)

 

As of July 31, 2015, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), as determined on a federal income tax basis, were as follows:

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Cost of investments		$	483,583,400			$	1,147,780,502			$	802,435,869			$	285,085,474			$	2,200,306,734
Gross unrealized:
Appreciation		$	6,124,765			$	13,821,037			$	10,369,082			$	3,200,419			$	23,367,147
Depreciation			(16,849,805	)			(40,181,180	)			(27,107,523	)			(7,026,601	)			(72,845,616	)
Net unrealized appreciation (depreciation) of investments		$	(10,725,040	)		$	(26,360,143	)		$	(16,738,441	)		$	(3,826,182	)		$	(49,478,469	)

Permanent differences, primarily due to investments in passive foreign investment companies, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships and distribution reallocations, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2015, the Funds’ tax year end, as follows:

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Paid-in-surplus		$	(232,301	)			$(474,565	)		$	(345,656	)		$	—			$	(12,513	)
Undistributed (Over-distribution of) net investment income			87,810				466,805				361,663				(347,506	)			341,450
Accumulated net realized gain (loss)			144,491				7,760				(16,007	)			347,506				(328,937	)

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2015, the Funds’ tax year end, were as follows:

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Undistributed net ordinary income1		$	1,096,876				$3,336,165			$	2,802,683			$	545,659				$10,999,738
Undistributed net long-term capital gains			—				—				—				93,282				—
1      Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any. Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2015, paid on August 3, 2015 .

The tax character of distributions paid during the Funds’ tax years ended July 31, 2015 and July 31, 2014 was designated for purposes of the dividends paid deduction as follows:

 

2015		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Distributions from net ordinary income2		$	17,229,072			$	42,132,251			$	30,789,389			$	11,750,710			$	74,666,039
Distributions from net long-term capital gains3			—				—				—				379,786				—
2014		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
Distributions from net ordinary income2		$	17,878,566			$	43,668,950			$	31,713,135			$	14,693,598			$	90,269,865
Distributions from net long-term capital gains			—				—				—				2,729,856				—

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

3	The Funds designate as long-term capital gain dividend, pursuant to the Internal Revenue Code Section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gain to zero for the tax year ended July 31, 2015.

 

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As of July 31, 2015, the Funds’ tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)				Credit Strategies Income (JQC)
Expiration:
July 31, 2016		$	—			$	—			$	—			$	150,054,972
July 31, 2017			6,925,213				9,819,992				503,687				289,143,715
July 31, 2018			29,264,459				67,020,214				46,332,843				8,513,146
Not subject to expiration			1,336,134				640,703				87,932				—
Total		$	37,525,806			$	77,480,909			$	46,924,462			$	447,711,833

During the Funds’ tax year ended July 31, 2015, Credit Strategies Income (JQC) utilized $21,840,374 of its capital loss carryforward.

The Funds have elected to defer late-year losses in accordance with federal income tax rules. These losses are treated as having arisen on the first day of the following fiscal year. The following Fund has elected to defer losses as follows:

 

		Credit Strategies Income (JQC)
Post-October capital losses4		$	1,608,573
Late-year ordinary losses5			—

4	Capital losses incurred from November 1, 2014 through July 31, 2015, the Fund’s tax year end.

5	Ordinary losses incurred from January 1, 2015 through July 31, 2015, and/or specified losses incurred from November 1, 2014 through July 31, 2015.

7. Management Fees and Other Transactions with Affiliates

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

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

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

 

Average Daily Managed Assets*		Senior Income (NSL)
For the first $1 billion			0.6500	%
For the next $1 billion			0.6375
For the next $3 billion			0.6250
For the next $5 billion			0.6000
For managed assets over $10 billion			0.5750

 

Average Daily Managed Assets*		Floating Rate Income (JFR) Floating Rate Income Opportunity (JRO)				Short Duration Credit Opportunities (JSD)				Credit Strategies Income (JQC)
For the first $500 million			0.6500	%			0.6500	%			0.6800	%
For the next $500 million			0.6250				0.6375				0.6500
For the next $500 million			0.6000				0.6250				0.6300
For the next $500 million			0.5750				0.6125				0.6050
For managed assets over $2 billion			0.5500				0.6000				0.5800

 

Nuveen Investments			105

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Notes to Financial Statements (continued)

 

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

 

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

*

For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of $2 billion added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of July 31, 2015, the complex-level fee rate for these Funds was 0.1639%.

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

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of the end of the reporting period, the Funds had no such unfunded senior loan commitments.

Participation Commitments

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

9. Borrowing Arrangements

The Funds have entered into borrowing arrangements (“Borrowings”) as a means of leverage.

Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO)

The following Funds have entered into a credit agreement with an affiliate of Citibank N.A. through February 1, 2016. Each Fund’s maximum commitment amount under its Borrowings is as follows:

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)
Maximum commitment amount		$	127,000,000			$	307,000,000			$	214,000,000

 

	106			Nuveen Investments

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

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)
Outstanding balance on Borrowings		$	112,500,000			$	270,300,000			$	188,800,000

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

 

		Senior Income (NSL)				Floating Rate Income (JFR)				Floating Rate Income Opportunity (JRO)
Average daily balance outstanding		$	112,327,397			$	269,851,233			$	188,523,836
Average annual interest rate			1.01	%			1.00	%			1.01	%

Interest charged on these Borrowings is based on the Citibank Principal Office Base Rate plus 0.75% per annum drawn fee on the amount borrowed and 0.15% per annum on the undrawn balance of the maximum commitment amount.

During the current fiscal period, each Fund incurred a 0.15% amendment fee on its maximum commitment amount.

Short Duration Credit Opportunities (JSD)

During the period August 1, 2014 through August 7, 2014, the Fund had entered into a 364-day revolving line of credit, (“Original Borrowings”) renewable annually, with Bank of America, N.A. (“Bank of America”). On August 7, 2014, the Fund terminated its Original Borrowings with Bank of America. Interest was charged on the Original Borrowings at the 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.85% per annum or if the 1-Month LIBOR were to become unavailable, at a rate per annum equal to the greater of (a) the Federal Funds Rate plus 1.00%, (b) the rate of interest in effect for such day as publicly announced from time to time by Bank of America as its “prime rate” or (c) one minus the Eurodollar Reserve Percentage plus 1.00%. The Fund also accrued (a) 0.25% per annum on the undrawn balance of the maximum commitment amount and (b) a 0.10% amendment fee based on the maximum commitment amount on the Original Borrowings through August 7, 2014.

The Fund’s maximum commitment amount under its Original Borrowings was as follows:

 

		Short Duration Credit Opportunities (JSD)
Maximum commitment amount		$	95,000,000

On August 7, 2014, the Fund entered into a 364-day revolving line of credit (“Current Borrowings”) with its custodian bank.

The Fund’s maximum commitment amount under its Current Borrowings is as follows:

 

		Short Duration Credit Opportunities (JSD)
Maximum commitment amount		$	95,000,000

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

 

		Short Duration Credit Opportunities (JSD)
Outstanding balance on Borrowings		$	85,200,000

 

Nuveen Investments			107

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Notes to Financial Statements (continued)

 

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

 

		Short Duration Credit Opportunities (JSD)
Average daily balance outstanding		$	85,132,055
Average annual interest rate			0.87	%

Interest is charged on the Current Borrowings at a rate per annum equal to the Overnight LIBOR plus 0.75% or if LIBOR were to become unavailable, the Federal Funds Rate plus 0.75%. The Fund also accrues an upfront fee of 0.10% per annum on the maximum commitment amount of the Current Borrowings and a 0.10% per annum on the undrawn portion of the Current Borrowings of the maximum commitment amount.

Subsequent to the reporting period, on August 6, 2015, Short Duration Credit Opportunities (JSD) renewed its Borrowings with its custodian bank through September 3, 2015. On September 4, 2015, the Fund renewed its Borrowings through October 5, 2015. The Fund accrues a 0.10% amendment fee based on the maximum commitment amount of the Borrowings for each renewal.

Credit Strategies Income (JQC)

During the period August 1, 2014 through April 15, 2015, the Fund was entered into a 364-day revolving line of credit, (“Original Borrowings”) renewable annually, with Bank of America, N.A. (“Bank of America”). On April 15, 2015, the Fund terminated its Original Borrowings with Bank of America. Interest was charged on the Original Borrowings at the 1-Month LIBOR plus 0.95% per annum or if the 1-Month LIBOR were to become unavailable, at a rate per annum equal to the greater of (a) the Federal Funds Rate plus 0.50%, (b) the rate of interest in effect for such day as publicly announced from time to time by Bank of America as its “prime rate” or (c) one minus the Eurodollar Reserve Percentage plus 1.00%. The Fund also accrued (a) 0.25% per annum on the undrawn balance of the maximum commitment amount (b) a 0.10% amendment fee based on the maximum commitment amount on the Original Borrowings and (c) a 0.02% arrangement fee.

The Fund’s maximum commitment amount under its Original Borrowings was as follows:

 

		Credit Strategies Income (JQC)
Maximum commitment amount		$	630,000,000

During the period April 15, 2015 through July 31, 2015, the Fund entered into a 364-day revolving line of credit (“Current Borrowings”) with Societe Generale.

The Fund’s maximum commitment amount under its Current Borrowings is as follows:

 

		Credit Strategies Income (JQC)
Maximum commitment amount		$	640,000,000

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

 

		Credit Strategies Income (JQC)
Outstanding balance on Borrowings		$	640,000,000

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

 

		Credit Strategies Income (JQC)
Average daily balance outstanding		$	609,810,411
Average annual interest rate			1.22	%

 

	108			Nuveen Investments

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Interest is charged on the Current Borrowings at the 3-Month LIBOR plus 1.15% per annum or at a rate per annum equal to the greater of (a) the Federal Funds Rate plus 0.50%, or (b) the rate of interest in effect for such day as publicly announced from time to time by Societe Generale as its “prime rate.”

Other Borrowings Information

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

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

10. New Accounting Pronouncement

Financial Accounting Standards Board (“FASB”) Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures

In June 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”), that expanded secured borrowing accounting for certain reverse repurchase agreements. ASU 2014-11 also sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare to similar transactions accounted for as secured borrowings. ASU 2014-11 is effective prospectively for annual periods beginning after December 15, 2014, and interim periods beginning after March 15, 2015. Management is currently evaluating the impact, if any, of ASU 2014-11 on the Funds’ financial statement disclosures

 

Nuveen Investments			109

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Additional

Fund Information (Unaudited)

 

Board of Trustees
William Adams IV*		Jack B. Evans		William C. Hunter		David J. Kundert		John K. Nelson		William J. Schneider
Thomas S. Schneider, Jr.*		Judith M. Stockdale		Carole E. Stone		Virginia L. Stringer		Terence J. Toth

 

*	Interested Board Member.

 

Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606		Custodian State Street Bank & Trust Company Boston, MA 02111		Legal Counsel Chapman and Cutler LLP Chicago, IL 60603		Independent Registered Public Accounting Firm KPMG LLP Chicago, IL 60601		Transfer Agent and Shareholder Services State Street Bank & Trust Company Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787

Distribution Information: The following Fund hereby designates its percentage of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction (“DRD”) for corporations and its percentage as qualified dividend income (“QDI”) for individuals under Section 1 (h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end.

 

		JQC
% QDI			0%
% DRD			1%

The Funds hereby designate their percentages of dividends paid from net ordinary income as dividends qualifying as Interest-Related Dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended July 31, 2015:

 

		NSL				JFR				JRO				JSD				JQC
% of Interest-Related Dividends			94%				76%				78%				93%				100%

 

 

Quarterly Form N-Q Portfolio of Investments Information

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

Nuveen Funds’ Proxy Voting Information

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

 

 

CEO Certification Disclosure

Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.

Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

 

 

Common share Repurchases

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

 

 

		NSL				JFR				JRO				JSD				JQC
Common shares repurchased			—				—				—				—				144,208

FINRA BrokerCheck

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

 

	110			Nuveen Investments

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Glossary of Terms

Used in this Report (Unaudited)

 

n

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

 

n

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

 

n

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

 

n

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

 

n

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

 

n

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

 

n

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

 

n

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

 

n

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

 

Nuveen Investments			111

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Reinvest Automatically,

Easily and Conveniently

 

 

	112			Nuveen Investments

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Annual Investment

Management Agreement Approval Process (Unaudited)

 

The Board of Trustees of each Fund (each, a “Board” and each Trustee, a “Board Member”), including the Board Members who are not parties to the Funds’ advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), is responsible for overseeing the performance of the investment adviser and sub-adviser to the respective Fund and determining whether to continue such Fund’s advisory agreement (the “Investment Management Agreement”) between the Fund and Nuveen Fund Advisors, LLC (the “Adviser”) and the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Investment Management Agreement, the “Advisory Agreements”) between the Adviser and Symphony Asset Management, LLC (the “Sub-Adviser”). Following an initial term with respect to each Fund upon its commencement of operations, the Board is required to consider the continuation of the Advisory Agreements on an annual basis pursuant to the requirements of the Investment Company Act of 1940, as amended (the “1940 Act”). Accordingly, at an in-person meeting held on May 11-13, 2015 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the existing Advisory Agreements for the Funds.

In preparation for its considerations at the May Meeting, the Board received in advance of the meeting extensive materials prepared in connection with the review of the Advisory Agreements. The materials provided a broad range of information regarding the Funds, including, among other things, the nature, extent and quality of services provided by the Adviser and Sub-Adviser (the Adviser and Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser”); Fund performance including performance assessments against peers and the appropriate benchmark(s); fee and expense information of the Funds compared to peers; a description and assessment of shareholder service levels for the Funds; a summary of the performance of certain service providers; a review of product initiatives and shareholder communications; and profitability information of the Fund Advisers as described in further detail below. As part of its annual review, the Board also held a separate meeting on April 14-15, 2015 to review the Funds’ investment performance and consider an analysis by the Adviser of the Sub-Adviser which generally evaluated the Sub-Adviser’s investment team, investment mandate, organizational structure and history, investment philosophy and process, and the performance of the Funds, and any significant changes to the foregoing. During the review, the Independent Board Members asked questions of and requested additional information from management.

The Board considered that the evaluation process with respect to the Fund Advisers is an ongoing process that encompassed the information and knowledge gained throughout the year. The Board, acting directly or through its committees, met regularly during the course of the year and received information and considered factors at each meeting that would be relevant to its annual consideration of the Advisory Agreements, including information relating to Fund performance; Fund expenses; investment team evaluations; and valuation, compliance, regulatory and risk matters. In addition to regular reports, the Adviser provided special reports to the Board to enhance the Board’s understanding on topics that impact some or all of the Nuveen funds and the Adviser (such as presentations on risk and stress testing; the new governance, risk and compliance system; cybersecurity developments; Nuveen fund accounting and reporting matters; regulatory developments impacting the investment company industry and the business plans or other matters impacting the Adviser). The Board also met with key investment personnel managing certain Nuveen fund portfolios during the year.

The Board had created several standing committees including the Open-End Funds Committee and the Closed-End Funds Committee to assist the full Board in monitoring and gaining a deeper insight into the distinctive business practices of closed-end and open-end funds. These Committees met prior to each quarterly Board meeting, and the Adviser provided presentations to these Committees permitting them to delve further into specific matters or initiatives impacting the respective product line.

The Board also continued its program of seeking to have the Board Members or a subset thereof visit each sub-adviser to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel.

The Board considered the information provided and knowledge gained at these meetings and visits during the year when performing its annual review of the Advisory Agreements. The Independent Board Members also were assisted throughout the process by independent legal counsel. During the course of the year and during their deliberations regarding the review of advisory contracts, the Independent Board Members met with independent legal counsel in executive sessions without management

 

Nuveen Investments			113

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Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

present. The Independent Board Members also received a memorandum from independent legal counsel outlining the legal standards for their consideration of the proposed continuation of the Advisory Agreements. In addition, it is important to recognize that the management arrangements for the Nuveen funds are the result of many years of review and discussion between the Independent Board Members and Fund management and that the Board Members’ conclusions may be based, in part, on their consideration of fee arrangements and other factors developed in previous years.

The Board took into account all factors it believed relevant with respect to each Fund, including, among other things: (a) the nature, extent and quality of the services provided by the Fund Advisers; (b) the investment performance of the Funds and Fund Advisers; (c) the advisory fees and costs of the services to be provided to the Funds and the profitability of the Fund Advisers; (d) the extent of any economies of scale; (e) any benefits derived by the Fund Advisers from the relationship with the Funds; and (f) other factors. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to the Advisory Agreements for each Fund. The Independent Board Members did not identify any single factor as all-important or controlling. The Independent Board Members’ considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.

 

A.

Nature, Extent and Quality of Services

In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to each respective Fund. The Board reviewed information regarding, among other things, each Fund Adviser’s organization and business, the types of services that each Fund Adviser or its affiliates provided to the Funds, the performance record of the Funds (as described in further detail below), and any initiatives that had been undertaken on behalf of the closed-end product line. The Board recognized the high quality of services the Adviser had provided to the Funds over the years and the conscientiousness with which the Adviser provided these services. The Board also considered the improved capital structure of Nuveen Investments, Inc. (“Nuveen”) (the parent of the Adviser) following the acquisition of Nuveen by TIAA-CREF in 2014 (the “TIAA-CREF Transaction”).

With respect to the services, the Board noted the Funds were registered investment companies that operated in a regulated industry and considered the myriad of investment management, administrative, compliance, oversight and other services the Adviser provided to manage and operate the Funds. Such services included, among other things: (a) product management (such as analyzing ways to better position a Nuveen fund in the marketplace, setting dividends; maintaining relationships to gain access to distribution platforms; and providing shareholder communications); (b) fund administration (such as preparing tax returns and other tax compliance services, preparing regulatory filings and shareholder reports; managing fund budgets and expenses; overseeing a fund’s various service providers and supporting and analyzing new and existing funds); (c) Board administration (such as supporting the Board and its committees, in relevant part, by organizing and administering the Board and committee meetings and preparing the necessary reports to assist the Board in its duties); (d) compliance (such as monitoring adherence to a fund’s investment policies and procedures and applicable law; reviewing the compliance program periodically and developing new policies or updating existing compliance policies and procedures as considered necessary or appropriate; responding to regulatory requests; and overseeing compliance testing of the funds’ sub-advisers); (e) legal support (such as preparing or reviewing fund registration statements, proxy statements and other necessary materials; interpreting regulatory requirements and compliance thereof; and maintaining applicable registrations); and (f) investment services (such as overseeing and reviewing the funds’ sub-advisers and their investment teams; analyzing performance of the funds; overseeing investment and risk management; evaluating brokerage transactions and securities lending, overseeing the daily valuation process for portfolio securities and developing and recommending valuation policies and methodologies and changes thereto; reporting to the Board on various matters including performance, risk and valuation; and participating in fund development, leverage management, and the developing or interpreting of investment policies and parameters). With respect to closed-end funds, the Adviser also monitored asset coverage levels on leveraged funds, managed leverage, negotiated the terms of leverage, evaluated alternative forms and types of leverage, promoted an orderly secondary market for common shares and maintained an asset maintenance system for compliance with certain rating agency criteria.

 

	114			Nuveen Investments

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In its review, the Board considered information highlighting the various initiatives that the Adviser had implemented or continued during the last year to enhance its services to the Nuveen funds. The Board recognized that some of these initiatives are a result of a multi-year process. In reviewing the activities of 2014, the Board recognized the Adviser’s continued focus on fund rationalization for closed-end funds through mergers, fund closures or repositioning the funds in seeking to enhance shareholder value, reduce costs, improve performance, eliminate fund overlap and better meet shareholder needs. The Board noted the Adviser’s investment in additional staffing to strengthen and improve its services to the Nuveen funds, including with respect to risk management and valuation. The Board recognized that expanding the depth and range of its risk oversight activities had been a major priority for the Adviser in recent years, and the Adviser continued to add to the risk management team, develop additional risk management programs and create committees or other teams designated to oversee or evaluate certain risks, such as liquidity risk, enterprise risk, investment risk and cybersecurity risk. The Adviser had also continued to add to the valuation team, launched its centralized securities valuation system which is intended to provide for uniform pricing and reporting across the complex as the system continues to develop, continued to refine its valuation analysis and updated related policies and procedures and evaluated and assessed pricing services. The Board considered the Adviser’s ongoing investment in information technology and operations and the various projects of the information technology team to support the continued growth and complexity of the Nuveen funds and increase efficiencies in their operations. The Board also recognized the Adviser’s strong commitment to compliance and reviewed information reflecting the compliance group’s ongoing activities to enhance its compliance system and refine its compliance procedures as well as the Chief Compliance Officer’s report regarding the compliance team, the initiatives the team had undertaken in 2014 and proposed for 2015, the compliance functions and reporting process, the record of compliance with the policies and procedures and its supervision activities of other service providers.

With respect to the closed-end funds, the Board recognized the extensive resources, expertise and efforts required to oversee and manage the various forms of leverage utilized by various funds, including the development of new forms of leverage to achieve cost savings and/or broaden the array of leverage structures available to the closed-end funds, the development of enhanced reports analyzing the impact of leverage on performance, and the development of new forms of tender option bond structures to address new regulatory requirements. The Board also noted the Adviser’s continued capital management services conducting share repurchases and/or share issuances throughout the year and monitoring market conditions to capitalize on opportunities for the closed-end funds. The Board further recognized the Adviser’s use of data systems to more effectively solicit shareholder participation when seeking shareholder approvals and to monitor flow trends in various closed-end funds. The Board considered Nuveen’s continued commitment to supporting the closed-end fund product line by providing an extensive investor relations program that encompassed, among other things, maintaining and enhancing the closed-end fund website; participating in conferences and education seminars; enhancing the ability for investors to access information; preparing educational materials; and implementing campaigns to educate financial advisers and investors on topics related to closed-end funds and their strategies.

As noted, the Adviser also oversees the Sub-Adviser who primarily provides the portfolio advisory services to the Funds. The Board recognized the skill and competency of the Adviser in monitoring and analyzing the performance of the Sub-Adviser and managing the sub-advisory relationship. In considering the Sub-Advisory Agreements and supplementing its prior knowledge, the Board considered a current report provided by the Adviser analyzing, among other things, the Sub-Adviser’s investment team and changes thereto, investment approach, organization and history, and assets under management, and the investment performance of each Fund.

Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the Funds under each respective Advisory Agreement were satisfactory.

 

B.

The Investment Performance of the Funds and Fund Advisers

The Board, including the Independent Board Members, considered the performance history of each Fund over various time periods. The Board reviewed reports, including an analysis of the Funds’ performance and the applicable investment team. The Board reviewed, among other things, each Fund’s investment performance both on an absolute basis and in comparison to peer funds (the “Performance Peer Group”) and to recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks) for the quarter, one-, three- and five-year periods ending December 31, 2014,

 

Nuveen Investments			115

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Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

as well as performance information reflecting the first quarter of 2015 (or for such shorter periods available for Nuveen Short Duration Credit Opportunities Fund (the “Short Duration Credit Opportunities Fund”), which did not exist for part of the foregoing time frame). The Independent Board Members also recognized the importance of the secondary market trading levels for the closed-end fund shares and therefore devoted significant time and focus evaluating the premium and discount levels of the closed-end funds at each of the quarterly meetings throughout the year. At these prior meetings as well as the May Meeting, the Board reviewed, among other things, the respective closed-end fund’s premium or discount to net asset value as of a specified date and over various periods as well as in comparison to the premium/discount average in its Lipper peer category. At the May Meeting and/or prior meetings, the Board also reviewed information regarding the key economic, market and competitive trends affecting the closed-end fund market and considered any actions periodically proposed by the Adviser to address the trading discounts of certain funds. The Independent Board Members considered the evaluation of the premium and discount levels of the closed-end funds (either at the Board level or through the Closed-End Funds Committee) to be a continuing priority in their oversight of the closed-end funds. In its review, the Board noted that it also reviewed Fund performance results at each of its quarterly meetings.

In evaluating performance, the Board recognized several factors that may impact the performance data as well as the consideration given to particular performance data.

 

•

The performance data reflected a snapshot in time, in this case as of the end of the most recent calendar year or quarter. A different performance period, however, could generate significantly different results.

 

•

Long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme had the ability to disproportionately affect long-term performance.

 

•

The investment experience of a particular shareholder in a fund would vary depending on when such shareholder invested in the fund, the class held (if multiple classes are offered in the fund) and the performance of the fund (or respective class) during that shareholder’s investment period.

 

•

The Board recognized that the funds in the Performance Peer Group may differ somewhat from the Nuveen fund with which it is being compared and due to these differences, performance comparisons between certain of the Nuveen funds and their Performance Peer Groups may be inexact and the relevancy limited. The Board considered that management had classified the Performance Peer Group as low, medium and high in relevancy. The Board took the analysis of the relevancy of the Performance Peer Group into account when considering the comparative performance data. The Board also considered comparative performance of an applicable benchmark. While the Board was cognizant of the relative performance of a Fund’s peer set and/or benchmark(s), the Board evaluated Fund performance in light of the Fund’s investment objectives, investment parameters and guidelines and considered that the variations between the objectives and investment parameters or guidelines of the Fund with its peers and/or benchmarks result in differences in performance results. Further, for funds that utilized leverage, the Board understood that leverage during different periods could provide both benefits and risks to a portfolio as compared to an unlevered benchmark.

With respect to any Nuveen funds for which the Board has identified performance concerns, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers those steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. The Board is aware, however, that shareholders chose to invest or remain invested in a fund knowing that the Adviser manages the fund and knowing the fund’s fee structure.

In considering the performance data, the Independent Board Members noted the following with respect to the Funds:

For Nuveen Senior Income Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the one-year period and the first quartile in the three- and five-year periods and, although the Fund underperformed its benchmark in the one-year period, it outperformed its benchmark in the three- and five-year periods.

For Nuveen Floating Rate Income Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the one-year period and the first quartile in the three- and five-year periods and, although the Fund underperformed its benchmark in the one-year period, it outperformed its benchmark in the three- and five-year periods.

 

	116			Nuveen Investments

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For Nuveen Floating Rate Income Opportunity Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the one-year period and the first quartile in the three- and five-year periods and, although the Fund underperformed its benchmark in the one-year period, it outperformed its benchmark in the three- and five-year periods.

For the Short Duration Credit Opportunities Fund, the Board noted that the Fund ranked in its Performance Peer Group in the first quartile in the one-year period and second quartile in the three-year period and, although the Fund underperformed its benchmark in the one-year period, it outperformed its benchmark in the three-year period.

For Nuveen Credit Strategies Income Fund, the Board noted that the Fund ranked in the first quartile in the one-, three-, and five-year periods and outperformed its benchmark in each of such periods.

Based on their review, the Independent Board Members determined that each Fund’s investment performance had been satisfactory.

 

C.

Fees, Expenses and Profitability

1.

Fees and Expenses

The Board evaluated the management fees and other fees and expenses of each Fund (expressed as a percentage of average net assets) in absolute terms and in comparison to the fee and expense levels of a comparable universe of funds (the “Peer Universe”) selected by an independent third-party fund data provider. The Independent Board Members reviewed the methodology regarding the construction of the Peer Universe for each Fund. The Board reviewed, among other things, such Fund’s gross management fees, net management fees and net expense ratios in absolute terms as well as compared to the average and median fee and expense levels of the Peer Universe. The Board noted that the net total expense ratios paid by investors in the Funds were the most representative of an investor’s net experience.

In reviewing the comparative fee and expense information, the Independent Board Members recognized that various factors such as the limited size and particular composition of the Peer Universe (including the inclusion of other Nuveen funds in the peer set); expense anomalies; changes in the funds comprising the Peer Universe from year to year; levels of reimbursement or fee waivers; the timing of information used; the differences in the type and use of leverage (with respect to closed-end funds); and differences in services provided can impact the comparative data limiting the usefulness of the data to help make a conclusive assessment of the Funds’ fees and expenses.

In reviewing the fee schedule for a fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen. In reviewing fees and expenses (excluding leverage costs and leveraged assets for the closed-end funds), the Board considered the expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were approximately 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe. In reviewing the reports, the Board noted that the majority of the Nuveen funds had a net expense ratio near or below their peer average.

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

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

 

2.

Comparisons with the Fees of Other Clients

The Board considered information regarding the fees a Fund Adviser assessed to the Nuveen funds compared to that of other clients as described in further detail below. With respect to non-municipal funds, such other clients of the Adviser and/or its affiliated sub-advisers may include: separately managed accounts (such as retail, institutional or wrap accounts), hedge funds, other investment companies that are not offered by Nuveen but are sub-advised by one of Nuveen’s affiliated sub-advisers, foreign investment companies offered by Nuveen, and collective investment trusts.

The Board recognized that each Fund had an affiliated sub-adviser and therefore the overall Fund management fee can be divided into two components, the fee retained by the Adviser and the fee paid to the Sub-Adviser. In reviewing the nature of

 

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Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

the services provided by the Adviser, including through its affiliated sub-advisers, the Board considered the range of advisory fee rates for retail and institutional managed accounts advised by Nuveen-affiliated sub-advisers. The Board also reviewed, among other things, the average fee the affiliated sub-advisers assessed such clients as well as the range of fee rates assessed to the different types of clients (such as retail, institutional and wrap accounts as well as non-Nuveen funds) applicable to such sub-advisers. With respect to the Sub-Adviser, such other clients included equity and taxable fixed-income hedge funds and the Board reviewed the average fee rate and range of fee rates along with the performance fee assessed such clients.

In reviewing the comparative information, the Board also reviewed information regarding the differences between the Funds and the other clients, including differences in services provided, investment policies, investor profiles, compliance and regulatory requirements and account sizes. The Board recognized the breadth of services necessary to operate a registered investment company (as described above) and that, in general terms, the Adviser provided the administrative and other support services to the Funds and, although the Sub-Adviser may provide some of these services, the Sub-Adviser essentially provided the portfolio management services. In general, the Board noted that higher fee levels reflected higher levels of service provided by the Fund Adviser, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of the foregoing. The Independent Board Members considered the differences in structure and operations of separately managed accounts and hedge funds from registered funds and noted that the range of day-to-day services was not generally of the breadth required for the registered funds. Many of the additional administrative services provided by the Adviser were not required for institutional clients or funds sub-advised by a Nuveen-affiliated sub-adviser that were offered by other fund groups. The Independent Board Members also recognized that the management fee rates of the foreign funds advised by the Adviser may vary due to, among other things, differences in the client base, governing bodies, operational complexities and services covered by the management fee. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members believed such facts justify the different levels of fees.

 

3.

Profitability of Fund Advisers

In conjunction with their review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities and its financial condition. The Independent Board Members reviewed, among other things, the adjusted operating margins for Nuveen for the last two calendar years, the revenues, expenses, net income (pre-tax and after-tax) and net revenue margins (pre-tax and after-tax) of Nuveen’s managed fund advisory activities for the last two calendar years, the allocation methodology used by Nuveen in preparing the profitability data and a history of the adjustments to the methodology due to changes in the business over time. The Independent Board Members also reviewed the revenues, expenses, net income (pre-tax and after-tax) and revenue margin (pre-tax and post-tax) of the Adviser and, as described in further detail below, each affiliated sub-adviser for the 2014 calendar year. In reviewing the profitability data, the Independent Board Members noted the subjective nature of cost allocation methodologies used to determine profitability as other reasonable methods could also have been employed but yield different results. The Independent Board Members reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2014. The Independent Board Members recognized that Nuveen’s net revenue margin from advisory activities for 2014 was consistent with 2013. The Independent Board Members also considered the profitability of Nuveen in comparison to the adjusted operating margins of other investment advisers with publicly available data and with comparable assets under management (based on asset size and asset composition) to Nuveen. The Independent Board Members noted that Nuveen’s adjusted operating margins appeared to be reasonable in relation to such other advisers. The Independent Board Members, however, recognized the difficulty of making comparisons of profitability from fund investment advisory contracts as the information is not generally publicly available, the information for the investment advisers that was publicly available may not be representative of the industry and various other factors would impact the profitability data such as differences in services offered, business mix, expense methodology and allocations, capital structure and costs, complex size, and types of funds and other accounts managed.

The Independent Board Members noted this information supplemented the profitability information requested and received during the year and noted that two Independent Board Members served as point persons to review the profitability analysis and methodologies employed, and any changes thereto, and to keep the Board apprised of such changes during the year.

 

	118			Nuveen Investments

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The Independent Board Members determined that Nuveen appeared to be sufficiently profitable to operate as a viable investment management firm and to honor its obligations as a sponsor of the Nuveen funds. The Independent Board Members noted the Adviser’s continued expenditures to upgrade its investment technology and increase personnel and recognized the Adviser’s continued commitment to its business to enhance the Adviser’s capacity and capabilities in providing the services necessary to meet the needs of the Nuveen funds as they grow or change over time. The Independent Board Members also noted that the sub-advisory fees for the Nuveen funds are paid by the Adviser, however, the Board recognized that many of the sub-advisers, including the Sub-Adviser, are affiliated with Nuveen. The Independent Board Members also noted the increased resources and support available to Nuveen as well as an improved capital structure as a result of the TIAA-CREF Transaction.

With respect to the Sub-Adviser, the Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2014.

In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates received or were expected to receive that were directly attributable to the management of a Fund. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds.

Based on their review, the Independent Board Members determined that the Adviser’s and the Sub-Adviser’s level of profitability was reasonable in light of the respective services provided.

 

D.

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

The Independent Board Members recognized that, as the assets of a particular fund or the Nuveen complex in the aggregate increase over time, economies of scale may be realized, and the Independent Board Members considered the extent to which the funds benefit from such economies of scale. Although the Independent Board Members recognized that economies of scale are difficult to measure, the Board recognized that one method to help ensure the shareholders share in these benefits is to include breakpoints in the management fee schedule reducing fee rates as asset levels grow. The Independent Board Members noted that, subject to certain exceptions, the management fees of the funds in the Nuveen complex are generally comprised of a fund-level component and complex-level component. Each component of the management fee for each Fund included breakpoints to reduce management fee rates of the Fund as the Fund grows and, as described below, as the Nuveen complex grows. The Independent Board Members noted that, in the case of closed-end funds, however, such funds may from time-to-time make additional share offerings, but the growth of their assets would occur primarily through the appreciation of such funds’ investment portfolios. In addition to fund-specific breakpoint schedules which reduce the fee rates of a particular fund as its assets increase, the Independent Board Members recognized that the Adviser also passed on the benefits of economies of scale through the complex-wide fee arrangement which reduced management fee rates as assets in the fund complex reached certain levels. The complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflected the notion that some of Nuveen’s costs were attributable to services provided to all its funds in the complex, and therefore all funds benefit if these costs were spread over a larger asset base. The Independent Board Members reviewed the breakpoint and complex-wide schedules and the fee reductions achieved as a result of such structures for the 2014 calendar year.

The Independent Board Members further considered that as part of the TIAA-CREF Transaction, Nuveen agreed, for a period of two years from the date of the closing of the TIAA-CREF Transaction, not to increase contractual management fees for any Nuveen fund. The commitment would not limit or otherwise affect mergers or liquidations of any funds in the ordinary course.

Based on their review, the Independent Board Members concluded that the current fee structure was acceptable and reflected economies of scale to be shared with shareholders when assets under management increase.

 

Nuveen Investments			119

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Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

 

E.

Indirect Benefits

The Independent Board Members received and considered information regarding potential “fall out” or ancillary benefits the respective Fund Adviser or its affiliates may receive as a result of its relationship with the Funds. With respect to closed-end funds, the Independent Board Members noted any revenues received by affiliates of the Adviser for serving as co-manager in initial public offerings of new closed-end funds.

In addition to the above, the Independent Board Members considered whether the Fund Adviser received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Fund and other clients. The Funds’ portfolio transactions are allocated by the Sub-Adviser. Accordingly, the Independent Board Members considered that the Sub-Adviser may benefit from research provided by broker-dealers executing portfolio transactions on behalf of the Funds. With respect to any fixed income securities, however, the Board recognized that such securities generally trade on a principal basis that does not generate soft dollar credits. Similarly, the Board recognized that any research received pursuant to soft dollar arrangements by the Sub-Adviser may also benefit the Funds and shareholders to the extent the research enhanced the ability of the Sub-Adviser to manage the Funds. The Independent Board Members noted that the Sub-Adviser’s profitability may be somewhat lower if it had to acquire any such research services directly.

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

 

F.

Other Considerations

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

 

	120			Nuveen Investments

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Board

Members & Officers

 

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

 

Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed and Term(1)		Principal Occupation(s) Including other Directorships During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Board Member
Independent Board Members:
n WILLIAM J. SCHNEIDER						Chairman of Miller-Valentine Partners, a real estate investment company; formerly, Senior Partner and Chief Operating Officer (retired (2004) of Miller-Valentine Group; an owner in several other Miller Valentine entities; Board Member of Med-America Health System, and WDPR Public Radio station; formerly, member, Business Advisory Council, Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council.
1944 333 W. Wacker Drive Chicago, IL 60606		Chairman and Board Member		1996 Class III				194
n JACK B. EVANS						President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; Director, Source Media Group; Life Trustee of Coe College; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.
1948 333 W. Wacker Drive Chicago, IL 60606		Board Member		1999 Class III				194
n WILLIAM C.  HUNTER						Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; Director (since 2005), and President (since July 2012) Beta Gamma Sigma, Inc., The International Business Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.
1948 333 W. Wacker Drive Chicago, IL 60606		Board Member		2004 Class I				194
n DAVID J. KUNDERT						Formerly, Director, Northwestern Mutual Wealth Management Company (2006-2013), retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Regent Emeritus, Member of Investment Committee, Luther College; member of the Wisconsin Bar Association; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation; member of the Board of Directors (Milwaukee), College Possible.
1942 333 W. Wacker Drive Chicago, IL 60606		Board Member		2005 Class II				194

 

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Board Members & Officers (continued)

 

Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed and Term(1)		Principal Occupation(s) Including other Directorships During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Board Member
Independent Board Members (continued):
n JOHN K.  NELSON						Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President’s Council, Fordham University (since 2010); formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014); formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006-2007), CEO of Wholesale Banking North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading-North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City.
1962 333 W. Wacker Drive Chicago, IL 60606		Board Member		2013 Class II				194
n JUDITH M. STOCKDALE						Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).
1947 333 W. Wacker Drive Chicago, IL 60606		Board Member		1997 Class I				194
n CAROLE E. STONE						Director, Chicago Board Options Exchange, Inc. (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); Director, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010).
1947 333 W. Wacker Drive Chicago, IL 60606		Board Member		2007 Class I				194
n VIRGINIA L. STRINGER						Board Member, Mutual Fund Directors Forum; non-profit board member; former governance consultant; former owner, and President Strategic Management Resources, Inc., a management consulting firm; former Member, Governing Board, Investment Company Institute’s Independent Directors Council; previously, held several executive positions in general management, marketing and human resources at IBM and The Pillsbury Company; Independent Director, First American Fund Complex (1987-2010) and Chair (1997-2010).
1944 333 W. Wacker Drive Chicago, IL 60606		Board Member		2011 Class I				194
n TERENCE J. TOTH						Managing Partner, Promus Capital (since 2008); Director, Fulcrum IT Service LLC (since 2010), Quality Control Corporation (since 2012) and LogicMark LLC (since 2012); formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); member: Chicago Fellowship Board (since 2005), Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and a member of its investment committee; formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).
1959 333 W. Wacker Drive Chicago, IL 60606		Board Member		2008 Class II				194

 

	122			Nuveen Investments

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Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed(1)		Principal Occupation(s) Including other Directorships During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Board Member
Interested Board Members:
n WILLIAM ADAMS IV(2)						Senior Executive Vice President, Global Structured Products (since 2010); formerly, Executive Vice President, U.S. Structured Products, of Nuveen Investments, Inc. (1999-2010); Co-President of Nuveen Fund Advisors, LLC (since 2011); Executive Vice President of Nuveen Securities, LLC; President (since 2011), formerly, Managing Director (2010-2011) of Nuveen Commodities Asset Management, LLC; Board Member of the Chicago Symphony Orchestra and of Gilda’s Club Chicago.
1955 333 W. Wacker Drive Chicago, IL 60606		Board Member		2013 Class II				194
n THOMAS S. SCHREIER, JR.(2)						Vice Chairman, Wealth Management of Nuveen Investments, Inc. (since 2011); Co-President of Nuveen Fund Advisors, LLC; Chairman of Nuveen Asset Management, LLC (since 2011); Co-Chief Executive Officer of Nuveen Securities, LLC (since 2011); Member of Board of Governors and Chairman’s Council of the Investment Company Institute; Director of Allina Health and a member of its Finance, Audit and Investment Committees: formerly, Chief Executive Officer (2000-2010) and Chief Investment Officer (2007-2010) of FAF Advisors, Inc.; formerly, President of First American Funds (2001-2010).
1962 333 W. Wacker Drive Chicago, IL 60606		Board Member		2013 Class III				194
Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed(3)		Principal Occupation(s) During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Officer
Officers of the Funds:
n GIFFORD R.  ZIMMERMAN						Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Managing Director and Assistant Secretary of Symphony Asset Management LLC (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Nuveen Investments Advisers Inc. (since 2002), Santa Barbara Asset Management, LLC (since 2006), and of Winslow Capital Management, LLC, (since 2010); Vice President and Assistant Secretary (since 2013), formerly, Chief Administrative Officer and Chief Compliance Officer (2006-2013) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.
1956 333 W. Wacker Drive Chicago, IL 60606		Chief Administrative Officer		1988				195
n CEDRIC H.  ANTOSIEWICZ						Managing Director of Nuveen Securities, LLC. (since 2004); Managing Director of Nuveen Fund Advisors, LLC (since 2014).
1962 333 W. Wacker Drive Chicago, IL 60606		Vice President		2007				88
n MARGO L. COOK						Senior Executive Vice President of Nuveen Investments, Inc.; Executive Vice President, Investment Services of Nuveen Fund Advisors, LLC (since 2011); Managing Director-Investment Services of Nuveen Commodities Asset Management, LLC (since 2011); Co-Chief Executive Officer (since 2015) previously, Executive Vice President (2013-2015) of Nuveen Securities, LLC; Chartered Financial Analyst.
1964 333 W. Wacker Drive Chicago, IL 60606		Vice President		2009				195

 

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Board Members & Officers (continued)

 

 

Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed(3)		Principal Occupation(s) During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Officer
Officers of the Funds (continued):
n   LORNA C. FERGUSON						Managing Director (since 2004) of Nuveen Investments Holdings, Inc.
1945 333 W. Wacker Drive Chicago, IL 60606		Vice President		1998				195
n   STEPHEN D. FOY						Managing Director (since 2014), formerly, Senior Vice President (2013-2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Chief Financial Officer of Nuveen Commodities Asset Management, LLC (since 2010); Certified Public Accountant.
1954 333 W. Wacker Drive Chicago, IL 60606		Vice President and Controller		1998				195
n   SHERRI A. HLAVACEK						Executive Vice President (since May 2015, formerly, Managing Director) and Controller of Nuveen Fund Advisors, LLC; Managing Director and Controller of Nuveen Commodities Asset Management, LLC; Executive Vice President (since May 2015, formerly, Managing Director), Treasurer and Controller of Nuveen Asset Management, LLC; Executive Vice President, Principal Financial Officer (since July 2015, formerly, Managing Director), Treasurer and Corporate Controller of Nuveen Investments, Inc.; Executive Vice President (since May 2015, formerly, Managing Director), Treasurer and Corporate Controller of Nuveen Investments Advisers Inc. and Nuveen Investments Holdings, Inc.; Managing Director, Chief Financial Officer and Corporate Controller of Nuveen Securities, LLC; Vice President, Controller and Treasurer of NWQ Investment Management Company, LLC; Vice President and Controller of Santa Barbara Asset Management, LLC, Tradewinds Global Investors, LLC, Symphony Asset Management LLC and Winslow Capital Management, LLC; Certified Public Accountant.
1962 333 W. Wacker Drive Chicago, IL 60606		Vice President and Treasurer		2015				195
n   WALTER M. KELLY						Senior Vice President (since 2008) of Nuveen Investment Holdings, Inc.
1970 333 W. Wacker Drive Chicago, IL 60606		Chief Compliance Officer and Vice President		2003				195
n   TINA M. LAZAR						Senior Vice President of Nuveen Investments Holdings, Inc. and Nuveen Securities, LLC.
1961 333 W. Wacker Drive Chicago, IL 60606		Vice President		2002				195
n   KEVIN J. MCCARTHY						Managing Director and Assistant Secretary (since 2008), Nuveen Securities, LLC; Managing Director (since 2008), Assistant Secretary since 2007) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary, Nuveen Investments, Inc.; Vice President (since 2007) and Assistant Secretary of Nuveen Investments Advisers Inc., NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, and of Winslow Capital Management, LLC. (since 2010); Vice President and Secretary (since 2010) of Nuveen Commodities Asset Management, LLC.
1966 333 W. Wacker Drive Chicago, IL 60606		Vice President and Secretary		2007				195
n   KATHLEEN  L. PRUDHOMME						Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010).
1953 901 Marquette Avenue Minneapolis, MN 55402		Vice President and Assistant Secretary		2011				195

 

	124			Nuveen Investments

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Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed(3)		Principal Occupation(s) During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Officer
Officers of the Funds (continued):
n JOEL T. SLAGER						Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013).
1978 333 W. Wacker Drive Chicago, IL 60606		Vice President and Assistant Secretary		2013				195

 

(1)

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

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

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

 

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Notes

 

 

	126			Nuveen Investments

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Notes

 

 

Nuveen Investments			127

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Nuveen Investments:

Serving Investors for Generations

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

Focused on meeting investor needs.   Nuveen Investments provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates – Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management and Gresham Investment Management. In total, Nuveen Investments managed $230 billion as of June 30, 2015.

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

Distributed by    Nuveen Securities, LLC    |    333 West Wacker Drive    |    Chicago, IL 60606    |    www.nuveen.com/cef

 

EAN-A-0715D        10412-INV-Y-09/16

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ITEM 2. CODE OF ETHICS.

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

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

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

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

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

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Nuveen Senior Income Fund

The following tables show the amount of fees billed to the Fund during the Fund’s last two fiscal years by KPMG LLP, the Fund’s current auditor (engaged on August 7, 2014), and Ernst & Young LLP, the Fund’s former auditor. The audit fees billed to the Fund for the fiscal year 2015 are the only fees that have been billed to the Fund by KPMG LLP. All other fees listed in the tables below were billed to the Fund by Ernst & Young LLP. For engagements with KPMG LLP and Ernst & Young LLP, the Audit Committee approved in advance all audit services and non-audit services that KPMG LLP and Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.

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

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND

 

Fiscal Year Ended		Audit Fees Billed to Fund 1				Audit-Related Fees Billed to Fund 2				Tax Fees Billed to Fund 3				All Other Fees Billed to Fund 4
July 31, 2015		$	28,500			$	0			$	0			$	0
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%			0	%
July 31, 2014		$	29,500			$	5,500			$	0			$	18,000
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%			0	%

 

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

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

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

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

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE

ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

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

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

 

Fiscal Year Ended		Audit-Related Fees     Billed to Adviser and     Affiliated Fund Service Providers				Tax Fees Billed to     Adviser and Affiliated Fund Service  Providers				All Other Fees Billed to Adviser     and Affiliated Fund     Service  Providers
July 31, 2015		$	0			$	0			$	0
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%
July 31, 2014		$	0			$	0			$	0
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%

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NON-AUDIT SERVICES

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

 

Fiscal Year Ended		Total Non-Audit Fees     Billed to Fund				Total Non-Audit Fees billed to Adviser and Affiliated Fund Service     Providers (engagements     related directly to the operations and financial reporting of the Fund)				Total Non-Audit Fees billed to Adviser and     Affiliated Fund Service     Providers (all other engagements)				Total
July 31, 2015		$	0			$	0			$	0			$	0
July 31, 2014		$	18,000			$	0			$	0			$	18,000

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

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

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

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

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

ITEM 6. SCHEDULE OF INVESTMENTS.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

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

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

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

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

 

•

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

 

•

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

 

•

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

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

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

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

 

Item 8(a)(1).

PORTFOLIO MANAGER BIOGRAPHIES

The following individuals have primary responsibility for the day-to day implementation of the registrant’s investment strategies:

 

•

Gunther Stein, Chief Investment Officer and Chief Executive Officer, Portfolio Manager

 

•

Scott Caraher, Portfolio Manager

Gunther Stein is Chief Investment Officer and Chief Executive Officer at Symphony. Mr. Stein is responsible for leading Symphony’s fixed-income and equity investments strategies and research and overseeing firm trading. Prior to joining Symphony in 1999, Mr. Stein was a high yield portfolio manager at Wells Fargo Bank, where he managed a high yield portfolio, was responsible for investing in public high yield bonds and bank loans and managed a team of credit analysts.

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

 

Item 8(a)(2).

OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGERS

 

Gunther Stein as of 7/31/15
(a) Registered Investment Companies
Number of accounts			19
Assets		$	7.427 billion
(b) Other pooled accounts
Non-performance fee accounts
Number of accounts			5
Assets		$	975 million
Performance fee accounts
Number of accounts			30
Assets		$	7.341 billion
(c) Other
Non-performance fee accounts
Number of accounts			8
Assets		$	404 million
Performance fee accounts
Number of accounts			3
Assets		$	379 million

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Scott Caraher as of 7/31/15
(a) Registered Investment Companies
Number of accounts			7
Assets		$	3.95 billion
(b) Other pooled accounts
Non-performance fee accounts
Number of accounts			16
Assets		$	7.168 billion
Performance fee accounts
Number of accounts			0
Assets		$	0
(c) Other
Non-performance fee accounts
Number of accounts			7
Assets		$	384 million
Performance fee accounts
Number of accounts			0
Assets		$	0

POTENTIAL MATERIAL CONFLICTS OF INTEREST

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

 

Item 8(a)(3).

FUND MANAGER COMPENSATION

Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term incentives.

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

The portfolio manager is also eligible to receive an annual bonus from a pool based on Symphony’s aggregate asset-based and performance fees after all operating expenses. The level of this bonus to each individual portfolio manager is determined by senior management’s assessment of the team’s performance, and the individual’s contribution to and performance on that team. Factors considered in that assessment include the total return and risk-adjusted total return performance of the accounts for which the individual serves as portfolio manager relative to any benchmarks established for those accounts; the individual’s effectiveness in communicating investment performance to investors and/or their advisors; and the individual’s contribution to the firm’s overall investment

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process and to the execution of investment strategies. The portfolio manager also receives long-term incentives tied to the performance and growth of Symphony.

 

Item 8(a)(4).

OWNERSHIP OF NSL SECURITIES AS OF JULY 31, 2015

 

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

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ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

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

ITEM 11. CONTROLS AND PROCEDURES.

 

(a)

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

 

(b)

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

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ITEM 12. EXHIBITS.

File the exhibits listed below as part of this Form.

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

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

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

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

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SIGNATURES

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

(Registrant) Nuveen Senior Income Fund

 

By (Signature and Title)		/s/ Kevin J. McCarthy
		Kevin J. McCarthy
		Vice President and Secretary
Date: October 8, 2015

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

 

By (Signature and Title)		/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman
		Chief Administrative Officer
		(principal executive officer)
Date: October 8, 2015
By (Signature and Title)		/s/ Stephen D. Foy
		Stephen D. Foy
		Vice President and Controller
		(principal financial officer)
Date: October 8, 2015