UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21494
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Nuveen Floating Rate Income Fund
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(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Address of principal executive offices) (Zip code)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
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Date of fiscal year end: July 31
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Date of reporting period: July 31, 2004
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
ANNUAL REPORT July 31, 2004
Nuveen Investments
Closed-End
Exchange-Traded
Funds
NUVEEN SENIOR INCOME FUND
NSL
NUVEEN FLOATING RATE INCOME FUND
JFR
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND
JRO
Photo of: Man and woman sitting on porch.
Photo of: 2 children sitting in the grass.
High current income
from portfolios of
senior corporate loans
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Photos: Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
Chairman's
LETTER TO SHAREHOLDERS
On behalf of all of us at Nuveen Investments, I'd like to use this first report
of the Nuveen Floating Rate Income Fund (JFR) and the Nuveen Floating Rate
Income Opportunity Fund (JRO) to welcome all shareholders of these Funds to the
growing family of Nuveen investors. For more than 100 years, Nuveen has
specialized in offering quality investments to those seeking to accumulate and
preserve wealth. Our mission continues to be to assist you and your financial
advisor by offering the investment services and products that can help you
secure your financial objectives. We thank you for choosing Nuveen Investments
as a partner as you work toward that goal.
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OUR MISSION CONTINUES TO BE TO ASSIST YOU AND YOUR FINANCIAL ADVISOR BY OFFERING
THE INVESTMENT SERVICES AND PRODUCTS THAT CAN HELP YOU MEET YOUR FINANCIAL
OBJECTIVES.
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I also am pleased to report that over the period ended July 31, 2004, the Nuveen
Senior Income Fund (NSL) continued to provide its shareholders with attractive
monthly income, strong total return, and the opportunity for enhanced
diversification within their investment portfolios.
Because each of these Fund's fiscal years ends on July 31, this "annual" report
covers a full year for NSL, about four months for JFR (which was introduced in
late March 2004), and about four days for JRO (which was introduced in late July
2004). Although they have less than a full year's history, we believe JFRand JRO
are off to good starts, and I look forward to reporting on their progress in
more detail in the next shareholder report.
In thinking about the next report, I urge you to consider receiving it and all
future Fund information electronically via the Internet and e-mail. Not only
will you receive the information faster, but this also may help lower your Fund
expenses. Sign up is quick and easy - see the inside front cover of this report
for detailed instructions.
Again, thank you for the confidence you have shown in Nuveen Investments.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
September 15, 2004
Nuveen Closed-End Exchange-Traded Funds (NSL, JFR, JRO)
Portfolio Manager's
PERSPECTIVE
The Funds are managed by Gunther Stein and Lenny Mason of Symphony Asset
Management, LLC, an affiliate of Nuveen Investments. Gunther and Lenny have more
than 25 years of combined investment management experience, much of it in
evaluating and purchasing senior corporate loans and other high-yield debt. Here
they review the prevailing economic conditions and performance of the Funds for
the period ended July 31, 2004.
WHAT WERE THE MAJOR ECONOMIC AND MARKET FACTORS DURING THE PERIOD ENDED JULY 31,
2004?
While the 10-year U. S. Treasury note yield of 4.45% at the end of the period
was virtually unchanged from 12 months earlier, this fiscal year was marked by
quite a bit of uncertainty and market volatility. Prices in the U. S. Treasury
market peaked on March 16, 2004, with the 10-year note yielding 3.68% as a
sluggish economy, slow employment growth, Federal Reserve caution and concerns
over terrorism combined to keep interest rates near record lows. In early April,
an unexpectedly strong employment report brought the bond market rally to an
abrupt end. As concerns focused on the possibility that the Federal Reserve
might start to raise short-term interest rates, market interest rates spiked
upward along the entire yield curve and the 10 year U. S. Treasury note reached
a high yield of 4.87% on June 14, 2004. By the end of the period, despite high
petroleum prices, inflation concerns and the threat of global terrorism, most
economic reports continued to indicate a slow but steady recovery was underway.
Against this backdrop, the leveraged loan market recorded robust returns during
the twelve months ended July 31, 2004. The strong performance was driven by
improving credit fundamentals, decreasing default rates, large inflows into the
leveraged loan asset class and a resilient high-yield market. Over the period,
the CSFB Leveraged Loan Index1 posted a return of 7.11%, with all of the
industries that comprise the index registering positive returns. Perceptions of
improving economic conditions and expectations of higher interest rates in the
future led to record inflows into floating-rate assets. In addition, as the
credit markets improved over the last year, default rates have dropped
accordingly. Leveraged loan volume has continued to escalate due to strong
demand and a surge of new issuances, with more than $212 billion in new loans
coming to the market during this twelve-month period. A large proportion of
these new loans were used to fund M&A activity as companies took advantage of
growing consumer demand and generally tightening spreads between the yields of
higher-rated and lower-rated securities.
1 The CSFB Leveraged Loan Index, consists of approximately $150 billion of
tradable term loans with at least one year to maturity and rated BBB or
lower.
4
WHAT WERE YOUR PRIMARY STRATEGIES AND FOCUSES FOR MANAGING THE FUNDS DURING THE
REPORTING PERIOD?
We continued to employ a value-oriented investment management strategy for NSL.
Our purchase and sale decisions were based on a range of factors, including an
assessment of each company's credit fundamentals, cash flow and asset quality.
Due to the strong new-issue calendar, we tended to focus on purchasing new,
higher-quality loans with what we considered to be solid business fundamentals,
sound asset coverage, and above average yield. We continued to monitor NSL's
entire portfolio, eliminating positions which possessed what we thought were
mounting credit problems, limited upside potential or significant downside risk.
In particular, we selectively reduced exposure to distressed credits that had
already realized meaningful price appreciation.
As of July 31, 2004, we were concluding the process of purchasing loans and
other instruments for the JFR portfolio, including the proceeds from the
offering of the JFR FundPreferred(R) shares in May 2004. Throughout the
invest-up process, we employed a value-oriented investment strategy with a
particular emphasis on purchasing relatively higher-quality new loans across a
diverse variety of industry sectors. In addition to new issues, we also
purchased loans in the secondary market that we thought exhibited favorable
risk-return profiles. Our investment decisions were based on a range of factors,
including an assessment of each company's credit fundamentals, cash flow outlook
and asset quality. In particular, we focused on identifying companies with what
we judged to be solid business fundamentals, sound asset coverage and attractive
yields at the time of investment.
JRO was introduced in late July 2004. As of July 31, 2004, the end of the fiscal
period, the initial proceeds from the common share offering had been received
and the initial investing process had begun. We look forward to reporting on the
Fund's progress and performance in future shareholder reports.
IN THIS ENVIRONMENT, HOW DID THE FUNDS PERFORM?
For the twelve months ended July 31, 2004, the Nuveen Senior Income Fund
produced a total return on net asset value (NAV) of 14.61%. Over the same
period, the CSFB Leveraged Loan Index posted a return of 7.11%.
5
From its inception in March 2004 through July 31, 2004, JFR produced a total
return on net asset value of -0.39%, compared with a return of 1.67% for the
CSFB index over the period from March 31, 2004 through July 31, 2004.
JRO, which was only a few days past its common share initial public offering as
of July 31, 2004, had no meaningful performance to report as of that date.
The performance of NSL over the period benefited from the strong overall
performance of the leveraged loan market. As noted, rising prices were prevalent
across nearly all industry sectors and ratings classes. The Fund's performance
relative to the index also benefited from the Fund's use of leverage. Leveraging
can add volatility to a Fund's net asset value and share price. However, during
periods when a leveraged Fund's investments perform well and leveraging costs
are low, such as the environment during much of this reporting period, this
strategy also can provide opportunities for net asset value appreciation and
enhanced income for common shareholders.
Since its inception on March 2004, JFR has been in an invest-up stage. As a
result, the portfolio's performance was muted during the period ended July 31.
In addition, weakness in the portfolio's high yield securities caused JFR to
trail the return of the CSFB Leveraged Loan Index. Widespread anticipation of
interest rate increases by the Federal Reserve during April and May caused
substantial outflows from the high yield market. As a result of these outflows
and general interest rate sensitivity, the performance of JFR's high yield
basket diminished the Fund's overall return during this short measurement
period.
WHAT TACTICS OR SECURITIES PRODUCED POSITIVE PERFORMANCE?
In NSL, certain distressed, but improving, credits contributed to the Fund's
strong performance over the time period noted earlier. The best performers were
issues from Washington Group, Micro Warehouse, Western Industries, Federal-Mogul
and Wyndham International.
WHAT TACTICS OR SECURITIES HURT PERFORMANCE OVER THIS PERIOD?
While rising interest rates can be a positive influence for senior loans over
time, they can have a negative effect on other high yield debt. Several high
yield bonds in both NSL
6
and JFR showed some weakness as interest rates rose toward the end of the
reporting period due to the interest rate sensitivity of these securities.
However, this impact was not uniform - toward the end of the period interest
rate speculation became less volatile, and this had a positive effect on the
performance of some high yield issues within both Funds' portfolios.
WHAT ABOUT DIVIDENDS AND SHARE PRICES?
With short-term interest rates remaining near historically low levels during
this reporting period, the leveraged structures of these Funds continued to
support their dividend-paying capabilities. The extent of this benefit is tied
in part to the short-term rates the Funds pay their FundPreferred(R)
shareholders. During periods of low short-term rates, the Funds generally pay
relatively lower dividends to their FundPreferred shareholders, which can leave
more earnings to support common share dividends. As a result, NSL and JFR made
no changes in their monthly dividends. As of July 31, 2004, JRO had not yet
declared its initial dividend.
Each Fund seeks to pay stable dividends at rates that reflect its past results
and projected future performance. During certain periods, each Fund may pay
dividends at a rate that may be more or less than the amount of net investment
income actually earned by the Fund during the period. If a Fund has cumulatively
earned more than it has paid in dividends, it holds the excess in reserve as
undistributed net investment income (UNII) as part of the Fund's NAV.
Conversely, if a Fund has cumulatively paid dividends in excess of its earnings,
the excess constitutes negative UNII that is likewise reflected in the Fund's
NAV. Each Fund will, over time, pay all of its net investment income as
dividends to shareholders. As of July 31, 2004, NSL had a positive UNII balance,
while JFR had a negative UNII balance.
As of July 31, 2004, NSL was trading at a 17.42% premium to its net asset value,
compared with an average premium of 13.5% for the entire reporting period. On
the same date, JFR was trading at a 5.54% premium, compared with an average
premium since its March inception of 5.39%. JRO also was trading at a premium as
of July 31, 2004, which is typical immediately following a common share initial
public offering.
7
Nuveen Senior Income Fund
NSL
Performance
OVERVIEW As of July 31, 2004
Pie Chart:
PORTFOLIO ALLOCATION
(as a % of total investments)
Variable Rate Senior Loan Interests 86%
Corporate and Municipal Bonds 10%
Equities 1%
Repurchase Agreements 3%
Bar Chart:
2003-2004 MONTHLY DIVIDENDS PER SHARE
Aug 0.043
Sep 0.043
Oct 0.043
Nov 0.043
Dec 0.043
Jan 0.043
Feb 0.043
Mar 0.043
Apr 0.043
May 0.043
Jun 0.043
Jul 0.043
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
8/1/03 8.55
8.65
8.75
8.77
8.89
8.97
8.78
8.45
8.77
8.76
8.9
8.87
8.86
8.89
8.8
8.74
8.84
8.95
8.98
9.38
9.28
9.27
9.26
9.32
9.45
9.45
9.42
9.45
9.4
9.36
9.55
9.83
9.8
9.95
9.71
9.7
9.93
10.05
9.9
9.8
9.62
9.59
9.69
9.7
9.71
9.72
9.74
9.8
9.82
7/31/04 9.91
FUND SNAPSHOT
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Share Price $9.91
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Common Share
Net Asset Value $8.44
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Premium/(Discount) to NAV 17.42%
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Latest Dividend $.0430
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Market Yield 5.21%
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Net Assets Applicable to
Common Shares ($000) $251,278
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ANNUALIZED TOTAL RETURN
(Inception 10/26/99)
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ON SHARE PRICE ON NAV
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1-Year 24.50% 14.61%
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Since Inception 8.46% 6.27%
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INDUSTRIES
(as a % of total investments)
------------------------------------
Media 19.8%
------------------------------------
Hotels, Restaurants & Leisure 14.4%
------------------------------------
Auto Components 8.4%
------------------------------------
Containers & Packaging 5.1%
------------------------------------
Personal Products 3.9%
------------------------------------
Insurance 3.6%
------------------------------------
Chemicals 3.1%
------------------------------------
Food Products 3.0%
------------------------------------
Healthcare Providers & Services 2.9%
------------------------------------
Road & Rail 2.8%
------------------------------------
Healthcare Equipment & Supplies 2.7%
------------------------------------
Household Durables 2.6%
------------------------------------
Paper &Forest Products 2.4%
------------------------------------
Aerospace & Defense 2.2%
------------------------------------
Electric Utilities 2.2%
------------------------------------
Other 20.9%
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TOP FIVE ISSUERS
(EXCLUDING REPURCHASE AGREEMENTS)
(as a % of total investments)
------------------------------------
Conseco, Inc. 2.5%
------------------------------------
Charter Communications
Operating, LLC 2.4%
------------------------------------
Fort James Corporation 2.4%
------------------------------------
Federal-Mogul Corporation 2.2%
------------------------------------
Metro-Goldwyn-Mayer (MGM) 2.2%
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8
Nuveen Floating Rate Income Fund
JFR
Performance
OVERVIEW As of July 31, 2004
Pie Chart:
PORTFOLIO ALLOCATION
(as a % of total investments)
Variable Rate Senior Loan Interests 61%
Corporate Bonds 15%
SAMI/Collateral Securities(1) 3%
Repurchase Agreements 21%
Bar Chart:
2004 MONTHLY DIVIDENDS PER SHARE
May 0.0675
Jun 0.0675
Jul 0.0675
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
3/25/04 15.04
15.23
15.25
15.1
15.19
14.96
14.86
14.85
14.84
14.93
14.84
15
14.91
14.67
14.99
14.91
14.91
14.61
7/31/04 14.85
(1)The Fund's $32,200,000 investment in instruments whose returns are based on
the Select Aggregate Market Index (an index of Senior Loans) is
collateralized by U.S. Treasury Bills and Repurchase Agreements.
FUND SNAPSHOT
------------------------------------
Share Price $14.85
------------------------------------
Common Share
Net Asset Value $14.07
------------------------------------
Premium/(Discount) to NAV 5.54%
------------------------------------
Latest Dividend $.0675
------------------------------------
Market Yield 5.45%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $663,609
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CUMULATIVE TOTAL RETURN
(Inception 3/25/04)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
Since Inception 0.40% -0.39%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Media 15.0%
------------------------------------
Hotels, Restaurants & Leisure 10.4%
------------------------------------
Electric Utilities 5.5%
------------------------------------
Containers & Packaging 5.1%
------------------------------------
Auto Components 5.1%
------------------------------------
Chemicals 3.8%
------------------------------------
Household Durables 2.5%
------------------------------------
Healthcare Providers & Services 2.5%
------------------------------------
Commercial Services 2.3%
------------------------------------
Insurance 2.3%
------------------------------------
Food & Staples Retailing 2.0%
------------------------------------
Healthcare Equipment & Supplies 2.0%
------------------------------------
Food Products 1.9%
------------------------------------
Machinery 1.9%
------------------------------------
Road & Rail 1.9%
------------------------------------
Other 35.8%
------------------------------------
TOP FIVE ISSUERS
(EXCLUDING REPURCHASE AGREEMENTS)
(as a % of total investments)
------------------------------------
Metro-Goldwyn-Mayer (MGM) 2.4%
------------------------------------
Conseco Inc. 2.3%
------------------------------------
Owens-Illinois Group, Inc. 2.3%
------------------------------------
Regal Cinemas Corporation 2.2%
------------------------------------
Charter Communications
Operating, LLC 2.1%
------------------------------------
9
Report of
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS OF
NUVEEN SENIOR INCOME FUND
NUVEEN FLOATING RATE INCOME FUND
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND
We have audited the accompanying statements of assets and liabilities of Nuveen
Senior Income Fund, Nuveen Floating Rate Income Fund and Nuveen Floating Rate
Income Opportunity Fund (the "Funds"), including the portfolios of investments,
as of July 31, 2004, and the related statements of operations, cash flows,
changes in net assets and the financial highlights for the periods indicated
therein for the Nuveen Floating Rate Income Fund and the Nuveen Floating Rate
Income Opportunity Fund and the related statements of operations, cash flows,
changes in net assets and the financial highlights for the year then ended for
the Nuveen Senior Income Fund. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits. The statement of changes in net assets of the Nuveen Senior
Income Fund for the year ended July 31, 2003 and the financial highlights of the
Nuveen Senior Income Fund for each of the three years in the period ended July
31, 2003 and for the period from October 29, 1999 (commencement of operations)
to July 31, 2000, were audited by other auditors whose report dated September
18, 2003, expressed an unqualified opinion on that statement of changes in net
asset 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 audit 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 and financial highlights. Our procedures
included confirmation of investments owned as of July 31, 2004, by
correspondence with the custodian, selling or agent banks and brokers or by
other appropriate auditing procedures where replies from selling or agent banks
or brokers were not received. 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 2004 financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund and Nuveen Floating
Rate Income Opportunity Fund at July 31, 2004, the results of their operations,
their cash flows, the changes in their net assets and the financial highlights
for the periods indicated herein, in conformity with U.S. generally accepted
accounting principles.
/s/Ernst & Young LLP
September 15, 2004
10
Nuveen Senior Income Fund (NSL)
Portfolio of
INVESTMENTS July 31, 2004
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS(2) - 139.6% (85.8% OF TOTAL ASSETS)
AEROSPACE & DEFENSE - 3.5% (2.2% OF TOTAL ASSETS)
$ 1,510 DeCrane Aircraft Holdings, Inc., Term Loan D B3 B- 12/17/06 $1,502,453
4,024 United Defense Industries Inc., Term Loan B Ba2 BB 08/13/09 4,062,639
224 Vought Aircraft Industries, Inc., Term Loan B Ba3 B+ 06/30/07 226,620
156 Vought Aircraft Industries, Inc., Term Loan C Ba3 B+ 06/30/08 158,232
2,933 Vought Aircraft Industries, Inc., Term Loan X Ba3 B+ 12/31/06 2,958,884
------------------------------------------------------------------------------------------------------------------------------------
8,908,828
------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 13.6% (8.4% OF TOTAL ASSETS)
4,224 Federal-Mogul Corporation, Term Loan A (b)(f) NR NR 02/24/04 3,938,017
5,551 Federal-Mogul Corporation, Term Loan B (b) NR NR 02/24/05 5,179,520
2,000 Mark IV Industries, Inc. , Term Loan B B1 BB- 06/23/11 2,033,125
2,494 Meridian Automotive Systems, First Lien Term Loan B2 B+ 08/28/10 2,490,633
8,286 Metaldyne Company LLC , Term Loan D B2 BB- 12/31/09 8,301,228
3,046 MetalForming Technologies, Inc., Term Loan A NR NR 09/30/07 2,893,481
1,104 MetalForming Technologies, Inc., Term Loan B (PIK) NR NR 09/30/07 662,197
2,474 Plastech Engineered Products, Inc., First Lien Term Loan Ba3 BB- 03/31/10 2,512,796
3,431 Tenneco Automotive Inc., Term Loan B B1 B+ 12/12/10 3,498,942
1,552 Tenneco Automotive Inc., Term Loan B-1 B1 B+ 12/12/10 1,583,728
857 United Components, Inc., Term Loan C B1 BB- 06/30/10 868,981
------------------------------------------------------------------------------------------------------------------------------------
33,962,648
------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES - 2.7% (1.7% OF TOTAL ASSETS)
6,677 Dr. Pepper/Seven UP Bottling Group, Inc., Term Loan B B1 NR 12/19/10 6,756,625
------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 4.9% (3.0% OF TOTAL ASSETS)
1,763 Buckeye Technologies, Inc., Term Loan B B1 BB- 03/15/08 1,787,947
736 CP Kelco U.S., Inc., Term Loan B B3 B 03/31/08 740,912
240 CP Kelco U.S., Inc., Term Loan C B3 B 09/30/08 241,110
2,000 Rockwood Specialties Group, Inc., Term Loan (e) B1 B+ 07/30/12 2,018,036
1,980 Rockwood Specialties Group, Inc., Term Loan C B1 B+ 12/08/10 1,988,663
3,387 Shemin Holdings Corporation, Term Loan B NR NR 01/28/07 3,150,287
798 The Scotts Company, Term Loan Ba1 BB 09/30/10 804,199
1,500 Wellman, Inc., First Lien Term Loan B1 B+ 02/10/09 1,526,875
------------------------------------------------------------------------------------------------------------------------------------
12,258,029
------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 3.4% (2.1% OF TOTAL ASSETS)
6,489 Allied Waste North America, Inc., Term Loan B Ba2 BB 01/15/10 6,584,753
1,945 Williams Scotsman, Inc., Term Loan B1 B+ 12/31/06 1,973,138
------------------------------------------------------------------------------------------------------------------------------------
8,557,891
------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 1.0% (0.6% OF TOTAL ASSETS)
2,488 Nextel Finance Company, Term Loan E Ba1 BBB 12/15/10 2,507,374
------------------------------------------------------------------------------------------------------------------------------------
11
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS July 31, 2004
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING - 1.2% (0.7% OF TOTAL ASSETS)
$ 1,955 Anthony Crane Rental, L.P., Revolver (b) NR NR 07/22/04 $1,502,398
1,982 Anthony Crane Rental, L.P., Term Loan (b) NR NR 07/23/04 1,525,951
------------------------------------------------------------------------------------------------------------------------------------
3,028,349
------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 8.3% (5.1% OF TOTAL ASSETS)
3,196 Crown Cork & Seal Americas, Inc., Term Loan B-1 Ba3 NR 02/26/08 3,247,233
6,951 Graham Packaging Company, L.P., Term Loan B (Tranche 1) B2 B 02/14/10 7,004,455
2,000 Owens-Illinois Group, Inc., Term Loan C NR NR 04/01/08 2,005,417
5,285 Stone Container Corporation, Term Loan B NR NR 06/30/09 5,331,113
251 Stone Container Corporation, Term Loan C NR NR 06/30/09 254,280
2,993 United States Can Company, Term Loan B B2 B 01/15/10 3,028,036
------------------------------------------------------------------------------------------------------------------------------------
20,870,534
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 2.3% (1.4% OF TOTAL ASSETS)
5,731 RCN Corporation, Term Loan B NR NR 06/03/07 5,706,004
5,000 WCI Capital Corp., Term Loan B (a)(b) NR NR 09/30/07 12,500
------------------------------------------------------------------------------------------------------------------------------------
5,718,504
------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 3.5% (2.2% OF TOTAL ASSETS)
3,471 KOSA B.V., Term Loan B-1 Ba3 NR 04/29/11 3,524,816
1,529 KOSA B.V., Term Loan B-2 Ba3 NR 04/29/11 1,553,309
3,000 Mirant Corporation, Term Loan (b) NR NR 07/15/03 1,706,250
1,730 Sensus Metering Systems Inc., Term Loan B-1 B2 B+ 12/17/10 1,751,705
260 Sensus Metering Systems Inc., Term Loan B-2 B2 B+ 12/17/10 262,756
------------------------------------------------------------------------------------------------------------------------------------
8,798,836
------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 4.8% (3.0% OF TOTAL ASSETS)
1,868 Birds Eye Foods, Inc., Term Loan B B1 B+ 08/20/08 1,893,424
1,875 Constellation Brands, Inc., Term Loan B Ba1 BB 11/30/08 1,904,129
1,851 Dean Foods Company, Term Loan B Ba1 BBB- 07/15/08 1,852,493
3,424 Del Monte Corporation, Term Loan B Ba3 BB- 12/20/10 3,477,852
2,000 Dole Holding Company, LLC, Second Lien Term Loan B3 B 07/22/10 1,996,875
995 Michael Foods, Inc., Term Loan B B1 B+ 11/20/10 1,011,480
------------------------------------------------------------------------------------------------------------------------------------
12,136,253
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT & SUPPLIES - 4.3% (2.6% OF TOTAL ASSETS)
2,000 Advanced Medical Optics, Inc., Term Loan B B1 BB- 06/25/09 2,031,875
3,313 Kinetic Concepts, Inc., Term Loan B-1 B1 BB- 08/11/10 3,360,963
3,390 Mariner Health Care, Inc., Term Loan Ba3 BB- 01/02/10 3,413,226
1,985 Quintiles Transnational Corp., Term Loan B B1 BB- 06/26/08 2,019,738
------------------------------------------------------------------------------------------------------------------------------------
10,825,802
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES - 4.7% (2.9% OF TOTAL ASSETS)
993 Community Health Systems, Inc., Incremental Term Loan NR NR 01/16/11 1,006,147
4,421 Community Health Systems, Inc., Term Loan B NR NR 07/16/09 4,432,995
1,663 Fisher Scientific International Inc., Term Loan C Ba3 BBB 03/31/10 1,672,068
2,000 IASIS Healthcare LLC, Term Loan B1 B+ 06/22/11 2,033,125
2,625 Triad Hospitals, Inc., Term Loan B Ba2 BB 09/30/08 2,673,619
------------------------------------------------------------------------------------------------------------------------------------
11,817,954
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 18.5% (11.3% OF TOTAL ASSETS)
6,965 24 Hour Fitness Worldwide, Inc., Term Loan B B1 B 07/01/09 7,052,063
1,248 Aladdin Gaming, LLC, Term Loan B NR NR 08/26/06 1,254,027
6,752 Aladdin Gaming, LLC, Term Loan C NR NR 02/26/08 6,785,973
5,000 Alliance Gaming Corporation, Term Loan B Ba3 BB- 09/05/09 5,065,625
12
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE (continued)
$ 2,175 Ameristar Casinos, Inc., Term Loan B-1 Ba1 BB- 12/20/06 $2,203,882
2,357 Argosy Gaming Company, Term Loan B Ba2 BB 07/31/06 2,384,727
1,617 Isle of Capri Casinos, Inc., Term Loan Ba2 BB- 04/26/08 1,637,122
5,973 Jack in the Box Inc., Term Loan B (f) Ba2 BB 01/09/10 6,058,354
2,000 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B NR NR 04/26/11 2,012,000
3,782 Penn National Gaming, Inc., Term Loan D Ba3 BB- 09/01/07 3,845,715
1,154 Wyndham International, Inc., Term Loan I NR NR 06/30/06 1,146,237
6,823 Wyndham International, Inc., Term Loan II NR NR 04/01/06 6,805,316
------------------------------------------------------------------------------------------------------------------------------------
46,251,041
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 4.1% (2.6% OF TOTAL ASSETS)
1,984 Home Interiors & Gifts, Inc., Term Loan B2 B 03/31/11 1,919,264
3,449 Jostens, Inc., Term Loan B Ba3 B+ 07/29/10 3,500,239
4,866 Sealy Mattress Company, Term Loan B2 B+ 04/06/12 4,946,160
------------------------------------------------------------------------------------------------------------------------------------
10,365,663
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.8% (1.1% OF TOTAL ASSETS)
5,489 Western Industries Holding Inc., Term Loan B NR NR 06/23/06 4,637,844
------------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 5.8% (3.6% OF TOTAL ASSETS)
10,000 Conseco, Inc., Term Loan B3 BB- 06/22/10 10,153,125
4,625 GAB Robbins North America, Inc., Term Loan B NR NR 12/01/05 4,393,750
------------------------------------------------------------------------------------------------------------------------------------
14,546,875
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 2.5% (1.5% OF TOTAL ASSETS)
1,909 EaglePicher Incorporated, Term Loan B B2 B+ 08/07/09 1,926,983
2,261 Rexnord Corporation, Replacement Term Loan B1 B+ 11/25/09 2,290,543
2,003 Terex Corporation, Incremental Term Loan C B1 BB- 12/31/09 2,034,113
------------------------------------------------------------------------------------------------------------------------------------
6,251,639
------------------------------------------------------------------------------------------------------------------------------------
MARINE - 0.9% (0.6% OF TOTAL ASSETS)
2,402 American Commercial Lines, Term Loan C (e) NR NR 06/30/07 2,334,467
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 28.8% (17.4% OF TOTAL ASSETS)
6,438 American Media Operations, Inc., Term Loan C Ba3 B+ 04/01/07 6,544,550
1,979 CanWest Media Inc., Term Loan E Ba3 B+ 06/18/09 2,007,942
4,000 Century Cable Holdings, LLC, Discretionary Term Loan (b) NR NR 12/31/09 3,860,000
1,640 Century Cable Holdings, LLC, Revolver (b) NR NR 10/25/10 1,566,200
2,000 Century Cable Holdings, LLC, Revolver (b) NR NR 10/25/10 1,910,000
10,000 Charter Communications Operating, LLC, Term Loan B B2 B 04/07/11 9,876,875
2,730 Dex Media East, LLC, Term Loan B B1 BB- 11/10/08 2,775,925
5,347 Dex Media West, LLC, Term Loan B B1 BB- 03/09/10 5,453,609
2,000 Emmis Operating Company, Term Loan Ba2 B+ 11/10/11 2,024,219
2,000 Freedom Communications, Inc., Term Loan B Ba3 BB 05/18/12 2,032,813
1,995 Gray Television, Inc., Term Loan C Ba2 B+ 12/31/10 2,016,197
4,478 MediaNews Group, Inc., Term Loan B NR NR 12/30/10 4,540,931
2,500 PRIMEDIA Inc., Floating Rate Note, 5.375% plus B3 B 05/15/10 2,553,125
three-month LIBOR, 144A
2,377 PRIMEDIA Inc., Term Loan B NR B 06/30/09 2,286,967
2,000 PRIMEDIA Inc., Term Loan C NR B 12/31/09 1,982,500
4,434 R.H. Donnelley Inc., Term Loan B-2 Ba3 NR 06/30/10 4,491,167
3,474 Rainbow Media Holdings LLC, Term Loan C Ba2 BB+ 03/31/09 3,488,568
13
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS July 31, 2004
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
MEDIA (continued)
$ 7,738 Regal Cinemas Corporation, Term Loan B Ba3 BB- 11/10/10 $7,839,131
1,796 Sun Media Corporation, Term Loan B Ba2 BB 02/07/09 1,815,170
2,993 WMG Acquisition Corp., Term Loan B1 NR 02/27/11 3,039,526
------------------------------------------------------------------------------------------------------------------------------------
72,105,415
------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 3.0% (1.9% OF TOTAL ASSETS)
5,441 Amsted Industries Incorporated, Term Loan B B1 BB- 10/15/10 5,570,489
1,975 Peabody Energy Corporation, Term Loan B Ba1 BB+ 03/19/10 1,999,070
------------------------------------------------------------------------------------------------------------------------------------
7,569,559
------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS - 2.4% (1.5% OF TOTAL ASSETS)
2,000 Pride Offshore, Inc., Term Loan Ba1 BB+ 07/07/11 2,027,500
3,952 Tesoro Petroleum Corporation, Term Loan B Ba2 BBB- 04/15/08 4,078,460
------------------------------------------------------------------------------------------------------------------------------------
6,105,960
------------------------------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS - 6.3% (3.9% OF TOTAL ASSETS)
2,444 Lamar Media Corp., Term Loan C Ba2 BB- 06/30/10 2,473,167
6,663 Norwood Promotional Products, Inc., Term Loan A NR NR 02/01/05 6,429,905
6,025 Norwood Promotional Products, Inc., Term Loan B NR NR 02/01/05 1,973,304
1,459 Norwood Promotional Products, Inc., Term Loan C NR NR 02/01/05 36,469
1,995 Prestige Brands, Inc., Term Loan B B1 B 04/06/11 2,028,666
2,963 Sola International Inc., Term Loan B Ba3 BB- 12/11/09 3,010,641
------------------------------------------------------------------------------------------------------------------------------------
15,952,152
------------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 4.6% (2.8% OF TOTAL ASSETS)
7,600 Laidlaw Inc., Term Loan B-1 Ba3 BB+ 06/19/09 7,747,250
1,912 National Equipment Services, Inc., Term Loan A NR NR 02/17/10 1,892,747
1,939 National Equipment Services, Inc., Termed-Out Revolver NR NR 02/17/10 1,896,061
------------------------------------------------------------------------------------------------------------------------------------
11,536,058
------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 0.8% (0.5% OF TOTAL ASSETS)
1,442 Micro Warehouse, Inc., Term Loan B (b) NR NR 01/30/07 28,835
1,995 Rite Aid Corporation, Term Loan Ba3 BB 04/30/08 2,040,386
------------------------------------------------------------------------------------------------------------------------------------
2,069,221
------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 1.9% (1.2% OF TOTAL ASSETS)
344 Airgate PCS, Inc., Tranche I Loan B2 CCC+ 06/06/07 343,436
4,474 Airgate PCS, Inc., Tranche II Loan B2 CCC+ 09/30/08 4,470,200
------------------------------------------------------------------------------------------------------------------------------------
4,813,636
------------------------------------------------------------------------------------------------------------------------------------
Total Variable Rate Senior Loan Interests (cost $355,987,100) 350,687,157
--------------------------------------------------------------------------------------------------------------------
14
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CORPORATE AND MUNICIPAL BONDS - 16.4% (10.1% OF TOTAL ASSETS)
BUILDING PRODUCTS- 1.3% (0.8% OF TOTAL ASSETS)
$ 3,000 D.R. Horton, Inc., 10.500% Ba1 BB+ 04/01/05 $3,157,500
------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.3% (0.2% OF TOTAL ASSETS),
705 Nextel Communications Inc., 9.375% Ba3 BB 11/15/09 756,113
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 4.9% (3.1% OF TOTAL ASSETS)
1,900 Mandalay Resort Group, 6.450% Ba2 BB+ 02/01/06 1,971,250
7,148 MGM Grand, 6.95% Ba1 BB+ 02/01/05 7,326,700
1,500 MGM Grand, 7.250% Ba1 BB+ 10/15/06 1,582,500
1,443 Park Place Entertainment, 7.875% Ba2 BB- 12/15/05 1,525,973
------------------------------------------------------------------------------------------------------------------------------------
12,406,423
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 3.3% (2.0% OF TOTAL ASSETS)
1,930 AMC Entertainment, 9.875% Caa1 CCC+ 02/01/12 1,987,900
6,000 Echostar DBS Corporation, 10.375% Ba3 BB- 10/01/07 6,390,000
------------------------------------------------------------------------------------------------------------------------------------
8,377,900
------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.9% (2.4% OF TOTAL ASSETS)
656 California Pollution Control Finance Authority, CanFibre NR NR 07/01/19 96,789
of Riverside Project (a)(b)(c)
1,215 California Pollution Control Finance Authority, CanFibre NR NR 07/01/14 179,240
of Riverside Project (a)(b)(c)
9,500 Fort James Corporation, 6.625% Ba2 BB+ 09/15/04 9,571,250
------------------------------------------------------------------------------------------------------------------------------------
9,847,279
------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 2.0% (1.2% OF TOTAL ASSETS)
2,000 Kaufman & Broad Home Corporation, 7.750% Ba1 BB+ 10/15/04 2,025,000
3,000 Standard Pacific Corporation, 6.500% Ba2 BB 10/01/08 3,037,500
------------------------------------------------------------------------------------------------------------------------------------
5,062,500
------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.7% (0.4% OF TOTAL ASSETS)
1,750 Panamsat Corp, 6.125% B1 BB 01/15/05 1,785,000
------------------------------------------------------------------------------------------------------------------------------------
Total Corporate and Municipal Bonds (cost $41,104,361) 41,392,715
--------------------------------------------------------------------------------------------------------------------
15
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS July 31, 2004
MARKET
SHARES (000) DESCRIPTION(1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
EQUITIES - 1.5% (0.9% OF TOTAL ASSETS)
CHEMICALS - 0.2% (0.1% OF TOTAL ASSETS)
9 GenTek Inc. (a) $ 383,856
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% (0.1% OF TOTAL ASSETS)
7 Arch Wireless Holding Inc. (a) 207,744
------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 1.2% (0.7% OF TOTAL ASSETS)
78 Washington Group International, Inc. (a) 2,621,699
9 Washington Group International, Inc.,Warrants, Series A (a) 68,484
11 Washington Group International, Inc.,Warrants, Series B (a) 61,537
6 Washington Group International, Inc.,Warrants, Series C (a) 27,415
-- Washington Group International, Inc., Residual Unsecured Claim (a)(d) 235,299
------------------------------------------------------------------------------------------------------------------------------------
3,014,434
------------------------------------------------------------------------------------------------------------------------------------
Total Equities (cost $3,424,453) 3,606,034
--------------------------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT (000) DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 4.2% (2.6% OF TOTAL ASSETS)
State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $10,631,193, 10,630,086
$ 10,630 collateralized by $7,925,000 U.S. Treasury Bonds, 8.125%, due 8/15/21, value $10,847,344
============= --------------------------------------------------------------------------------------------------------------------
Total Repurchase Agreements (cost $10,630,086) 10,630,086
--------------------------------------------------------------------------------------------------------------------
Total Investments (cost $411,146,000) - 161.7% (99.4% of total assets) 406,315,992
--------------------------------------------------------------------------------------------------------------------
Borrowings Payable - (41.0%)+ (103,000,000)
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - (2.4%) (6,037,577)
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (18.3%) (46,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $251,278,415
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically adjusted by
reference to a base short-term, floating lending rate
plus a premium. These base lending rates are generally
(i) the lending rate offered by one or more major
European banks, such as the London Inter-Bank Offered
Rate ("LIBOR"), (ii) the prime rate offered by one or
more major United States banks, or (iii) the
certificate of deposit rate.
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.
NR Not rated.
* Ratings below Baa by Moody's Investor Service, Inc. or
BBB by Standard & Poor's Group are considered to be
below investment grade. Ratings are not covered by the
Report of Independent Registered Public Accounting
Firm.
** Senior Loans in the Fund's portfolio generally are
subject to mandatory and/or optional prepayment.
Because of these mandatory prepayment conditions and
because there may be significant economic incentives
for a Borrower to prepay, prepayments of Senior Loans
in the Fund's portfolio may occur. As a result, the
actual remaining maturity of Senior Loans held in the
Fund's portfolio may be substantially less than the
stated maturities shown. The Fund estimates that the
actual average maturity of the Senior Loans held in its
portfolio will be approximately 18-24 months.
(a) At or subsequent to July 31, 2004, this issue was
non-income producing.
(b) At or subsequent to July 31, 2004, this issue was under
the protection of the federal bankruptcy court.
(c) On January 1, 2002, CFRHoldings, Inc. (an entity formed
by Nuveen for the benefit of the Nuveen Funds owning
various interests in CanFibre of Riverside) took
possession of the CanFibre of Riverside assets on
behalf of the various Nuveen Funds. CFR Holdings, Inc.
determined that a sale of the facility was in the best
interest of shareholders and proceeded accordingly.
(d) Anticipates future distributions from equities and
warrants.
(e) Purchased on a when-issued or delayed delivery basis.
(f) Portion purchased on a when-issued or delayed delivery
basis.
(PIK) In lieu of cash payment, interest accrued on "Payment
in Kind" security increases principal outstanding.
+ Borrowings payable as a percentage of total assets is
(25.2%).
See accompanying notes to financial statements.
16
Nuveen Floating Rate Income Fund (JFR)
Portfolio of
INVESTMENTS July 31, 2004
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS(2) - 116.4% (61.3% OF TOTAL ASSETS)
AEROSPACE & DEFENSE - 0.2% (0.1% OF TOTAL ASSETS)
$ 1,581 Vought Aircraft Industries, Inc., Term Loan B Ba3 B+ 06/30/07 $ 1,599,803
------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 8.2% (4.3% OF TOTAL ASSETS)
17,662 Federal-Mogul Corporation, Term Loan A (a)(c) NR NR 02/24/04 16,464,296
2,000 Federal-Mogul Corporation, Term Loan B (a)(b) NR NR 02/24/05 1,866,250
8,000 J.L. French Automotive Castings, Inc., Term Loan B (c) B3 NR 10/21/06 8,041,000
5,300 Mark IV Industries, Inc., Term Loan B B1 BB- 06/23/11 5,387,781
7,481 Meridian Automotive Systems, First Lien Term Loan B2 B+ 08/28/10 7,471,898
4,994 Metaldyne Company LLC, Term Loan D B2 BB- 12/31/09 5,003,090
5,000 PP Holding Corporation, Term Loan B1 B+ 11/12/11 5,090,625
5,000 RJ Tower Corporation, Term Loan B B1 B+ 05/24/09 5,016,668
------------------------------------------------------------------------------------------------------------------------------------
54,341,608
------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES - 1.5% (0.8% OF TOTAL ASSETS)
10,000 Dr. Pepper/Seven UP Bottling Group, Inc., Term Loan B (b) B1 NR 12/19/10 10,118,755
------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 7.1% (3.7% OF TOTAL ASSETS)
12,970 Hercules Incorporated, Term Loan Ba1 BB 10/08/10 13,067,275
12,500 Huntsman International LLC, Term Loan (b) B1 B 12/31/10 12,704,688
8,000 Lyondell-Citgo Refining LP, Term Loan NR NR 05/21/07 8,160,000
13,000 Rockwood Specialties Group, Inc., Term Loan (b) B1 B+ 07/30/12 13,117,234
------------------------------------------------------------------------------------------------------------------------------------
47,049,197
------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES - 3.6% (1.9% OF TOTAL ASSETS)
10,000 Allied Waste North America, Inc., Term Loan B Ba2 BB 01/15/10 10,147,115
7,000 Allied Waste North America, Inc., Term Loan C (c) Ba2 BB 01/15/10 7,106,876
2,000 Allied Waste North America, Inc., Term Loan D Ba2 BB 01/15/10 2,030,000
4,471 Williams Scotsman, Inc., Term Loan B1 B+ 12/31/06 4,535,494
------------------------------------------------------------------------------------------------------------------------------------
23,819,485
------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 3.1% (1.6% OF TOTAL ASSETS)
20,429 Nextel Finance Company, Term Loan E Ba1 BBB 12/15/10 20,591,887
------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING - 1.1% (0.6% OF TOTAL ASSETS)
4,864 Anthony Crane Rental, L.P., Revolver (a) NR NR 07/22/04 3,737,986
4,479 Anthony Crane Rental, L.P., Term Loan (a)(c) NR NR 07/23/04 3,448,507
------------------------------------------------------------------------------------------------------------------------------------
7,186,493
------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 9.4% (5.0% OF TOTAL ASSETS)
6,700 BWAY Corporation, Term Loan (c) B1 B+ 01/30/11 6,815,156
15,324 Graham Packaging Company, L.P., Term Loan B (Tranche 1) B2 B 02/14/10 15,442,148
15,000 Owens-Illinois Group, Inc., Term Loan B (c) NR NR 04/01/08 15,231,248
13,091 Owens-Illinois Group, Inc., Term Loan D NR NR 04/01/08 13,123,636
917 Stone Container Corporation, Term Loan C NR NR 06/30/09 927,730
6,979 Stone Container Corporation, Term Loan B NR NR 06/30/09 7,039,893
3,990 United States Can Company, Term Loan B B2 B 01/15/10 4,037,381
------------------------------------------------------------------------------------------------------------------------------------
62,617,192
------------------------------------------------------------------------------------------------------------------------------------
17
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS July 31, 2004
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 10.3% (5.4% OF TOTAL ASSETS)
$ 6,983 Allegheny Energy Supply Company, LLC, Term Loan B B1 B 03/08/11 $ 7,097,711
5,985 Allegheny Energy Supply Company, LLC, Term Loan C B1 B 03/08/11 6,102,830
10,000 Calpine Construction Finance Company, L.P., Term Loan B B1 B+ 08/31/09 10,675,000
15,000 Mission Energy Holdings International, Inc., Term Loan (c) Caa2 NR 12/11/06 15,075,000
7,276 Orion Power New York, L.P., Term Loan NR NR 10/28/05 7,294,398
9,114 Orion Power Midwest, L.P., Term Loan NR NR 10/28/05 9,119,202
12,843 Reliant Resources, Inc., Term Loan B (c) NR NR 03/31/07 12,841,185
------------------------------------------------------------------------------------------------------------------------------------
68,205,326
------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 2.3% (1.2% OF TOTAL ASSETS)
15,000 Pride Offshore, Inc., Term Loan (c) Ba1 BB+ 07/07/11 15,206,250
------------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 3.8% (2.0% OF TOTAL ASSETS)
25,000 The Jean Coutu Group Inc., Term Loan B (b) B1 BB 07/30/11 25,287,963
------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.8% (0.4% OF TOTAL ASSETS)
5,000 Dole Holding Company, Second Lien Term Loan B3 B 07/22/10 4,992,188
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT & SUPPLIES - 3.7% (2.0% OF TOTAL ASSETS)
14,500 Advanced Medical Optics, Inc., Term Loan B B1 BB- 06/25/09 14,731,094
9,760 Kinetic Concepts, Inc., Term Loan B-1 (c) B1 BB- 08/11/10 9,900,021
------------------------------------------------------------------------------------------------------------------------------------
24,631,115
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS & SERVICES - 4.7% (2.5% OF TOTAL ASSETS)
4,975 Beverly Enterprises, Inc., Term Loan B Ba3 BB 10/22/08 5,049,593
25,555 IASIS Healthcare LLC, Term Loan B1 B+ 06/22/11 25,978,420
------------------------------------------------------------------------------------------------------------------------------------
31,028,013
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 12.6% (6.6% OF TOTAL ASSETS)
8,097 24 Hour Fitness Worldwide, Inc., Term Loan B B1 B 07/01/09 8,198,370
2,500 Aladdin Gaming, LLC, Term Loan A NR NR 02/25/05 2,512,500
12,000 Aladdin Gaming, LLC, Term Loan C (b) NR NR 02/26/08 12,060,000
2,700 Alliance Gaming Corporation, Term Loan B Ba3 BB- 09/05/09 2,735,438
3,801 Ameristar Casinos, Inc., Term Loan B-1 Ba1 BB- 12/20/06 3,852,498
6,000 Boyd Gaming Corporation, Term Loan B Ba2 BB 06/30/11 6,079,689
1,800 Domino's, Inc., Term Loan (b) Ba3 B+ 06/25/10 1,831,219
3,000 Jack in the Box Inc., Term Loan B (b) Ba2 BB 01/09/10 3,043,125
22,000 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B NR NR 04/26/11 22,132,000
8,472 Wyndham International, Inc., Term Loan I (c) NR NR 06/30/06 8,417,209
12,937 Wyndham International, Inc., Term Loan II NR NR 04/01/06 12,903,024
------------------------------------------------------------------------------------------------------------------------------------
83,765,072
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 2.8% (1.5% OF TOTAL ASSETS)
18,058 Sealy Mattress Company, Term Loan (c) B2 B+ 04/06/12 18,355,244
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.4% (0.7% OF TOTAL ASSETS)
8,960 Prestige Brands, Inc., Term Loan B B1 B 04/06/11 9,111,200
------------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 4.3% (2.3% OF TOTAL ASSETS)
28,000 Conseco, Inc., Term Loan (c) B3 BB- 06/22/10 28,428,750
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.4% (0.7% OF TOTAL ASSETS)
4,742 Mueller Group, Inc., Term Loan B2 B+ 04/25/11 4,791,340
2,451 Terex Corporation, Term Loan B B1 BB- 07/03/09 2,484,527
1,988 Terex Corporation, Incremental Term Loan C B1 BB- 12/31/09 2,018,857
------------------------------------------------------------------------------------------------------------------------------------
9,294,724
------------------------------------------------------------------------------------------------------------------------------------
18
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
MARINE - 2.2% (1.2% OF TOTAL ASSETS)
$ 8,750 American Commercial Lines, Term Loan B (b) NR NR 06/30/06 $8,505,000
1,250 American Commercial Lines, Term Loan C (b) NR NR 06/30/07 1,215,000
5,000 Horizon Lines, LLC, Term Loan B2 B+ 07/11/11 5,092,188
------------------------------------------------------------------------------------------------------------------------------------
14,812,188
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 25.3% (13.4% OF TOTAL ASSETS)
1,995 American Media Operations, Inc., Term Loan C Ba3 B+ 04/01/07 2,027,886
17,000 Century Cable Holdings, LLC, Discretionary Term Loan (a)(c) NR NR 12/31/09 16,405,000
7,000 Century Cable Holdings, LLC, Revolver (a)(c) NR NR 10/25/10 6,685,000
2,000 Century Cable Holdings, LLC, Term Loan B (a) NR NR 06/30/09 1,938,541
5,000 Charter Communications Operating, LLC, Term Loan A B2 B 04/27/10 4,881,598
22,000 Charter Communications Operating, LLC, Term Loan B B2 B 04/07/11 21,729,125
4,929 Dex Media East, LLC, Term Loan B Ba2 BB- 11/10/08 5,012,236
1,930 Dex Media East, LLC, Term Loan A Ba2 BB- 11/08/08 1,954,472
10,797 Dex Media West, LLC, Term Loan B Ba2 BB- 03/09/10 11,011,309
6,382 Dex Media West, LLC, Term Loan A (c) Ba2 BB- 09/09/09 6,472,909
19,000 Emmis Operating Company, Term Loan Ba2 B+ 11/10/11 19,230,081
22,000 Loews Cineplex Entertainment Corporation, Term Loan B (b) B1 B 06/30/11 22,242,000
26,791 Regal Cinemas Corporation, Term Loan B Ba3 BB- 11/10/10 27,142,993
20,953 WMG Acquisition Corp., Term Loan B1 NR 02/27/11 21,281,758
------------------------------------------------------------------------------------------------------------------------------------
168,014,908
------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 3.1% (1.6% OF TOTAL ASSETS)
1,995 Amsted Industries Incorporated, Term Loan B B1 BB- 10/15/10 2,042,343
12,500 Foundation PA Coal Company, Term Loan (b) Ba3 BB- 07/30/11 12,643,750
2,750 Ispat Sidbec Inc., Term Loan B NR B- 01/15/06 2,736,980
3,208 Ispat Sidbec Inc., Term Loan C NR B- 01/15/06 3,193,722
------------------------------------------------------------------------------------------------------------------------------------
20,616,795
------------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 3.5% (1.8% OF TOTAL ASSETS)
17,966 Laidlaw Inc., Term Loan B-1 (c) Ba3 BB+ 06/19/09 18,313,870
4,899 National Equipment Services, Inc., Term Loan A NR NR 02/17/10 4,850,060
------------------------------------------------------------------------------------------------------------------------------------
23,163,930
------------------------------------------------------------------------------------------------------------------------------------
Total Variable Rate Senior Loan Interests (cost $769,209,889) 772,238,086
--------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 27.3% (14.3% OF TOTAL ASSETS)
AUTO COMPONENTS - 1.3% (0.7% OF TOTAL ASSETS)
8,000 Tenneco Automotive Inc., Series B, 11.625% B3 B- 10/15/09 8,620,000
------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES - 0.8% (0.4% OF TOTAL ASSETS)
5,000 Allied Waste North America, Inc., Series B, 7.625% Ba3 BB- 01/01/06 5,237,500
------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING - 0.8% (0.4% OF TOTAL ASSETS)
5,000 Beazer Homes USA, 8.375% Ba1 BB 04/15/12 5,375,000
------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS - 1.7% (0.9% OF TOTAL ASSETS)
2,000 K. Hovnanian Enterprises, 10.500% Ba2 BB 10/01/07 2,345,000
8,000 K. Hovnanian Enterprises, 8.000% Ba2 BB 04/01/12 8,640,000
------------------------------------------------------------------------------------------------------------------------------------
10,985,000
------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 0.2% (0.1% OF TOTAL ASSETS)
1,000 Smurfit Capital Funding Corporation, 6.750% (b) B1 BB- 11/20/05 1,037,500
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.0% (1.6% OF TOTAL ASSETS)
20,025 US West Communications Inc., 7.200% Ba3 BB- 11/01/04 20,325,375
------------------------------------------------------------------------------------------------------------------------------------
19
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS July 31, 2004
RATINGS*
-----------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 2.9% (1.5% OF TOTAL ASSETS)
$ 1,000 Dean Foods Company, 6.750% (b) Ba2 BB- 06/15/05 $ 1,032,500
5,000 Del Monte Corporation, Series B, 9.250% B2 B 05/15/11 5,475,000
10,000 Dole Foods Co., 8.875% B2 B+ 03/15/11 10,625,000
2,000 Dole Foods Co., 8.625% B2 B+ 05/01/09 2,110,000
------------------------------------------------------------------------------------------------------------------------------------
19,242,500
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 6.8% (3.7% OF TOTAL ASSETS)
9,505 Aztar Corporation, 9.000% Ba3 B+ 08/15/11 10,443,620
11,330 Harrahs Entertainment, 7.875% Ba1 BB+ 12/15/05 11,995,638
1,110 Intrawest Corp., 10.500% B1 B+ 02/01/10 1,204,350
5,425 MGM Mirage Inc., 9.750% Ba2 BB- 06/01/07 5,987,843
2,000 MGM Grand, 7.250% Ba1 BB+ 10/15/06 2,110,000
2,000 Park Place Entertainment, 7.875% Ba2 BB- 12/15/05 2,115,000
9,000 Park Place Entertainment, 9.375% Ba2 BB- 02/15/07 9,888,750
2,000 Park Place Entertainment, 8.500% Ba1 BB+ 11/15/06 2,185,000
------------------------------------------------------------------------------------------------------------------------------------
45,930,201
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 2.0% (1.0% OF TOTAL ASSETS)
5,000 KB Home, 7.750% Ba2 BB- 02/01/10 5,250,000
4,000 Schuler Homes Inc., 9.375% Ba1 BB+ 07/15/09 4,420,000
3,000 Standard Pacific Corporation, 9.500% Ba2 BB 09/15/10 3,300,000
------------------------------------------------------------------------------------------------------------------------------------
12,970,000
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 2.2% (1.1% OF TOTAL ASSETS)
13,400 Navistar International, Series B, 9.375% Ba3 BB- 06/01/06 14,472,000
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 2.7% (1.4% OF TOTAL ASSETS)
17,000 Echostar DBS Corporation, 10.375% Ba3 BB- 10/01/07 18,105,000
------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS - 1.3% (0.7% OF TOTAL ASSETS)
8,000 Chesapeake Energy Corp., 8.375% (c) Ba3 BB- 11/01/08 8,780,000
------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 1.6% (0.8% OF TOTAL ASSETS)
5,000 Georgia Pacific, 8.125% Ba3 BB+ 05/15/11 5,637,500
4,000 Georgia Pacific, 9.375% Ba2 BB+ 02/01/13 4,660,000
------------------------------------------------------------------------------------------------------------------------------------
10,297,500
------------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds (cost $182,733,848) 181,377,576
--------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 43.8% (23.1% OF TOTAL ASSETS)
U.S. TREASURY BILLS - 0.5% (0.2% OF TOTAL ASSETS)
1,000 U.S. Treasury Bill, 1.540% Aaa AAA 10/28/04 997,214
2,000 U.S. Treasury Bill, 1.520% Aaa AAA 11/04/04 1,993,377
------------------------------------------------------------------------------------------------------------------------------------
20
PRINCIPAL MARKET
AMOUNT (000) DESCRIPTION(1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 43.3% (22.9% OF TOTAL ASSETS)
$ 71,630 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $71,637,744, $ 71,630,283
collateralized by $73,525,000 U.S. Treasury Bonds, 0.000%, due 12/16/04, value $73,065,469
120,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $120,012,500, 120,000,000
collateralized by $123,025,000 U.S. Treasury Bonds, 0.000%, due 11/18/04, value $122,409,875
48,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $48,005,000, 48,000,000
collateralized by $49,290,000 U.S. Treasury Notes, 0.000%, due 12/23/04, value $48,969,615
48,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $48,005,000, 48,000,000
collateralized by $44,060,000 U.S. Treasury Notes, 6.125%, due 8/15/07, value $48,961,675
------------------------------------------------------------------------------------------------------------------------------------
$ 287,630 Total Short-Term Investments (cost $290,620,874) 290,620,874
============= --------------------------------------------------------------------------------------------------------------------
Total Investments (cost $1,242,564,611) - 187.5% (98.7% of total assets) 1,244,236,536
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - (27.2%) (180,627,168)
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (60.3%) (400,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $663,609,368
====================================================================================================================
SELECT AGGREGATE MARKET INDEX ("SAMI")
The Fund held the following SAMI at July 31, 2004:
NOTIONAL TERMINATION UNREALIZED
COUNTERPARTY AMOUNT FIXED RATE DATE APPRECIATION
------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston $32,200,000 2.300% 3/20/09 $6,801
====================================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically adjusted by
reference to a base short-term, floating lending rate
plus a premium. These base lending rates are generally
(i) the lending rate offered by one or more major
European banks, such as the London Inter-Bank Offered
Rate ("LIBOR"), (ii) the prime rate offered by one or
more major United States banks, or (iii) the
certificate of deposit rate.
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.
NR Not rated.
* Ratings below Baa by Moody's Investor Service, Inc. or
BBB by Standard & Poor's Group are considered to be
below investment grade. Ratings are not covered by the
Report of Independent Registered Public Accounting
Firm.
** Senior Loans in the Fund's portfolio generally are
subject to mandatory and/or optional prepayment.
Because of these mandatory prepayment conditions and
because there may be significant economic incentives
for a Borrower to prepay, prepayments of Senior Loans
in the Fund's portfolio may occur. As a result, the
actual remaining maturity of Senior Loans held in the
Fund's portfolio may be substantially less than the
stated maturities shown. The Fund estimates that the
actual average maturity of the Senior Loans held in its
portfolio will be approximately 18-24 months.
(a) At or subsequent to July 31, 2004, this issue was under
the protection of the federal bankruptcy court.
(b) Purchased on a when-issued or delayed delivery basis.
(c) Portion purchased on a when-issue or delayed delivery
basis.
See accompanying notes to financial statements.
21
Nuveen Floating Rate Income Opportunity Fund (JRO)
Portfolio of
INVESTMENTS July 31, 2004
PRINCIPAL MARKET
AMOUNT (000) DESCRIPTION(1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 100.2%
$ 10 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $10,276, $ 10,275
collateralized by $10,000 U.S. Treasury Bonds, 6.250%, due 8/15/23, value $11,438
48,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $48,005,000, 48,000,000
collateralized by $46,160,000 U.S. Treasury Notes, 4.875%, due 2/15/12, value $48,960,527
48,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $48,005,000, 48,000,000
collateralized by $49,770,000 U.S. Treasury Notes, 3.250%, due 1/15/09, value $48,961,238
24,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $24,002,500, 24,000,000
collateralized by $23,795,000 U.S. Treasury Notes, 6.000%, due 8/15/04, value $24,483,270
24,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $24,002,500, 24,000,000
collateralized by $19,475,000 U.S. Treasury Bonds, 7.500%, due 11/15/16, value $24,484,126
24,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $24,002,500, 24,000,000
collateralized by $24,330,000 U.S. Treasury Notes, 0.000%, due 9/30/04, value $24,482,063
48,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $48,005,000, 48,000,000
collateralized by $48,360,000 U.S. Treasury Notes, 3.875%, due 5/15/09, value $48,964,500
72,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $72,007,500, 72,000,000
collateralized by $73,260,000 U.S. Treasury Notes, 2.375%, due 8/15/06, value $73,443,150
96,000 State Street Bank, 1.250%, dated 7/30/04, due 8/02/04, repurchase price $96,010,000, 96,000,000
collateralized by $95,540,000 U.S. Treasury Notes, 5.875%, due 11/15/04, value $97,928,500
------------------------------------------------------------------------------------------------------------------------------------
$ 384,010 Total Repurchase Agreements (cost $384,010,275) 384,010,275
============= --------------------------------------------------------------------------------------------------------------------
Other Assets less Liabilities - (0.2%) (797,840)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $383,212,435
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common Shares.
See accompanying notes to financial statements.
22
Statement of
ASSETS AND LIABILITIES July 31, 2004
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $400,515,914, $954,934,328
and $--, respectively) $395,685,906 $ 956,606,253 $ --
Repurchase agreements (at cost, which approximates
market value, respectively) 10,630,086 287,630,283 384,010,275
SAMI, net unrealized appreciation -- 6,801 --
Receivables:
Interest 2,443,203 6,211,528 26,667
Investments sold 5,000 9,318,442 --
Other assets 77,531 274,949 --
------------------------------------------------------------------------------------------------------------------------------------
Total assets 408,841,726 1,260,048,256 384,036,942
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Borrowings payable 103,000,000 -- --
Payable for investments purchased 8,101,150 195,318,410 --
Accrued expenses:
Management fees 135,651 464,313 41
Organization and offering costs -- 321,875 815,500
Other 308,365 251,273 8,966
Preferred share dividends payable 18,145 83,017 --
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 111,563,311 196,438,888 824,507
------------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 46,000,000 400,000,000 --
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $251,278,415 $ 663,609,368 $383,212,435
====================================================================================================================================
Common shares outstanding 29,782,202 47,175,710 26,807,000
====================================================================================================================================
Net asset value per Common share outstanding (net assets applicable
to Common shares, divided by Common shares outstanding) $ 8.44 $ 14.07 $ 14.30
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 297,822 $ 471,757 $ 268,070
Paid-in surplus 282,876,896 665,528,349 382,938,205
Undistributed (Over-distribution of) net investment income 2,947,762 (3,958,356) 6,160
Accumulated net realized gain (loss) from investments (30,014,057) (111,108) --
Net unrealized appreciation (depreciation) of investments (4,830,008) 1,671,925 --
Net unrealized appreciation of SAMI -- 6,801 --
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $251,278,415 $ 663,609,368 $383,212,435
====================================================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
23
Statement of
OPERATIONS Year Ended July 31, 2004
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR)* (JRO)**
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $21,127,482 $8,036,211 $26,667
Dividends 353,552 -- --
Fees 1,267,840 434,335 --
------------------------------------------------------------------------------------------------------------------------------------
Total investment income 22,748,874 8,470,546 26,667
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 3,337,507 2,505,311 17,837
Preferred shares - auction fees 111,492 196,721 --
Preferred shares - dividend disbursing agent fees 6,017 4,636 --
Shareholders' servicing agent fees and expenses 6,313 1,381 25
Interest expense 1,168,042 -- --
Commitment fees 339,729 -- --
Custodian's fees and expenses 147,245 131,788 837
Trustees' fees and expenses 6,791 11,248 107
Professional fees 188,396 74,596 5,000
Shareholders' reports - printing and mailing expenses 47,345 49,913 2,617
Stock exchange listing fees 13,607 -- --
Investor relations expense 29,610 45,820 280
Other expenses 34,353 1,700 99
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense waivers 5,436,447 3,023,114 26,802
Custodian fee credit (1,451) (3,029) --
Expense waivers from the Adviser (1,767,703) (956,524) (6,295)
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 3,667,293 2,063,561 20,507
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 19,081,581 6,406,985 6,160
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain (loss) from investments (2,007,822) 71,956 --
Change in net unrealized appreciation (depreciation) of investments 16,691,236 1,671,925 --
Change in net unrealized appreciation (depreciation) of SAMI -- 6,801 --
------------------------------------------------------------------------------------------------------------------------------------
Net gain from Investments 14,683,414 1,750,682 --
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (538,267) (1,145,857) --
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable to Common shares from operations $33,226,728 $7,011,810 $ 6,160
====================================================================================================================================
* For the period March 25, 2004 (commencement of operations) through July 31,
2004.
** For the period July 27, 2004 (commencement of operations) through July 31,
2004.
See accompanying notes to financial statements.
24
Statement of
CHANGES IN NET ASSETS
FLOATING RATE FLOATING RATE
SENIOR INCOME (NSL) INCOME (JFR) INCOME OPPORTUNITY (JRO)
------------------------------ --------------- ------------------------
FOR THE PERIOD FOR THE PERIOD
3/25/04 7/27/04
(COMMENCEMENT (COMMENCEMENT
YEAR ENDED YEAR ENDED OF OPERATIONS) OF OPERATIONS)
7/31/04 7/31/03 THROUGH 7/31/04 THROUGH 7/31/04
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 19,081,581 $ 18,134,957 $ 6,406,985 $ 6,160
Net realized gain (loss) from investments (2,007,822) (4,858,554) 71,956 --
Change in net unrealized appreciation
(depreciation) of investments 16,691,236 16,930,021 1,671,925 --
Change in net unrealized appreciation
(depreciation) of SAMI -- -- 6,801 --
Distributions to Preferred Shareholders
from net investment income (538,267) (664,859) (1,145,857) --
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable to
Common shares from operations 33,226,728 29,541,565 7,011,810 6,160
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (15,362,547) (15,887,301) (9,402,550) --
From tax return of capital -- -- (148,613) --
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable
to Common shares from distributions
to Common shareholders (15,362,547) (15,887,301) (9,551,163) --
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common shares:
Net proceeds from sale of shares -- -- 674,209,761 383,106,000
Net proceeds from shares
issued to shareholders due to
reinvestment of distributions 194,711 106,705 263,685 --
Preferred shares offering costs -- -- (8,425,000) --
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable
to Common shares from
capital transactions 194,711 106,705 666,048,446 383,106,000
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable
to Common shares 18,058,892 13,760,969 663,509,093 383,112,160
Net assets applicable to Common shares
at the beginning of period 233,219,523 219,458,554 100,275 100,275
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares
at the end of period $251,278,415 $233,219,523 $663,609,368 $383,212,435
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income
at the end of period $ 2,947,762 $ 730,509 $ (3,958,356) $ 6,160
====================================================================================================================================
See accompanying notes to financial statements.
25
Statement of
CASH FLOWS
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
------------- -------------- ---------------
FOR THE PERIOD FOR THE PERIOD
3/25/04 7/27/04
(COMMENCEMENT (COMMENCEMENT
OF OPERATIONS) OF OPERATIONS)
YEAR ENDED THROUGH THROUGH
7/31/04 7/31/04 7/31/04
------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHARES FROM OPERATIONS $ 33,226,728 $ 7,011,810 $ 6,160
Adjustments to Reconcile the Net Increase in Net Assets Applicable to
Common Shares from Operations to Net Cash provided by (used in)
Operating Activities:
Purchase of investment securities (372,376,178) (1,026,531,964) --
Proceeds from (purchases of) short-term investment securities, net 17,040,475 (290,620,874) (384,010,275)
Proceeds from disposition of investment securities 339,598,532 73,875,014 --
Accretion/Amortization of discounts and premiums, net (660,050) 609,641 --
Increase in interest receivable (230,059) (6,211,528) (26,667)
(Increase) Decrease in receivable from investments sold 6,218,784 (9,318,442) --
Decrease in other assets 14,782 (274,949) --
Increase in payable for investments purchased 8,101,150 195,318,410
Increase in management fees payable 6,081 464,313 41
Increase in Preferred share dividends payable 8,899 83,017 --
Increase (Decrease) in other liabilities (131,421) 251,273 8,966
Change in net unrealized appreciation (depreciation) of investments (16,691,236) (1,671,925) --
Change in net unrealized appreciation (depreciation) of SAMI -- (6,801) --
Net realized (gain) loss from investments 2,007,822 (71,956) --
Net realized (gain) loss from paydowns (966,474) 175,528
------------------------------------------------------------------------------------------------------------------------------------
Net cash provided by (used in) operating activities 15,167,836 (1,056,919,433) (384,021,775)
------------------------------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Common shares:
Net proceeds from sale of shares -- 674,209,761 383,106,000
Cash distributions paid to Common shareholders (15,167,836) (9,287,478) --
Organization and offering costs payable -- 321,875 815,500
Net proceeds from sale of Preferred shares -- 391,575,000 --
-----------------------------------------------------------------------------------------------------------------------------------
Net cash provided by (used in) financing activities (15,167,836) 1,056,819,158 383,921,500
-----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN CASH -- (100,275) (100,275)
Cash at the beginning of period -- 100,275 100,275
-----------------------------------------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ -- $ -- $ --
====================================================================================================================================
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid by Senior Income (NSL) for interest on bank borrowings during the
fiscal year ended July 31, 2004, was $1,187,986.
Noncash financing activities not included herein consist of reinvestments
of distributions of $194,711 and $263,685 for Senior Income (NSL) and
Floating Rate Income (JFR), respectively.
See accompanying notes to financial statements.
26
Notes to
FINANCIAL STATEMENTS
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The Funds covered in this report and their corresponding Common share New York
Stock Exchange symbols are Nuveen Senior Income Fund (NSL), Nuveen Floating Rate
Income Fund (JFR) and Nuveen Floating Rate Income Opportunity Fund (JRO). The
Funds are registered under the Investment Company Act of 1940, as amended, as
closed-end management investment companies.
Prior to the commencement of operations of Floating Rate Income (JFR) and
Floating Rate Income Opportunity (JRO), each Fund had no operations other than
those related to organizational matters, the initial capital contribution of
$100,275 per Fund by Nuveen Institutional Advisory Corp. (the "Adviser"), a
wholly owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), the recording of
the organization expenses ($11,500 per Fund) and their reimbursement by Nuveen
Investments, LLC, also a wholly owned subsidiary of Nuveen. Since Floating Rate
Income Opportunity (JRO) commenced operations on July 27, 2004, the information
presented in the financial statements may not be reflective of the Funds' future
operating performance.
Each Fund seeks to provide a high level of current income by investing primarily
in senior loans whose interest rates float or adjust periodically based on a
benchmark interest rate index.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with U.S.
generally accepted accounting principles.
Investment Valuation
The prices of senior loans, bonds and other securities in the Funds' investment
portfolios, other than subordinated loans issued by middle market companies, are
generally provided by one or more independent pricing services approved by the
Funds' Board of Trustees. Floating Rate Income Opportunity (JRO) currently
expects that the independent pricing services will be unable to provide a market
based price for most of the privately negotiated subordinated loans issued by
middle market companies. The pricing services, with input from Symphony Asset
Management, LLC (" Symphony"), an indirect wholly owned subsidiary of Nuveen,
and the Adviser, will estimate the fair value for such subordinated loans,
subject to the supervision of Symphony and the Adviser. Floating Rate Income
Opportunity (JRO) may engage an independent appraiser to periodically provide an
independent determination of the value, or an opinion with respect to the
pricing services' value, of such loans. The pricing services typically value
exchange-listed securities at the last sale price on that day; and value senior
loans, bonds and other securities traded in the over-the-counter market at the
mean of the highest bona fide bid and lowest bona fide ask prices when current
quotations are readily available. The pricing services may value senior loans,
bonds and other securities for which current quotations are not readily
available at fair value using a wide range of market data and other information
and analysis, including the obligor's credit characteristics considered relevant
by such pricing service to determine valuations. The Board of Trustees of the
Funds has approved procedures which permit the Adviser to determine the fair
value of investments for which the applicable pricing service or services is not
providing a price, using market data and other factors such as the obligor's
credit characteristics, and to override the price provided by the independent
pricing service in certain limited circumstances. Short-term investments which
mature within 60 days are valued at amortized cost, which approximates market
value.
The senior and subordinated loans in which the Funds invest are not listed on an
organized exchange and the secondary market for such investments may be less
liquid relative to markets for other fixed income securities. Consequently, the
value of senior and subordinated loans, determined as described above, may
differ significantly from the value that would have been determined had there
been an active market for that loan.
Investment Transactions
Investment transactions are recorded on a trade date basis. Trade date for
senior and subordinated loans purchased in the "primary market" is considered
the date on which the loan allocations are determined. Trade date for senior and
subordinated loans purchased in the "secondary market" is the date on which the
transaction is entered into. Realized gains and losses from investment
transactions are determined on the specific identification method. Investments
purchased on a when-issued or delayed delivery basis may have extended
settlement periods. Any investments so purchased are subject to market
fluctuation during this period. The Funds maintain liquid assets with a current
value at least equal to the amount of the when-issued and delayed delivery
purchase commitments. At July 31, 2004, Senior Income (NSL) and Floating Rate
Income (JFR) had outstanding when-issued and delayed delivery purchase
commitments of $8,101,150 and $195,318,410, respectively. There were no such
outstanding purchase commitments in Floating Rate Income Opportunity (JRO).
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Interest income also includes paydown gains and losses on senior and
subordinated loans. Fee income consists
27
Notes to
FINANCIAL STATEMENTS (continued)
primarily of amendment fees. Amendment fees are earned as compensation for
evaluating and accepting changes to the original loan agreement and are
recognized when received.
Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund
intends to distribute all income and capital gains to shareholders and to
otherwise comply with the requirements of Subchapter M of the Internal Revenue
Code applicable to regulated investment companies. Therefore, no federal income
tax provision is required.
Dividends and Distributions to Common Shareholders
The Funds intend to declare monthly income distributions to Common shareholders.
Net realized capital gains from investment transactions, if any, are distributed
to shareholders not less frequently than annually. Furthermore, capital gains
are distributed only to the extent they exceed available capital loss
carryforwards.
Distributions to Common shareholders are recorded on the ex-dividend date. The
amount and timing of distributions are determined in accordance with federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles.
Preferred Shares
Senior Income (NSL) has issued and outstanding 1,840 shares of Series Th,
$25,000 stated value Taxable Auctioned Preferred shares as a means of effecting
financial leverage. The dividend rate paid on the Taxable Auctioned Preferred
shares may change every 28 days, as set pursuant to a dutch auction process by
the auction agent, and is payable at or near the end of each rate period. Senior
Income (NSL)has also affected financial leverage by borrowing, as described in
footnote 8 below.
Effective May 21, 2004, Floating Rate Income (JFR) issued 4,000 shares of each
Series M, T, W and F, $25,000 stated value FundPreferred shares as a means of
effecting financial leverage. The dividend rate may change every seven days, as
set pursuant to a dutch auction process by the auction agent, and is payable at
or near the end of each rate period.
Select Aggregate Market Index
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) may invest
in Select Aggregate Market Indexes ("SAMI") to synthetically increase their
exposure to the senior secured loan market during a period when the Funds
otherwise would have excess uninvested cash. The SAMI is designed to replicate
the performance and risk of the CSFB Leveraged Loan Index. An investment in a
SAMI, when combined with short-term high-grade investments such as repurchase
agreements related to U.S. government securities in an amount equal to the
notional amount of the SAMI, is designed to provide an aggregate return
equivalent to an investment in a basket of senior secured bank loan debt
("Reference Obligations"), less certain costs.
Upon entering into a SAMI, the Funds may pay the counterparty a premium based on
the notional amount. The premium, if any, will be amortized over the life of the
SAMI and recorded in other assets in the Statement of Assets and Liabilities.
The Funds will receive from the counterparty a fixed-rate interest payment based
on the notional amount of the contract. In exchange for the interest payment,
the Funds protect the counterparty from the risk of loss at the time of a credit
event, such as a bankruptcy or default, affecting any of the Reference
Obligations. Interest is recorded on an accrual basis and included in the
Statement of Operations. The Funds are required to provide collateral to the
counterparty based on a percentage of the notional amount of the SAMI and has
instructed the custodian to segregate liquid assets with a current value at
least equal to the remaining notional amount of the SAMI. The SAMI is valued
daily and any change in value is recorded in "Change in net unrealized
appreciation (depreciation) of SAMI" in the Statement of Operations. Although
there are economic advantages of entering into SAMI transactions, there are also
additional risks, including but not limited to senior loan credit risk and the
inability of the counterparty to meet its interest payment obligations. Floating
Rate Income Opportunity (JRO) did not invest in a SAMI during the period ended
July 31, 2004.
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Funds'
policy that its custodian take possession of the underlying collateral
securities, the fair value of which exceeds the principal amount of the
repurchase transaction, including accrued interest, at all times. If the seller
defaults, and the fair value of the collateral declines, realization of the
collateral may be delayed or limited.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on the Funds' cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
28
Organization and Offering Costs
Nuveen Investments, LLC has agreed to reimburse all organization expenses
(approximately $11,500 per Fund) and pay all Common share offering costs (other
than the sales load) that exceed $.03 per Common share for Floating Rate Income
(JFR) and Floating Rate Income Opportunity (JRO). Floating Rate Income's (JFR)
and Floating Rate Income Opportunity's (JRO) share of Common share offering
costs ($1,213,989 and $804,000, respectively) were recorded as reductions of the
proceeds from the sale of Common shares.
Costs incurred by Floating Rate Income (JFR) in connection with its offering of
FundPreferred shares ($8,425,000) were recorded as a reduction to paid-in
surplus.
Indemnifications
Under the Funds' organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Funds. In addition, in the normal course of business, the Funds
enter into contracts that provide general indemnifications to other parties. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds have not had prior claims or losses pursuant to
these contracts and expect the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets applicable to Common shares from operations during the
reporting period. Actual results may differ from those estimates.
2. FUND SHARES
Transactions in Common and Preferred shares were as follows:
FLOATING RATE FLOATING RATE
SENIOR INCOME (NSL) INCOME (JFR) INCOME OPPORTUNITY (JRO)
----------------------- --------------- ------------------------
FOR THE FOR THE
PERIOD 3/25/04 PERIOD 7/27/04
(COMMENCEMENT (COMMENCEMENT
YEAR ENDED YEAR ENDED OF OPERATIONS) OF OPERATIONS)
7/31/04 7/31/03 THROUGH 7/31/04 THROUGH 7/31/04
---------------------------------------------------------------------------------------------------------
Common shares:
Shares sold -- -- 47,150,000 26,800,000
Shares issued to
shareholders due to
reinvestment of
distributions 22,048 14,141 -- --
---------------------------------------------------------------------------------------------------------
22,048 14,141 47,150,000 26,800,000
---------------------------------------------------------------------------------------------------------
Preferred shares sold -- -- 16,000 --
=========================================================================================================
3. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments) during the
fiscal year ended July 31, 2004, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR)* (JRO)**
---------------------------------------------------------------------------------------------------------------------
Purchases $372,376,178 $1,026,531,964 $ --
Sales and maturities $339,598,532 73,875,014 $ --
=====================================================================================================================
* For the period March 25, 2004 (commencement of operations) through July 31,
2004.
** For the period July 27, 2004 (commencement of operations) through July 31,
2004.
29
Notes to
FINANCIAL STATEMENTS (continued)
4. INCOME TAX INFORMATION
The following information is presented on an income tax basis. Differences
between amounts for financial statement and federal income tax purposes are
primarily due to the treatment of paydown gains and losses on investments,
timing differences in recognizing certain gains and losses on investment
transactions and for Floating Rate Income (JFR) and Floating Rate Income
Opportunity (JRO) recognition of premium amortization.
At July 31, 2004, the cost of investments were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------
Cost of investments $411,162,750 $1,243,297,003 $384,010,275
=========================================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments
at July 31, 2004, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $ 6,487,397 $ 3,578,752 $ --
Depreciation (11,334,155) (2,639,219) --
---------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $ (4,846,758) $ 939,533 $ --
=========================================================================================================
The tax components of undistributed net ordinary income and net realized gains
at July 31, 2004, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------
Undistributed net ordinary income * $4,246,542 $-- $6,160
Undistributed net long-term capital gains -- -- --
=========================================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest and net short-term capital gains, if any.
The tax character of distributions paid during the fiscal year ended July 31,
2004, was designated for purposes of the dividends paid deduction as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
2004 (NSL) (JFR)** (JRO)***
------------------------------------------------------------------------------------------------------------
Distributions from net ordinary income * $15,890,967 $7,281,029 $ --
Distributions from net long-term capital gains -- -- --
Tax return of capital -- 148,613 --
============================================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest and net short-term capital gains, if any.
** For the period March 25, 2004 (commencement of operations) through July 31,
2004.
*** For the period July 27, 2004 (commencement of operations) through July 31,
2004.
30
For Senior Income (NSL) the tax character of distributions paid during the
fiscal year ended July 31, 2003, was designated for purposes of the dividends
paid deduction as follows:
SENIOR
INCOME
2003 (NSL)
--------------------------------------------------------------------------------
Distributions from net ordinary income * $16,734,378
Distributions from net long-term capital gains --
================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest and net short-term capital gains, if any.
At July 31, 2004, Senior Income (NSL) had an unused capital loss carryforwards
of $28,018,967 available to be applied against future capital gains, if any. If
not applied, $17,314,712 of the carryforward will expire in the year 2010 and
$10,704,255 will expire in 2011.
The following Funds elected to defer net realized losses from investments
incurred from November 1, 2003 through July 31, 2004 ("post-October losses") in
accordance with Federal income tax regulations. Post-October losses are treated
as having arisen on the first day of the following fiscal year.
FLOATING
SENIOR RATE
INCOME INCOME
(NSL) (JFR)
--------------------------------------------------------------------------------
$1,978,340 $69,696
================================================================================
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under Senior Income's (NSL) and Floating Rate Income Opportunity's (JRO)
investment management agreements with the Adviser, each Fund paid a .8500%
annual management fee rate through July 31, 2004, payable monthly, which were
based upon the average daily managed assets of each Fund. "Managed Assets" means
the average daily net assets of each Fund including net assets attributable to
leverage.
Under Floating Rate Income's (JFR) investment management agreement with the
Adviser, the Fund paid through July 31, 2004, an annual management fee, payable
monthly, at the rates set forth below, which were based upon the average daily
Managed Assets of the Fund as follows:
FLOATING RATE
INCOME
(JFR)
AVERAGE DAILY MANAGED ASSETS MANAGEMENT FEE RATE
--------------------------------------------------------------------------------
For the first $500 million .8500%
For the next $500 million .8250
For the next $500 million .8000
For the next $500 million .7750
For Managed Assets over $2 billion .7500
================================================================================
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Adviser has entered
into Sub-Advisory Agreements with Symphony, under which Symphony manages the
investment portfolio of the Funds. Symphony is compensated for its services to
the Funds from the management fee paid to the Adviser.
The Funds pay no compensation directly to those of its Trustees who are
affiliated with the Adviser or to its officers, all of whom receive remuneration
for their services to the Funds from the Adviser or its affiliates. The Board of
Trustees has adopted a deferred compensation plan for independent Trustees that
enables Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised Funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised Funds.
As approved by the Board of Trustees, a complex-wide management fee structure
has been adopted by all funds sponsored by the Adviser and its affiliates
effective August 1, 2004. This structure separates each fund's management fee
into two components - a complex-level component, based on the aggregate amount
of all fund assets managed by the Adviser and its affiliates, and a specific
fund-level component, based only on the amount of assets managed within each
individual fund. This pricing structure enables Nuveen fund shareholders to
benefit from growth in the assets within each individual fund as well as from
growth in the amount of complex-wide assets managed by the Adviser and its
affiliates. Under no circumstances will this pricing structure result in a fund
paying management fees at a rate higher than would otherwise have been
applicable had the complex-wide management fee structure not been implemented.
As a consequence of this new management fee structure, the funds' effective
management fees were reduced by approximately .004% starting August 1, 2004.
31
Notes to
FINANCIAL STATEMENTS (continued)
The complex-level fee schedule for all funds in the Nuveen fund complex is as
follows:
COMPLEX-LEVEL
COMPLEX-LEVEL ASSETS(1) FEE RATE
--------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion (2) .1400
================================================================================
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets (which includes assets
attributable to leverage used in the Nuveen fund complex) of all funds
sponsored by the Adviser or by its affiliates.
(2) With respect to the complex-wide Managed Assets over $91 billion, the funds
(via their Board of Directors/Trustees) and the Adviser intend that the
parties will meet, prior to the time when complex-wide Managed Assets reach
that level, to consider and negotiate the fee rate or rates that will apply
to such assets. The parties agree that, in the unlikely event that
complex-wide Managed Assets reach $91 billion prior to the parties reaching
an agreement as to the complex-level fee rate or rates to be applied to
Managed Assets in excess of $91 billion, the complex-level fee rate for
such complex-wide Managed Assets shall be .1400% until such time as the
parties agree to a different rate or rates.
For each of the Funds, the fund-level fee, which is additive to the
complex-level fee, is based upon the average daily Managed Assets of each Fund
as follows:
SENIOR INCOME (NSL)
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $1 billion .6500%
For the next $1 billion .6375
For the next $3 billion .6250
For the next $5 billion .6000
For Managed Assets over $10 billion .5750
================================================================================
FLOATING RATE INCOME (JFR)
FLOATING RATE INCOME OPPORTUNITY (JRO)
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $500 million .6500%
For the next $500 million .6250
For the next $500 million .6000
For the next $500 million .5750
For Managed Assets over $2 billion .5500
================================================================================
For the first ten years of Senior Income's (NSL) operations, the Adviser has
agreed to reimburse the Fund, as a percentage of average daily Managed Assets,
for fees and expenses in the amounts and for the time periods set forth below:
YEAR ENDING YEAR ENDING
OCTOBER 31, OCTOBER 31,
--------------------------------------------------------------------------------
1999* .45% 2005 .35%
2000 .45 2006 .25
2001 .45 2007 .15
2002 .45 2008 .10
2003 .45 2009 .05
2004 .45
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Senior Income (NSL) for any portion of
its fees and expenses beyond October 31, 2009.
32
For the first eight years of Floating Rate Income's (JFR) operations, the
Advisers have agreed to reimburse the Fund, as a percentage of average daily
Managed Assets, for fees and expenses in the amounts and for the time periods
set forth below:
YEAR ENDING YEAR ENDING
MARCH 31, MARCH 31,
--------------------------------------------------------------------------------
2004* .32% 2009 .32%
2005 .32 2010 .24
2006 .32 2011 .16
2007 .32 2012 .08
2008 .32
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income (JFR) for any
portion of its fees and expenses beyond March 31, 2012.
For the first eight years of Floating Rate Income Opportunity's (JRO)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily Managed Assets, for fees and expenses in the amounts and for the
time periods set forth below:
YEAR ENDING YEAR ENDING
JULY 31, JULY 31,
--------------------------------------------------------------------------------
2004* .30% 2009 .30%
2005 .30 2010 .22
2006 .30 2011 .14
2007 .30 2012 .07
2008 .30
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO)
for any portion of its fees and expenses beyond July 31, 2012.
6. COMMITMENTS
Pursuant to the terms of certain of the variable rate senior loan agreements,
the Funds may have unfunded senior loan commitments. The Funds 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. At July 31, 2004, Senior Income (NSL) had unfunded loan commitments
of $74,492 while Floating Rate Income (JFR) had $32,471 in unfunded loan
commitments. Floating Rate Income Opportunity (JRO) had no such unfunded loan
commitments outstanding at July 31, 2004.
7. SENIOR LOAN PARTICIPATION COMMITMENTS
With respect to the senior loans held in the Funds' portfolio, the Funds may: 1)
invest in assignments; 2) act as a participant in primary lending syndicates; or
3) invest in participations. If the Funds purchase a participation of a senior
loan interest, the Funds 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 Funds not only assume the credit risk of the
Borrower, but also that of the Selling Participant or other persons
interpositioned between the Funds and the Borrower.
Senior Income (NSL) had the following participation commitments outstanding at
July 31, 2004:
COUNTERPARTY COMMITMENT AMOUNT MARKET VALUE
--------------------------------------------------------------------------------
Bear, Stearns & Co., Inc. $2,000,000 $1,910,000
Bear, Stearns & Co., Inc. 2,000,000 $1,896,061
Bear, Stearns & Co., Inc. 1,911,865 $1,892,747
Morgan Stanley 1,640,000 $1,566,200
================================================================================
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had no
such participation commitments outstanding at July 31, 2004.
8. BORROWINGS
In accordance with Senior Income's (NSL) current investment policies, the Fund
may utilize financial leverage for investment purposes in an amount currently
anticipated to represent approximately 40% of the Fund's total assets, and in no
event exceeding 50% of the Fund's total assets.
Senior Income (NSL) has entered into a commercial paper program with Bank One's
conduit financing agency, Falcon Asset Securitization Corp. ("Falcon"), whose
sole purpose is the issuance of high grade commercial paper. Falcon uses the
proceeds to make advances to Senior Income (NSL) and to many other borrowers who
comprise Falcon's total borrowing base. For the fiscal year ended July 31, 2004,
the average daily balance of borrowings under the commercial paper program
agreement was $103 million with an average interest rate of 1.13%.
33
Notes to
FINANCIAL STATEMENTS (continued)
Senior Income (NSL) has also entered into a $110 million liquidity facility. If
the facility is utilized, interest on the borrowings would be charged a variable
interest rate. An unused commitment fee of .095% on 102% of the unused portion
of the $110 million facility is charged. There were no borrowings under the
revolving credit agreement during the fiscal year ended July 31, 2004.
9. SUBSEQUENT EVENTS
The following Funds declared Common share dividend distributions from their net
investment income which was paid on September 1, 2004, to shareholders of record
on August 15, 2004, as follows:
FLOATING
SENIOR RATE
INCOME INCOME
(NSL) (JFR)
--------------------------------------------------------------------------------
Dividend per share $.0430 $.0675
================================================================================
On August 20, 2004, Floating Rate Income Opportunity (JRO) issued an additional
1,000,000 Common shares in connection with a partial exercise by the
underwriters of their over allotment option.
Floating Rate Income Opportunity (JRO) declared a Common shares dividend
distribution of $.0760 per share from its net investment income which will be
paid on October 1, 2004, to shareholders of record on September 17, 2004.
On September 14, 2004, Floating Rate Income Opportunity (JRO) issued an
additional 553,100 Common shares in connection with a partial exercise by the
underwriters of their over allotment option.
On September 24, 2004, Floating Rate Income Opportunity (JRO) issued 3,200
$25,000 stated value Preferred shares of each Series M, Th and F.
34
Financial
HIGHLIGHTS
35
Financial
HIGHLIGHTS
Selected data for a Common share outstanding throughout each period:
Investment Operations
------------------------------------------------------------------
Distributions Distributions
from Net from
Beginning Net Investment Capital
Common Realized/ Income to Gains to
Share Net Unrealized Preferred Preferred
Net Asset Investment Investment Share- Share-
Value Income Gain (Loss) holders+ holders+ Total
======================================================================================================
SENIOR INCOME (NSL)
------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004 $ 7.84 $ .64 $ .50 $(.02) $ -- $1.12
2003 7.38 .60 .41 (.02) -- .99
2002 8.13 .68 (.71) (.04) -- (.07)
2001 9.47 1.09 (1.29) (.09) -- (.29)
2000(a) 9.55 .75 (.12) (.02) -- .61
FLOATING RATE
INCOME (JFR)
------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004(b) 14.33 .14 .04 (.02) -- .16
FLOATING RATE
INCOME OPPORTUNITY (JRO)
------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004(c) 14.33 -- -- -- -- --
======================================================================================================
Less Distributions Total Returns
-------------------------------------------- ---------------------
Based
Net Tax Offering on
Investment Capital Return of Costs Ending Common
Income to Gains to Capital to and Preferred Common Based Share
Common Common Common Share Share Ending on Net
Share- Share- Share- Underwriting Net Asset Market Market Asset
holders holders holders Total Discounts Value Value Value** Value**
====================================================================================================================================
SENIOR INCOME (NSL)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004 $ (.52) $ -- $ -- $ (.52) $ -- $ 8.44 $ 9.9100 24.50% 14.61%
2003 (.53) -- -- (.53) -- 7.84 8.4300 25.93 14.25
2002 (.68) -- -- (.68) -- 7.38 7.2000 (21.16) (.65)
2001 (1.03) (.02) -- (1.05) -- 8.13 9.9600 15.35 (3.30)
2000(a) (.66) -- -- (.66) (.03) 9.47 9.6250 3.21 6.20
FLOATING RATE
INCOME (JFR)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004(b) (.21) -- -- (.21) (.21) 14.07 14.8500 .40 (.39)
FLOATING RATE
INCOME OPPORTUNITY (JRO)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004(c) -- -- -- -- (.03) 14.30 15.0100 .07 (.21)
====================================================================================================================================
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------
Before Credit/Waiver After Credit/Waiver***
------------------------------ ------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Ending Expenses Income to Expenses Income to
Net to Average Average to Average Average
Assets Net Assets Net Assets Net Assets Net Assets
Applicable Applicable Applicable Applicable Applicable Portfolio
to Common to Common to Common to Common to Common Turnover
Shares (000) Shares++ Shares++ Shares++ Shares++ Rate
===========================================================================================================================
SENIOR INCOME (NSL)
---------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004 $251,278 2.23% 7.10% 1.50% 7.83% 91%
2003 233,220 2.66 7.57 1.90 8.33 80
2002 219,459 3.12 8.20 2.37 8.95 64
2001 241,641 4.32 11.74 3.62 12.44 52
2000(a) 280,479 3.81* 9.82* 3.21* 10.42* 40
FLOATING RATE
INCOME (JFR)
---------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004(b) 663,609 1.37* 2.46* .93* 2.90* 14
FLOATING RATE
INCOME OPPORTUNITY (JRO)
---------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004(c) 383,212 1.28* (.01)* .98* .29* 0
===========================================================================================================================
Preferred Stock at End of Year Borrowings at End of Year
---------------------------------------------------- ---------------------------------
Aggregate Liquidation Asset Aggregate Asset
Amount and Market Coverage Amount Coverage
Outstanding (000) Value Per Share Per Share Outstanding (000) Per $1,000
=============================================================================================================
SENIOR INCOME (NSL)
-------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004 $ 46,000 $25,000 $161,564 $103,000 $3,440
2003(d) 46,000 25,000 151,750 103,000 3,264
2002(d) 46,000 25,000 144,271 103,000 3,131
2001(d) 46,000 25,000 156,327 103,000 3,346
2000(a) 46,000 25,000 177,434 105,000 3,671
FLOATING RATE
INCOME (JFR)
-------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004(b) 400,000 25,000 66,476 -- --
FLOATING RATE
INCOME OPPORTUNITY (JRO)
-------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2004(c) -- -- -- -- --
=============================================================================================================
* Annualized.
** Total Investment Return on Market Value is the combination of reinvested
dividend income, reinvested capital gains distributions, if any, and
changes in stock price per share. Total Return on Common Share Net Asset
Value is the combination of reinvested dividend income at net asset value,
reinvested capital gains distributions at net asset value, if any, and
changes in Common net asset value per share. Total returns are not
annualized.
*** After custodian fee credit and expense waivers from the Adviser, where
applicable.
+ The amounts shown are based on Common share equivalents.
++ o Ratios do not reflect the effect of dividend payments to Preferred
shareholders.
o Income ratios reflect income earned on assets attributable to
Preferred shares.
o With respect to Senior Income (NSL), each ratio includes the effect of
the interest expense paid on bank borrowings as follows:
Ratio of Interest
Expense to Average
Net Assets Applicable to
Common Shares
------------------------
2004 .48%
2003 .74
2002 1.09
2001 2.19
2000(a) 2.04*
(a) For the period October 26, 1999 (commencement of operations) through July
31, 2000.
(b) For the period March 25, 2004 (commencement of operations) through July 31,
2004.
(c) For the period July 27, 2004 (commencement of operations) through July 31,
2004.
(d) Unaudited.
See accompanying notes to financial statements.
36-37 SPREAD
Board Members
AND 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
Members of the Funds. The number of board members of the Funds is currently set
at seven. None of the board members who are not "interested" persons of the
Funds has ever been a director or employee of, or consultant to, Nuveen or its
affiliates. The names and business addresses of the board members 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.
NUMBER OF
PORTFOLIOS IN
POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) FUND COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(2) DURING PAST 5 YEARS BOARD MEMBER
------------------------------------------------------------------------------------------------------------------------------------
BOARD MEMBER WHO IS AN INTERESTED PERSON OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Timothy R. Schwertfeger (1) Chairman of 1994 Chairman and Director (since 1996) of Nuveen Investments, 145
3/28/49 the Board Inc. and Nuveen Investments, LLC; Director (since 1992) and
333 W. Wacker Drive and Trustee Chairman (since 1996) of Nuveen Advisory Corp. and Nuveen
Chicago, IL 60606 Institutional Advisory Corp.; Chairman and Director (since
1997) of Nuveen Asset Management, Inc.; Director (since
1996) of Institutional Capital Corporation; Chairman and
Director (since 1999) of Rittenhouse Asset Management, Inc.;
Chairman of Nuveen Investments Advisers Inc. (since 2002).
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Robert P. Bremner Board member 1997 Private Investor and Management Consultant. 145
8/22/40
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown Board member 1993 Retired (1989) as Senior Vice President of The Northern 145
7/29/34 Trust Company; Director, Community Advisory Board for
333 W. Wacker Drive Highland Park and Highwood, United Way of the North
Chicago, IL 60606 Shore (since 2002).
------------------------------------------------------------------------------------------------------------------------------------
Jack B. Evans Board member 1999 President, The Hall-Perrine Foundation, a private philanthropic 145
10/22/48 corporation (since 1996); Director and Vice Chairman, United
333 W. Wacker Drive Fire & Casualty Company; formerly Director, Federal Reserve
Chicago, IL 60606 Bank of Chicago; formerly, President and Chief Operating
Officer, SCI Financial Group, Inc., a regional financial
services firm.
------------------------------------------------------------------------------------------------------------------------------------
William C. Hunter Board member 2004 Dean and Distinguished Professor of Finance, School of 145
3/16/48 Business at the University of Connecticut (since 2003);
333 W. Wacker Drive previously Senior Vice President and Director of Research
Chicago, IL 60606 at the Federal Reserve Bank of Chicago (1995-2003);
Director, Credit Research Center at Georgetown University;
Director of Xerox Corporation (since 2004).
38
NUMBER OF
PORTFOLIOS IN
POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) FUND COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(2) DURING PAST 5 YEARS BOARD MEMBER
------------------------------------------------------------------------------------------------------------------------------------
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
William J. Schneider Board member 1997 Senior Partner and Chief Operating Officer, Miller-Valentine 145
9/24/44 Group, Vice President, Miller-Valentine Realty, a construction
333 W. Wacker Drive company; Chair, Miami Valley Hospital; Chair, Dayton
Chicago, IL 60606 Development Coalition; formerly, Member, Community
Advisory Board, National City Bank, Dayton, Ohio and
Business Advisory Council, Cleveland Federal Reserve Bank.
------------------------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale Board member 1997 Executive Director, Gaylord and Dorothy Donnelley 145
12/29/47 Foundation (since 1994); prior thereto, Executive Director,
333 W. Wacker Drive Great Lakes Protection Fund (from 1990 to 1994)
Chicago, IL 60606
NUMBER OF
PORTFOLIOS
IN FUND
POSITION(S) YEAR FIRST COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Gifford R. Zimmerman Chief 1988 Managing Director (since 2002), Assistant Secretary and 145
9/9/56 Administrative Associate General Counsel, formerly, Vice President and
333 W. Wacker Drive Officer Assistant General Counsel of Nuveen Investments, LLC;
Chicago, IL 60606 Managing Director (since 2002), General Counsel and
Assistant Secretary, formerly, Vice President of Nuveen
Advisory Corp. and Nuveen Institutional Advisory Corp.;
Managing Director (since 2002), Assistant Secretary and
Associate General Counsel, formerly, Vice President (since
2000), of Nuveen Asset Management, Inc. Assistant
Secretary of Nuveen Investments, Inc. (since 1994); Assistant
Secretary of NWQ Investment Management Company, LLC
(since 2002); Vice President and Assistant Secretary of
Nuveen Investments Advisers Inc. (since 2002); Managing
Director, Associate General Counsel and Assistant Secretary
of Rittenhouse Asset Management, Inc. (since 2003);
Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Michael T. Atkinson Vice President 2000 Vice President (since 2002), formerly, Assistant Vice 145
2/3/66 and Assistant President (since 2000), previously, Associate of Nuveen
333 W. Wacker Drive Secretary Investments, LLC.
Chicago, IL 60606
39
Board Members
AND OFFICERS (CONTINUED)
NUMBER OF
PORTFOLIOS
IN FUND
POSITION(S) YEAR FIRST COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
Peter H. D'Arrigo Vice President 1999 Vice President of Nuveen Investments, LLC (since 1999), 145
11/28/67 and Treasurer prior thereto, Assistant Vice President (since 1997); Vice
333 W. Wacker Drive President and Treasurer of Nuveen Investments, Inc. (since
Chicago, IL 60606 1999); Vice President and Treasurer of Nuveen Advisory Corp.
and Nuveen Institutional Advisory Corp (since 1999); Vice
President and Treasurer of Nuveen Asset Management, Inc.
(since 2002) and of Nuveen Investments Advisers Inc. (since
2002); Assistant Treasurer of NWQ Investment Management
Company, LLC (since 2002); Vice President and Treasurer of
Nuveen Rittenhouse Asset Management, Inc. (since 2003);
Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Jessica R. Droeger Vice President 2000 Vice President (since 2002) and Assistant General Counsel 145
9/24/64 and Secretary (since 1998); formerly, Assistant Vice President (since 1998)
333 W. Wacker Drive of Nuveen Investments, LLC; Vice President (since 2002)
Chicago, IL 60606 and Assistant Secretary (since 1998), formerly Assistant
Vice President of Nuveen Advisory Corp. and Nuveen
Institutional Advisory Corp.
------------------------------------------------------------------------------------------------------------------------------------
Lorna C. Ferguson Vice President 1998 Managing Director (since 2004) formerly, Vice President of 145
10/24/45 Nuveen Investments, LLC; Managing Director (since 2004)
333 W. Wacker Drive formerly, Vice President (since 1998) of Nuveen Advisory
Chicago, IL 60606 Corp. and Nuveen Institutional Advisory Corp.
------------------------------------------------------------------------------------------------------------------------------------
William M. Fitzgerald Vice President 1995 Managing Director (since 2002) of Nuveen Investments, 145
3/2/64 LLC; Managing Director (since 2001), formerly Vice President
333 W. Wacker Drive of Nuveen Advisory Corp. and Nuveen Institutional Advisory
Chicago, IL 60606 Corp. (since 1995); Managing Director of Nuveen Asset
Management, Inc. (since 2001); Vice President of Nuveen
Investment Advisers Inc. (since 2002); Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Stephen D. Foy Vice President 1998 Vice President (since 1993) and Funds Controller (since 1998) 145
5/31/54 and Controller of Nuveen Investments, LLC and Vice President and Funds
333 W. Wacker Drive Controller (since 1998) of Nuveen Investments, Inc.;
Chicago, IL 60606 Certified Public Accountant.
40
NUMBER OF
PORTFOLIOS
IN FUND
POSITION(S) YEAR FIRST COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
David J. Lamb Vice President 2000 Vice President (since 2000) of Nuveen Investments, 145
3/22/63 LLC, previously Assistant Vice President (since 1999);
333 W. Wacker Drive prior thereto, Associate of Nuveen Investments, LLC;
Chicago, IL 60606 Certified Public Accountant.
------------------------------------------------------------------------------------------------------------------------------------
Tina M. Lazar Vice President 2002 Vice President (since 1999), previously, Assistant Vice 145
8/27/61 President (since 1993) of Nuveen Investments, LLC.
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Larry W. Martin Vice President 1988 Vice President, Assistant Secretary and Assistant General 145
7/27/51 and Assistant Counsel of Nuveen Investments, LLC; Vice President and
333 W. Wacker Drive Secretary Assistant Secretary of Nuveen Advisory Corp. and Nuveen
Chicago, IL 60606 Institutional Advisory Corp.; Assistant Secretary of Nuveen
Investments, Inc. and (since 1997) Nuveen Asset Management,
Inc.; Vice President (since 2000), Assistant Secretary and
Assistant General Counsel (since 1998) of Rittenhouse Asset
Management, Inc.; Vice President and Assistant Secretary of
Nuveen Investments Advisers Inc. (since 2002); Assistant
Secretary of NWQ Investment Management Company, LLC
(since 2002).
------------------------------------------------------------------------------------------------------------------------------------
Edward F. Neild, IV Vice President 1996 Managing Director (since 2002) of Nuveen Investments, LLC; 145
7/7/65 Managing Director (since 1997), formerly Vice President
333 W. Wacker Drive (since 1996) of Nuveen Advisory Corp. and Nuveen Institutional
Chicago, IL 60606 Advisory Corp.; Managing Director of Nuveen Asset Management,
Inc. (since 1999). Chartered Financial Analyst.
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the
Investment Company Act of 1940, because he is an officer and board member
of the Adviser.
(2) Board members serve an indefinite term until his/her successor is elected.
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.
(3) Officers serve one year terms through July 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.
41
Reinvest Automatically
EASILY AND CONVENIENTLY
SIDEBAR TEXT: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET
UP YOUR REINVESTMENT ACCOUNT.
NUVEEN CLOSED-END EXCHANGE-TRADED FUNDS
DIVIDEND REINVESTMENT PLAN
Your Nuveen Closed-End Exchange-Traded Fund allows you to conveniently reinvest
dividends and/or capital gains distributions in additional fund shares.
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of compounding.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
EASY AND CONVENIENT
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
HOW SHARES ARE PURCHASED
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
greater of the net asset value or 95% of the then-current market price. If the
shares are trading at less than net asset value, shares for your account will be
purchased on the open market. Dividends and distributions received to purchase
shares in the open market will normally be invested shortly after the dividend
payment date. No interest will be paid on dividends and distributions awaiting
reinvestment. Because the market price of the shares may increase before
purchases are completed, the average purchase price per share may exceed the
market price at the time of valuation, resulting in the acquisition of fewer
shares than if the dividend or distribution had been paid in shares issued by
the Fund. A pro rata portion of any applicable brokerage commissions on open
market purchases will be paid by Plan participants. These commissions usually
will be lower than those charged on individual transactions.
FLEXIBLE
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
42
Other Useful
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
Each Fund's quarterly portfolio of investments and information regarding how the
Funds voted proxies relating to portfolio securities held during the most recent
12-month period ended June 30, 2004, are available without charge, upon request,
by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website
at www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
Reference Section at 450 Fifth Street NW, Washington, D.C. 20549.
CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
On July 30, 2003, the Board of Trustees of the Nuveen Senior Income Fund (the
"Fund") approved Ernst & Young, LLP ("E&Y") as the independent registered public
accounting firm effective with the July 31, 2004 fiscal year-end audit. E&Y
currently serves as the independent registered public accounting firm for 109
other Nuveen closed-end exchange-traded funds. KPMG LLP ("KPMG"), served as the
independent registered public accounting firm of the Fund for the fiscal years
ended July 31, 2000 through July 31, 2003 and as of the latter date the Fund was
the only Nuveen Fund for which KPMG served as the independent registered public
accounting firm. The change from KPMG to E&Y was the result of the determination
by the Fund's Board that, based on a recommendation from the Fund's Audit
Committee, the use of E&Y would result in efficiencies for the Fund and the
Audit Committee. KPMG's report for the Fund's financial statements for the
fiscal year ended July 31, 2003, did not contain an adverse opinion or
disclaimer of opinion and was not qualified as to uncertainty, audit scope or
accounting principals. In addition, there had not been any disagreements with
KPMG on any matter of accounting principles or practices, financial statement
disclosure, or auditing scope or procedure which, if not resolved to the
satisfaction of KPMG, would have caused KPMG to make a reference to the subject
matter of the disagreement in connection with its reports.
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 (including change in NAV and reinvested dividends) that
would have been necessary on an annual basis to equal the investment's actual
performance over the time period being considered.
NET ASSET VALUE (NAV): A fund's NAV is calculated by subtracting the liabilities
of the fund from its total assets and then dividing the remainder by the number
of shares outstanding. Fund NAVs are calculated at the end of each business day.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
FUND MANAGER
Nuveen Institutional
Advisory Corp.
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust
Boston, MA
TRANSFER AGENT AND
SHAREHOLDER SERVICES
State Street Bank & Trust
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
LEGAL COUNSEL
Chapman and Cutler LLP
Chicago, IL
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Chicago, IL
Each Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the fiscal year ended July 31, 2004. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
43
Nuveen Investments:
SERVING Investors
For GENERATIONS
Photo of: 2 women looking at a photo album.
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past century,
Nuveen Investments has adhered to the belief that the best approach to investing
is to apply conservative risk-management principles to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity and
fixed-income solutions that are integral to a well-diversified core portfolio.
Our clients have come to appreciate this diversity, as well as our continued
adherence to proven, long-term investing principles.
WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS.
Managing $100 billion in assets, Nuveen Investments offers access to a number of
different asset classes and investing solutions through a variety of products.
Nuveen Investments markets its capabilities under four distinct brands: Nuveen,
a leader in tax-free investments; NWQ, a leader in value-style equities;
Rittenhouse, a leader in growth-style equities; and Symphony, a leading
institutional manager of market-neutral alternative investment portfolios.
FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS.
To learn more about the products and services Nuveen Investments offers, talk to
your financial advisor, or call us at (800) 257-8787. Please read the
information carefully before you invest.
Be sure to obtain a prospectus, where applicable. Investors should consider the
investment objective and policies, risk considerations, charges and expenses of
the Fund carefully before investing. The prospectus contains this and other
information relevant to an investment in the Fund. For a prospectus, please
contact your securities representative or Nuveen Investments, 333 W. Wacker Dr.,
Chicago, IL 60606. Please read the prospectus carefully before you invest or
send money.
Learn more
about Nuveen Funds at
WWW.NUVEEN.COM/ETF
o Share prices
o Fund details
o Daily financial news
o Investor education
o Interactive planning tools
Logo: NUVEEN Investments
EAN-C-0704D
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. The registrant has posted such code of
ethics on its website at www.nuveen.com/etf.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's board of directors determined that the registrant had 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
expert was William E. Bennett, who was "independent" for purposes of Item 3 of
Form N-CSR.
Although Mr. Bennett served as the audit committee financial expert during the
reporting period, he unexpectedly resigned from the Board effective April 30,
2004. Since that time, the Audit Committee determined that Jack B. Evans, the
Chairman of the Audit Committee, qualifies as an audit committee financial
expert and recommended to the full Board that he be designated as such. On July
26, 2004, the full Board voted to so designate Mr. Evans. Accordingly for this
reporting period, the registrant did not have a designated "audit committee
financial expert" from April 30, 2004 to July 26, 2004. Mr. Evans, who is
independent for purposes of Item 3 of Form N-CSR, served as the registrant's
audit committee financial expert from July 26, 2004 to the end of the reporting
period on July 31, 2004.
Mr. Bennett was formerly Executive Vice President and Chief Credit Officer of
First Chicago Corporation and its principal subsidiary, The First National Bank
of Chicago. As part of his role as Chief Credit Officer, Mr. Bennett set policy
as to accrual of assets/loans; designated performing/non-performing assets; set
the level of reserves against the credit portfolo; and determined the carrying
value of credit related assets and exposure. Among other things, Mr. Bennett was
also responsible for the oversight of the internal analysis function including
setting ground rules for the review and preparation of financial analysis and
financial statements for use in making credit and risk decisions for clients.
Mr. Bennett has significant experience reviewing, analyzing and evaluating
financial statements of domestic and international companies in a variety of
industries with complex accounting issues.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
NUVEEN FLOATING RATE INCOME FUND
The following tables show the amount of fees that Ernst & Young LLP, the Fund's
auditor, billed to the Fund during the Fund's last two full fiscal years. For
engagements with Ernst & Young LLP entered into on or after May 6, 2003, the
Audit Committee approved in advance all audit services and non-audit services
that 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 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
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES
FISCAL YEAR ENDED TO FUND BILLED TO FUND BILLED TO FUND BILLED TO FUND
------------------------------------------------------------------------------------------------------------------------------------
July 31, 2004 $ 20,000 $ 0 $ 0 $ 0
------------------------------------------------------------------------------------------------------------------------------------
Percentage approved N/A 0% 0% 0%
pursuant to
pre-approval
exception
------------------------------------------------------------------------------------------------------------------------------------
July 31, 2003 N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------------------
Percentage approved N/A 0% 0% 0%
pursuant to
pre-approval
exception
------------------------------------------------------------------------------------------------------------------------------------
The above "Tax Fees" were billed for professional services for tax advice, tax
compliance and tax planning.
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 Ernst & Young LLP to
Nuveen Institutional Advisory Corp. ("NIAC" or the "Adviser"), and any entity
controlling, controlled by or under common control with NIAC ("Control
Affiliate") that provides ongoing services to the Fund ("Affiliated Fund Service
Provider"), for engagements directly related to the Fund's operations and
financial reporting, during the Fund's last two full fiscal years.
The table also shows 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 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 TAX FEES BILLED TO ALL OTHER FEES
BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER
AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND
SERVICE PROVIDERS SERVICE PROVIDERS SERVICE PROVIDERS
------------------------------------------------------------------------------------------------------------------------------------
July 31, 2004 $ 0 $ 0 $ 0
------------------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
------------------------------------------------------------------------------------------------------------------------------------
July 31, 2003 $ 0 $ 0 $ 0
------------------------------------------------------------------------------------------------------------------------------------
Percentage approved N/A N/A N/A
pursuant to
pre-approval
exception
------------------------------------------------------------------------------------------------------------------------------------
NON-AUDIT SERVICES
The following table shows the amount of fees that Ernst & Young LLP billed
during the Fund's last two full fiscal years for non-audit services. For
engagements entered into on or after May 6, 2003, the Audit Committee is
required to pre-approve non-audit services that Ernst & Young LLP provides to
the Adviser and any Affiliated Fund Services Provider, if the engagement related
directly to the Fund's operations and financial reporting (except for those
subject to the de minimis exception described above). The Audit Committee
requested and received information from Ernst & Young LLP about any non-audit
services that 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 Ernst & Young LLP independence.
FISCAL YEAR ENDED TOTAL NON-AUDIT FEES
BILLED TO ADVISER AND
AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES
PROVIDERS (ENGAGEMENTS BILLED TO ADVISER AND
RELATED DIRECTLY TO THE AFFILIATED FUND SERVICE
TOTAL NON-AUDIT FEES OPERATIONS AND FINANCIAL PROVIDERS (ALL OTHER
BILLED TO FUND REPORTING OF THE FUND) ENGAGEMENTS) TOTAL
------------------------------------------------------------------------------------------------------------------------------------
July 31, 2004 $ 0 $ 0 $ 0 $ 0
July 31, 2003 N/A N/A N/A N/A
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.
Not applicable at this time.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable at this time.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
In the rare event that a municipal issuer held by the Fund were to issue a proxy
or that the Fund were to receive a proxy issued by a cash management security,
the Adviser would either engage an independent third party to determine how the
proxy should be voted or vote the proxy with the consent, or based on the
instructions, of the Fund's Board of Directors or Trustees or its
representative. In the case of a conflict of interest, the proxy would be
submitted to the applicable Fund's Board to determine how the proxy should be
voted. A member of the Adviser's legal department would oversee the
administration of the voting, and ensure that records were maintained in
accordance with Rule 204-2(c)(2) under the Investment Advisers Act of 1940 (17
CFR 275.204-2(c)(2)), reports were filed with the SEC on Form N-PX, and the
results were provided to the Board of Directors or Trustees and made available
to shareholders as required by applicable rules.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to this registrant.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
In the event of a vacancy on the Board, the nominating and governance committee
receives suggestions from various sources, including shareholders, as to
suitable candidates. Suggestions should be sent in writing to Lorna Ferguson,
Vice President for Board Relations, Nuveen Investments, 333 West Wacker Drive,
Chicago, IL 60606. The nominating and governance committee sets appropriate
standards and requirements for nominations for new directors and reserves the
right to interview all candidates and to make the final selection of any new
directors.
ITEM 10. 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 registrant's last
fiscal half-year (the registrant's second fiscal half-year in the case
of an annual report) that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(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 posted on registrant's website at www.nuveen.com/etf.
(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
at this time.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Floating Rate Income Fund
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By (Signature and Title)* /s/ Jessica R. Droeger
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Jessica R. Droeger
Vice President and Secretary
Date: October 8, 2004
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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
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Gifford R. Zimmerman
Chief Administrative Officer
(Principal Executive Officer)
Date: October 8, 2004
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By (Signature and Title)* /s/ Stephen D. Foy
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Stephen D. Foy
Vice President and Controller
(Principal Financial Officer)
Date: October 8, 2004
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* Print the name and title of each signing officer under his or her signature.