UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number		811-21333

Nuveen Credit Strategies Income Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

 

(Address of principal executive offices)  (Zip code)

Gifford R. Zimmerman

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

 

(Name and address of agent for service)

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

Date of fiscal year end:   July 31                       

Date of reporting period:   January 31, 2017                    

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

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

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ITEM 1. REPORTS TO STOCKHOLDERS.

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Closed-End Funds

 

		Nuveen
		Closed-End Funds

 

 

 

 

						Semi-Annual Report  January 31, 2017
NSL
Nuveen Senior Income Fund
JFR
Nuveen Floating Rate Income Fund
JRO
Nuveen Floating Rate Income Opportunity Fund
JSD
Nuveen Short Duration Credit Opportunities Fund
JQC
Nuveen Credit Strategies Income Fund

 

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Life is Complex

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Table

of Contents

 

Chairman’s Letter to Shareholders			4
Portfolio Managers’ Comments			5
Fund Leverage			8
Common Share Information			10
Risk Considerations			12
Performance Overview and Holding Summaries			14
Portfolios of Investments			24
Statement of Assets and Liabilities			75
Statement of Operations			76
Statement of Changes in Net Assets			77
Statement of Cash Flows			80
Financial Highlights			82
Notes to Financial Statements			90
Additional Fund Information			107
Glossary of Terms Used in this Report			108
Reinvest Automatically, Easily and Conveniently			109

 

NUVEEN			3

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Chairman’s Letter

to Shareholders

 

 

	4			NUVEEN

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Portfolio Managers’

Comments

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

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

Here the team discusses their management strategies and the performance of the Funds for the six-month reporting period ended January 31, 2017.

What strategies were used to manage the Funds during the six-month reporting period ended January 31, 2017?

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

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

JQC invests at least 70% of its assets in senior secured and second lien loans, and up to 30% of its assets opportunistically over the credit cycle in other types of securities across a company’s capital structure. These other securities primarily include income-oriented securities such as high yield corporate and convertible bonds as well as common stocks.

 

 

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

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

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

 

NUVEEN			5

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Portfolio Managers’ Comments (continued)

 

The Fund maintained exposure to senior loans during the reporting period, while tactically allocating between high yield corporate bonds, equity securities and convertible bonds. Exposure consisted of mainly U.S. issuers, and was focused on companies that, in general, had high levels of tangible assets, predictable revenue streams, significant market share within their respective industries and positive free cash flow.

How did the Funds perform during this six-month reporting period ended January 31, 2017?

The tables in the Performance Overview and Holding Summaries section of this report provide total return performance for each Fund for the six-month, one-year, five-year, ten-year and/or since inception periods ended January 31, 2017. Each Fund’s total returns at net asset value (NAV) are compared with the performance of a corresponding market index. For the six-month reporting period ended January 31, 2017, NSL, JFR, JRO, JSD and JQC outperformed the Credit Suisse Leveraged Loan Index.

During the reporting period, the loan market was boosted by increased demand as the reality of rising rates was more evident. While technicals were certainly supportive to the asset class late in the reporting period, the outlook for loans remains constructive with default rates anticipated to remain benign and fundamentals continuing to be supportive. The broad leveraged loan market, as represented by the Credit Suisse Leveraged Loan Index, produced returns of 4.51% for the six-month reporting period.

Across all five Funds, our top and bottom performing individual security positions and industry groups were relatively similar. As a result, for NSL, JFR, JRO, JSD and JQC, most sectors contributed positively to absolute performance, with the largest exception being the consumer staples sector in JSD. The information technology, consumer discretionary and energy sectors contributed the most to absolute performance.

Several positions contributed to performance including the Funds’ position in the bonds of telecommunication services holdings Sprint Capital Corporation. These high yield bonds performed well during the reporting period as investors’ aversion to riskier assets abated. Also positively contributing was our position in the consumer discretionary sector holding for Clear Channel Communication Inc. The bonds of the media company traded up as risk assets continued their rally and the company continued to post strong numbers. In addition, the company has continued to improve earnings and extend near term maturities late in the reporting period, which was well received by the market. Lastly, our exposure in the energy sector positively impacted performance as oil prices appreciated and the sector’s overall outlook improved, including the bonds of Drill Riggs Holdings Inc.

Several individual positions detracted from performance, including health care sector holding Millennium Health LLC. The health care sector has been hurt by political headwinds, including the potential dismantling of the Affordable Care Act coupled with public reaction to drug pricing. Specifically, the loans of Millennium weighed on performance for the reporting period after the company experienced continued earnings weakness after emerging from bankruptcy. Also contributing to weak performance for the holding was the technical effect of a few large holders liquidating their positions late in the reporting period. Also detracting from performance were the loans of consumer discretionary holding Gymboree Corporation. The loans of the retail company weighed on returns as poor execution by management led to weakened earnings results announced during the reporting period. With the exception of JQC, all the other Funds held the loans of Gymboree. JQC did not hold the loans of Gymboree. In addition, the loans of consumer discretionary sector holding Yell Group PLC detracted from performance in JFR, JRO and NSL. The multi-national directories and internet services company declined during the reporting period. For JQC and JSD, the loans of consumer discretionary holding, Cengage Learning Acquisitions, Inc. also detracted from performance. The loans of the publishing and broadcasting company hurt performance, as the firm took leverage up earlier in the year, and then posted weaker than expected numbers which was not well received by the market.

In addition, the use of regulatory leverage was a factor affecting the performance of these Funds. Leverage is discussed in more detail later in the Fund Leverage section of this report.

 

	6			NUVEEN

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JSD and JQC invested in credit default swaps. JSD invested in single name credit default swaps, while JQC invested in high yield index credit default swaps. These contracts had a positive effect on performance for JQC and a negligible effect on performance for JSD during the reporting period.

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

 

NUVEEN			7

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Fund

Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

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

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

As of January 31, 2017, the Funds’ percentages of leverage are shown in the accompanying table.

 

		NSL				JFR				JRO				JSD				JQC
Effective Leverage*			35.26	%			34.93	%			34.87	%			35.02	%			35.65	%
Regulatory Leverage*			35.26	%			34.93	%			34.87	%			35.02	%			30.57	%

*

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

THE FUNDS’ LEVERAGE

Bank Borrowings

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

 

		Current Reporting Period																								Subsequent to the Close of the Reporting Period
Fund		August 1, 2016				Draws				Paydowns				January 31, 2017				Average Balance Outstanding								Draws				Paydowns				March 29, 2017
NSL		$	101,000,000			$	18,000,000			$	(15,000,000	)		$	104,000,000			$	105,451,087							$	10,000,000			$	—			$	114,000,000
JFR		$	240,800,000			$	73,100,000			$	(55,000,000	)		$	258,900,000			$	268,972,826							$	30,000,000			$	—			$	288,900,000
JRO		$	166,800,000			$	58,600,000			$	(46,600,000	)		$	178,800,000			$	186,757,609							$	16,200,000			$	—			$	195,000,000
JSD		$	64,000,000			$	—			$	—			$	64,000,000			$	64,000,000							$	8,000,000			$	—			$	72,000,000
JQC		$	561,000,000			$	—			$	—			$	561,000,000			$	561,000,000							$	—			$	—			$	561,000,000

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

 

	8			NUVEEN

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Reverse Repurchase Agreements

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

 

Current Reporting Period																								Subsequent to the Close of the Reporting Period
August 1, 2016				Purchases				Sales				January 31, 2017				Average Balance Outstanding								Purchases				Sales				March 29, 2017
	$145,000,000				$    —				$    —				$145,000,000				$145,000,000								$    —				$    —				$145,000,000

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

Variable Rate Term Preferred Shares

As noted above, in addition to bank borrowings, NSL, JFR and JRO also issued VRTP Shares. The Funds’ transactions in VRTP Shares are as shown in the accompanying table.

 

		Current Reporting Period																								Subsequent to the Close of the Reporting Period
Fund		August 1, 2016				Issuance				Redemptions				January 31, 2017				Average Balance Outstanding								Issuance				Redemptions				March 29, 2017
NSL		$	45,000,000			$	—			$	(45,000,000	)		$	—			$	45,000,000	*						$	—			$	—			$	—
JFR		$	108,000,000			$	—			$	(108,000,000	)		$	—			$	102,090,141	**						$	—			$	—			$	—
JRO		$	75,000,000			$	—			$	(75,000,000	)		$	—			$	68,380,000	***						$	—			$	—			$	—

*	For the period August 1, 2016 through November 22, 2016.

**	For the period August 1, 2016 through December 20, 2016.

***	For the period August 1, 2016 through December 28, 2016.

During the current reporting period, NSL, JFR and JRO redeemed all of its outstanding VRTP Shares, respectively.

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

Term Preferred Shares

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

 

		Current Reporting Period																								Subsequent to the Close of the Reporting Period
Fund		August 1, 2016				Issuance				Redemptions				January 31, 2017				Average Balance Outstanding								Issuance				Redemptions				March 29, 2017
NSL		$	—			$	43,000,000			$	—			$	43,000,000			$	43,000,000	*						$	—			$	—			$	43,000,000
JFR		$	—			$	90,200,000			$	—			$	90,200,000			$	59,557,143	**						$	—			$	—			$	90,200,000
JRO		$	—			$	63,000,000			$	—			$	63,000,000			$	40,071,429	**						$	—			$	—			$	63,000,000
JSD		$	35,000,000			$	—			$	—			$	35,000,000			$	35,000,000							$	—			$	—			$	35,000,000

*	For the period October 31, 2016 (first issuance of shares) through January 31, 2017.

**	For the period November 23, 2016 (first issuance of shares) through January 31, 2017.

During the current reporting period, NSL, JFR and JRO each refinanced a portion of their VRTP Shares with the issuance of Term Preferred.

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

 

NUVEEN			9

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Common Share

Information

 

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of January 31, 2017. Each Fund’s distribution levels may vary over time based on each Fund’s investment activity and portfolio investment value changes.

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

 

		Per Common Share Amounts
Monthly Distribution (Ex-Dividend Date)		NSL				JFR				JRO				JSD				JQC
August 2016		$	0.0360			$	0.0615			$	0.0645			$	0.0970			$	0.0515
September			0.0375				0.0640				0.0670				0.1000				0.0515
October			0.0375				0.0640				0.0670				0.1000				0.0515
November			0.0375				0.0640				0.0670				0.1000				0.0515
December			0.0395				0.0675				0.0705				0.1060				0.0525
January 2017			0.0395				0.0675				0.0705				0.1060				0.0525
Total Distributions from Net Investment Income		$	0.2275			$	0.3885			$	0.4065			$	0.6090			$	0.3110
Current Distribution Rate*			6.84	%			6.72	%			6.96	%			7.01	%			7.13	%

*

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

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

As of January 31, 2017, the Funds had positive UNII balances, based upon our best estimate, for tax purposes. NSL had a positive UNII balance while JFR, JRO, JSD and JQC had negative UNII balances for financial reporting purposes.

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

 

	10			NUVEEN

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COMMON SHARE EQUITY SHELF PROGRAMS

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

 

		NSL				JFR				JRO				JSD
Additional authorized common shares			8,800,000				12,900,000				8,500,000				1,000,000

COMMON SHARE REPURCHASES

During August 2016, the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.

As of January 31, 2017, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.

 

		NSL				JFR				JRO				JSD				JQC
Common shares cumulatively repurchased and retired			5,000				147,593				19,400				0				4,804,500
Common shares authorized for repurchase			3,865,000				5,515,000				3,850,000				1,010,000				13,575,000

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

OTHER COMMON SHARE INFORMATION

As of January 31, 2017, and during the current reporting period, the Funds’ common share prices were trading at a premium/(discount) to their common share NAVs as shown in the accompanying table.

 

		NSL				JFR				JRO				JSD				JQC
Common share NAV			$6.99				$11.79				$11.74				$18.19				$9.39
Common share price			$6.93				$12.05				$12.16				$18.15				$8.84
Premium/(Discount) to NAV			(0.86	)%			2.21	%			3.58	%			(0.22	)%			(5.86	)%
6-month average premium/(discount) to NAV			(5.33	)%			(3.18	)%			(1.27	)%			(5.92	)%			(8.71	)%

 

NUVEEN			11

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Risk

Considerations

 

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

Nuveen Senior Income Fund (NSL)

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

Nuveen Floating Rate Income Fund (JFR)

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

Nuveen Floating Rate Income Opportunity Fund (JRO)

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

Nuveen Short Duration Credit Opportunities Fund (JSD)

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

 

	12			NUVEEN

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Nuveen Credit Strategies Income Fund (JQC)

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

 

NUVEEN			13

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NSL

 

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

		Cumulative				Average Annual
		6-Month				1-Year				5-Year				10-Year
NSL at Common Share NAV			6.86%				17.66%				6.89%				5.48%
NSL at Common Share Price			14.73%				33.41%				6.87%				5.54%
Credit Suisse Leveraged Loan Index			4.51%				11.27%				5.05%				4.30%

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

Common Share Price Performance — Weekly Closing Price

 

 

	14			NUVEEN

---

 

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

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

 

 

 

NUVEEN			15

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JFR

 

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

		Cumulative				Average Annual
		6-Month				1-Year				5-Year				10-Year
JFR at Common Share NAV			7.31%				18.73%				7.06%				5.36%
JFR at Common Share Price			16.74%				31.29%				8.41%				6.08%
Credit Suisse Leveraged Loan Index			4.51%				11.27%				5.05%				4.30%

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

Common Share Price Performance — Weekly Closing Price

 

 

	16			NUVEEN

---

 

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

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

 

 

 

NUVEEN			17

---

JRO

 

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

		Cumulative				Average Annual
		6-Month				1-Year				5-Year				10-Year
JRO at Common Share NAV			7.51%				19.20%				7.48%				5.94%
JRO at Common Share Price			17.52%				38.89%				8.46%				6.75%
Credit Suisse Leveraged Loan Index			4.51%				11.27%				5.05%				4.30%

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

Common Share Price Performance — Weekly Closing Price

 

 

	18			NUVEEN

---

 

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

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

 

 

 

NUVEEN			19

---

JSD

 

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

		Cumulative				Average Annual
		6-Month				1-Year				5-Year				Since Inception
JSD at Common Share NAV			7.65%				18.56%				6.66%				6.68%
JSD at Common Share Price			16.37%				35.64%				8.06%				6.24%
Credit Suisse Leveraged Loan Index			4.51%				11.27%				5.05%				4.52%

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

Common Share Price Performance — Weekly Closing Price

 

 

	20			NUVEEN

---

 

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

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

 

 

NUVEEN			21

---

JQC

 

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

		Cumulative				Average Annual
		6-Month				1-Year				5-Year				10-Year
JQC at Common Share NAV			4.94%				14.52%				6.52%				3.58%
JQC at Common Share Price			8.70%				26.82%				7.94%				4.16%
Credit Suisse Leveraged Loan Index			4.51%				11.27%				5.05%				4.30%

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

Common Share Price Performance — Weekly Closing Price

 

 

	22			NUVEEN

---

 

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

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

 

 

NUVEEN			23

---

NSL

 

Nuveen Senior Income Fund
Portfolio of Investments		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 148.1% (94.4% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 132.4% (84.4% of Total Investments) (4)
				Aerospace & Defense – 2.8% (1.8% of Total Investments)
$	1,829			B/E Aerospace, Inc., Term Loan B			3.943%				12/16/21				BB+			$	1,840,603
	3,317			Sequa Corporation, Term Loan B			5.250%				6/19/17				CCC–				3,181,693
	498			Transdigm, Inc., Extend Term Loan F			3.778%				6/07/23				Ba2				497,003
	1,967			Transdigm, Inc., Term Loan E, First Lien			3.851%				5/14/22				Ba2				1,963,733
	7,611			Total Aerospace & Defense															7,483,032
				Air Freight & Logistics – 0.8% (0.5% of Total Investments)
	388			Americold Realty Operating Partnership, Term Loan B			4.750%				12/01/22				BB				394,112
	750			PAE Holding Corporation, Term Loan B			6.500%				10/20/22				B+				757,969
	1,083			XPO Logistics, Inc., Refinanced Term Loan B2, First Lien			4.250%				11/01/21				Ba1				1,093,273
	2,221			Total Air Freight & Logistics															2,245,354
				Airlines – 2.4% (1.5% of Total Investments)
	2,922			American Airlines, Inc., Term Loan B			3.267%				12/14/23				BB+				2,940,375
	1,448			American Airlines, Inc., Term Loan B, First Lien			3.276%				6/29/20				BB+				1,457,348
	1,960			American Airlines, Inc., Term Loan B, First Lien			3.263%				10/08/21				BB+				1,973,475
	6,330			Total Airlines															6,371,198
				Auto Components – 0.3% (0.2% of Total Investments)
	744			Horizon Global Corporation, Term Loan B			7.919%				6/30/21				B+				758,436
				Automobiles – 2.1% (1.4% of Total Investments)
	1,430			Chrysler Group LLC, Tranche B, Term Loan			3.270%				12/31/18				BBB–				1,434,755
	3,341			Formula One Group, Term Loan, First Lien			5.068%				7/30/21				B				3,365,966
	1,000			Formula One Group, Term Loan, Second Lien			8.068%				7/29/22				CCC+				1,008,250
	5,771			Total Automobiles															5,808,971
				Building Products – 1.2% (0.8% of Total Investments)
	1,168			Gates Global LLC, Term Loan			4.250%				7/06/21				B+				1,166,829
	2,000			Quikrete Holdings, Inc., Initial Term Loan, First Lien			4.017%				11/15/23				BB–				2,027,142
	3,168			Total Building Products															3,193,971
				Chemicals – 2.2% (1.4% of Total Investments)
	596			Avantor Performance Materials, Incremental Term Loan B			6.000%				6/21/22				B1				605,866
	1,518			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				1,522,514
	330			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				332,495
	1,595			Mineral Technologies, Inc., Term Loan B2			4.750%				5/07/21				BB+				1,608,884
	743			OM Group, Inc., Dollar Term Loan B, First Lien			7.000%				10/28/21				Ba3				743,428
	1,150			Univar, Inc., Term Loan B			3.519%				7/01/22				BB–				1,149,358
	5,932			Total Chemicals															5,962,545
				Commercial Services & Supplies – 3.9% (2.5% of Total Investments)
	343			Acosta, Inc., Term Loan B			4.289%				9/26/21				B1				332,172
	130			Education Management LLC, Tranche A, Term Loan, (14)			5.509%				7/02/20				N/R				57,365
	248			Education Management LLC, Tranche B, Term Loan, (14)			8.509%				7/02/20				N/R				23,547
	750			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			5.000%				10/19/23				B2				756,563
	2,261			iQor US, Inc., Term Loan, First Lien			6.000%				4/01/21				B				2,172,108
	250			iQor US, Inc., Term Loan, Second Lien			9.750%				4/01/22				CCC+				218,333
	993			KAR Auction Services, Inc., Term Loan B3, First Lien			4.500%				3/09/23				BB–				1,006,141
	1,746			Monitronics International, Inc., Term Loan B2, First Lien			6.500%				9/30/22				B2				1,772,356
	2,686			Protection One, Inc., Term Loan, First Lien			4.250%				5/02/22				Ba2				2,719,969
	554			Skillsoft Corporation, Initial Term Loan, First Lien			5.750%				4/28/21				B–				505,371

 

	24			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Commercial Services & Supplies (continued)
$	990			Universal Services of America, Term Loan, First Lien			4.763%				7/28/22				B+			$	996,188
	10,951			Total Commercial Services & Supplies															10,560,113
				Communications Equipment – 2.2% (1.4% of Total Investments)
	1,009			Avaya, Inc., DIP Term Loan, (WI/DD)			TBD				TBD				Baa3				1,040,386
	3,163			Avaya, Inc., Term Loan B3			5.537%				10/26/17				D				2,648,517
	326			Avaya, Inc., Term Loan B6			6.532%				3/31/18				D				273,424
	1,120			Avaya, Inc., Term Loan B7, (DD1)			6.282%				5/29/20				D				941,443
	21			CommScope, Inc., Tranche 5, Term Loan B, First Lien			3.278%				12/29/22				BB+				20,813
	975			Riverbed Technology, Inc., Term Loan B, First Lien			4.250%				4/24/22				B+				984,974
	6,614			Total Communications Equipment															5,909,557
				Consumer Finance – 2.0% (1.3% of Total Investments)
	1,399			First Data Corporation, New Dollar Term Loan			3.775%				7/08/22				BB				1,410,301
	4,022			First Data Corporation, Term Loan, First Lien			3.775%				3/24/21				BB				4,048,991
	5,421			Total Consumer Finance															5,459,292
				Containers & Packaging – 0.3% (0.2% of Total Investments)
	857			Berry Plastics Holding Corporation, Term Loan I			3.287%				10/01/22				BB				864,453
				Diversified Consumer Services – 2.9% (1.9% of Total Investments)
	3,269			Cengage Learning Acquisitions, Inc., Term Loan B			5.250%				6/07/23				BB–				3,050,862
	433			Harland Clarke Holdings Corporation, Term Loan B3			7.000%				5/22/18				BB–				434,691
	2,607			Hilton Hotels Corporation, Series B2, Term Loan			3.271%				10/25/23				BBB–				2,637,361
	192			Hilton Hotels Corporation, Term Loan B1			3.500%				10/26/20				BBB–				193,574
	1,658			Houghton Mifflin, Term Loan B, First Lien, (DD1)			4.000%				5/28/21				B+				1,542,698
	107			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B–				107,580
	8,266			Total Diversified Consumer Services															7,966,766
				Diversified Financial Services – 1.7% (1.1% of Total Investments)
	1,092			MGM Growth Properties, Term Loan B			3.528%				4/25/23				BB+				1,100,620
	985			MJ Acquisition Corp., Term Loan, First Lien			4.001%				6/01/22				B+				990,938
	2,406			WideOpenWest Finance LLC, New Term Loan B			4.500%				8/18/23				B1				2,426,675
	4,483			Total Diversified Financial Services															4,518,233
				Diversified Telecommunication Services – 6.8% (4.3% of Total Investments)
	748			DTI Holdings, Inc., Term Loan B, First Lien			6.250%				10/02/23				B				744,072
	1,832			Frontier Communications Corporation, Term Loan A, Delayed Draw, First Lien			3.280%				3/31/21				BB				1,783,832
	2,500			Greeneden U.S. Holdings II LLC, Term Loan B			5.000%				12/01/23				B2				2,531,770
	5,334			Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan			3.750%				6/30/19				B1				5,260,070
	1,667			Level 3 Financing, Inc., Term Loan, Tranche B3			4.000%				8/01/19				BBB–				1,680,208
	1,000			Verizon Communications, Inc., Term Loan			2.021%				7/31/19				BBB+				1,001,042
	304			Zayo Group LLC, Term Loan B2			3.500%				1/12/24				N/R				306,977
	5,000			Ziggo B.V., Term Loan E			0.000%				4/25/25				BB–				5,017,190
	18,385			Total Diversified Telecommunication Services															18,325,161
				Electric Utilities – 2.0% (1.3% of Total Investments)
	477			EFS Cogen Holdings LLC, Term Loan B			4.500%				6/28/23				BB				482,564
	3,000			Energy Future Intermediate Holding Company, DIP Term Loan			4.250%				6/30/17				BB				3,022,125
	1,629			Vistra Operations Co., Term Loan B			3.500%				8/04/23				Ba2				1,636,714
	371			Vistra Operations Co., Term Loan C			3.500%				8/04/23				Ba2				373,286
	5,477			Total Electric Utilities															5,514,689
				Electronic Equipment, Instruments & Components – 1.4% (0.9% of Total Investments)
	1,439			SMART Modular Technologies, Inc., Term Loan B			9.250%				8/26/17				B				1,215,555
	1,507			TTM Technologies, Inc., New Term Loan			5.250%				5/31/21				BB–				1,523,005
	1,039			Zebra Technologies Corporation Refinancing Term Loan B, First Lien			3.446%				10/27/21				BB+				1,049,416
	3,985			Total Electronic Equipment, Instruments & Components															3,787,976

 

NUVEEN			25

---

NSL		Nuveen Senior Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Energy Equipment & Services – 1.1% (0.7% of Total Investments)
$	1,615			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.063%				3/31/21				Caa2			$	1,255,596
	321			Dynamic Energy Services International LLC, Term Loan			11.000%				3/06/18				N/R				168,378
	1,671			Seventy Seven Operating LLC, Term Loan B			3.778%				6/25/20				B				1,669,475
	3,607			Total Energy Equipment & Services															3,093,449
				Equity Real Estate Investment Trusts – 3.5% (2.2% of Total Investments)
	5,400			Communications Sales & Leasing, Inc., Term Loan B			4.500%				10/24/22				BB–				5,464,333
	1,006			Realogy Group LLC, Term Loan B			3.026%				7/20/22				BB+				1,012,897
	2,985			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)			4.750%				12/18/20				B				2,877,772
	9,391			Total Equity Real Estate Investment Trusts															9,355,002
				Food & Staples Retailing – 6.3% (4.0% of Total Investments)
	11,296			Albertson’s LLC, Term Loan B4			3.778%				8/25/21				BB				11,370,207
	2,087			Albertson’s LLC, Term Loan B6			4.061%				6/22/23				BB				2,103,170
	1,001			BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				B–				1,004,770
	1,375			Rite Aid Corporation, Tranche 2, Term Loan, Second Lien			4.875%				6/21/21				BB–				1,381,302
	750			Save-A-Lot, Term Loan B			7.000%				12/02/23				B				747,656
	349			Supervalu, Inc., New Term Loan B			5.500%				3/21/19				BB–				351,995
	16,858			Total Food & Staples Retailing															16,959,100
				Food Products – 4.2% (2.7% of Total Investments)
	975			Hearthside Group Holdings LLC, Term Loan B			4.022%				6/21/21				B1				984,750
	2,082			Jacobs Douwe Egberts, Term Loan B			3.500%				7/04/22				BB				2,096,535
	1,142			Keurig Green Mountain, Inc., Term Loan B, First Lien			5.313%				3/03/23				BBB–				1,160,186
	4,893			US Foods, Inc., Term Loan B			3.778%				6/27/23				BB–				4,937,024
	2,305			Wilton Products, Inc., Tranche B, Term Loan			8.500%				8/30/18				CCC+				2,263,101
	11,397			Total Food Products															11,441,596
				Health Care Equipment & Supplies – 2.8% (1.8% of Total Investments)
	955			Acelity, Term Loan B, (WI/DD)			TBD				TBD				B1				950,196
	575			Ardent Medical Services, Inc., Term Loan B, First Lien			6.500%				8/04/21				B1				576,841
	438			ConvaTec, Inc., Term Loan B			3.278%				10/25/23				BB				441,690
	990			Greatbatch, Inc., Term Loan B			5.250%				10/27/22				B				997,054
	3,110			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				2,993,579
	973			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				817,020
	854			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				858,799
	7,895			Total Health Care Equipment & Supplies															7,635,179
				Health Care Providers & Services – 5.1% (3.2% of Total Investments)
	5			Community Health Systems, Inc., Term Loan F			4.180%				12/31/18				BB–				4,781
	503			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB–				478,997
	1,006			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB–				954,261
	2,267			DaVita HealthCare Partners, Inc., Tranche B, Term Loan			3.530%				6/24/21				BBB–				2,300,049
	1,000			Envision Healthcare Corporation, Term Loan B, First Lien			4.000%				12/01/23				BB–				1,010,521
	768			Healogics, Inc., Term Loan, First Lien			5.250%				7/01/21				B				704,114
	1,695			Heartland Dental Care, Inc., Term Loan, First Lien			5.500%				12/21/18				B1				1,700,089
	500			Heartland Dental Care, Inc., Term Loan, Second Lien			9.750%				6/21/19				CCC				491,459
	436			Kindred Healthcare, Inc., Term Loan B, First Lien			4.313%				4/09/21				BB–				437,535
	1,937			Millennium Laboratories, Inc., Term Loan B, First Lien			7.500%				12/21/20				CCC+				977,985
	928			MultiPlan, Inc., Term Loan B			5.000%				6/07/23				B+				942,090
	587			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				588,701
	906			Quorum Health Corp., Term Loan B			6.750%				4/29/22				B1				898,722
	740			Select Medical Corporation, Term Loan E, Tranche B, First Lien			6.025%				6/01/18				Ba2				745,883
	959			Select Medical Corporation, Term Loan F, First Lien			6.011%				3/03/21				Ba2				969,330
	440			Vizient, Inc., Term Loan B			5.000%				2/13/23				B+				446,159
	14,677			Total Health Care Providers & Services															13,650,676
				Health Care Technology – 0.4% (0.3% of Total Investments)
	1,141			Catalent Pharma Solutions, Inc., Term Loan B			3.750%				5/20/21				BB				1,152,716

 

	26			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Hotels, Restaurants & Leisure – 6.4% (4.0% of Total Investments)
$	3,516			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3			$	3,554,128
	2,113			CCM Merger, Inc., Term Loan B			4.028%				8/09/21				BB–				2,128,778
	1,826			CityCenter Holdings LLC, Term Loan			4.250%				10/16/20				BB				1,847,982
	1,559			Intrawest Resorts Holdings, Inc., Term Loan B, Second Lien			4.500%				12/09/20				B+				1,575,787
	1,478			Life Time Fitness, Inc., Term Loan B, (WI/DD)			TBD				TBD				B1				1,481,887
	1,940			Scientific Games Corporation, Term Loan			6.000%				10/18/20				Ba3				1,961,340
	1,962			Scientific Games Corporation, Term Loan B2			6.022%				10/01/21				Ba3				1,984,359
	897			Seaworld Parks and Entertainment, Inc., Term Loan B2			3.248%				5/14/20				BB–				888,504
	1,740			Station Casino LLC, Term Loan B			3.270%				6/08/23				BB				1,731,514
	17,031			Total Hotels, Restaurants & Leisure															17,154,279
				Household Products – 0.5% (0.3% of Total Investments)
	319			Serta Simmons Holdings LLC, Term Loan, First Lien			4.500%				11/08/23				B1				318,839
	998			Revlon Consumer Products Corporation, Term Loan B, First Lien			4.313%				9/07/23				Ba3				1,007,532
	1,317			Total Household Products															1,326,371
				Independent Power & Renewable Electricity Producers – 0.7% (0.5% of Total Investments)
	2,000			Dynegy, Inc., Term Loan B			4.250%				6/27/23				BB				2,021,876
				Industrial Conglomerates – 0.5% (0.3% of Total Investments)
	1,354			Brand Energy & Infrastructure Services, Inc., Initial Term Loan			4.771%				11/26/20				B				1,352,689
				Insurance – 2.2% (1.4% of Total Investments)
	2,305			Alliant Holdings I LLC, Term Loan B			4.250%				8/14/22				B				2,321,787
	990			AssuredPartners, Inc., Refinancing Term Loan, First Lien			5.250%				10/21/22				B+				1,004,882
	2,663			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				Ba3				2,673,641
	5,958			Total Insurance															6,000,310
				Internet and Direct Marketing Retail – 1.1% (0.7% of Total Investments)
	2,877			Travelport LLC, Term C Loan			4.250%				9/02/21				B+				2,907,739
				Internet Software & Services – 1.7% (1.1% of Total Investments)
	1,000			Ancestry.com, Inc., Term Loan B, First Lien			5.250%				10/19/23				B1				1,011,719
	500			Ancestry.com, Inc., Term Loan B, Second Lien			9.250%				10/19/24				CCC+				514,792
	1,250			Rackspace Hosting, Inc., Term Loan B, First Lien			4.500%				11/03/23				BB+				1,264,941
	403			Sabre Inc., Term Loan B2			4.500%				2/19/19				Ba2				406,052
	116			Sabre Inc., Term Loan C			4.000%				2/19/18				Ba2				116,247
	600			Sabre, Inc., Term Loan B			4.000%				2/19/19				Ba2				604,756
	1,009			SkillSoft Corporation, Term Loan, Second Lien			9.250%				4/28/22				CCC				741,037
	4,878			Total Internet Software & Services															4,659,544
				IT Services – 1.4% (0.9% of Total Investments)
	655			Conduent, Inc., Term Loan B			6.250%				12/07/23				BB+				667,549
	1,309			EIG Investors Corp., Term Loan, First Lien			6.480%				11/09/19				B+				1,312,040
	671			Engility Corporation, Term Loan B2			5.750%				8/14/23				BB–				677,014
	198			Mitchell International, Inc., Initial Term Loan B, First Lien			4.500%				10/13/20				B1				198,380
	746			WEX, Inc., Term Loan B			4.278%				6/30/23				BB–				757,036
	146			Zayo Group LLC, Term Loan B3, (WI/DD)			TBD				TBD				BB				147,804
	3,725			Total IT Services															3,759,823
				Leisure Products – 1.7% (1.1% of Total Investments)
	1,356			24 Hour Fitness Worldwide, Inc., Term Loan B			4.750%				5/28/21				Ba3				1,335,616
	1,691			Academy, Ltd., Term Loan B, (DD1)			5.019%				7/01/22				B2				1,499,641
	1,155			Equinox Holdings, Inc., New Initial Term Loan B			5.000%				1/31/20				B+				1,165,208
	500			Four Seasons Holdings, Inc., Term Loan B			3.750%				11/30/23				BB				506,563
	4,702			Total Leisure Products															4,507,028
				Life Sciences Tools & Services – 0.2% (0.1% of Total Investments)
	500			Inventiv Health, Inc., Term Loan B			4.750%				11/09/23				B				504,331

 

NUVEEN			27

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NSL		Nuveen Senior Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Machinery – 0.6% (0.4% of Total Investments)
$	418			Rexnord LLC. Term Loan B, First Lien			3.770%				8/21/23				BB–			$	420,647
	1,197			Safway Group Holdings LLC, Initial Term Loan, First Lien			5.750%				8/21/23				B+				1,214,456
	1,615			Total Machinery															1,635,103
				Marine – 0.3% (0.2% of Total Investments)
	722			American Commercial Lines LLC, Term Loan B, First Lien			9.750%				11/12/20				B				691,195
				Media – 13.7% (8.7% of Total Investments)
	1,271			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.248%				7/23/21				B1				1,271,676
	773			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				759,241
	639			Affinion Group Holdings, Inc., Initial Term Loan, Second Lien			8.500%				10/31/18				Caa1				624,740
	987			Affinion Group Holdings, Inc., Term Loan, First Lien			6.750%				4/30/18				B1				985,943
	1,463			Catalina Marketing Corporation, Term Loan, First Lien			4.500%				4/09/21				B1				1,285,172
	1,000			Catalina Marketing Corporation, Term Loan, Second Lien			7.750%				4/11/22				Caa1				690,000
	3,464			Cequel Communications LLC, Term Loan B			3.778%				1/15/25				BB–				3,510,027
	2,978			Charter Communications Operating Holdings LLC, Term Loan I, First Lien			3.026%				1/15/24				BBB–				2,991,855
	2,111			Clear Channel Communications, Inc., Term Loan E			8.278%				7/30/19				Caa1				1,774,874
	2,250			Clear Channel Communications, Inc., Tranche D, Term Loan			7.528%				1/30/19				Caa1				1,891,688
	5,555			Cumulus Media, Inc., Term Loan B			4.250%				12/23/20				B3				3,674,780
	1,666			Emerald Expositions Holdings, Inc., Term Loan, First Lien			4.750%				6/17/20				BB–				1,678,737
	1,074			Getty Images, Inc., Term Loan B, First Lien			4.750%				10/18/19				B3				930,031
	445			Gray Television, Inc., Initial Term Loan			3.959%				6/13/21				BB				448,072
	975			IMG Worldwide, Inc., First Lien			5.290%				5/06/21				B+				981,513
	1,000			Lions Gate Entertainment Corporation, Term Loan B			3.766%				12/08/23				Ba2				1,008,750
	967			LSC Communications, Term Loan			7.000%				9/30/22				Ba3				976,333
	1,493			McGraw-Hill Education Holdings LLC, Term Loan B			5.000%				5/02/22				Ba3				1,435,866
	169			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				1/17/24				Ba3				170,625
	1,831			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				9/26/23				BB+				1,851,875
	1,629			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.500%				8/14/20				B				1,633,140
	3,760			Univision Communications, Inc., Replacement Term Loan, First Lien			4.000%				3/01/20				B+				3,773,060
	1,000			Virgin Media Investment Holdings, Limited Term Loan I			3.517%				1/31/25				BB–				1,007,500
	992			WMG Acquisition Corporation, Term Loan B, First Lien			3.750%				11/01/23				Ba3				998,014
	176			Yell Group PLC, PIK Term Loan B2, First Lien			0.000%				9/07/65				N/R				351,532
	191			Yell Group PLC, Term Loan A2, First Lien			8.000%				9/07/21				N/R				195,756
	39,859			Total Media															36,900,800
				Metals & Mining – 1.3% (0.8% of Total Investments)
	902			Fairmount Minerals, Ltd. Term Loan B2, First Lien			4.500%				9/05/19				B–				884,418
	851			Fairmount Minerals, Ltd., Term Loan B1, First Lien			4.500%				9/05/19				B–				830,158
	602			Fortescue Metals Group, Ltd., Term Loan B, First Lien			3.750%				6/30/19				BBB–				606,198
	1,116			Zekelman Industries, Term Loan B, (DD1)			6.000%				6/14/21				BB–				1,116,212
	3,471			Total Metals & Mining															3,436,986
				Multiline Retail – 1.9% (1.2% of Total Investments)
	750			Bass Pro Group LLC, Sale Facility, Term Loan, First Lien			5.720%				5/15/18				B+				745,313
	754			Bass Pro Group LLC, Term Loan B			5.970%				12/15/23				B+				734,353
	863			Bass Pro Group LLC, Term Loan B, First Lien			4.016%				6/05/20				B+				853,505
	1,489			Belk, Inc., Term Loan B, First Lien			5.760%				12/12/22				B				1,277,766
	830			Dollar Tree, Inc., Term Loan B2			4.250%				7/06/22				BBB–				842,948
	691			Hudson’s Bay Company, Term Loan B, First Lien			4.250%				9/30/22				BB				682,172
	5,377			Total Multiline Retail															5,136,057
				Oil, Gas & Consumable Fuels – 5.1% (3.3% of Total Investments)
	479			California Resources Corporation, Term Loan A, First Lien			3.439%				9/24/19				B1				469,583
	331			Crestwood Holdings LLC, Term Loan B			9.000%				6/19/19				B3				330,227
	115			Energy and Exploration Partners Inc., Term Loan B First Lien			5.000%				5/13/22				N/R				63,008
	1,363			EP Energy LLC, Term Loan B			9.750%				6/30/21				B–				1,415,500
	1,664			Fieldwood Energy LLC, Term Loan, First Lien			3.875%				10/01/18				B2				1,608,437
	953			Fieldwood Energy LLC, Term Loan, First Lien			8.000%				8/31/20				B2				925,979
	493			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				CCC–				390,441

 

	28			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Oil, Gas & Consumable Fuels (continued)
$	818			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B–			$	740,350
	1,740			Harvey Gulf International Marine, Inc., Term Loan B			5.470%				6/18/20				CCC+				1,435,178
	5,041			Peabody Energy Corporation, Term Loan B, (WI/DD)			TBD				TBD				N/R				5,089,745
	1,823			Seadrill Partners LLC, Initial Term Loan			4.000%				2/21/21				CCC+				1,345,283
	25			Southcross Holdings Borrower L.P., Term Loan B, First Lien			3.500%				4/13/23				CCC+				20,805
	14,845			Total Oil, Gas & Consumable Fuels															13,834,536
				Pharmaceuticals – 3.0% (1.9% of Total Investments)
	763			Concordia Healthcare Corporation, Term Loan B, First Lien			5.250%				10/21/21				B2				601,722
	3,000			Grifols, Inc., Term Loan B, (WI/DD)			TBD				TBD				BB				3,021,249
	975			Patheon, Inc., Term Loan B			4.250%				3/11/21				B				982,618
	3,255			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.250%				8/18/22				B1				3,281,863
	117			Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan			5.270%				8/05/20				BB–				117,628
	8,110			Total Pharmaceuticals															8,005,080
				Professional Services – 0.4% (0.3% of Total Investments)
	1,150			Ceridian Corporation, Term Loan B2			4.539%				9/15/20				Ba3				1,148,778
				Real Estate Management & Development – 0.7% (0.4% of Total Investments)
	1,861			Capital Automotive LP, Term Loan, Second Lien			6.000%				4/30/20				B1				1,889,367
				Road & Rail – 0.4% (0.2% of Total Investments)
	990			Quality Distribution, Term Loan, First Lien			5.750%				8/18/22				B2				977,625
				Semiconductors & Semiconductor Equipment – 2.6% (1.7% of Total Investments)
	638			Cypress Semiconductor Corp, Term Loan B			6.500%				7/05/21				BB				651,844
	995			Micron Technology, Inc., Term Loan B, First Lien			4.530%				4/26/22				Baa2				1,010,754
	1,191			Microsemi Corporation, New Term Loan			3.019%				1/31/23				BB				1,159,301
	954			NXP Semiconductor LLC, Term Loan D			3.278%				1/11/20				Baa2				959,637
	1,064			NXP Semiconductor LLC, Term Loan F			3.240%				12/07/20				Baa2				1,070,162
	2,244			On Semiconductor Corp., Term Loan B, First Lien			4.028%				3/31/23				Ba1				2,270,403
	7,086			Total Semiconductors & Semiconductor Equipment															7,122,101
				Software – 11.8% (7.5% of Total Investments)
	1,161			Blackboard, Inc., Term Loan B4			6.023%				6/30/21				B+				1,167,005
	2,058			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B+				2,055,608
	622			Computer Sciences Government Services, Term Loan B, First Lien			3.435%				11/30/23				BB+				625,295
	2,406			Compuware Corporation, Term Loan B2, First Lien			5.250%				12/15/21				B				2,413,271
	637			Compuware Corporation, Term Loan, Second Lien			9.250%				12/15/22				CCC+				641,702
	1,718			Ellucian, Term Loan B, First Lien			4.250%				9/30/22				B				1,722,101
	1,029			Emdeon, Inc., Term Loan B2			3.750%				11/02/18				BB–				1,030,742
	5,768			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5			3.750%				6/03/20				B1				5,763,807
	988			Informatica Corp., Term Loan B			4.500%				8/05/22				B+				985,648
	1,000			Kronos Incorporated, Term Loan B, First Lien			5.000%				11/01/23				B				1,011,534
	778			Micro Focus International PLC, Term Loan B			4.789%				11/19/21				BB–				787,402
	1,114			Micro Focus International PLC, Term Loan C			4.789%				11/20/19				BB–				1,125,683
	3,351			Misys PLC, Term Loan B, First Lien			5.000%				12/12/18				B+				3,369,939
	690			MSC Software Corporation, Initial Term Loan, First Lien			5.000%				5/29/20				B1				692,145
	1,000			RP Crown Parent LLC, Term Loan B, First Lien			4.500%				10/12/23				B1				1,006,161
	1,237			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.028%				7/08/22				BB+				1,251,600
	119			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.028%				7/08/22				BB+				120,112
	3,275			Tibco Software, Inc., Term Loan B			5.500%				12/04/20				B1				3,308,775
	1,496			Uber Technologies, Inc., Term Loan B, First Lien			5.000%				7/13/23				N/R				1,507,659
	374			Vertafore, Inc., Term Loan, First Lien			4.250%				6/30/23				B				377,369
	1,000			Vertiv Co., Term Loan B			6.029%				11/30/23				Ba3				1,013,900
	31,821			Total Software															31,977,458

 

NUVEEN			29

---

NSL		Nuveen Senior Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Specialty Retail – 1.4% (0.9% of Total Investments)
$	994			Gardner Denver, Inc., Term Loan			4.558%				7/30/20				B			$	983,958
	494			Jo-Ann Stores, Inc., Term Loan B			6.256%				10/20/23				B+				488,077
	1,716			Petco Animal Supplies, Inc., Term Loan B1			4.250%				1/26/23				B1				1,695,609
	629			Petsmart Inc., Term Loan B, First Lien			4.000%				3/11/22				BB–				624,231
	3,833			Total Specialty Retail															3,791,875
				Technology Hardware, Storage & Peripherals – 6.8% (4.3% of Total Investments)
	3,950			Dell International LLC, Term Loan A2, First Lien			3.030%				9/07/21				BBB–				3,954,230
	2,000			Dell International LLC, Term Loan A3, First Lien			2.780%				12/31/18				BBB–				2,004,000
	7,344			Dell International LLC, Term Loan B			4.030%				9/07/23				BBB–				7,415,747
	1,000			Dell Software Group, Term Loan B			7.000%				10/31/22				B1				1,015,375
	3,980			Western Digital, Inc., Term Loan B1			4.526%				4/29/23				BBB–				4,032,238
	18,274			Total Technology Hardware, Storage & Peripherals															18,421,590
				Textiles, Apparel & Luxury Goods – 0.7% (0.4% of Total Investments)
	643			G-III Apparel Group, Term Loan B			6.250%				12/01/22				BB				630,000
	1,171			Gymboree Corporation, Term Loan			5.000%				2/23/18				Caa3				586,370
	1,028			J Crew Group, Term Loan B, First Lien			4.000%				3/05/21				Caa1				577,057
	2,842			Total Textiles, Apparel & Luxury Goods															1,793,427
				Trading Companies & Distributors – 3.0% (1.9% of Total Investments)
	4,726			Avolon, Term Loan B2, (WI/DD)			TBD				TBD				BBB–				4,792,979
	2,336			HD Supply, Inc., Term Loan B			3.748%				8/13/21				BB–				2,354,304
	827			Neff Rental/Neff Finance Closing Date Loan, Second Lien			7.543%				6/09/21				B–				827,479
	7,889			Total Trading Companies & Distributors															7,974,762
				Transportation Infrastructure – 0.4% (0.3% of Total Investments)
	66			Ceva Group PLC, Canadian Term Loan			6.539%				3/19/21				B2				58,041
	381			Ceva Group PLC, Dutch B.V., Term Loan			6.539%				3/19/21				B2				336,638
	371			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				3/19/21				B2				328,244
	525			Ceva Group PLC, US Term Loan			6.539%				3/19/21				B2				464,328
	1,343			Total Transportation Infrastructure															1,187,251
				Wireless Telecommunication Services – 3.5% (2.2% of Total Investments)
	172			Asurion LLC, Term Loan B2			4.028%				7/08/20				B1				172,965
	846			Asurion LLC, Term Loan B4			4.250%				8/04/22				B+				856,111
	604			Asurion, LLC, Term Loan B5, First Lien			4.750%				11/03/23				B+				611,050
	111			Fairpoint Communications, Inc., Term Loan B			7.500%				2/14/19				B				111,956
	5,000			Sprint Corporation, Term Loan, First Lien, (WI/DD)			TBD				TBD				Ba2				5,000,000
	1,174			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.039%				4/23/19				B				1,061,385
	652			Syniverse Technologies, Inc., Tranche B, Term Loan			4.000%				4/23/19				B				589,630
	1,000			UPC Financing Partnership, Term Loan, First Lien			3.767%				8/31/24				BB				1,004,821
	9,559			Total Wireless Telecommunication Services															9,407,918
$	366,171			Total Variable Rate Senior Loan Interests (cost $361,452,133)															357,543,364
Shares				Description (1)														Value
				COMMON STOCKS – 2.3% (1.5% of Total Investments)
				Banks – 0.9% (0.6% of Total Investments)
	30,025			BLB Worldwide Holdings Inc., (5)														$	2,356,963
				Diversified Consumer Services – 0.2% (0.1% of Total Investments)
	53,514			Cengage Learning Holdings II LP, (5)															615,411
	1,562,493			Education Management Corporation, (5), (6)															156
				Total Diversified Consumer Services															615,567

 

	30			NUVEEN

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Shares				Description (1)														Value
				Energy Equipment & Services – 0.7% (0.5% of Total Investments)
	39,988			C&J Energy Services Inc., (5), (6)														$	1,719,484
	1,961			Vantage Drill International, (5), (6)															249,047
				Total Energy Equipment & Services															1,968,531
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	58,830			Millennium Health LLC, (5)															58,830
				Media – 0.5% (0.3% of Total Investments)
	434			Cumulus Media, Inc., (5)															433
	274,431			Hibu PLC, (5), (7)															—
	6,268			Metro-Goldwyn-Mayer, (5), (6)															597,811
	18,422			Tribune Media Company															531,290
	14,825			Tribune Media Company, (7)															—
	4,605			tronc, Inc., (5)															61,062
				Total Media															1,190,596
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	54			Energy and Exploration Partners, Inc., (5), (6)															18,900
	27			Southcross Holdings Borrower LP, (5)															8,438
				Total Oil, Gas & Consumable Fuels															27,338
				Software – 0.0% (0.0% of Total Investments)
	291,294			Eagle Topco LP, (5), (7)															—
				Total Common Stocks (cost $8,459,655)															6,217,825
Shares				Description (1)		Coupon								Ratings (3)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	1,738			Education Management Corporation, (6)			7.500%								N/R			$	17
				Total $25 Par (or similar) Retail Preferred (cost $4,219)															17
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 13.4% (8.5% of Total Investments)
				Commercial Services & Supplies – 0.5% (0.3% of Total Investments)
$	1,233			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	1,242,247
				Communications Equipment – 0.3% (0.2% of Total Investments)
	115			Avaya Inc., 144A			7.000%				4/01/19				D				95,163
	2,895			Avaya Inc., 144A			10.500%				3/01/21				D				788,888
	3,010			Total Communications Equipment															884,051
				Diversified Telecommunication Services – 1.2% (0.8% of Total Investments)
	1,680			Inelsat Connect Finance SA, 144A			12.500%				4/01/22				CC				1,062,600
	215			IntelSat Limited			6.750%				6/01/18				Ca				183,825
	2,924			IntelSat Limited			7.750%				6/01/21				Ca				1,016,090
	2,650			IntelSat Limited			8.125%				6/01/23				Ca				881,125
	7,469			Total Diversified Telecommunication Services															3,143,640
				Equity Real Estate Investment Trusts – 0.3% (0.2% of Total Investments)
	750			iStar Inc.			4.000%				11/01/17				B+				753,750
				Health Care Equipment & Supplies – 1.4% (0.9% of Total Investments)
	3,500			Tenet Healthcare Corporation			6.000%				10/01/20				BB–				3,692,500
				Health Care Providers & Services – 0.2% (0.1% of Total Investments)
	600			Iasis Healthcare Capital Corporation			8.375%				5/15/19				CCC+				574,500

 

NUVEEN			31

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NSL		Nuveen Senior Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Hotels, Restaurants & Leisure – 1.0% (0.6% of Total Investments)
$	2,650			Scientific Games International Inc.			10.000%				12/01/22				B–			$	2,715,243
				Media – 3.5% (2.2% of Total Investments)
	100			Charter Communications Operating LLC/Charter Communications Operating Capital Corporation			3.579%				7/23/20				BBB–				102,433
	1,000			Dish DBS Corporation			5.875%				11/15/24				Ba3				1,011,250
	1,524			iHeartCommunications, Inc.			10.000%				1/15/18				CC				1,192,530
	2,872			iHeartCommunications, Inc.			9.000%				12/15/19				Caa1				2,403,504
	6,532			iHeartCommunications, Inc., PIK			14.000%				2/01/21				CC				2,449,636
	3,050			iHeartCommunications, Inc.			9.000%				3/01/21				Caa1				2,279,875
	15,078			Total Media															9,439,228
				Oil, Gas & Consumable Fuels – 1.5% (1.0% of Total Investments)
	1,240			California Resources Corporation, 144A			8.000%				12/15/22				CCC+				1,103,600
	400			Denbury Resources Inc.			6.375%				8/15/21				CCC+				366,000
	100			Denbury Resources Inc.			5.500%				5/01/22				CCC+				85,750
	400			Everest Acquisition LLC Finance			9.375%				5/01/20				CCC+				407,000
	1,800			FTS International Inc., 144A			8.350%				6/15/20				B				1,842,750
	300			Gastar Exploration Inc.			8.625%				5/15/18				Caa3				295,500
	4,240			Total Oil, Gas & Consumable Fuels															4,100,600
				Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)
	761			Advanced Micro Devices, Inc.			7.500%				8/15/22				CCC+				836,149
				Software – 1.0% (0.6% of Total Investments)
	1,980			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+				1,910,700
	700			Boxer Parent Company Inc./BMC Software, 144A, PIK			9.000%				10/15/19				CCC+				679,000
	2,680			Total Software															2,589,700
				Wireless Telecommunication Services – 2.2% (1.4% of Total Investments)
	1,000			Sprint Capital Corporation			6.900%				5/01/19				B+				1,067,500
	350			Sprint Communications Inc.			7.000%				8/15/20				B+				374,500
	500			Sprint Corporation			7.875%				9/15/23				B+				546,550
	2,000			Sprint Corporation			7.125%				6/15/24				B+				2,110,000
	1,750			T-Mobile USA Inc.			6.250%				4/01/21				BB				1,813,350
	75			T-Mobile USA Inc.			6.731%				4/28/22				BB				78,000
	75			T-Mobile USA Inc.			6.836%				4/28/23				BB				80,063
	5,750			Total Wireless Telecommunication Services															6,069,963
$	47,721			Total Corporate Bonds (cost $42,461,900)															36,041,571
				Total Long-Term Investments (cost $412,377,907)															399,802,777
Principal Amount (000)				Description (1)		Coupon				Maturity								Value
				SHORT-TERM INVESTMENTS – 8.8% (5.6% of Total Investments)
				REPURCHASE AGREEMENTS – 8.8% (5.6% of Total Investments)
$	23,889			Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $23,888,768, collateralized by $24,360,000 U.S. Treasury Notes, 2.250%, due 12/31/23, value $24,371,084			0.030%				2/01/17							$	23,888,748
				Total Short-Term Investments (cost $23,888,748)															23,888,748
				Total Investments (cost $436,266,655) – 156.9%															423,691,525
				Borrowings – (38.5)% (8), (9)															(104,000,000	)
				Term Preferred Shares, at Liquidation Preference – (15.9)% (10)															(43,000,000	)
				Other Assets Less Liabilities – (2.5)% (11)															(6,732,412	)
				Net Assets Applicable to Common Shares – 100%														$	269,959,113

 

	32			NUVEEN

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Investments in Derivatives as of January 31, 2017

Interest Rate Swaps

 

Counterparty

Notional Amount

Fund Pay/Receive Floating Rate

Floating Rate Index

Fixed Rate (Annualized)

Fixed Rate Payment Frequency

Termination Date

Unrealized Appreciation (Depreciation)

Morgan Stanley Capital Services, LLC

$

43,000,000

Pay

1-Month USD-LIBOR-ICE

2.000

% (12)

Monthly

11/01/21

(13)

$

(685,943

)

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

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

 

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

 

(7)

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

 

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

 

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

 

(10)	Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 10.1%.

 

(11)

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

 

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

 

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

 

(14)

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

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

PIK	All or a portion of this security is payment-in-kind.

 

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

 

TBD

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

 

USD-LIBOR-ICE

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

 

See accompanying notes to financial statements.

 

NUVEEN			33

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JFR

 

Nuveen Floating Rate Income Fund
Portfolio of Investments		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 144.1% (92.7% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 123.4% (79.4% of Total Investments) (4)
				Aerospace & Defense – 2.1% (1.4% of Total Investments)
$	4,269			B/E Aerospace, Inc., Term Loan B			3.943%				12/16/21				BB+			$	4,294,741
	5,694			Sequa Corporation, Term Loan B			5.250%				6/19/17				CCC–				5,461,430
	995			Transdigm, Inc., Extend Term Loan F			3.778%				6/07/23				Ba2				994,005
	2,950			Transdigm, Inc., Term Loan E, First Lien			3.851%				5/14/22				Ba2				2,945,599
	13,908			Total Aerospace & Defense															13,695,775
				Air Freight & Logistics – 0.7% (0.4% of Total Investments)
	775			Americold Realty Operating Partnership, Term Loan B			4.750%				12/01/22				BB				788,224
	1,500			PAE Holding Corporation, Term Loan B			6.500%				10/20/22				B+				1,515,938
	2,166			XPO Logistics, Inc., Refinanced Term Loan B2, First Lien			4.250%				11/01/21				Ba1				2,186,546
	4,441			Total Air Freight & Logistics															4,490,708
				Airlines – 1.8% (1.2% of Total Investments)
	5,365			American Airlines, Inc., Term Loan B			3.267%				12/14/23				BB+				5,397,861
	3,388			American Airlines, Inc., Term Loan B, First Lien			3.276%				6/29/20				BB+				3,410,317
	2,940			American Airlines, Inc., Term Loan B, First Lien			3.263%				10/08/21				BB+				2,960,213
	11,693			Total Airlines															11,768,391
				Auto Components – 0.2% (0.1% of Total Investments)
	1,241			Horizon Global Corporation, Term Loan B			7.919%				6/30/21				B+				1,264,060
				Automobiles – 2.2% (1.4% of Total Investments)
	4,588			Chrysler Group LLC, Tranche B, Term Loan			3.270%				12/31/18				BBB–				4,601,768
	7,795			Formula One Group, Term Loan, First Lien			5.068%				7/30/21				B				7,853,920
	2,000			Formula One Group, Term Loan, Second Lien			8.068%				7/29/22				CCC+				2,016,500
	14,383			Total Automobiles															14,472,188
				Building Products – 0.9% (0.6% of Total Investments)
	2,044			Gates Global LLC, Term Loan			4.250%				7/06/21				B+				2,041,951
	4,000			Quikrete Holdings, Inc., Initial Term Loan, First Lien			4.017%				11/15/23				BB–				4,054,284
	6,044			Total Building Products															6,096,235
				Capital Markets – 0.4% (0.3% of Total Investments)
	2,764			Citco III Limited, Term Loan B			4.250%				6/29/18				N/R				2,771,286
				Chemicals – 1.9% (1.2% of Total Investments)
	993			Avantor Performance Materials, Incremental Term Loan B			6.000%				6/21/22				B1				1,009,777
	2,706			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				2,713,650
	588			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				592,622
	2,319			Mineral Technologies, Inc., Term Loan B2			4.750%				5/07/21				BB+				2,339,089
	1,980			OM Group, Inc., Dollar Term Loan B, First Lien			7.000%				10/28/21				Ba3				1,982,475
	3,463			Univar, Inc., Term Loan B			3.519%				7/01/22				BB–				3,461,692
	12,049			Total Chemicals															12,099,305
				Commercial Services & Supplies – 3.9% (2.5% of Total Investments)
	1,029			Acosta, Inc., Term Loan B			4.289%				9/26/21				B1				996,517
	743			ADS Waste Holdings, Inc., Term Loan B, First Lien			3.500%				11/10/23				BB				751,582
	824			Education Management LLC, Tranche A, Term Loan, (8)			5.509%				7/02/20				N/R				362,683
	1,567			Education Management LLC, Tranche B, Term Loan, (8)			8.509%				7/02/20				N/R				148,874
	1,500			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			5.000%				10/19/23				B2				1,513,125
	4,521			iQor US, Inc., Term Loan, First Lien			6.000%				4/01/21				B				4,344,216
	500			iQor US, Inc., Term Loan, Second Lien			9.750%				4/01/22				CCC+				436,667

 

	34			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Commercial Services & Supplies (continued)
$	1,489			KAR Auction Services, Inc., Term Loan B3, First Lien			4.500%				3/09/23				BB–			$	1,509,211
	3,491			Monitronics International, Inc., Term Loan B2, First Lien			6.500%				9/30/22				B2				3,544,712
	6,789			Protection One, Inc., Term Loan, First Lien			4.250%				5/02/22				Ba2				6,875,057
	1,108			Skillsoft Corporation, Initial Term Loan, First Lien			5.750%				4/28/21				B–				1,010,742
	1,980			Universal Services of America, Term Loan, First Lien			4.763%				7/28/22				B+				1,992,375
	1,750			Universal Services of America, Term Loan, Second Lien			9.539%				7/28/23				B–				1,785,000
	27,291			Total Commercial Services & Supplies															25,270,761
				Communications Equipment – 2.0% (1.3% of Total Investments)
	2,209			Avaya, Inc., DIP Term Loan, (WI/DD)			TBD				TBD				Baa3				2,278,773
	6,724			Avaya, Inc., Term Loan B3			5.537%				10/26/17				D				5,629,444
	1,060			Avaya, Inc., Term Loan B6			6.532%				3/31/18				D				889,627
	2,313			Avaya, Inc., Term Loan B7, (DD1)			6.282%				5/29/20				D				1,943,299
	2,274			Riverbed Technology, Inc., Term Loan B, First Lien			4.250%				4/24/22				B+				2,296,626
	14,580			Total Communications Equipment															13,037,769
				Consumer Finance – 2.0% (1.3% of Total Investments)
	2,332			First Data Corporation, New Dollar Term Loan			3.775%				7/08/22				BB				2,350,501
	10,324			First Data Corporation, Term Loan, First Lien			3.775%				3/24/21				BB				10,392,406
	12,656			Total Consumer Finance															12,742,907
				Containers & Packaging – 0.6% (0.4% of Total Investments)
	1,714			Berry Plastics Holding Corporation, Term Loan I			3.287%				10/01/22				BB				1,728,906
	2,357			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.000%				2/05/23				B+				2,367,896
	4,071			Total Containers & Packaging															4,096,802
				Diversified Consumer Services – 2.9% (1.8% of Total Investments)
	5,373			Cengage Learning Acquisitions, Inc., Term Loan B			5.250%				6/07/23				BB–				5,014,352
	493			Harland Clarke Holdings Corporation, Term Loan B3			7.000%				5/22/18				BB–				494,914
	1,388			Harland Clarke Holdings Corporation, Term Loan B4			6.993%				8/04/19				BB–				1,390,969
	7,768			Hilton Hotels Corporation, Series B2, Term Loan			3.271%				10/25/23				BBB–				7,856,936
	571			Hilton Hotels Corporation, Term Loan B1			3.500%				10/26/20				BBB–				576,674
	3,315			Houghton Mifflin, Term Loan B, First Lien, (DD1)			4.000%				5/28/21				B+				3,085,395
	215			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B–				216,540
	19,123			Total Diversified Consumer Services															18,635,780
				Diversified Financial Services – 1.9% (1.2% of Total Investments)
	2,184			MGM Growth Properties, Term Loan B			3.528%				4/25/23				BB+				2,201,241
	1,477			MJ Acquisition Corp., Term Loan, First Lien			4.001%				6/01/22				B+				1,486,407
	8,375			WideOpenWest Finance LLC, New Term Loan B			4.500%				8/18/23				B1				8,447,043
	12,036			Total Diversified Financial Services															12,134,691
				Diversified Telecommunication Services – 6.6% (4.3% of Total Investments)
	1,496			DTI Holdings, Inc., Term Loan B, First Lien			6.250%				10/02/23				B				1,488,145
	3,616			Frontier Communications Corporation, Term Loan A, Delayed Draw, First Lien			3.280%				3/31/21				BB				3,520,801
	4,500			Greeneden U.S. Holdings II LLC, Term Loan B			5.000%				12/01/23				B2				4,557,186
	10,066			Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan			3.750%				6/30/19				B1				9,926,031
	2,435			Level 3 Financing, Inc., Term Loan B2			3.513%				5/31/22				BBB–				2,457,082
	3,667			Level 3 Financing, Inc., Term Loan, Tranche B3			4.000%				8/01/19				BBB–				3,696,458
	721			Presidio, Inc., Term Loan, First Lien			4.500%				2/02/22				B1				728,594
	4,000			Verizon Communications, Inc., Term Loan			2.021%				7/31/19				BBB+				4,004,168
	759			Zayo Group LLC, Term Loan B2			3.500%				1/12/24				N/R				767,443
	12,000			Ziggo B.V., Term Loan E			0.000%				4/25/25				BB–				12,041,256
	43,260			Total Diversified Telecommunication Services															43,187,164
				Electric Utilities – 1.8% (1.1% of Total Investments)
	954			EFS Cogen Holdings LLC, Term Loan B			4.500%				6/28/23				BB				965,127
	6,500			Energy Future Intermediate Holding Company, DIP Term Loan			4.250%				6/30/17				BB				6,547,938
	3,257			Vistra Operations Co., Term Loan B			3.500%				8/04/23				Ba2				3,273,429

 

NUVEEN			35

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JFR		Nuveen Floating Rate Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Electric Utilities (continued)
$	743			Vistra Operations Co., Term Loan C			3.500%				8/04/23				Ba2			$	746,571
	11,454			Total Electric Utilities															11,533,065
				Electronic Equipment, Instruments & Components – 1.2% (0.8% of Total Investments)
	3,901			SMART Modular Technologies, Inc., Term Loan B			9.250%				8/26/17				B				3,296,311
	2,637			TTM Technologies, Inc., New Term Loan			5.250%				5/31/21				BB–				2,665,258
	1,867			Zebra Technologies Corporation Refinancing Term Loan B, First Lien			3.446%				10/27/21				BB+				1,885,413
	8,405			Total Electronic Equipment, Instruments & Components															7,846,982
				Energy Equipment & Services – 0.9% (0.6% of Total Investments)
	3,359			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.063%				3/31/21				Caa2				2,612,007
	606			Dynamic Energy Services International LLC, Term Loan			11.000%				3/06/18				N/R				318,047
	2,842			Seventy Seven Operating LLC, Term Loan B			3.778%				6/25/20				B				2,840,541
	6,807			Total Energy Equipment & Services															5,770,595
				Equity Real Estate Investment Trusts – 3.0% (2.0% of Total Investments)
	11,056			Communications Sales & Leasing, Inc., Term Loan B			4.500%				10/24/22				BB–				11,189,063
	1,881			Realogy Group LLC, Term Loan B			3.026%				7/20/22				BB+				1,893,610
	6,879			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)			4.750%				12/18/20				B				6,631,537
	19,816			Total Equity Real Estate Investment Trusts															19,714,210
				Food & Staples Retailing – 6.3% (4.0% of Total Investments)
	24,332			Albertson’s LLC, Term Loan B4			3.778%				8/25/21				BB				24,489,675
	2,985			Albertson’s LLC, Term Loan B5			4.247%				12/21/22				BB				3,007,406
	4,175			Albertson’s LLC, Term Loan B6			4.061%				6/22/23				BB				4,206,340
	1,375			BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				B–				1,379,727
	728			Del Monte Foods Company, Term Loan, First Lien			4.250%				2/18/21				B–				658,994
	1,500			Rite Aid Corporation, Tranche 1, Term Loan, Second Lien			5.750%				8/21/20				BB–				1,508,204
	2,975			Rite Aid Corporation, Tranche 2, Term Loan, Second Lien			4.875%				6/21/21				BB–				2,988,634
	1,500			Save–A–Lot, Term Loan B			7.000%				12/02/23				B				1,495,313
	1,119			Supervalu, Inc., New Term Loan B			5.500%				3/21/19				BB–				1,127,778
	40,689			Total Food & Staples Retailing															40,862,071
				Food Products – 4.0% (2.6% of Total Investments)
	1,950			Hearthside Group Holdings LLC, Term Loan B			4.022%				6/21/21				B1				1,969,500
	3,644			Jacobs Douwe Egberts, Term Loan B			3.500%				7/04/22				BB				3,668,937
	2,968			Keurig Green Mountain, Inc., Term Loan B, First Lien			5.313%				3/03/23				BBB–				3,016,485
	3,597			Pinnacle Foods Finance LLC, Term Loan B, (WI/DD)			TBD				TBD				BB+				3,608,635
	10,318			US Foods, Inc., Term Loan B			3.778%				6/27/23				BB–				10,409,478
	3,458			Wilton Products, Inc., Tranche B, Term Loan			8.500%				8/30/18				CCC+				3,394,652
	25,935			Total Food Products															26,067,687
				Health Care Equipment & Supplies – 2.2% (1.4% of Total Investments)
	2,077			Acelity, Term Loan B, (WI/DD)			TBD				TBD				B1				2,066,375
	575			Ardent Medical Services, Inc., Term Loan B, First Lien			6.500%				8/04/21				B1				576,841
	1,096			ConvaTec, Inc., Term Loan B			3.278%				10/25/23				BB				1,104,224
	1,980			Greatbatch, Inc., Term Loan B			5.250%				10/27/22				B				1,994,108
	4,665			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				4,490,368
	2,553			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				2,144,678
	1,708			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				1,717,597
	14,654			Total Health Care Equipment & Supplies															14,094,191
				Health Care Providers & Services – 5.0% (3.2% of Total Investments)
	1,960			Acadia Healthcare, Inc., Term Loan B, First Lien			3.776%				2/11/22				Ba2				1,975,517
	1,660			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB–				1,580,495
	3,321			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB–				3,148,674
	3,570			DaVita HealthCare Partners, Inc., Tranche B, Term Loan			3.530%				6/24/21				BBB–				3,622,126
	1,579			Envision Healthcare Corporation, Term Loan B, First Lien			4.000%				12/01/23				BB–				1,595,360

 

	36			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Health Care Providers & Services (continued)
$	986			HCA, Inc., Term Loan B6, First Lien			4.028%				3/17/23				BBB–			$	996,843
	1,920			Healogics, Inc., Term Loan, First Lien			5.250%				7/01/21				B				1,760,284
	3,616			Heartland Dental Care, Inc., Term Loan, First Lien			5.500%				12/21/18				B1				3,626,224
	2,000			Heartland Dental Care, Inc., Term Loan, Second Lien			9.750%				6/21/19				CCC				1,965,834
	763			Kindred Healthcare, Inc., Term Loan B, First Lien			4.313%				4/09/21				BB–				765,686
	3,737			Millennium Laboratories, Inc., Term Loan B, First Lien			7.500%				12/21/20				CCC+				1,887,054
	1,392			MultiPlan, Inc., Term Loan B			5.000%				6/07/23				B+				1,413,136
	2,346			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				2,354,805
	2,059			Quorum Health Corp., Term Loan B			6.750%				4/29/22				B1				2,041,950
	1,480			Select Medical Corporation, Term Loan E, Tranche B, First Lien			6.025%				6/01/18				Ba2				1,491,765
	1,439			Select Medical Corporation, Term Loan F, First Lien			6.011%				3/03/21				Ba2				1,453,996
	1,100			Vizient, Inc., Term Loan B			5.000%				2/13/23				B+				1,115,397
	34,928			Total Health Care Providers & Services															32,795,146
				Health Care Technology – 0.7% (0.4% of Total Investments)
	4,412			Catalent Pharma Solutions, Inc., Term Loan B			3.750%				5/20/21				BB				4,458,595
				Hotels, Restaurants & Leisure – 5.2% (3.4% of Total Investments)
	7,738			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				7,819,081
	2,699			CCM Merger, Inc., Term Loan B			4.028%				8/09/21				BB–				2,718,977
	3,652			CityCenter Holdings LLC, Term Loan			4.250%				10/16/20				BB				3,695,770
	2,598			Intrawest Resorts Holdings, Inc., Term Loan B, Second Lien			4.500%				12/09/20				B+				2,626,311
	2,216			Life Time Fitness, Inc., Term Loan B			4.000%				6/10/22				B1				2,222,830
	3,880			Scientific Games Corporation, Term Loan			6.000%				10/18/20				Ba3				3,922,680
	4,414			Scientific Games Corporation, Term Loan B2			6.022%				10/01/21				Ba3				4,462,945
	3,231			Seaworld Parks and Entertainment, Inc., Term Loan B2			3.248%				5/14/20				BB–				3,199,196
	3,479			Station Casino LLC, Term Loan B			3.270%				6/08/23				BB				3,463,028
	33,907			Total Hotels, Restaurants & Leisure															34,130,818
				Household Products – 0.6% (0.4% of Total Investments)
	1,753			Serta Simmons Holdings LLC, Term Loan, First Lien			4.500%				11/08/23				B1				1,753,612
	1,995			Revlon Consumer Products Corporation, Term Loan B, First Lien			4.313%				9/07/23				Ba3				2,015,064
	3,748			Total Household Products															3,768,676
				Independent Power & Renewable Electricity Producers – 0.7% (0.4% of Total Investments)
	4,250			Dynegy, Inc., Term Loan B			4.250%				6/27/23				BB				4,296,487
				Industrial Conglomerates – 0.4% (0.2% of Total Investments)
	2,256			Brand Energy & Infrastructure Services, Inc., Initial Term Loan			4.771%				11/26/20				B				2,254,482
				Insurance – 2.1% (1.3% of Total Investments)
	5,260			Alliant Holdings I LLC, Term Loan B			4.250%				8/14/22				B				5,298,949
	2,475			AssuredPartners, Inc., Refinancing Term Loan, First Lien			5.250%				10/21/22				B+				2,512,204
	5,811			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				Ba3				5,834,284
	13,546			Total Insurance															13,645,437
				Internet and Direct Marketing Retail – 1.3% (0.8% of Total Investments)
	8,153			Travelport LLC, Term C Loan			4.250%				9/02/21				B+				8,241,023
				Internet Software & Services – 1.6% (1.0% of Total Investments)
	2,000			Ancestry.com, Inc., Term Loan B, First Lien			5.250%				10/19/23				B1				2,023,438
	1,000			Ancestry.com, Inc., Term Loan B, Second Lien			9.250%				10/19/24				CCC+				1,029,583
	2,000			Rackspace Hosting, Inc., Term Loan B, First Lien			4.500%				11/03/23				BB+				2,023,906
	605			Sabre Inc., Term Loan B2			4.500%				2/19/19				Ba2				609,079
	290			Sabre Inc., Term Loan C			4.000%				2/19/18				Ba2				290,617
	2,802			Sabre, Inc., Term Loan B			4.000%				2/19/19				Ba2				2,822,197
	2,228			SkillSoft Corporation, Term Loan, Second Lien			9.250%				4/28/22				CCC				1,635,883
	10,925			Total Internet Software & Services															10,434,703

 

NUVEEN			37

---

JFR		Nuveen Floating Rate Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				IT Services – 1.1% (0.7% of Total Investments)
$	1,311			Conduent, Inc., Term Loan B			6.250%				12/07/23				BB+			$	1,335,099
	2,385			EIG Investors Corp., Term Loan, First Lien			6.480%				11/09/19				B+				2,390,911
	1,341			Engility Corporation, Term Loan B2			5.750%				8/14/23				BB–				1,354,029
	445			Mitchell International, Inc., Initial Term Loan B, First Lien			4.500%				10/13/20				B1				446,355
	1,493			WEX, Inc., Term Loan B			4.278%				6/30/23				BB–				1,514,071
	366			Zayo Group LLC, Term Loan B3, (WI/DD)			TBD				TBD				BB				369,510
	7,341			Total IT Services															7,409,975
				Leisure Products – 1.6% (1.0% of Total Investments)
	3,390			24 Hour Fitness Worldwide, Inc., Term Loan B			4.750%				5/28/21				Ba3				3,339,039
	2,973			Academy, Ltd., Term Loan B, (DD1)			5.019%				7/01/22				B2				2,637,429
	3,129			Equinox Holdings, Inc., New Initial Term Loan B			5.000%				1/31/20				B+				3,155,771
	1,000			Four Seasons Holdings, Inc., Term Loan B			3.750%				11/30/23				BB				1,013,125
	10,492			Total Leisure Products															10,145,364
				Life Sciences Tools & Services – 0.2% (0.1% of Total Investments)
	1,000			Inventiv Health, Inc., Term Loan B			4.750%				11/09/23				B				1,008,661
				Machinery – 0.6% (0.4% of Total Investments)
	1,536			Rexnord LLC. Term Loan B, First Lien			3.770%				8/21/23				BB–				1,547,608
	2,394			Safway Group Holdings LLC, Initial Term Loan, First Lien			5.750%				8/21/23				B+				2,428,912
	3,930			Total Machinery															3,976,520
				Marine – 0.2% (0.1% of Total Investments)
	1,444			American Commercial Lines LLC, Term Loan B, First Lien			9.750%				11/12/20				B				1,382,391
				Media – 12.5% (8.1% of Total Investments)
	2,094			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.248%				7/23/21				B1				2,095,765
	1,791			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				1,758,241
	1,743			Affinion Group Holdings, Inc., Initial Term Loan, Second Lien			8.500%				10/31/18				Caa1				1,704,571
	987			Affinion Group Holdings, Inc., Term Loan, First Lien			6.750%				4/30/18				B1				985,943
	1,950			Catalina Marketing Corporation, Term Loan, First Lien			4.500%				4/09/21				B1				1,713,563
	2,000			Catalina Marketing Corporation, Term Loan, Second Lien			7.750%				4/11/22				Caa1				1,380,000
	7,424			Cequel Communications LLC, Term Loan B			3.778%				1/15/25				BB–				7,521,487
	4,963			Charter Communications Operating Holdings LLC, Term Loan I, First Lien			3.026%				1/15/24				BBB–				4,986,424
	3,788			Clear Channel Communications, Inc., Tranche D, Term Loan			7.528%				1/30/19				Caa1				3,184,381
	2,718			Clear Channel Communications, Inc., Term Loan E			8.278%				7/30/19				Caa1				2,284,692
	13,036			Cumulus Media, Inc., Term Loan B			4.250%				12/23/20				B3				8,623,656
	3,503			Emerald Expositions Holdings, Inc., Term Loan, First Lien			4.750%				6/17/20				BB–				3,529,579
	2,015			Getty Images, Inc., Term Loan B, First Lien			4.750%				10/18/19				B3				1,743,808
	890			Gray Television, Inc., Initial Term Loan			3.959%				6/13/21				BB				896,143
	2,925			IMG Worldwide, Inc., First Lien			5.290%				5/06/21				B+				2,944,537
	2,000			Lions Gate Entertainment Corporation, Term Loan B			3.766%				12/08/23				Ba2				2,017,500
	1,692			LSC Communications, Term Loan			7.000%				9/30/22				Ba3				1,708,583
	2,985			McGraw–Hill Education Holdings LLC, Term Loan B			5.000%				5/02/22				Ba3				2,871,731
	337			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				1/17/24				Ba3				341,251
	3,663			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				9/26/23				BB+				3,703,749
	3,258			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.500%				8/14/20				B				3,266,281
	17,297			Univision Communications, Inc., Replacement Term Loan, First Lien			4.000%				3/01/20				B+				17,356,077
	2,000			Virgin Media Investment Holdings, Limited Term Loan I			3.517%				1/31/25				BB–				2,015,000
	1,520			WMG Acquisition Corporation, Term Loan B, First Lien			3.750%				11/01/23				Ba3				1,529,425
	447			Yell Group PLC, PIK Term Loan B2, First Lien			0.000%				9/07/65				N/R				895,003
	487			Yell Group PLC, Term Loan A2, First Lien			8.000%				9/07/21				N/R				498,395
	87,513			Total Media															81,555,785
				Metals & Mining – 1.0% (0.7% of Total Investments)
	1,805			Fairmount Minerals, Ltd. Term Loan B2, First Lien			4.500%				9/05/19				B–				1,768,836
	1,703			Fairmount Minerals, Ltd., Term Loan B1, First Lien			4.500%				9/05/19				B–				1,660,317

 

	38			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Metals & Mining (continued)
$	1,511			Fortescue Metals Group, Ltd., Term Loan B, First Lien			3.750%				6/30/19				BBB–			$	1,521,681
	1,674			Zekelman Industries, Term Loan B, (DD1)			6.000%				6/14/21				BB–				1,674,318
	6,693			Total Metals & Mining															6,625,152
				Multiline Retail – 2.1% (1.4% of Total Investments)
	3,464			99 Cents Only Stores Tranche B2, Term Loan			4.500%				1/11/19				CCC+				2,996,015
	1,500			Bass Pro Group LLC, Sale Facility, Term Loan, First Lien			5.720%				5/15/18				B+				1,490,625
	1,508			Bass Pro Group LLC, Term Loan B			5.970%				12/15/23				B+				1,468,706
	1,943			Bass Pro Group LLC, Term Loan B, First Lien			4.016%				6/05/20				B+				1,920,386
	2,978			Belk, Inc., Term Loan B, First Lien			5.760%				12/12/22				B				2,555,532
	2,010			Dollar Tree, Inc., Term Loan B2			4.250%				7/06/22				BBB–				2,041,356
	1,382			Hudson’s Bay Company, Term Loan B, First Lien			4.250%				9/30/22				BB				1,364,343
	14,785			Total Multiline Retail															13,836,963
				Oil, Gas & Consumable Fuels – 4.5% (2.9% of Total Investments)
	1,000			California Resources Corporation, Term Loan A, First Lien			3.439%				9/24/19				B1				980,000
	662			Crestwood Holdings LLC, Term Loan B			9.000%				6/19/19				B3				660,454
	286			Energy and Exploration Partners, Term Loan, Second Lien			5.000%				5/13/22				N/R				157,519
	4,039			EP Energy LLC, Term Loan B			9.750%				6/30/21				B–				4,195,803
	3,327			Fieldwood Energy LLC, Term Loan, First Lien			3.875%				10/01/18				B2				3,216,875
	1,818			Fieldwood Energy LLC, Term Loan, First Lien			8.000%				8/31/20				B2				1,766,014
	912			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				CCC–				722,702
	1,474			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B–				1,333,610
	5,297			Harvey Gulf International Marine, Inc., Term Loan B			5.470%				6/18/20				CCC+				4,370,145
	8,958			Peabody Energy Corporation, Term Loan B, (WI/DD)			TBD				TBD				N/R				9,045,887
	3,794			Seadrill Partners LLC, Initial Term Loan			4.000%				2/21/21				CCC+				2,800,224
	59			Southcross Holdings Borrower L.P., Term Loan B, First Lien			3.500%				4/13/23				CCC+				48,545
	31,626			Total Oil, Gas & Consumable Fuels															29,297,778
				Pharmaceuticals – 3.0% (1.9% of Total Investments)
	2,227			Concordia Healthcare Corporation, Term Loan B, First Lien			5.250%				10/21/21				B2				1,755,023
	5,500			Grifols, Inc., Term Loan B, (WI/DD)			TBD				TBD				BB				5,538,957
	3,900			Patheon, Inc., Term Loan B			4.250%				3/11/21				B				3,930,471
	8,005			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.250%				8/18/22				B1				8,069,547
	235			Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan			5.270%				8/05/20				BB–				235,390
	19,867			Total Pharmaceuticals															19,529,388
				Professional Services – 0.2% (0.2% of Total Investments)
	1,597			Ceridian Corporation, Term Loan B2			4.539%				9/15/20				Ba3				1,595,635
				Real Estate Management & Development – 1.1% (0.7% of Total Investments)
	3,723			Capital Automotive LP, Term Loan, Second Lien			6.000%				4/30/20				B1				3,778,735
	3,312			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				BB				3,336,576
	7,035			Total Real Estate Management & Development															7,115,311
				Road & Rail – 0.3% (0.2% of Total Investments)
	1,980			Quality Distribution, Term Loan, First Lien			5.750%				8/18/22				B2				1,955,250
				Semiconductors & Semiconductor Equipment – 2.3% (1.5% of Total Investments)
	1,275			Cypress Semiconductor Corp, Term Loan B			6.500%				7/05/21				BB				1,303,688
	1,741			Micron Technology, Inc., Term Loan B, First Lien			4.530%				4/26/22				Baa2				1,768,819
	2,381			Microsemi Corporation, New Term Loan			3.019%				1/31/23				BB				2,318,602
	2,862			NXP Semiconductor LLC, Term Loan D			3.278%				1/11/20				Baa2				2,878,910
	2,260			NXP Semiconductor LLC, Term Loan F			3.240%				12/07/20				Baa2				2,274,095
	4,239			On Semiconductor Corp., Term Loan B, First Lien			4.028%				3/31/23				Ba1				4,288,539
	14,758			Total Semiconductors & Semiconductor Equipment															14,832,653
				Software – 11.1% (7.1% of Total Investments)
	3,043			Blackboard, Inc., Term Loan B4			6.023%				6/30/21				B+				3,057,974

 

NUVEEN			39

---

JFR		Nuveen Floating Rate Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Software (continued)
$	5,565			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B+			$	5,558,789
	1,554			Computer Sciences Government Services, Term Loan B, First Lien			3.435%				11/30/23				BB+				1,563,238
	4,712			Compuware Corporation, Term Loan B2, First Lien			5.250%				12/15/21				B				4,726,992
	1,358			Compuware Corporation, Term Loan, Second Lien			9.250%				12/15/22				CCC+				1,368,965
	3,929			Ellucian, Term Loan B, First Lien			4.250%				9/30/22				B				3,939,227
	4,612			Emdeon, Inc., Term Loan B2			3.750%				11/02/18				BB–				4,620,601
	12,463			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5			3.750%				6/03/20				B1				12,455,493
	1,728			Informatica Corp., Term Loan B			4.500%				8/05/22				B+				1,724,885
	1,500			Kronos Incorporated, Term Loan B, First Lien			5.000%				11/01/23				B				1,517,301
	2,768			Micro Focus International PLC, Term Loan B			4.789%				11/19/21				BB–				2,799,652
	2,723			Micro Focus International PLC, Term Loan C			4.789%				11/20/19				BB–				2,751,669
	6,224			Misys PLC, Term Loan B, First Lien			5.000%				12/12/18				B+				6,258,459
	2,296			MSC Software Corporation, Initial Term Loan, First Lien			5.000%				5/29/20				B1				2,302,188
	2,000			RP Crown Parent LLC, Term Loan B, First Lien			4.500%				10/12/23				B1				2,012,322
	1,998			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.028%				7/08/22				BB+				2,022,337
	192			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.028%				7/08/22				BB+				194,077
	7,778			Tibco Software, Inc., Term Loan B			5.500%				12/04/20				B1				7,858,341
	2,993			Uber Technologies, Inc., Term Loan B, First Lien			5.000%				7/13/23				N/R				3,015,318
	748			Vertafore, Inc., Term Loan, First Lien			4.250%				6/30/23				B				754,738
	1,750			Vertiv Co., Term Loan B			6.029%				11/30/23				Ba3				1,774,325
	71,934			Total Software															72,276,891
				Specialty Retail – 1.3% (0.9% of Total Investments)
	2,238			Gardner Denver, Inc., Term Loan			4.558%				7/30/20				B				2,216,459
	1,185			Jo-Ann Stores, Inc., Term Loan B			6.256%				10/20/23				B+				1,171,385
	4,005			Petco Animal Supplies, Inc., Term Loan B1			4.250%				1/26/23				B1				3,956,422
	1,282			Petsmart Inc., Term Loan B, First Lien			4.000%				3/11/22				BB–				1,272,470
	8,710			Total Specialty Retail															8,616,736
				Technology Hardware, Storage & Peripherals – 5.7% (3.7% of Total Investments)
	7,900			Dell International LLC, Term Loan A2, First Lien			3.030%				9/07/21				BBB–				7,908,461
	4,500			Dell International LLC, Term Loan A3, First Lien			2.780%				12/31/18				BBB–				4,509,000
	14,687			Dell International LLC, Term Loan B			4.030%				9/07/23				BBB–				14,831,495
	1,750			Dell Software Group, Term Loan B			7.000%				10/31/22				B1				1,776,906
	7,960			Western Digital, Inc., Term Loan B1			4.526%				4/29/23				BBB–				8,064,475
	36,797			Total Technology Hardware, Storage & Peripherals															37,090,337
				Textiles, Apparel & Luxury Goods – 0.5% (0.3% of Total Investments)
	1,071			G-III Apparel Group, Term Loan B			6.250%				12/01/22				BB				1,050,000
	2,343			Gymboree Corporation, Term Loan			5.000%				2/23/18				Caa3				1,172,740
	2,067			J Crew Group, Term Loan B, First Lien			4.000%				3/05/21				Caa1				1,160,742
	5,481			Total Textiles, Apparel & Luxury Goods															3,383,482
				Trading Companies & Distributors – 2.5% (1.6% of Total Investments)
	8,273			Avolon, Term Loan B2, (WI/DD)			TBD				TBD				BBB–				8,388,474
	6,128			HD Supply, Inc., Term Loan B			3.748%				8/13/21				BB–				6,175,733
	1,654			Neff Rental/Neff Finance Closing Date Loan, Second Lien			7.543%				6/09/21				B–				1,654,958
	16,055			Total Trading Companies & Distributors															16,219,165
				Transportation Infrastructure – 0.4% (0.3% of Total Investments)
	150			Ceva Group PLC, Canadian Term Loan			6.539%				3/19/21				B2				132,278
	868			Ceva Group PLC, Dutch B.V., Term Loan			6.539%				3/19/21				B2				767,213
	846			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				3/19/21				B2				748,084
	1,197			Ceva Group PLC, US Term Loan			6.539%				3/19/21				B2				1,058,225
	3,061			Total Transportation Infrastructure															2,705,800
				Wireless Telecommunication Services – 4.1% (2.6% of Total Investments)
	944			Asurion LLC, Term Loan B2			4.028%				7/08/20				B1				951,309
	4,656			Asurion LLC, Term Loan B4			4.250%				8/04/22				B+				4,708,611
	3,322			Asurion, LLC, Term Loan B5, First Lien			4.750%				11/03/23				B+				3,360,776

 

	40			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Wireless Telecommunication Services (continued)
$	182			Fairpoint Communications, Inc., Term Loan B			7.500%				2/14/19				B			$	184,018
	10,000			Sprint Corporation, Term Loan, First Lien, (WI/DD)			TBD				TBD				Ba2				10,000,000
	2,327			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.039%				4/23/19				B				2,103,115
	1,293			Syniverse Technologies, Inc., Tranche B, Term Loan			4.000%				4/23/19				B				1,168,342
	4,000			UPC Financing Partnership, Term Loan, First Lien			3.767%				8/31/24				BB				4,019,284
	26,724			Total Wireless Telecommunication Services															26,495,455
$	822,248			Total Variable Rate Senior Loan Interests (cost $811,162,151)															802,732,682
Shares				Description (1)														Value
				COMMON STOCKS – 1.8% (1.1% of Total Investments)
				Banks – 0.4% (0.2% of Total Investments)
	30,811			BLB Worldwide Holdings Inc., (5)														$	2,418,664
				Diversified Consumer Services – 0.1% (0.1% of Total Investments)
	78,490			Cengage Learning Holdings II LP, (5)															902,635
	9,876,769			Education Management Corporation, (5), (6)															988
				Total Diversified Consumer Services															903,623
				Energy Equipment & Services – 0.6% (0.4% of Total Investments)
	80,413			C&J Energy Services Inc., (5), (6)															3,457,758
	2,712			Vantage Drill International, (5), (6)															344,424
				Total Energy Equipment & Services															3,802,182
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	113,515			Millennium Health LLC, (5)															113,515
				Hotels Restaurants & Leisure – 0.0% (0.0% of Total Investments)
	2,670			Buffets Term Loan, (5)															—
				Media – 0.7% (0.4% of Total Investments)
	824			Cumulus Media, Inc., (5)															822
	698,702			Hibu PLC, (5), (7)															1
	26,045			Metro-Goldwyn-Mayer, (5), (6)															2,484,042
	57,088			Tribune Media Company															1,646,418
	45,941			Tribune Media Company, (7)															—
	14,272			tronc, Inc., (5)															189,247
				Total Media															4,320,530
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	136			Energy and Exploration Partners, Inc., (5), (6)															47,600
	64			Southcross Holdings Borrower LP, (5)															20,000
				Total Oil, Gas & Consumable Fuels															67,600
				Software – 0.0% (0.0% of Total Investments)
	743,286			Eagle Topco LP, (5), (7)															1
				Total Common Stocks (cost $18,621,912)															11,626,115
Shares				Description (1)		Coupon								Ratings (3)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	10,989			Education Management Corporation			7.500%								N/R			$	110
				Total $25 Par (or similar) Retail Preferred (cost $26,686)															110

 

NUVEEN			41

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JFR		Nuveen Floating Rate Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CONVERTIBLE BONDS – 0.1% (0.1% of Total Investments)
				Communications Equipment – 0.1% (0.1% of Total Investments)
$	850			Nortel Networks Corp., (8)			1.750%				4/15/12				N/R			$	825,562
$	850			Total Convertible Bonds (cost $696,250)															825,562
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 12.0% (7.7% of Total Investments)
				Commercial Services & Supplies – 0.2% (0.1% of Total Investments)
$	1,034			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	1,041,755
				Communications Equipment – 0.2% (0.2% of Total Investments)
	210			Avaya Inc., 144A			7.000%				4/01/19				D				173,775
	5,150			Avaya Inc., 144A			10.500%				3/01/21				D				1,403,375
	5,360			Total Communications Equipment															1,577,150
				Diversified Telecommunication Services – 1.0% (0.7% of Total Investments)
	3,322			Inelsat Connect Finance SA, 144A			12.500%				4/01/22				CC				2,101,165
	1,080			IntelSat Limited			6.750%				6/01/18				Ca				923,400
	6,449			IntelSat Limited			7.750%				6/01/21				Ca				2,241,028
	4,550			IntelSat Limited			8.125%				6/01/23				Ca				1,512,875
	15,401			Total Diversified Telecommunication Services															6,778,468
				Equity Real Estate Investment Trusts – 0.2% (0.1% of Total Investments)
	1,500			iStar Inc.			4.000%				11/01/17				B+				1,507,500
				Health Care Equipment & Supplies – 0.8% (0.5% of Total Investments)
	1,000			Tenet Healthcare Corporation			6.750%				2/01/20				B–				992,500
	4,000			Tenet Healthcare Corporation			6.000%				10/01/20				BB–				4,220,000
	5,000			Total Health Care Equipment & Supplies															5,212,500
				Health Care Providers & Services – 0.2% (0.1% of Total Investments)
	1,200			Iasis Healthcare Capital Corporation			8.375%				5/15/19				CCC+				1,149,000
				Hotels, Restaurants & Leisure – 0.9% (0.6% of Total Investments)
	5,500			Scientific Games International Inc.			10.000%				12/01/22				B–				5,635,410
				Media – 3.8% (2.4% of Total Investments)
	1,000			CCO Holdings LLC Finance Corporation			5.750%				9/01/23				BB+				1,047,500
	200			Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation			3.579%				7/23/20				BBB–				204,866
	2,000			Dish DBS Corporation			5.875%				7/15/22				Ba3				2,079,000
	2,500			Dish DBS Corporation			5.875%				11/15/24				Ba3				2,528,125
	1,762			iHeartCommunications, Inc.			10.000%				1/15/18				CC				1,378,765
	6,562			iHeartCommunications, Inc.			9.000%				12/15/19				Caa1				5,491,574
	11,059			iHeartCommunications, Inc., PIK			14.000%				2/01/21				CC				4,147,283
	10,350			iHeartCommunications, Inc.			9.000%				3/01/21				Caa1				7,736,624
	35,433			Total Media															24,613,737
				Oil, Gas & Consumable Fuels – 1.2% (0.7% of Total Investments)
	2,585			California Resources Corporation, 144A			8.000%				12/15/22				CCC+				2,300,650
	700			Denbury Resources Inc.			6.375%				8/15/21				CCC+				640,500
	175			Denbury Resources Inc.			5.500%				5/01/22				CCC+				150,063
	750			Everest Acquisition LLC Finance			9.375%				5/01/20				CCC+				763,125
	3,000			FTS International Inc., 144A			8.350%				6/15/20				B				3,071,250
	600			Gastar Exploration Inc.			8.625%				5/15/18				Caa3				591,000
	7,810			Total Oil, Gas & Consumable Fuels															7,516,588

 

	42			NUVEEN

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Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)
$	1,564			Advanced Micro Devices, Inc.			7.500%				8/15/22				CCC+			$	1,718,445
	930			Advanced Micro Devices, Inc.			7.000%				7/01/24				CCC+				962,550
	2,494			Total Semiconductors & Semiconductor Equipment															2,680,995
				Software – 0.8% (0.5% of Total Investments)
	3,580			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+				3,454,700
	1,500			Boxer Parent Company Inc./BMC Software, 144A, PIK			9.000%				10/15/19				CCC+				1,455,000
	5,080			Total Software															4,909,700
				Wireless Telecommunication Services – 2.3% (1.5% of Total Investments)
	1,000			Sprint Communications Inc.			7.000%				8/15/20				B+				1,070,000
	7,750			Sprint Corporation			7.875%				9/15/23				B+				8,471,524
	1,750			Sprint Corporation			7.125%				6/15/24				B+				1,846,250
	3,750			T-Mobile USA Inc.			6.250%				4/01/21				BB				3,885,750
	14,250			Total Wireless Telecommunication Services															15,273,524
$	100,062			Total Corporate Bonds (cost $89,405,444)															77,896,327
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				ASSET-BACKED SECURITIES – 5.0% (3.2% of Total Investments)
$	2,500			BlueMountain Collateralized Loan Obligations Limited 2012-1A, 144A			6.530%				7/20/23				BB			$	2,499,913
	1,200			Bristol Park CLO Limited, Series 2016-1A, 144A			8.134%				4/15/29				Ba3				1,219,852
	500			Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A, 144A			6.024%				4/18/25				BB				485,961
	1,750			Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A			5.623%				7/15/25				BB				1,656,422
	1,000			Finn Square Collateralized Loan Obligations Limited, Series 2012-1A, 144A			6.047%				12/24/23				BB				999,947
	500			ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A			6.023%				4/15/24				BB				479,365
	2,700			LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A			6.775%				10/19/22				BB				2,713,624
	6,000			LCM Limited Partnership, Collateralized Loan Obligation, 2015A, 144A			6.052%				2/25/17				BB–				5,920,787
	2,750			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A			6.530%				4/20/26				Ba3				2,696,430
	1,500			Madison Park Funding Limited, Series 2012-10A, 144A			8.650%				1/20/29				BB				1,537,772
	500			North End CLO Limited, Loan Pool, 144A			5.623%				7/17/25				BB				452,484
	750			Northwoods Capital Corporation, Collateralized Loan Obligations 2012-9A, 144A			6.124%				1/18/24				BB–				745,982
	3,000			Octagon Investment Partners, Series 2015-1A, 144A			6.880%				10/20/26				Ba3				2,972,040
	1,250			OZLM Funding Limited, Series 2012-2A, 144A			8.187%				10/30/27				BB				1,250,713
	3,000			Race Point Collateralized Loan Obligation Series 2012-7A, 144A			6.038%				11/08/24				BB–				2,910,378
	1,000			Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A			6.963%				12/15/22				BBB+				999,925
	3,000			Race Point Collateralized Loan Obligations, Series 2012-6A, 144A			6.804%				5/24/23				BB				3,000,023
$	32,900			Total Asset-Backed Securities (cost $31,258,542)															32,541,618
Shares				Description (1), (9)														Value
				INVESTMENT COMPANIES – 1.8% (1.2% of Total Investments)
	353,668			Eaton Vance Floating-Rate Income Trust Fund														$	5,372,217
	968,586			Eaton Vance Senior Income Trust															6,576,699
				Total Investment Companies (cost $11,981,509)															11,948,916
				Total Long-Term Investments (cost $963,152,494)															937,571,330

 

NUVEEN			43

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JFR		Nuveen Floating Rate Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon				Maturity								Value
				SHORT-TERM INVESTMENTS – 11.3% (7.3% of Total Investments)
				REPURCHASE AGREEMENTS – 11.3% (7.3% of Total Investments)
$	73,311			Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $73,311,496, collateralized by $74,745,000 U.S. Treasury Notes, 2.250%, due 12/31/23, value $74,779,009			0.030%				2/01/17							$	73,311,435
				Total Short-Term Investments (cost $73,311,435)															73,311,435
				Total Investments (cost $1,036,463,929) – 155.4%															1,010,882,765
				Borrowings – (39.8)% (10), (11)															(258,900,000	)
				Term Preferred Shares, at Liquidation Preference – (13.9)% (12)															(90,200,000	)
				Other Assets Less Liabilities – (1.7)% (13)															(11,374,494	)
				Net Assets Applicable to Common Shares – 100%														$	650,408,271

Investments in Derivatives as of January 31, 2017

Interest Rate Swaps

 

Counterparty		Notional Amount				Fund Pay/Receive Floating Rate				Floating Rate Index				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Termination Date				Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services, LLC		$	10,200,000				Pay				1-Month USD-LIBOR-ICE				1.750	% (14)			Monthly				12/01/19	(15)		$	(23,935	)
Morgan Stanley Capital Services, LLC			25,000,000				Pay				1-Month USD-LIBOR-ICE				2.700	% (16)			Monthly				1/01/22	(17)			(38,277	)
Morgan Stanley Capital Services, LLC			55,000,000				Pay				1-Month USD-LIBOR-ICE				4.000	%			Monthly				1/01/27	(18)			300,851
		$	90,200,000																							$	238,639

 

	44			NUVEEN

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

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

 

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

 

(7)

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

 

(8)

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

 

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

 

(10)	Borrowings as a percentage of Total Investments is 25.6%.

 

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

 

(12)	Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 8.9%.

 

(13)

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

 

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

 

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

 

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

 

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

 

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

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

PIK	All or a portion of this security is payment-in-kind.

 

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

 

TBD

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

 

USD-LIBOR-ICE

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

 

See accompanying notes to financial statements.

 

NUVEEN			45

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JRO

 

Nuveen Floating Rate Income Opportunity Fund
Portfolio of Investments		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 145.7% (93.2% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 126.3% (80.8% of Total Investments) (4)
				Aerospace & Defense – 2.5% (1.6% of Total Investments)
$	3,049			B/E Aerospace, Inc., Term Loan B			3.943%				12/16/21				BB+			$	3,067,672
	4,504			Sequa Corporation, Term Loan B			5.250%				6/19/17				CCC–				4,320,953
	746			Transdigm, Inc., Extend Term Loan F			3.778%				6/07/23				Ba2				745,504
	3,358			Transdigm, Inc., Term Loan E, First Lien			3.851%				5/14/22				Ba2				3,352,493
	11,657			Total Aerospace & Defense															11,486,622
				Air Freight & Logistics – 0.8% (0.5% of Total Investments)
	1,163			Americold Realty Operating Partnership, Term Loan B			4.750%				12/01/22				BB				1,182,337
	1,000			PAE Holding Corporation, Term Loan B			6.500%				10/20/22				B+				1,010,625
	1,444			XPO Logistics, Inc., Refinanced Term Loan B2, First Lien			4.250%				11/01/21				Ba1				1,457,697
	3,607			Total Air Freight & Logistics															3,650,659
				Airlines – 1.8% (1.1% of Total Investments)
	3,660			American Airlines, Inc., Term Loan B			3.267%				12/14/23				BB+				3,682,417
	2,418			American Airlines, Inc., Term Loan B, First Lien			3.276%				6/29/20				BB+				2,433,832
	1,960			American Airlines, Inc., Term Loan B, First Lien			3.263%				10/08/21				BB+				1,973,475
	8,038			Total Airlines															8,089,724
				Auto Components – 0.2% (0.1% of Total Investments)
	993			Horizon Global Corporation, Term Loan B			7.919%				6/30/21				B+				1,011,248
				Automobiles – 2.6% (1.7% of Total Investments)
	4,588			Chrysler Group LLC, Tranche B, Term Loan			3.270%				12/31/18				BBB–				4,601,768
	5,568			Formula One Group, Term Loan, First Lien			5.068%				7/30/21				B				5,609,942
	1,500			Formula One Group, Term Loan, Second Lien			8.068%				7/29/22				CCC+				1,512,375
	11,656			Total Automobiles															11,724,085
				Building Products – 1.0% (0.6% of Total Investments)
	1,460			Gates Global LLC, Term Loan			4.250%				7/06/21				B+				1,458,536
	3,000			Quikrete Holdings, Inc., Initial Term Loan, First Lien			4.017%				11/15/23				BB–				3,040,713
	4,460			Total Building Products															4,499,249
				Capital Markets – 0.6% (0.4% of Total Investments)
	2,764			Citco III Limited, Term Loan B			4.250%				6/29/18				N/R				2,771,286
				Chemicals – 1.3% (0.9% of Total Investments)
	596			Avantor Performance Materials, Incremental Term Loan B			6.000%				6/21/22				B1				605,866
	1,993			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				1,998,969
	433			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				436,546
	1,521			Mineral Technologies, Inc., Term Loan B2			4.750%				5/07/21				BB+				1,534,647
	1,485			OM Group, Inc., Dollar Term Loan B, First Lien			7.000%				10/28/21				Ba3				1,486,856
	6,028			Total Chemicals															6,062,884
				Commercial Services & Supplies – 4.4% (2.8% of Total Investments)
	686			Acosta, Inc., Term Loan B			4.289%				9/26/21				B1				664,345
	745			ADS Waste Holdings, Inc., Term Loan B, First Lien			3.500%				11/10/23				BB				753,475
	261			Education Management LLC, Tranche A, Term Loan, (8)			5.509%				7/02/20				N/R				114,731
	496			Education Management LLC, Tranche B, Term Loan, (8)			8.509%				7/02/20				N/R				47,095
	1,000			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			5.000%				10/19/23				B2				1,008,750
	1,000			Fort Dearborn Holding Company, Inc., Term Loan, Second Lien			9.500%				10/07/24				CCC				1,022,500
	3,165			iQor US, Inc., Term Loan, First Lien			6.000%				4/01/21				B				3,040,952
	333			iQor US, Inc., Term Loan, Second Lien			9.750%				4/01/22				CCC+				291,111

 

	46			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Commercial Services & Supplies (continued)
$	1,241			KAR Auction Services, Inc., Term Loan B3, First Lien			4.500%				3/09/23				BB–			$	1,257,676
	2,993			Monitronics International, Inc., Term Loan B2, First Lien			6.500%				9/30/22				B2				3,038,324
	4,648			Protection One, Inc., Term Loan, First Lien			4.250%				5/02/22				Ba2				4,708,172
	831			Skillsoft Corporation, Initial Term Loan, First Lien			5.750%				4/28/21				B–				758,056
	1,485			Universal Services of America, Term Loan, First Lien			4.763%				7/28/22				B+				1,494,281
	1,750			Universal Services of America, Term Loan, Second Lien			9.539%				7/28/23				B–				1,785,000
	20,634			Total Commercial Services & Supplies															19,984,468
				Communications Equipment – 2.2% (1.4% of Total Investments)
	1,815			Avaya, Inc., DIP Term Loan, (WI/DD)			TBD				TBD				Baa3				1,871,720
	5,418			Avaya, Inc., Term Loan B3			5.537%				10/26/17				D				4,536,050
	1,060			Avaya, Inc., Term Loan B6			6.532%				3/31/18				D				889,627
	1,815			Avaya, Inc., Term Loan B7, (DD1)			6.282%				5/29/20				D				1,525,239
	1,299			Riverbed Technology, Inc., Term Loan B, First Lien			4.250%				4/24/22				B+				1,311,652
	11,407			Total Communications Equipment															10,134,288
				Consumer Finance – 2.1% (1.4% of Total Investments)
	1,866			First Data Corporation, New Dollar Term Loan			3.775%				7/08/22				BB				1,880,401
	7,769			First Data Corporation, Term Loan, First Lien			3.775%				3/24/21				BB				7,820,247
	9,635			Total Consumer Finance															9,700,648
				Containers & Packaging – 0.3% (0.2% of Total Investments)
	1,286			Berry Plastics Holding Corporation, Term Loan I			3.287%				10/01/22				BB				1,296,679
				Diversified Consumer Services – 3.1% (2.0% of Total Investments)
	4,591			Cengage Learning Acquisitions, Inc., Term Loan B			5.250%				6/07/23				BB–				4,284,485
	352			Harland Clarke Holdings Corporation, Term Loan B3			7.000%				5/22/18				BB–				353,510
	1,388			Harland Clarke Holdings Corporation, Term Loan B4			6.993%				8/04/19				BB–				1,390,969
	4,815			Hilton Hotels Corporation, Series B2, Term Loan			3.271%				10/25/23				BBB–				4,871,142
	354			Hilton Hotels Corporation, Term Loan B1			3.500%				10/26/20				BBB–				357,526
	2,763			Houghton Mifflin, Term Loan B, First Lien, (DD1)			4.000%				5/28/21				B+				2,571,163
	154			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B–				155,433
	14,417			Total Diversified Consumer Services															13,984,228
				Diversified Financial Services – 2.0% (1.3% of Total Investments)
	1,489			MGM Growth Properties, Term Loan B			3.528%				4/25/23				BB+				1,500,846
	1,477			MJ Acquisition Corp., Term Loan, First Lien			4.001%				6/01/22				B+				1,486,407
	5,830			WideOpenWest Finance LLC, New Term Loan B			4.500%				8/18/23				B1				5,880,203
	8,796			Total Diversified Financial Services															8,867,456
				Diversified Telecommunication Services – 7.0% (4.5% of Total Investments)
	998			DTI Holdings, Inc., Term Loan B, First Lien			6.250%				10/02/23				B				992,097
	2,844			Frontier Communications Corporation, Term Loan A, Delayed Draw, First Lien			3.280%				3/31/21				BB				2,769,642
	3,000			Greeneden U.S. Holdings II LLC, Term Loan B			5.000%				12/01/23				B2				3,038,124
	8,004			Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan			3.750%				6/30/19				B1				7,892,330
	761			Level 3 Financing, Inc., Term Loan B2			3.513%				5/31/22				BBB–				768,280
	2,667			Level 3 Financing, Inc., Term Loan, Tranche B3			4.000%				8/01/19				BBB–				2,688,333
	692			Presidio, Inc., Term Loan, First Lien			4.500%				2/02/22				B1				699,450
	3,000			Verizon Communications, Inc., Term Loan			2.021%				7/31/19				BBB+				3,003,126
	759			Zayo Group LLC, Term Loan B2			3.500%				1/12/24				N/R				767,443
	9,000			Ziggo B.V., Term Loan E			0.000%				4/25/25				BB–				9,030,941
	31,725			Total Diversified Telecommunication Services															31,649,766
				Electric Utilities – 1.8% (1.2% of Total Investments)
	716			EFS Cogen Holdings LLC, Term Loan B			4.500%				6/28/23				BB				723,845
	4,500			Energy Future Intermediate Holding Company, DIP Term Loan			4.250%				6/30/17				BB				4,533,188
	2,443			Vistra Operations Co., Term Loan B			3.500%				8/04/23				Ba2				2,455,071
	557			Vistra Operations Co., Term Loan C			3.500%				8/04/23				Ba2				559,929
	8,216			Total Electric Utilities															8,272,033

 

NUVEEN			47

---

JRO		Nuveen Floating Rate Income Opportunity Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Electronic Equipment, Instruments & Components – 1.4% (0.9% of Total Investments)
$	2,242			SMART Modular Technologies, Inc., Term Loan B			9.250%				8/26/17				B			$	1,894,891
	1,884			TTM Technologies, Inc., New Term Loan			5.250%				5/31/21				BB–				1,903,756
	2,496			Zebra Technologies Corporation Refinancing Term Loan B, First Lien			3.446%				10/27/21				BB+				2,520,618
	6,622			Total Electronic Equipment, Instruments & Components															6,319,265
				Energy Equipment & Services – 1.0% (0.7% of Total Investments)
	2,578			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.063%				3/31/21				Caa2				2,004,180
	606			Dynamic Energy Services International LLC, Term Loan			11.000%				3/06/18				N/R				318,047
	2,381			Seventy Seven Operating LLC, Term Loan B			3.778%				6/25/20				B				2,379,611
	5,565			Total Energy Equipment & Services															4,701,838
				Equity Real Estate Investment Trusts – 3.0% (1.9% of Total Investments)
	7,664			Communications Sales & Leasing, Inc., Term Loan B			4.500%				10/24/22				BB–				7,756,591
	1,280			Realogy Group LLC, Term Loan B			3.026%				7/20/22				BB+				1,288,125
	4,850			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)			4.750%				12/18/20				B				4,675,639
	13,794			Total Equity Real Estate Investment Trusts															13,720,355
				Food & Staples Retailing – 5.6% (3.6% of Total Investments)
	16,076			Albertson’s LLC, Term Loan B4			3.778%				8/25/21				BB				16,180,678
	2,923			Albertson’s LLC, Term Loan B6			4.061%				6/22/23				BB				2,944,861
	1,397			BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				B–				1,402,098
	2,875			Rite Aid Corporation, Tranche 2, Term Loan, Second Lien			4.875%				6/21/21				BB–				2,888,176
	1,000			Save-A-Lot, Term Loan B			7.000%				12/02/23				B				996,875
	945			Supervalu, Inc., New Term Loan B			5.500%				3/21/19				BB–				951,780
	25,216			Total Food & Staples Retailing															25,364,468
				Food Products – 4.2% (2.7% of Total Investments)
	1,463			Hearthside Group Holdings LLC, Term Loan B			4.022%				6/21/21				B1				1,477,125
	3,123			Jacobs Douwe Egberts, Term Loan B			3.500%				7/04/22				BB				3,144,803
	1,826			Keurig Green Mountain, Inc., Term Loan B, First Lien			5.313%				3/03/23				BBB–				1,856,298
	942			Pinnacle Foods Finance LLC, Term Loan B, (WI/DD)			TBD				TBD				BB+				945,242
	8,634			US Foods, Inc., Term Loan B			3.778%				6/27/23				BB–				8,711,350
	2,882			Wilton Products, Inc., Tranche B, Term Loan			8.500%				8/30/18				CCC+				2,828,876
	18,870			Total Food Products															18,963,694
				Health Care Equipment & Supplies – 2.4% (1.5% of Total Investments)
	837			Acelity, Term Loan B, (WI/DD)			TBD				TBD				B1				832,387
	877			ConvaTec, Inc., Term Loan B			3.278%				10/25/23				BB				883,379
	1,485			Greatbatch, Inc., Term Loan B			5.250%				10/27/22				B				1,495,581
	3,887			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				3,741,974
	2,553			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				2,144,678
	1,708			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				1,717,597
	11,347			Total Health Care Equipment & Supplies															10,815,596
				Health Care Providers & Services – 4.4% (2.8% of Total Investments)
	1,328			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB–				1,264,396
	2,657			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB–				2,518,939
	1,500			Envision Healthcare Corporation, Term Loan B, First Lien			4.000%				12/01/23				BB–				1,515,782
	1,152			Healogics, Inc., Term Loan, First Lien			5.250%				7/01/21				B				1,056,170
	2,176			Heartland Dental Care, Inc., Term Loan, First Lien			5.500%				12/21/18				B1				2,181,623
	1,500			Heartland Dental Care, Inc., Term Loan, Second Lien			9.750%				6/21/19				CCC				1,474,376
	545			Kindred Healthcare, Inc., Term Loan B, First Lien			4.313%				4/09/21				BB–				546,919
	2,739			Millennium Laboratories, Inc., Term Loan B, First Lien			7.500%				12/21/20				CCC+				1,382,963
	1,392			MultiPlan, Inc., Term Loan B			5.000%				6/07/23				B+				1,413,136
	1,760			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				1,766,104
	1,566			Quorum Health Corp., Term Loan B			6.750%				4/29/22				B1				1,552,939
	1,233			Select Medical Corporation, Term Loan E, Tranche B, First Lien			6.025%				6/01/18				Ba2				1,243,138
	1,199			Select Medical Corporation, Term Loan F, First Lien			6.011%				3/03/21				Ba2				1,211,663
	660			Vizient, Inc., Term Loan B			5.000%				2/13/23				B+				669,238
	21,407			Total Health Care Providers & Services															19,797,386

 

	48			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Health Care Technology – 0.6% (0.4% of Total Investments)
$	1,820			Catalent Pharma Solutions, Inc., Term Loan B			3.750%				5/20/21				BB			$	1,839,652
	1,000			Press Ganey Holdings, Inc., Term Loan, Second Lien			8.250%				10/21/24				CCC+				1,021,250
	2,820			Total Health Care Technology															2,860,902
				Hotels, Restaurants & Leisure – 5.1% (3.3% of Total Investments)
	5,626			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				5,686,604
	2,023			CCM Merger, Inc., Term Loan B			4.028%				8/09/21				BB–				2,037,886
	2,557			CityCenter Holdings LLC, Term Loan			4.250%				10/16/20				BB				2,587,097
	2,079			Intrawest Resorts Holdings, Inc., Term Loan B, Second Lien			4.500%				12/09/20				B+				2,101,049
	1,724			Life Time Fitness, Inc., Term Loan B			4.000%				6/10/22				B1				1,728,868
	2,910			Scientific Games Corporation, Term Loan			6.000%				10/18/20				Ba3				2,942,010
	3,434			Scientific Games Corporation, Term Loan B2			6.022%				10/01/21				Ba3				3,472,008
	2,609			Station Casino LLC, Term Loan B			3.270%				6/08/23				BB				2,597,271
	22,962			Total Hotels, Restaurants & Leisure															23,152,793
				Household Products – 0.5% (0.3% of Total Investments)
	637			Serta Simmons Holdings LLC, Term Loan, First Lien			4.500%				11/08/23				B1				637,677
	1,496			Revlon Consumer Products Corporation, Term Loan B, First Lien			4.313%				9/07/23				Ba3				1,511,298
	2,133			Total Household Products															2,148,975
				Independent Power & Renewable Electricity Producers – 0.8% (0.5% of Total Investments)
	3,500			Dynegy, Inc., Term Loan B			4.250%				6/27/23				BB				3,538,283
				Industrial Conglomerates – 0.2% (0.1% of Total Investments)
	880			Brand Energy & Infrastructure Services, Inc., Initial Term Loan			4.771%				11/26/20				B				879,135
				Insurance – 2.0% (1.3% of Total Investments)
	3,280			Alliant Holdings I LLC, Term Loan B			4.250%				8/14/22				B				3,304,851
	1,485			AssuredPartners, Inc., Refinancing Term Loan, First Lien			5.250%				10/21/22				B+				1,507,323
	4,358			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				Ba3				4,375,713
	9,123			Total Insurance															9,187,887
				Internet and Direct Marketing Retail – 1.1% (0.7% of Total Investments)
	4,795			Travelport LLC, Term C Loan			4.250%				9/02/21				B+				4,846,232
				Internet Software & Services – 2.0% (1.3% of Total Investments)
	1,500			Ancestry.com, Inc., Term Loan B, First Lien			5.250%				10/19/23				B1				1,517,579
	750			Ancestry.com, Inc., Term Loan B, Second Lien			9.250%				10/19/24				CCC+				772,187
	1,500			Rackspace Hosting, Inc., Term Loan B, First Lien			4.500%				11/03/23				BB+				1,517,930
	605			Sabre Inc., Term Loan B2			4.500%				2/19/19				Ba2				609,079
	290			Sabre Inc., Term Loan C			4.000%				2/19/18				Ba2				290,617
	2,801			Sabre, Inc., Term Loan B			4.000%				2/19/19				Ba2				2,822,196
	1,741			SkillSoft Corporation, Term Loan, Second Lien			9.250%				4/28/22				CCC				1,278,289
	9,187			Total Internet Software & Services															8,807,877
				IT Services – 1.9% (1.2% of Total Investments)
	983			Conduent, Inc., Term Loan B			6.250%				12/07/23				BB+				1,001,324
	2,044			EIG Investors Corp., Term Loan, First Lien			6.480%				11/09/19				B+				2,048,800
	1,118			Engility Corporation, Term Loan B2			5.750%				8/14/23				BB–				1,128,357
	346			Mitchell International, Inc., Initial Term Loan B, First Lien			4.500%				10/13/20				B1				347,165
	2,500			Optiv Security, Inc., Term Loan, Second Lien, (WI/DD)			TBD				TBD				CCC+				2,533,333
	995			WEX, Inc., Term Loan B			4.278%				6/30/23				BB–				1,009,381
	366			Zayo Group LLC, Term Loan B3, (WI/DD)			TBD				TBD				BB				369,510
	8,352			Total IT Services															8,437,870
				Leisure Products – 1.9% (1.2% of Total Investments)
	2,034			24 Hour Fitness Worldwide, Inc., Term Loan B			4.750%				5/28/21				Ba3				2,003,423
	2,715			Academy, Ltd., Term Loan B, (DD1)			5.019%				7/01/22				B2				2,408,270
	2,118			Equinox Holdings, Inc., New Initial Term Loan B			5.000%				1/31/20				B+				2,136,214
	1,000			Four Seasons Holdings, Inc., Term Loan B			3.750%				11/30/23				BB				1,013,125

 

NUVEEN			49

---

JRO		Nuveen Floating Rate Income Opportunity Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Leisure Products (continued)
$	1,000			Zodiac Pool Solutions LLC, Term Loan, Second Lien			10.000%				12/20/24				CCC+			$	993,750
	8,867			Total Leisure Products															8,554,782
				Life Sciences Tools & Services – 0.2% (0.1% of Total Investments)
	750			Inventiv Health, Inc., Term Loan B			4.750%				11/09/23				B				756,496
				Machinery – 0.6% (0.4% of Total Investments)
	832			Rexnord LLC. Term Loan B, First Lien			3.770%				8/21/23				BB–				838,423
	1,796			Safway Group Holdings LLC, Initial Term Loan, First Lien			5.750%				8/21/23				B+				1,821,684
	2,628			Total Machinery															2,660,107
				Marine – 0.2% (0.1% of Total Investments)
	963			American Commercial Lines LLC, Term Loan B, First Lien			9.750%				11/12/20				B				921,594
				Media – 12.9% (8.3% of Total Investments)
	1,166			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.248%				7/23/21				B1				1,166,463
	1,180			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				1,158,841
	1,743			Affinion Group Holdings, Inc., Initial Term Loan, Second Lien			8.500%				10/31/18				Caa1				1,704,571
	987			Affinion Group Holdings, Inc., Term Loan, First Lien			6.750%				4/30/18				B1				985,943
	3,413			Catalina Marketing Corporation, Term Loan, First Lien			4.500%				4/09/21				B1				2,998,734
	1,500			Catalina Marketing Corporation, Term Loan, Second Lien			7.750%				4/11/22				Caa1				1,035,000
	5,444			Cequel Communications LLC, Term Loan B			3.778%				1/15/25				BB–				5,515,757
	3,970			Charter Communications Operating Holdings LLC, Term Loan I, First Lien			3.026%				1/15/24				BBB–				3,989,139
	2,860			Clear Channel Communications, Inc., Tranche D, Term Loan			7.528%				1/30/19				Caa1				2,404,244
	1,646			Clear Channel Communications, Inc., Term Loan E			8.278%				7/30/19				Caa1				1,383,641
	9,266			Cumulus Media, Inc., Term Loan B			4.250%				12/23/20				B3				6,129,435
	2,336			Emerald Expositions Holdings, Inc., Term Loan, First Lien			4.750%				6/17/20				BB–				2,353,052
	1,343			Getty Images, Inc., Term Loan B, First Lien			4.750%				10/18/19				B3				1,162,539
	594			Gray Television, Inc., Initial Term Loan			3.959%				6/13/21				BB				597,429
	1,950			IMG Worldwide, Inc., First Lien			5.290%				5/06/21				B+				1,963,025
	1,500			Lions Gate Entertainment Corporation, Term Loan B			3.766%				12/08/23				Ba2				1,513,125
	1,208			LSC Communications, Term Loan			7.000%				9/30/22				Ba3				1,220,417
	4,478			McGraw-Hill Education Holdings LLC, Term Loan B			5.000%				5/02/22				Ba3				4,307,597
	253			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				1/17/24				Ba3				255,938
	2,747			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				9/26/23				BB+				2,777,812
	2,172			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.500%				8/14/20				B				2,177,521
	8,272			Univision Communications, Inc., Replacement Term Loan, First Lien			4.000%				3/01/20				B+				8,300,732
	1,250			Virgin Media Investment Holdings, Limited Term Loan I			3.517%				1/31/25				BB–				1,259,375
	1,120			WMG Acquisition Corporation, Term Loan B, First Lien			3.750%				11/01/23				Ba3				1,127,627
	299			Yell Group PLC, PIK Term Loan B2, First Lien			0.000%				9/07/65				N/R				597,906
	326			Yell Group PLC, Term Loan A2, First Lien			8.000%				9/07/21				N/R				332,953
	63,023			Total Media															58,418,816
				Metals & Mining – 1.1% (0.7% of Total Investments)
	1,354			Fairmount Minerals, Ltd. Term Loan B2, First Lien			4.500%				9/05/19				B–				1,326,627
	1,277			Fairmount Minerals, Ltd., Term Loan B1, First Lien			4.500%				9/05/19				B–				1,245,238
	905			Fortescue Metals Group, Ltd., Term Loan B, First Lien			3.750%				6/30/19				BBB–				911,359
	1,395			Zekelman Industries, Term Loan B, (DD1)			6.000%				6/14/21				BB–				1,395,265
	4,931			Total Metals & Mining															4,878,489
				Multiline Retail – 2.2% (1.4% of Total Investments)
	2,293			99 Cents Only Stores Tranche B2, Term Loan			4.500%				1/11/19				CCC+				1,983,038
	1,206			Bass Pro Group LLC, Term Loan B			5.970%				12/15/23				B+				1,174,965
	1,511			Bass Pro Group LLC, Term Loan B, First Lien			4.016%				6/05/20				B+				1,493,634
	1,985			Belk, Inc., Term Loan B, First Lien			5.760%				12/12/22				B				1,703,688
	1,650			Dollar Tree, Inc., Term Loan B2			4.250%				7/06/22				BBB–				1,675,740
	922			Hudson’s Bay Company, Term Loan B, First Lien			4.250%				9/30/22				BB				909,562
	1,000			Zodiac Pool Solutions LLC, Term Loan, Second Lien			5.720%				5/15/18				B+				993,750
	10,567			Total Multiline Retail															9,934,377

 

	50			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Oil, Gas & Consumable Fuels – 4.9% (3.1% of Total Investments)
$	667			California Resources Corporation, Term Loan A, First Lien			3.439%				9/24/19				B1			$	653,333
	670			Crestwood Holdings LLC, Term Loan B			9.000%				6/19/19				B3				669,213
	229			Energy and Exploration Partners, Term Loan, Second Lien			5.000%				5/13/22				N/R				126,015
	1,898			EP Energy LLC, Term Loan B			9.750%				6/30/21				B–				1,971,560
	2,495			Fieldwood Energy LLC, Term Loan, First Lien			3.875%				10/01/18				B2				2,412,656
	1,648			Fieldwood Energy LLC, Term Loan, First Lien			8.000%				8/31/20				B2				1,600,213
	941			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				CCC–				745,673
	2,109			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B–				1,908,844
	3,408			Harvey Gulf International Marine, Inc., Term Loan B			5.470%				6/18/20				CCC+				2,812,011
	6,864			Peabody Energy Corporation, Term Loan B, (WI/DD)			TBD				TBD				N/R				6,930,131
	2,882			Seadrill Partners LLC, Initial Term Loan			4.000%				2/21/21				CCC+				2,127,024
	42			Southcross Holdings Borrower L.P., Term Loan B, First Lien			3.500%				4/13/23				CCC+				34,675
	23,853			Total Oil, Gas & Consumable Fuels															21,991,348
				Pharmaceuticals – 2.6% (1.7% of Total Investments)
	1,336			Concordia Healthcare Corporation, Term Loan B, First Lien			5.250%				10/21/21				B2				1,053,014
	4,000			Grifols, Inc., Term Loan B, (WI/DD)			TBD				TBD				BB				4,028,332
	2,925			Patheon, Inc., Term Loan B			4.250%				3/11/21				B				2,947,853
	3,438			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.250%				8/18/22				B1				3,467,245
	126			Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan			5.270%				8/05/20				BB–				126,537
	11,825			Total Pharmaceuticals															11,622,981
				Professional Services – 0.1% (0.1% of Total Investments)
	643			Ceridian Corporation, Term Loan B2			4.539%				9/15/20				Ba3				642,027
				Real Estate Management & Development – 0.9% (0.5% of Total Investments)
	2,482			Capital Automotive LP, Term Loan, Second Lien			6.000%				4/30/20				B1				2,519,157
	1,350			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				BB				1,360,280
	3,832			Total Real Estate Management & Development															3,879,437
				Road & Rail – 0.3% (0.2% of Total Investments)
	1,485			Quality Distribution, Term Loan, First Lien			5.750%				8/18/22				B2				1,466,438
				Semiconductors & Semiconductor Equipment – 2.3% (1.4% of Total Investments)
	956			Cypress Semiconductor Corp, Term Loan B			6.500%				7/05/21				BB				977,766
	1,244			Micron Technology, Inc., Term Loan B, First Lien			4.530%				4/26/22				Baa2				1,263,442
	1,588			Microsemi Corporation, New Term Loan			3.019%				1/31/23				BB				1,545,735
	1,908			NXP Semiconductor LLC, Term Loan D			3.278%				1/11/20				Baa2				1,919,273
	1,463			NXP Semiconductor LLC, Term Loan F			3.240%				12/07/20				Baa2				1,471,473
	2,993			On Semiconductor Corp., Term Loan B, First Lien			4.028%				3/31/23				Ba1				3,027,204
	10,152			Total Semiconductors & Semiconductor Equipment															10,204,893
				Software – 12.3% (7.9% of Total Investments)
	2,000			Ascend Learning LLC, Term Loan, Second Lien			9.500%				11/30/20				CCC+				2,010,000
	3,429			Blackboard, Inc., Term Loan B4			6.023%				6/30/21				B+				3,446,462
	4,161			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B+				4,157,517
	933			Computer Sciences Government Services, Term Loan B, First Lien			3.435%				11/30/23				BB+				937,943
	4,026			Compuware Corporation, Term Loan B2, First Lien			5.250%				12/15/21				B				4,038,711
	976			Compuware Corporation, Term Loan, Second Lien			9.250%				12/15/22				CCC+				983,944
	2,327			Ellucian, Term Loan B, First Lien			4.250%				9/30/22				B				2,332,751
	2,862			Emdeon, Inc., Term Loan B2			3.750%				11/02/18				BB–				2,867,284
	8,805			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5			3.750%				6/03/20				B1				8,799,388
	1,234			Informatica Corp., Term Loan B			4.500%				8/05/22				B+				1,232,061
	1,250			Kronos Incorporated, Term Loan B, First Lien			5.000%				11/01/23				B				1,264,418
	1,211			Micro Focus International PLC, Term Loan B			4.789%				11/19/21				BB–				1,224,848
	1,733			Micro Focus International PLC, Term Loan C			4.789%				11/20/19				BB–				1,751,062
	4,548			Misys PLC, Term Loan B, First Lien			5.000%				12/12/18				B+				4,573,489
	1,535			MSC Software Corporation, Initial Term Loan, First Lien			5.000%				5/29/20				B1				1,538,596
	750			MSC Software Corporation, Initial Term Loan, Second Lien			8.500%				5/31/21				CCC				750,938
	1,500			RP Crown Parent LLC, Term Loan B, First Lien			4.500%				10/12/23				B1				1,509,242

 

NUVEEN			51

---

JRO		Nuveen Floating Rate Income Opportunity Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Software (continued)
$	1,712			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.028%				7/08/22				BB+			$	1,732,465
	164			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.028%				7/08/22				BB+				166,259
	5,731			Tibco Software, Inc., Term Loan B			5.500%				12/04/20				B1				5,790,356
	1,995			Uber Technologies, Inc., Term Loan B, First Lien			5.000%				7/13/23				N/R				2,010,212
	1,122			Vertafore, Inc., Term Loan, First Lien			4.250%				6/30/23				B				1,132,107
	1,250			Vertiv Co., Term Loan B			6.029%				11/30/23				Ba3				1,267,375
	55,254			Total Software															55,517,428
				Specialty Retail – 1.3% (0.8% of Total Investments)
	1,742			Gardner Denver, Inc., Term Loan			4.558%				7/30/20				B				1,725,111
	691			Jo-Ann Stores, Inc., Term Loan B			6.256%				10/20/23				B+				683,308
	2,288			Petco Animal Supplies, Inc., Term Loan B1			4.250%				1/26/23				B1				2,260,812
	1,064			Petsmart Inc., Term Loan B, First Lien			4.000%				3/11/22				BB–				1,056,391
	5,785			Total Specialty Retail															5,725,622
				Technology Hardware, Storage & Peripherals – 6.2% (3.9% of Total Investments)
	1,000			Coinstar, Inc., Term Loan, Second Lien			9.750%				9/27/24				CCC+				1,012,500
	5,678			Dell International LLC, Term Loan A2, First Lien			3.030%				9/07/21				BBB–				5,684,206
	3,500			Dell International LLC, Term Loan A3, First Lien			2.780%				12/31/18				BBB–				3,507,000
	10,608			Dell International LLC, Term Loan B			4.030%				9/07/23				BBB–				10,711,635
	1,250			Dell Software Group, Term Loan B			7.000%				10/31/22				B1				1,269,219
	5,572			Western Digital, Inc., Term Loan B1			4.526%				4/29/23				BBB–				5,645,133
	27,608			Total Technology Hardware, Storage & Peripherals															27,829,693
				Textiles, Apparel & Luxury Goods – 0.6% (0.4% of Total Investments)
	857			G-III Apparel Group, Term Loan B			6.250%				12/01/22				BB				840,000
	1,757			Gymboree Corporation, Term Loan			5.000%				2/23/18				Caa3				879,555
	1,542			J Crew Group, Term Loan B, First Lien			4.000%				3/05/21				Caa1				865,577
	4,156			Total Textiles, Apparel & Luxury Goods															2,585,132
				Trading Companies & Distributors – 2.1% (1.3% of Total Investments)
	5,909			Avolon, Term Loan B2, (WI/DD)			TBD				TBD				BBB–				5,991,478
	2,104			HD Supply, Inc., Term Loan B			3.748%				8/13/21				BB–				2,120,026
	1,241			Neff Rental/Neff Finance Closing Date Loan, Second Lien			7.543%				6/09/21				B–				1,241,218
	9,254			Total Trading Companies & Distributors															9,352,722
				Transportation Infrastructure – 0.3% (0.2% of Total Investments)
	84			Ceva Group PLC, Canadian Term Loan			6.539%				3/19/21				B2				74,237
	487			Ceva Group PLC, Dutch B.V., Term Loan			6.539%				3/19/21				B2				430,576
	475			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				3/19/21				B2				419,840
	672			Ceva Group PLC, US Term Loan			6.539%				3/19/21				B2				593,898
	1,718			Total Transportation Infrastructure															1,518,551
				Wireless Telecommunication Services – 3.4% (2.2% of Total Investments)
	429			Asurion LLC, Term Loan B2			4.028%				7/08/20				B1				432,413
	2,116			Asurion LLC, Term Loan B4			4.250%				8/04/22				B+				2,140,278
	1,510			Asurion, LLC, Term Loan B5, First Lien			4.750%				11/03/23				B+				1,527,626
	118			Fairpoint Communications, Inc., Term Loan B			7.500%				2/14/19				B				119,611
	7,000			Sprint Corporation, Term Loan, First Lien, (WI/DD)			TBD				TBD				Ba2				7,000,000
	1,544			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.039%				4/23/19				B				1,395,525
	858			Syniverse Technologies, Inc., Tranche B, Term Loan			4.000%				4/23/19				B				775,255
	2,000			UPC Financing Partnership, Term Loan, First Lien			3.767%				8/31/24				BB				2,009,642
	15,575			Total Wireless Telecommunication Services															15,400,350
	584,761			Total Variable Rate Senior Loan Interests (cost $575,333,106)															570,589,162

 

	52			NUVEEN

---

Shares				Description (1)														Value
				COMMON STOCKS – 2.2% (1.4% of Total Investments)
				Banks – 0.5% (0.4% of Total Investments)
	30,811			BLB Worldwide Holdings Inc., (5)														$	2,418,664
				Diversified Consumer Services – 0.2% (0.1% of Total Investments)
	71,949			Cengage Learning Holdings II LP, (5)															827,414
	3,124,035			Education Management Corporation, (5), (6)															312
				Total Diversified Consumer Services															827,726
				Energy Equipment & Services – 0.7% (0.4% of Total Investments)
	60,418			C&J Energy Services Inc., (5), (6)															2,597,974
	2,534			Vantage Drill International, (5), (6)															321,818
				Total Energy Equipment & Services															2,919,792
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	83,191			Millennium Health LLC, (5)															83,191
				Media – 0.8% (0.5% of Total Investments)
	719			Cumulus Media, Inc., (5)															718
	466,768			Hibu PLC, (5), (7)															—
	23,363			Metro–Goldwyn-Mayer, (5), (6)															2,228,245
	44,843			Tribune Media Company															1,293,272
	36,087			Tribune Media Company, (7)															—
	11,210			tronc, Inc., (5)															148,645
				Total Media															3,670,880
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	109			Energy and Exploration Partners, Inc., (5), (6)															38,150
	46			Southcross Holdings Borrower LP, (5)															14,375
				Total Oil, Gas & Consumable Fuels															52,525
				Software – 0.0% (0.0% of Total Investments)
	496,552			Eagle Topco LP, (5), (7)															1
				Total Common Stocks (cost $14,868,295)															9,972,779
Shares				Description (1)		Coupon								Ratings (3)				Value
				$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)
				Diversified Consumer Services – 0.0% (0.0% of Total Investments)
	3,476			Education Management Corporation, (6)			7.500%								N/R			$	34
				Total $25 Par (or similar) Retail Preferred (cost $8,437)															34
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CONVERTIBLE BONDS – 0.1% (0.1% of Total Investments)
				Communications Equipment – 0.1% (0.1% of Total Investments)
$	550			Nortel Networks Corp., (8)			1.750%				4/15/12				N/R			$	534,187
$	550			Total Convertible Bonds (cost $440,000)															534,187
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 12.7% (8.1% of Total Investments)
				Commercial Services & Supplies – 0.3% (0.2% of Total Investments)
$	1,233			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	1,242,248

 

NUVEEN			53

---

JRO		Nuveen Floating Rate Income Opportunity Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Communications Equipment – 0.3% (0.2% of Total Investments)
$	155			Avaya Inc., 144A			7.000%				4/01/19				D			$	128,263
	3,830			Avaya Inc., 144A			10.500%				3/01/21				D				1,043,674
	3,985			Total Communications Equipment															1,171,937
				Diversified Telecommunication Services – 1.2% (0.8% of Total Investments)
	2,462			Inelsat Connect Finance SA, 144A			12.500%				4/01/22				CC				1,557,215
	1,005			IntelSat Limited			6.750%				6/01/18				Ca				859,275
	4,622			IntelSat Limited			7.750%				6/01/21				Ca				1,606,144
	4,100			IntelSat Limited			8.125%				6/01/23				Ca				1,363,250
	12,189			Total Diversified Telecommunication Services															5,385,884
				Equity Real Estate Investment Trusts – 0.3% (0.2% of Total Investments)
	1,250			iStar Inc.			4.000%				11/01/17				B+				1,256,250
				Health Care Equipment & Supplies – 0.7% (0.4% of Total Investments)
	3,000			Tenet Healthcare Corporation			6.000%				10/01/20				BB–				3,165,000
				Health Care Providers & Services – 0.2% (0.1% of Total Investments)
	900			Iasis Healthcare Capital Corporation			8.375%				5/15/19				CCC+				861,750
				Hotels, Restaurants & Leisure – 0.9% (0.6% of Total Investments)
	4,200			Scientific Games International Inc.			10.000%				12/01/22				B–				4,303,404
				Media – 4.0% (2.5% of Total Investments)
	150			Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation			3.579%				7/23/20				BBB–				153,649
	1,000			Dish DBS Corporation			5.875%				11/15/24				Ba3				1,011,250
	1,714			iHeartCommunications, Inc.			10.000%				1/15/18				CC				1,341,205
	6,412			iHeartCommunications, Inc.			9.000%				12/15/19				Caa1				5,366,042
	11,043			iHeartCommunications, Inc., PIK			14.000%				2/01/21				CC				4,141,080
	7,850			iHeartCommunications, Inc.			9.000%				3/01/21				Caa1				5,867,875
	28,169			Total Media															17,881,101
				Oil, Gas & Consumable Fuels – 1.3% (0.8% of Total Investments)
	2,000			California Resources Corporation, 144A			8.000%				12/15/22				CCC+				1,780,000
	500			Denbury Resources Inc.			6.375%				8/15/21				CCC+				457,500
	125			Denbury Resources Inc.			5.500%				5/01/22				CCC+				107,188
	600			Everest Acquisition LLC Finance			9.375%				5/01/20				CCC+				610,500
	2,400			FTS International Inc., 144A			8.350%				6/15/20				B				2,457,000
	450			Gastar Exploration Inc.			8.625%				5/15/18				Caa3				443,250
	6,075			Total Oil, Gas & Consumable Fuels															5,855,438
				Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)
	1,394			Advanced Micro Devices, Inc.			7.500%				8/15/22				CCC+				1,531,658
				Software – 0.8% (0.5% of Total Investments)
	2,620			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+				2,528,300
	1,100			Boxer Parent Company Inc./BMC Software, 144A, PIK			9.000%				10/15/19				CCC+				1,067,000
	3,720			Total Software															3,595,300
				Wireless Telecommunication Services – 2.4% (1.6% of Total Investments)
	700			Sprint Communications Inc.			7.000%				8/15/20				B+				749,000
	6,000			Sprint Corporation			7.875%				9/15/23				B+				6,558,600
	500			Sprint Corporation			7.125%				6/15/24				B+				527,500
	2,750			T-Mobile USA Inc.			6.250%				4/01/21				BB				2,849,550
	175			T-Mobile USA Inc.			6.731%				4/28/22				BB				182,000
	175			T-Mobile USA Inc.			6.836%				4/28/23				BB				186,813
	10,300			Total Wireless Telecommunication Services															11,053,463
	76,415			Total Corporate Bonds (cost $68,229,356)															57,303,433

 

	54			NUVEEN

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Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				ASSET-BACKED SECURITIES- 4.4% (2.8% of Total Investments)
$	2,500			BlueMountain Collateralized Loan Obligations Limited 2012-1A, 144A			6.530%				7/20/23				BB			$	2,499,913
	675			Bristol Park CLO Limited, Series 2016-1A, 144A			8.134%				4/15/29				Ba3				686,167
	1,250			Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A			5.623%				7/15/25				BB				1,183,159
	250			ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A			6.023%				4/15/24				BB				239,682
	1,800			LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A			6.775%				10/19/22				BB				1,809,083
	4,000			LCM Limited Partnership, Collateralized Loan Obligation, 2015A, 144A			6.052%				2/25/17				BB–				3,947,192
	1,250			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A			6.530%				4/20/26				Ba3				1,225,650
	500			North End CLO Limited, Loan Pool, 144A			5.623%				7/17/25				BB				452,484
	2,000			Octagon Investment Partners, Series 2015-1A, 144A			6.880%				10/20/26				Ba3				1,981,360
	750			OZLM Funding Limited, Series 2012-2A, 144A			8.187%				10/30/27				BB				750,428
	2,000			Race Point Collateralized Loan Obligation Series 2012-7A, 144A			6.038%				11/08/24				BB–				1,940,252
	1,000			Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A			6.963%				12/15/22				BBB+				999,925
	2,000			Race Point Collateralized Loan Obligations, Series 2012-6A, 144A			6.804%				5/24/23				BB				2,000,016
$	19,975			Total Asset-Backed Securities (cost $18,973,509)															19,715,311
				Total Long-Term Investments (cost $677,852,703)															658,114,906
Principal Amount (000)				Description (1)		Coupon				Maturity								Value
				SHORT-TERM INVESTMENTS – 10.6% (6.8% of Total Investments)
				REPURCHASE AGREEMENTS – 10.6% (6.8% of Total Investments)
$	47,667			Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $47,667,147, collateralized by $47,870,000 U.S. Treasury Notes, 2.250%, due 7/31/21, value $48,621,703			0.030%				2/01/17							$	47,667,107
				Total Short-Term Investments (cost $47,667,107)															47,667,107
				Total Investments (cost $725,519,810) – 156.3%															705,782,013
				Borrowings – (39.6)% (9), (10)															(178,800,000	)
				Term Preferred Shares, at Liquidation Preference – (13.9)% (11)															(63,000,000	)
				Other Assets Less Liabilities – (2.8)% (12)															(12,320,750	)
				Net Assets Applicable to Common Shares – 100%														$	451,661,263

Investments in Derivatives as of January 31, 2017

Interest Rate Swaps

 

Counterparty		Notional Amount				Fund Pay/Receive Floating Rate				Floating Rate Index				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Termination Date				Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services, LLC		$	8,000,000				Pay				1-Month USD-LIBOR-ICE				2.250	% (13)			Monthly				12/01/23	(14)		$	(52,106	)
Morgan Stanley Capital Services, LLC			10,000,000				Pay				1-Month USD-LIBOR-ICE				2.500	(15)			Monthly				1/01/22	(16)			27,861
Morgan Stanley Capital Services, LLC			45,000,000				Pay				1-Month USD-LIBOR-ICE				4.000				Monthly				1/01/27	(17)			246,151
		$	63,000,000																							$	221,906

 

NUVEEN			55

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JRO		Nuveen Floating Rate Income Opportunity Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

 

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

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

 

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

 

(7)

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

 

(8)

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

 

(9)	Borrowings as a percentage of Total Investments is 25.3%.

 

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

 

(11)	Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 8.9%.

 

(12)

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

 

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

 

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

 

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

 

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

 

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

 

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

PIK	All or a portion of this security is payment-in-kind.

 

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

 

TBD

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

 

USD-LIBOR-ICE

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

 

See accompanying notes to financial statements.

 

	56			NUVEEN

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JSD

 

Nuveen Short Duration Credit Opportunities Fund
Portfolio of Investments		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 147.4% (94.1% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 132.3% (84.5% of Total Investments) (4)
				Aerospace & Defense – 3.1% (2.0% of Total Investments)
$	1,829			B/E Aerospace, Inc., Term Loan B			3.943%				12/16/21				BB+			$	1,840,603
	2,355			Sequa Corporation, Term Loan B			5.250%				6/19/17				CCC–				2,257,931
	1,684			Transdigm, Inc., Extend Term Loan F			3.778%				6/07/23				Ba2				1,682,222
	5,868			Total Aerospace & Defense															5,780,756
				Air Freight & Logistics – 1.2% (0.8% of Total Investments)
	775			Americold Realty Operating Partnership, Term Loan B			4.750%				12/01/22				BB				788,224
	750			PAE Holding Corporation, Term Loan B			6.500%				10/20/22				B+				757,969
	722			XPO Logistics, Inc., Refinanced Term Loan B2, First Lien			4.250%				11/01/21				Ba1				728,849
	2,247			Total Air Freight & Logistics															2,275,042
				Airlines – 2.3% (1.5% of Total Investments)
	1,467			American Airlines, Inc., Term Loan B			3.267%				12/14/23				BB+				1,476,463
	970			American Airlines, Inc., Term Loan B, First Lien			3.276%				6/29/20				BB+				976,484
	1,715			American Airlines, Inc., Term Loan B, First Lien			3.263%				10/08/21				BB+				1,726,791
	4,152			Total Airlines															4,179,738
				Automobiles – 1.9% (1.2% of Total Investments)
	2,784			Formula One Group, Term Loan, First Lien			5.068%				7/30/21				B				2,804,972
	750			Formula One Group, Term Loan, Second Lien			8.068%				7/29/22				CCC+				756,188
	3,534			Total Automobiles															3,561,160
				Building Products – 1.0% (0.7% of Total Investments)
	876			Gates Global LLC, Term Loan			4.250%				7/06/21				B+				875,122
	1,000			Quikrete Holdings, Inc., Initial Term Loan, First Lien			4.017%				11/15/23				BB-				1,013,571
	1,876			Total Building Products															1,888,693
				Chemicals – 2.0% (1.3% of Total Investments)
	397			Avantor Performance Materials, Incremental Term Loan B			6.000%				6/21/22				B1				403,911
	950			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				952,908
	206			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				208,101
	399			Mineral Technologies, Inc., Term Loan B2			4.750%				5/07/21				BB+				402,221
	743			OM Group, Inc., Dollar Term Loan B, First Lien			7.000%				10/28/21				Ba3				743,428
	988			Univar, Inc., Term Loan B			3.519%				7/01/22				BB–				987,088
	3,683			Total Chemicals															3,697,657
				Commercial Services & Supplies – 4.3% (2.8% of Total Investments)
	343			Acosta, Inc., Term Loan B			4.289%				9/26/21				B1				332,172
	500			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			5.000%				10/19/23				B2				504,375
	1,809			iQor US, Inc., Term Loan, First Lien			6.000%				4/01/21				B				1,737,687
	167			iQor US, Inc., Term Loan, Second Lien			9.750%				4/01/22				CCC+				145,556
	993			KAR Auction Services, Inc., Term Loan B3, First Lien			4.500%				3/09/23				BB–				1,006,141
	1,496			Monitronics International, Inc., Term Loan B2, First Lien			6.500%				9/30/22				B2				1,519,162
	1,197			Protection One, Inc., Term Loan, First Lien			4.250%				5/02/22				Ba2				1,212,243
	554			Skillsoft Corporation, Initial Term Loan, First Lien			5.750%				4/28/21				B–				505,371
	990			Universal Services of America, Term Loan, First Lien			4.763%				7/28/22				B+				996,188
	8,049			Total Commercial Services & Supplies															7,958,895
				Communications Equipment – 3.0% (1.9% of Total Investments)
	721			Avaya, Inc., DIP Term Loan, (WI/DD)			TBD				TBD				Baa3				743,725
	2,025			Avaya, Inc., Term Loan B3			5.537%				10/26/17				D				1,694,222
	326			Avaya, Inc., Term Loan B6			6.532%				3/31/18				D				273,424

 

NUVEEN			57

---

JSD		Nuveen Short Duration Credit Opportunities Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Communications Equipment (continued)
$	946			Avaya, Inc., Term Loan B7, (DD1)			6.282%				5/29/20				D			$	794,755
	1,070			CommScope, Inc., Tranche 5, Term Loan B, First Lien			3.278%				12/29/22				BB+				1,082,273
	975			Riverbed Technology, Inc., Term Loan B, First Lien			4.250%				4/24/22				B+				984,974
	6,063			Total Communications Equipment															5,573,373
				Consumer Finance – 2.9% (1.9% of Total Investments)
	5,363			First Data Corporation, Term Loan, First Lien			3.775%				3/24/21				BB				5,398,655
				Containers & Packaging – 1.0% (0.6% of Total Investments)
	857			Berry Plastics Holding Corporation, Term Loan I			3.287%				10/01/22				BB				864,453
	913			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.000%				2/05/23				B+				917,181
	1,770			Total Containers & Packaging															1,781,634
				Diversified Consumer Services – 1.2% (0.8% of Total Investments)
	1,688			Cengage Learning Acquisitions, Inc., Term Loan B			5.250%				6/07/23				BB–				1,575,621
	376			Harland Clarke Holdings Corporation, Term Loan B3			7.000%				5/22/18				BB–				377,735
	250			Houghton Mifflin, Term Loan B, First Lien, (WI/DD)			TBD				TBD				B+				232,656
	93			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B–				93,149
	2,407			Total Diversified Consumer Services															2,279,161
				Diversified Financial Services – 1.2% (0.8% of Total Investments)
	2,264			WideOpenWest Finance LLC, New Term Loan B			4.500%				8/18/23				B1				2,283,534
				Diversified Telecommunication Services – 5.2% (3.3% of Total Investments)
	499			DTI Holdings, Inc., Term Loan B, First Lien			6.250%				10/02/23				B				496,048
	1,832			Frontier Communications Corporation, Term Loan A, Delayed Draw, First Lien			3.280%				3/31/21				BB				1,783,832
	2,000			Greeneden U.S. Holdings II LLC, Term Loan B			5.000%				12/01/23				B2				2,025,416
	3,294			Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan			3.750%				6/30/19				B1				3,248,007
	2,000			Ziggo B.V., Term Loan E			0.000%				4/25/25				BB–				2,006,876
	9,625			Total Diversified Telecommunication Services															9,560,179
				Electric Utilities – 3.8% (2.4% of Total Investments)
	477			EFS Cogen Holdings LLC, Term Loan B			4.500%				6/28/23				BB				482,564
	4,500			Energy Future Intermediate Holding Company, DIP Term Loan			4.250%				6/30/17				BB				4,533,188
	1,629			Vistra Operations Co., Term Loan B			3.500%				8/04/23				Ba2				1,636,714
	371			Vistra Operations Co., Term Loan C			3.500%				8/04/23				Ba2				373,286
	6,977			Total Electric Utilities															7,025,752
				Electronic Equipment, Instruments & Components – 1.1% (0.7% of Total Investments)
	1,024			SMART Modular Technologies, Inc., Term Loan B			9.250%				8/26/17				B				865,200
	1,130			TTM Technologies, Inc., New Term Loan			5.250%				5/31/21				BB–				1,142,253
	2,154			Total Electronic Equipment, Instruments & Components															2,007,453
				Energy Equipment & Services – 1.3% (0.8% of Total Investments)
	1,160			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.063%				3/31/21				Caa2				901,658
	1,399			Seventy Seven Operating LLC, Term Loan B			3.778%				6/25/20				B				1,398,248
	2,559			Total Energy Equipment & Services															2,299,906
				Equity Real Estate Investment Trusts – 3.7% (2.4% of Total Investments)
	4,122			Communications Sales & Leasing, Inc., Term Loan B			4.500%				10/24/22				BB–				4,170,936
	2,776			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)			4.750%				12/18/20				B				2,675,944
	6,898			Total Equity Real Estate Investment Trusts															6,846,880
				Food & Staples Retailing – 7.2% (4.6% of Total Investments)
	7,821			Albertson’s LLC, Term Loan B4			3.778%				8/25/21				BB				7,871,682
	2,087			Albertson’s LLC, Term Loan B6			4.061%				6/22/23				BB				2,103,170
	209			BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				B–				210,113

 

	58			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Food & Staples Retailing (continued)
$	970			Del Monte Foods Company, Term Loan, First Lien			4.250%				2/18/21				B–			$	878,658
	1,125			Rite Aid Corporation, Tranche 2, Term Loan, Second Lien			4.875%				6/21/21				BB–				1,130,156
	750			Save-A-Lot, Term Loan B			7.000%				12/02/23				B				747,656
	349			Supervalu, Inc., New Term Loan B			5.500%				3/21/19				BB–				351,995
	13,311			Total Food & Staples Retailing															13,293,430
				Food Products – 3.0% (1.9% of Total Investments)
	1,562			Jacobs Douwe Egberts, Term Loan B			3.500%				7/04/22				BB				1,572,401
	913			Keurig Green Mountain, Inc., Term Loan B, First Lien			5.313%				3/03/23				BBB–				928,149
	2,066			US Foods, Inc., Term Loan B			3.778%				6/27/23				BB–				2,084,481
	865			Wilton Products, Inc., Tranche B, Term Loan			8.500%				8/30/18				CCC+				848,663
	5,406			Total Food Products															5,433,694
				Health Care Equipment & Supplies – 3.9% (2.5% of Total Investments)
	708			Acelity, Term Loan B, (WI/DD)			TBD				TBD				B1				704,126
	389			Ardent Medical Services, Inc., Term Loan B, First Lien			6.500%				8/04/21				B1				390,417
	785			ConvaTec, Inc., Term Loan B			3.278%				10/25/23				BB				790,708
	990			Greatbatch, Inc., Term Loan B			5.250%				10/27/22				B				997,054
	2,722			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				2,619,382
	973			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				817,020
	854			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				858,799
	7,421			Total Health Care Equipment & Supplies															7,177,506
				Health Care Providers & Services – 6.3% (4.0% of Total Investments)
	42			Community Health Systems, Inc., Term Loan F			4.180%				12/31/18				BB–				41,815
	542			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB–				516,549
	1,085			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB–				1,029,073
	1,500			Envision Healthcare Corportation, Term Loan B, First Lien			4.000%				12/01/23				BB–				1,515,782
	1,695			Heartland Dental Care, Inc., Term Loan, First Lien			5.500%				12/21/18				B1				1,700,089
	500			Heartland Dental Care, Inc., Term Loan, Second Lien			9.750%				6/21/19				CCC				491,459
	1,095			IASIS Healthcare LLC, Term Loan B2, First Lien			4.500%				5/03/18				Ba3				1,092,189
	436			Kindred Healthcare, Inc., Term Loan B, First Lien			4.313%				4/09/21				BB–				437,535
	665			Millennium Laboratories, Inc., Term Loan B, First Lien			7.500%				12/21/20				CCC+				336,060
	696			MultiPlan, Inc., Term Loan B			5.000%				6/07/23				B+				706,568
	587			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				588,701
	906			Quorum Health Corp., Term Loan B			6.750%				4/29/22				B1				898,722
	740			Select Medical Corporation, Term Loan E, Tranche B, First Lien			6.025%				6/01/18				Ba2				745,883
	959			Select Medical Corporation, Term Loan F, First Lien			6.011%				3/03/21				Ba2				969,330
	440			Vizient, Inc., Term Loan B			5.000%				2/13/23				B+				446,159
	11,888			Total Health Care Providers & Services															11,515,914
				Health Care Technology – 0.4% (0.2% of Total Investments)
	680			Catalent Pharma Solutions, Inc., Term Loan B			3.750%				5/20/21				BB				686,936
				Hotels, Restaurants & Leisure – 5.3% (3.4% of Total Investments)
	829			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				837,620
	1,804			CCM Merger, Inc., Term Loan B			4.028%				8/09/21				BB–				1,818,005
	1,278			CityCenter Holdings LLC, Term Loan			4.250%				10/16/20				BB				1,293,646
	985			Life Time Fitness, Inc., Term Loan B			4.000%				6/10/22				B1				987,924
	2,956			Scientific Games Corporation, Term Loan B2			6.022%				10/01/21				Ba3				2,987,903
	1,740			Station Casino LLC, Term Loan B			3.270%				6/08/23				BB				1,731,514
	9,592			Total Hotels, Restaurants & Leisure															9,656,612
				Household Products – 0.6% (0.3% of Total Investments)
	998			Revlon Consumer Products Corporation, Term Loan B, First Lien			4.313%				9/07/23				Ba3				1,007,532
				Independent Power & Renewable Electricity Producers – 0.8% (0.5% of Total Investments)
	1,500			Dynegy, Inc., Term Loan B			4.250%				6/27/23				BB				1,516,407
				Industrial Conglomerates – 0.5% (0.3% of Total Investments)
	902			Brand Energy & Infrastructure Services, Inc., Initial Term Loan			4.771%				11/26/20				B				901,793

 

NUVEEN			59

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JSD		Nuveen Short Duration Credit Opportunities Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Insurance – 0.9% (0.6% of Total Investments)
$	990			AssuredPartners, Inc., Refinancing Term Loan, First Lien			5.250%				10/21/22				B+			$	1,004,882
	597			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				Ba3				599,907
	1,587			Total Insurance															1,604,789
				Internet and Direct Marketing Retail – 1.6% (1.0% of Total Investments)
	2,877			Travelport LLC, Term C Loan			4.250%				9/02/21				B+				2,907,739
				Internet Software & Services – 2.2% (1.4% of Total Investments)
	1,000			Ancestry.com, Inc., Term Loan B, First Lien			5.250%				10/19/23				B1				1,011,719
	1,000			Rackspace Hosting, Inc.,Term Loan B, First Lien			4.500%				11/03/23				BB+				1,011,953
	116			Sabre Inc., Term Loan C			4.000%				2/19/18				Ba2				116,247
	1,176			Sabre, Inc., Term Loan B			4.000%				2/19/19				Ba2				1,184,575
	1,009			SkillSoft Corporation, Term Loan, Second Lien			9.250%				4/28/22				CCC				741,037
	4,301			Total Internet Software & Services															4,065,531
				IT Services – 1.4% (0.9% of Total Investments)
	655			Conduent, Inc., Term Loan B			6.250%				12/07/23				BB+				667,549
	1,094			EIG Investors Corp., Term Loan, First Lien			6.480%				11/09/19				B+				1,097,008
	746			WEX, Inc., Term Loan B			4.278%				6/30/23				BB–				757,036
	2,495			Total IT Services															2,521,593
				Leisure Products – 2.2% (1.4% of Total Investments)
	1,356			24 Hour Fitness Worldwide, Inc., Term Loan B			4.750%				5/28/21				Ba3				1,335,616
	1,432			Academy, Ltd., Term Loan B, (DD1)			5.019%				7/01/22				B2				1,270,482
	1,444			Equinox Holdings, Inc., New Initial Term Loan B			5.000%				1/31/20				B+				1,456,510
	4,232			Total Leisure Products															4,062,608
				Machinery – 0.8% (0.5% of Total Investments)
	898			Safway Group Holdings LLC, Initial Term Loan, First Lien			5.750%				8/21/23				B+				910,842
	588			TNT Crane and Rigging Inc., Initial Term Loan, First Lien			5.500%				11/27/20				B3				527,249
	1,486			Total Machinery															1,438,091
				Marine – 0.4% (0.2% of Total Investments)
	722			American Commercial Lines LLC, Term Loan B, First Lien			9.750%				11/12/20				B				691,195
				Media – 10.4% (6.6% of Total Investments)
	846			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.248%				7/23/21				B1				846,154
	610			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				599,400
	392			Affinion Group Holdings, Inc., Initial Term Loan, Second Lien			8.500%				10/31/18				Caa1				383,660
	488			Catalina Marketing Corporation, Term Loan, First Lien			4.500%				4/09/21				B1				428,391
	500			Catalina Marketing Corporation, Term Loan, Second Lien			7.750%				4/11/22				Caa1				345,000
	2,562			Clear Channel Communications, Inc., Tranche D, Term Loan			7.528%				1/30/19				Caa1				2,154,041
	1,633			Clear Channel Communications, Inc.,Term Loan E			8.278%				7/30/19				Caa1				1,372,352
	2,821			Cumulus Media, Inc., Term Loan B			4.250%				12/23/20				B3				1,865,798
	1,168			Emerald Expositions Holdings, Inc., Term Loan, First Lien			4.750%				6/17/20				BB–				1,176,526
	806			Getty Images, Inc., Term Loan B, First Lien			4.750%				10/18/19				B3				697,523
	445			Gray Television, Inc., Initial Term Loan			3.959%				6/13/21				BB				448,072
	731			IMG Worldwide, Inc., First Lien			5.290%				5/06/21				B+				736,134
	1,000			Lions Gate Entertainment Corporation, Term Loan B			3.766%				12/08/23				Ba2				1,008,750
	967			LSC Communications, Term Loan			7.000%				9/30/22				Ba3				976,333
	1,990			McGraw-Hill Education Holdings LLC, Term Loan B			5.000%				5/02/22				Ba3				1,914,487
	169			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				1/17/24				Ba3				170,625
	1,831			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				9/26/23				BB+				1,851,875
	1,086			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.500%				8/14/20				B				1,088,760
	1,000			Virgin Media Investment Holdings, Limited Term Loan I			3.517%				1/31/25				BB–				1,007,500
	21,045			Total Media															19,071,381
				Metals & Mining – 1.7% (1.1% of Total Investments)
	902			Fairmount Minerals, Ltd. Term Loan B2, First Lien			4.500%				9/05/19				B–				884,418
	851			Fairmount Minerals, Ltd., Term Loan B1, First Lien			4.500%				9/05/19				B–				830,158

 

	60			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Metals & Mining (continued)
$	602			Fortescue Metals Group, Ltd., Term Loan B, First Lien			3.750%				6/30/19				BBB–			$	606,198
	837			Zekelman Industries, Term Loan B, (DD1)			6.000%				6/14/21				BB–				837,159
	3,192			Total Metals & Mining															3,157,933
				Multiline Retail – 2.1% (1.4% of Total Investments)
	750			Bass Pro Group LLC, Sale Facility, Term Loan, First Lien			5.720%				5/15/18				B+				745,313
	603			Bass Pro Group LLC, Term Loan B			5.970%				12/15/23				B+				587,482
	863			Bass Pro Group LLC, Term Loan B, First Lien			4.016%				6/05/20				B+				853,505
	1,489			Belk, Inc., Term Loan B, First Lien			5.760%				12/12/22				B				1,277,766
	461			Hudson’s Bay Company, Term Loan B, First Lien			4.250%				9/30/22				BB				454,781
	4,166			Total Multiline Retail															3,918,847
				Oil, Gas & Consumable Fuels – 5.0% (3.2% of Total Investments)
	333			California Resources Corporation, Term Loan A, First Lien			3.439%				9/24/19				B1				326,667
	395			Crestwood Holdings LLC, Term Loan B			9.000%				6/19/19				B3				394,563
	86			Energy and Exploration Partners, Term Loan, Second Lien			5.000%				5/13/22				N/R				47,256
	681			EP Energy LLC, Term Loan B			9.750%				6/30/21				B–				707,750
	786			Fieldwood Energy LLC, Term Loan, First Lien			8.000%				8/31/20				B2				763,829
	508			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				CCC–				402,437
	1,463			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B–				1,323,768
	1,645			Harvey Gulf International Marine, Inc., Term Loan B			5.470%				6/18/20				CCC+				1,357,494
	3,068			Peabody Energy Corporation, Term Loan B, (WI/DD)			TBD				TBD				N/R				3,097,905
	912			Seadrill Partners LLC, Initial Term Loan			4.000%				2/21/21				CCC+				673,208
	17			Southcross Holdings Borrower L.P., Term Loan B, First Lien			3.500%				4/13/23				CCC+				13,870
	9,894			Total Oil, Gas & Consumable Fuels															9,108,747
				Pharmaceuticals – 3.6% (2.3% of Total Investments)
	763			Concordia Healthcare Corporation, Term Loan B, First Lien			5.250%				10/21/21				B2				601,722
	2,000			Grifols, Inc., Term Loan B, (WI/DD)			TBD				TBD				BB				2,014,166
	975			Patheon, Inc., Term Loan B			4.250%				3/11/21				B				982,618
	2,752			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.250%				8/18/22				B1				2,774,176
	145			Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan			5.270%				8/05/20				BB–				145,470
	6,635			Total Pharmaceuticals															6,518,152
				Professional Services – 0.5% (0.3% of Total Investments)
	955			Ceridian Corporation, Term Loan B2			4.539%				9/15/20				Ba3				954,073
				Real Estate Management & Development – 1.7% (1.1% of Total Investments)
	1,861			Capital Automotive LP, Term Loan, Second Lien			6.000%				4/30/20				B1				1,889,367
	1,131			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				BB				1,139,860
	2,992			Total Real Estate Management & Development															3,029,227
				Road & Rail – 0.5% (0.3% of Total Investments)
	990			Quality Distribution, Term Loan, First Lien			5.750%				8/18/22				B2				977,625
				Semiconductors & Semiconductor Equipment – 2.4% (1.5% of Total Investments)
	995			Micron Technology, Inc., Term Loan B, First Lien			4.530%				4/26/22				Baa2				1,010,754
	794			Microsemi Corporation, New Term Loan			3.019%				1/31/23				BB				772,867
	1,064			NXP Semiconductor LLC, Term Loan F			3.240%				12/07/20				Baa2				1,070,162
	1,496			On Semiconductor Corp., Term Loan B, First Lien			4.028%				3/31/23				Ba1				1,513,602
	4,349			Total Semiconductors & Semiconductor Equipment															4,367,385
				Software – 12.9% (8.3% of Total Investments)
	929			Blackboard, Inc., Term Loan B4			6.023%				6/30/21				B+				934,072
	1,922			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B+				1,919,836
	622			Computer Sciences Government Services, Term Loan B, First Lien			3.435%				11/30/23				BB+				625,295
	1,521			Compuware Corporation, Term Loan B2, First Lien, (WI/DD)			TBD				TBD				B				1,525,889
	424			Compuware Corporation, Term Loan, Second Lien			9.250%				12/15/22				CCC+				427,802
	735			Ellucian, Term Loan B, First Lien			4.250%				9/30/22				B				737,307
	944			Emdeon, Inc., Term Loan B2			3.750%				11/02/18				BB–				945,829

 

NUVEEN			61

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JSD		Nuveen Short Duration Credit Opportunities Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Software (continued)
$	2,457			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5			3.750%				6/03/20				B1			$	2,455,115
	988			Informatica Corp.,Term Loan B			4.500%				8/05/22				B+				985,648
	1,000			Kronos Incorporated, Term Loan B, First Lien			5.000%				11/01/23				B				1,011,534
	519			Micro Focus International PLC, Term Loan B			4.789%				11/19/21				BB–				524,935
	743			Micro Focus International PLC, Term Loan C			4.789%				11/20/19				BB–				750,455
	2,633			Misys PLC, Term Loan B, First Lien			5.000%				12/12/18				B+				2,647,809
	690			MSC Software Corporation, Initial Term Loan, First Lien			5.000%				5/29/20				B1				692,145
	750			RP Crown Parent LLC, Term Loan B, First Lien			4.500%				10/12/23				B1				754,621
	573			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.028%				7/08/22				BB+				579,744
	55			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.028%				7/08/22				BB+				55,636
	2,866			Tibco Software, Inc., Term Loan B			5.500%				12/04/20				B1				2,895,178
	1,496			Uber Technologies, Inc., Term Loan B, First Lien			5.000%				7/13/23				N/R				1,507,659
	748			Vertafore, Inc., Term Loan, First Lien			4.250%				6/30/23				B				754,738
	1,000			Vertiv Co., Term Loan B			6.029%				11/30/23				Ba3				1,013,900
	23,615			Total Software															23,745,147
				Specialty Retail – 1.3% (0.8% of Total Investments)
	496			Gardner Denver, Inc., Term Loan			4.558%				7/30/20				B				491,348
	296			Jo-Ann Stores, Inc., Term Loan B			6.256%				10/20/23				B+				292,846
	1,144			Petco Animal Supplies, Inc., Term Loan B1			4.250%				1/26/23				B1				1,130,406
	423			Petsmart Inc., Term Loan B, First Lien			4.000%				3/11/22				BB–				420,155
	2,359			Total Specialty Retail															2,334,755
				Technology Hardware, Storage & Peripherals – 6.3% (4.0% of Total Investments)
	1,975			Dell International LLC, Term Loan A2, First Lien			3.030%				9/07/21				BBB–				1,977,115
	500			Dell International LLC, Term Loan A3, First Lien			2.780%				12/31/18				BBB–				501,000
	4,080			Dell International LLC, Term Loan B			4.030%				9/07/23				BBB–				4,119,860
	1,000			Dell Software Group, Term Loan B			7.000%				10/31/22				B1				1,015,375
	3,980			Western Digital, Inc., Term Loan B1			4.526%				4/29/23				BBB–				4,032,237
	11,535			Total Technology Hardware, Storage & Peripherals															11,645,587
				Textiles, Apparel & Luxury Goods – 0.9% (0.6% of Total Investments)
	429			G-III Apparel Group, Term Loan B			6.250%				12/01/22				BB				420,000
	1,171			Gymboree Corporation, Term Loan			5.000%				2/23/18				Caa3				586,370
	1,028			J Crew Group, Term Loan B, First Lien			4.000%				3/05/21				Caa1				577,057
	2,628			Total Textiles, Apparel & Luxury Goods															1,583,427
				Trading Companies & Distributors – 2.4% (1.5% of Total Investments)
	2,364			Avolon, Term Loan B2, (WI/DD)			TBD				TBD				BBB–				2,396,997
	1,389			HD Supply, Inc., Term Loan B			3.748%				8/13/21				BB–				1,399,561
	620			Neff Rental/Neff Finance Closing Date Loan, Second Lien			7.543%				6/09/21				B–				620,609
	4,373			Total Trading Companies & Distributors															4,417,167
				Transportation Infrastructure – 0.6% (0.4% of Total Investments)
	66			Ceva Group PLC, Canadian Term Loan			6.539%				3/19/21				B2				58,041
	381			Ceva Group PLC, Dutch B.V., Term Loan			6.539%				3/19/21				B2				336,638
	371			Ceva Group PLC, Synthetic Letter of Credit Term Loan			6.500%				3/19/21				B2				328,244
	525			Ceva Group PLC, US Term Loan			6.539%				3/19/21				B2				464,328
	1,343			Total Transportation Infrastructure															1,187,251
				Wireless Telecommunication Services – 2.3% (1.5% of Total Investments)
	91			Fairpoint Communications, Inc., Term Loan B			7.500%				2/14/19				B				92,009
	3,000			Sprint Corporation, Term Loan, First Lien, (WI/DD)			TBD				TBD				Ba2				3,000,000
	783			Syniverse Holdings, Inc., Initial Term Loan B, First Lien			4.039%				4/23/19				B				707,590
	435			Syniverse Technologies, Inc., Tranche B, Term Loan			4.000%				4/23/19				B				393,087
	4,309			Total Wireless Telecommunication Services															4,192,686
$	249,267			Total Variable Rate Senior Loan Interests (cost $243,257,197)															243,089,228

 

	62			NUVEEN

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Shares				Description (1)														Value
				COMMON STOCKS – 1.3% (0.8% of Total Investments)
				Diversified Consumer Services – 0.3% (0.2% of Total Investments)
	39,749			Cengage Learning Holdings II LP, (5)														$	457,114
				Energy Equipment & Services – 1.0% (0.6% of Total Investments)
	39,988			C&J Energy Services Inc., (5), (6)															1,719,484
	1,318			Vantage Drill International, (5), (6)															167,386
				Total Energy Equipment & Services															1,886,870
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	20,216			Millenium Health LLC, (5)															20,216
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	41			Energy and Exploration Partners, Inc., (5), (6)															14,350
	18			Southcross Holdings Borrower LP, (5)															5,625
				Total Oil, Gas & Consumable Fuels															19,975
				Total Common Stocks (cost $4,405,934)															2,384,175
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 13.8% (8.8% of Total Investments)
				Commercial Services & Supplies – 1.1% (0.7% of Total Investments)
$	2,050			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	2,065,375
				Communications Equipment – 0.3% (0.2% of Total Investments)
	85			Avaya Inc., 144A			7.000%				4/01/19				D				70,338
	2,085			Avaya Inc., 144A			10.500%				3/01/21				D				568,163
	2,170			Total Communications Equipment															638,501
				Diversified Telecommunication Services – 1.8% (1.1% of Total Investments)
	1,094			Inelsat Connect Finance SA, 144A			12.500%				4/01/22				CC				691,955
	215			IntelSat Limited			6.750%				6/01/18				Ca				183,825
	1,930			IntelSat Limited			7.750%				6/01/21				Ca				670,675
	1,750			IntelSat Limited			8.125%				6/01/23				Ca				581,875
	1,000			Neptune Finco Corporation, 144A			10.125%				1/15/23				B+				1,159,380
	5,989			Total Diversified Telecommunication Services															3,287,710
				Health Care Providers & Services – 0.7% (0.5% of Total Investments)
	1,350			Iasis Healthcare Capital Corporation			8.375%				5/15/19				CCC+				1,292,625
				Hotels, Restaurants & Leisure – 1.2% (0.8% of Total Investments)
	2,150			Scientific Games International Inc.			10.000%				12/01/22				B–				2,202,933
				Media – 3.3% (2.1% of Total Investments)
	100			Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation			3.579%				7/23/20				BBB–				102,433
	1,000			Dish DBS Corporation			5.875%				11/15/24				Ba3				1,011,250
	3,585			iHeartCommunications, Inc.			9.000%				12/15/19				Caa1				3,000,196
	3,214			iHeartCommunications, Inc., PIK			14.000%				2/01/21				CC				1,205,421
	1,000			iHeartCommunications, Inc.			9.000%				3/01/21				Caa1				747,500
	8,899			Total Media															6,066,800
				Oil, Gas & Consumable Fuels – 1.6% (1.0% of Total Investments)
	895			California Resources Corporation, 144A			8.000%				12/15/22				CCC+				796,550
	400			Denbury Resources Inc.			6.375%				8/15/21				CCC+				366,000
	100			Denbury Resources Inc.			5.500%				5/01/22				CCC+				85,750
	400			Everest Acquisition LLC Finance			9.375%				5/01/20				CCC+				407,000
	1,200			FTS International Inc., 144A			8.350%				6/15/20				B				1,228,500
	2,995			Total Oil, Gas & Consumable Fuels															2,883,800

 

NUVEEN			63

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JSD		Nuveen Short Duration Credit Opportunities Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)
$	106			Advanced Micro Devices, Inc.			7.500%				8/15/22				CCC+			$	116,468
				Software – 0.9% (0.6% of Total Investments)
	1,230			BMC Software Finance Inc., 144A			8.125%				7/15/21				CCC+				1,186,950
	450			Boxer Parent Company Inc./BMC Software, 144A, PIK			9.000%				10/15/19				CCC+				436,500
	1,680			Total Software															1,623,450
				Wireless Telecommunication Services – 2.8% (1.8% of Total Investments)
	350			Sprint Communications Inc.			7.000%				8/15/20				B+				374,500
	2,750			Sprint Corporation			7.875%				9/15/23				B+				3,006,024
	250			Sprint Corporation			7.125%				6/15/24				B+				263,750
	1,250			T-Mobile USA Inc.			6.250%				4/01/21				BB				1,295,250
	75			T-Mobile USA Inc.			6.731%				4/28/22				BB				78,000
	75			T-Mobile USA Inc.			6.836%				4/28/23				BB				80,063
	4,750			Total Wireless Telecommunication Services															5,097,587
$	32,139			Total Corporate Bonds (cost $27,839,110)															25,275,249
				Total Long-Term Investments (cost $275,502,241)															270,748,652
Principal Amount (000)				Description (1)		Coupon				Maturity								Value
				SHORT-TERM INVESTMENTS – 9.2% (5.9% of Total Investments)
				REPURCHASE AGREEMENTS – 9.2% (5.9% of Total Investments)
$	16,872			Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $16,871,751, collateralized by $17,205,000 U.S. Treasury Notes, 2.250%, due 12/31/23, value $17,212,828			0.030%				2/01/17							$	16,871,737
				Total Short-Term Investments (cost $16,871,737)															16,871,737
				Total Investments (cost $292,373,978) – 156.6%															287,620,389
				Borrowings – (34.8)% (7), (8)															(64,000,000	)
				Term Preferred Shares, at Liquidation Preference – (19.1)% (9)															(35,000,000	)
				Other Assets Less Liabilities – (2.7)% (10)															(4,938,240	)
				Net Assets Applicable to Common Shares – 100%														$	183,682,149

Investments in Derivatives as of January 31, 2017

Interest Rate Swaps

 

Counterparty		Notional Amount				Fund Pay/Receive Floating Rate				Floating Rate Index				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Termination Date				Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services, LLC		$	17,500,000				Receive				1-Month USD-LIBOR-ICE				1.659	%			Monthly				9/15/18			$	(131,197	)
Morgan Stanley Capital Services, LLC			35,000,000				Pay				1-Month USD-LIBOR-ICE				1.500	(11)			Monthly				11/01/20	(12)			(92,906	)
		$	52,500,000																							$	(224,103	)

 

	64			NUVEEN

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

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

 

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

 

(7)	Borrowings as a percentage of Total Investments is 22.3%.

 

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

 

(9)	Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 12.2%.

 

(10)

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

 

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

 

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

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

PIK	All or a portion of this security is payment-in-kind.

 

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

 

TBD

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

 

USD-LIBOR-ICE

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

 

See accompanying notes to financial statements.

 

NUVEEN			65

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JQC

 

Nuveen Credit Strategies Income Fund
Portfolio of Investments		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				LONG-TERM INVESTMENTS – 147.6% (94.7% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 109.0% (69.9% of Total Investments) (4)
				Aerospace & Defense – 0.3% (0.2% of Total Investments)
$	4,269			B/E Aerospace, Inc., Term Loan B			3.943%				12/16/21				BB+			$	4,294,741
				Airlines – 2.4% (1.5% of Total Investments)
	8,000			American Airlines, Inc., Term Loan B			3.276%				4/28/23				BB+				8,056,000
	8,559			American Airlines, Inc., Term Loan B, (WI/DD)			TBD				TBD				BB+				8,611,392
	10,277			American Airlines, Inc., Term Loan B, First Lien			3.276%				6/29/20				BB+				10,343,007
	3,000			American Airlines, Inc., Term Loan B, First Lien			3.263%				10/08/21				BB+				3,020,625
	29,836			Total Airlines															30,031,024
				Automobiles – 2.6% (1.7% of Total Investments)
	2,641			Chrysler Group LLC, Term Loan B			3.528%				5/24/17				BBB–				2,644,692
	12,356			Chrysler Group LLC, Tranche B, Term Loan			3.270%				12/31/18				BBB–				12,394,157
	15,795			Formula One Group, Term Loan, First Lien			5.068%				7/30/21				B				15,913,920
	2,000			Formula One Group, Term Loan, Second Lien			8.068%				7/29/22				CCC+				2,016,500
	32,792			Total Automobiles															32,969,269
				Building Products – 0.2% (0.1% of Total Investments)
	2,750			Quikrete Holdings, Inc., Initial Term Loan, First Lien			4.017%				11/15/23				BB–				2,787,320
				Capital Markets – 0.9% (0.6% of Total Investments)
	11,614			RPI Finance Trust, Term Loan B5			3.498%				10/14/22				Baa2				11,731,290
				Chemicals – 5.5% (3.5% of Total Investments)
	16,805			Ineos US Finance LLC, Cash Dollar, Term Loan			3.750%				5/04/18				BB–				16,853,261
	5,331			Ineos US Finance LLC, Term Loan B, First Lien			4.250%				3/31/22				BB–				5,373,144
	36,983			Univar, Inc., Term Loan B, (DD1)			3.519%				7/01/22				BB–				36,967,899
	11,088			US Coatings Acquisition, Term Loan B			3.498%				2/01/23				BBB–				11,231,932
	70,207			Total Chemicals															70,426,236
				Commercial Services & Supplies – 2.7% (1.8% of Total Investments)
	19,390			ADS Waste Holdings, Inc., Term Loan B, First Lien			3.500%				11/10/23				BB				19,604,648
	7,232			Monitronics International, Inc., Term Loan B2, First Lien			6.500%				9/30/22				B2				7,342,617
	7,960			West Corporation, Refinanced Term Loan B12			3.278%				6/17/23				BB–				7,989,900
	34,582			Total Commercial Services & Supplies															34,937,165
				Communications Equipment – 0.5% (0.3% of Total Investments)
	902			Avaya, Inc., DIP Term Loan, (WI/DD)			TBD				TBD				Baa3				930,220
	3,296			Avaya, Inc., Term Loan B3			5.537%				10/26/17				D				2,759,230
	826			Avaya, Inc., Term Loan B7, (DD1)			6.282%				5/29/20				D				693,889
	1,872			CommScope, Inc., Tranche 5, Term Loan B, First Lien			3.278%				12/29/22				BB+				1,893,978
	6,896			Total Communications Equipment															6,277,317
				Consumer Finance – 3.7% (2.4% of Total Investments)
	28,150			First Data Corporation, New Dollar Term Loan			3.775%				7/08/22				BB				28,368,591
	18,771			First Data Corporation, Term Loan, First Lien			3.775%				3/24/21				BB				18,895,293
	46,921			Total Consumer Finance															47,263,884
				Containers & Packaging – 1.3% (0.8% of Total Investments)
	1,714			Berry Plastics Holding Corporation, Term Loan I			3.287%				10/01/22				BB				1,728,906
	14,711			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.000%				2/05/23				B+				14,778,887
	16,425			Total Containers & Packaging															16,507,793

 

	66			NUVEEN

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Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Diversified Consumer Services – 2.6% (1.6% of Total Investments)
$	6,921			Cengage Learning Acquisitions, Inc., Term Loan B			5.250%				6/07/23				BB–			$	6,459,136
	23,460			Hilton Hotels Corporation, Series B2, Term Loan			3.271%				10/25/23				BBB–				23,729,914
	1,726			Hilton Hotels Corporation, Term Loan B1			3.500%				10/26/20				BBB–				1,741,700
	643			Laureate Education, Inc., Term Loan B			5.000%				6/15/18				B–				647,285
	32,750			Total Diversified Consumer Services															32,578,035
				Diversified Financial Services – 2.0% (1.3% of Total Investments)
	4,764			MGM Growth Properties, Term Loan B			3.528%				4/25/23				BB+				4,802,708
	20,688			WideOpenWest Finance LLC, New Term Loan B			4.500%				8/18/23				B1				20,866,694
	25,452			Total Diversified Financial Services															25,669,402
				Diversified Telecommunication Services – 5.2% (3.4% of Total Investments)
	6,500			Greeneden U.S. Holdings II LLC, Term Loan B			5.000%				12/01/23				B2				6,582,602
	10,000			Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan			3.750%				6/30/19				B1				9,860,710
	7,382			Level 3 Financing, Inc., Term Loan B2			3.513%				5/31/22				BBB–				7,450,561
	1,755			Zayo Group LLC, Term Loan B2			3.500%				1/12/24				N/R				1,773,647
	41,000			Ziggo B.V., Term Loan E			0.000%				4/25/25				BB–				41,140,958
	66,637			Total Diversified Telecommunication Services															66,808,478
				Electric Utilities – 0.2% (0.2% of Total Investments)
	2,443			Vistra Operations Co., Term Loan B			3.500%				8/04/23				Ba2				2,455,071
	557			Vistra Operations Co., Term Loan C			3.500%				8/04/23				Ba2				559,929
	3,000			Total Electric Utilities															3,015,000
				Electronic Equipment, Instruments & Components – 0.3% (0.2% of Total Investments)
	4,156			Zebra Technologies Corporation Refinancing Term Loan B, First Lien			3.446%				10/27/21				BB+				4,197,663
				Energy Equipment & Services – 0.4% (0.2% of Total Investments)
	5,948			Drill Rigs Holdings, Inc., Tranche B1, Term Loan			6.063%				3/31/21				Caa2				4,624,793
				Equity Real Estate Investment Trusts – 4.0% (2.6% of Total Investments)
	20,626			Communications Sales & Leasing, Inc., Term Loan B			4.500%				10/24/22				BB–				20,873,518
	10,544			Realogy Group LLC, Term Loan B			3.026%				7/20/22				BB+				10,614,301
	20,494			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)			4.750%				12/18/20				B				19,755,871
	51,664			Total Equity Real Estate Investment Trusts															51,243,690
				Food & Staples Retailing – 3.4% (2.2% of Total Investments)
	25,201			Albertson’s LLC, Term Loan B4			3.778%				8/25/21				BB				25,364,307
	11,249			Albertson’s LLC, Term Loan B6			4.061%				6/22/23				BB				11,334,301
	5,445			BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)			TBD				TBD				B–				5,462,949
	699			Supervalu, Inc., New Term Loan B			5.500%				3/21/19				BB–				703,990
	42,594			Total Food & Staples Retailing															42,865,547
				Food Products – 3.7% (2.4% of Total Investments)
	6,247			Jacobs Douwe Egberts, Term Loan B			3.500%				7/04/22				BB				6,289,605
	6,825			Keurig Green Mountain, Inc., Term Loan A, First Lien			2.563%				3/03/21				BBB–				6,820,734
	4,100			Keurig Green Mountain, Inc., Term Loan B, First Lien			5.313%				3/03/23				BBB–				4,166,866
	29,248			US Foods, Inc., Term Loan B			3.778%				6/27/23				BB–				29,508,024
	46,420			Total Food Products															46,785,229
				Health Care Equipment & Supplies – 3.1% (2.0% of Total Investments)
	4,781			Acelity, Term Loan B, (WI/DD)			TBD				TBD				B1				4,757,480
	4,505			ConvaTec, Inc., Term Loan B			3.278%				10/25/23				BB				4,540,186
	10,197			Onex Carestream Finance LP, Term Loan, First Lien			5.000%				6/07/19				B+				9,814,255
	10,172			Onex Carestream Finance LP, Term Loan, Second Lien			9.500%				12/09/19				B–				8,544,242
	11,529			Sterigenics International, Inc., Term Loan B			4.250%				5/16/22				B1				11,593,783
	41,184			Total Health Care Equipment & Supplies															39,249,946

 

NUVEEN			67

---

JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Health Care Providers & Services – 4.5% (2.9% of Total Investments)
$	373			Community Health Systems, Inc., Term Loan F			4.180%				12/31/18				BB–			$	368,962
	7,242			Community Health Systems, Inc., Term Loan G			3.750%				12/31/19				BB–				6,895,934
	13,050			Community Health Systems, Inc., Term Loan H			4.000%				1/27/21				BB–				12,373,501
	1,579			Envision Healthcare Corporation, Term Loan B, First Lien			4.000%				12/01/23				BB–				1,595,360
	11,476			Millennium Laboratories, Inc., Term Loan B, First Lien			7.500%				12/21/20				CCC+				5,795,138
	17,167			MultiPlan, Inc., Term Loan B			5.000%				6/07/23				B+				17,428,671
	8,212			National Mentor Holdings, Inc., Term Loan B			4.250%				1/31/21				B+				8,241,698
	1,233			Quorum Health Corp., Term Loan B			6.750%				4/29/22				B1				1,222,527
	3,739			U.S. Renal Care, Inc., Term Loan, First Lien			5.250%				12/30/22				B1				3,537,016
	64,071			Total Health Care Providers & Services															57,458,807
				Hotels, Restaurants & Leisure – 7.3% (4.7% of Total Investments)
	34,072			Burger King Corporation, Term Loan B			3.750%				12/10/21				Ba3				34,430,911
	1,493			CCM Merger, Inc., Term Loan B			4.028%				8/09/21				BB–				1,503,759
	20,516			Life Time Fitness, Inc., Term Loan B			4.000%				6/10/22				B1				20,576,770
	8,730			Scientific Games Corporation, Term Loan			6.000%				10/18/20				Ba3				8,826,030
	7,350			Scientific Games Corporation, Term Loan B2			6.022%				10/01/21				Ba3				7,432,033
	15,656			Station Casino LLC, Term Loan B			3.270%				6/08/23				BB				15,583,624
	4,975			YUM Brands, Term Loan B			3.518%				6/16/23				BBB–				5,048,381
	92,792			Total Hotels, Restaurants & Leisure															93,401,508
				Household Products – 2.2% (1.4% of Total Investments)
	18,953			Revlon Consumer Products Corporation, Term Loan B, First Lien			4.313%				9/07/23				Ba3				19,143,105
	8,603			Serta Simmons Holdings LLC, Term Loan, First Lien			4.500%				11/08/23				B1				8,608,642
	27,556			Total Household Products															27,751,747
				Independent Power & Renewable Electricity Producers – 1.6% (1.0% of Total Investments)
	3,500			Calpine Corporation, Term Loan B1, First Lien			3.067%				11/30/17				BB				3,508,750
	17,000			Dynegy, Inc., Term Loan B			4.250%				6/27/23				BB				17,185,946
	20,500			Total Independent Power & Renewable Electricity Producers															20,694,696
				Insurance – 0.8% (0.5% of Total Investments)
	10,644			Hub International Holdings, Inc., Initial Term Loan			4.000%				10/02/20				Ba3				10,687,259
				Internet and Direct Marketing Retail – 1.7% (1.1% of Total Investments)
	21,219			Travelport LLC, Term C Loan			4.250%				9/02/21				B+				21,447,482
				Internet Software & Services – 3.1% (2.0% of Total Investments)
	11,500			Ancestry.com, Inc., Term Loan B, First Lien			5.250%				10/19/23				B1				11,634,769
	2,000			Rackspace Hosting, Inc., Term Loan B, First Lien			4.500%				11/03/23				BB+				2,023,906
	25,109			Sabre, Inc., Term Loan B			4.000%				2/19/19				Ba2				25,292,039
	38,609			Total Internet Software & Services															38,950,714
				IT Services – 0.3% (0.2% of Total Investments)
	2,589			Global Payments, Inc., Term Loan B, First Lien			3.278%				4/22/23				BBB–				2,621,026
	845			Zayo Group LLC, Term Loan B3, (WI/DD)			TBD				TBD				BB				853,978
	3,434			Total IT Services															3,475,004
				Leisure Products – 0.2% (0.1% of Total Investments)
	2,325			Academy, Ltd., Term Loan B			5.019%				7/01/22				B2				2,062,425
				Machinery – 0.4% (0.3% of Total Investments)
	4,943			Rexnord LLC. Term Loan B, First Lien			3.770%				8/21/23				BB–				4,978,878
				Media – 8.8% (5.6% of Total Investments)
	7,102			Acquisitions Cogeco Cable II L.P., Term Loan B			3.278%				11/30/19				BB				7,124,349
	3,568			Advantage Sales & Marketing, Inc., Term Loan, First Lien			4.248%				7/23/21				B1				3,570,476
	2,401			Advantage Sales & Marketing, Inc., Term Loan, Second Lien			7.500%				7/25/22				CCC+				2,357,642
	1,235			Clear Channel Communications, Inc., Tranche D, Term Loan			7.528%				1/30/19				Caa1				1,038,647

 

	68			NUVEEN

---

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Media (continued)
$	1,358			Clear Channel Communications, Inc., Term Loan E			8.278%				7/30/19				Caa1			$	1,141,389
	31,597			Cumulus Media, Inc., Term Loan B			4.250%				12/23/20				B3				20,901,195
	28,194			EMI Music Publishing LLC, Term Loan B4			3.523%				8/22/22				BB–				28,384,605
	2,000			Getty Images, Inc., Term Loan B, First Lien			4.750%				10/18/19				B3				1,731,250
	3,000			Lions Gate Entertainment Corporation, Term Loan B			3.766%				12/08/23				Ba2				3,026,250
	422			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				1/17/24				Ba3				426,564
	4,578			Nexstar Broadcasting Group, Term Loan B, First Lien			3.767%				9/26/23				BB+				4,629,686
	6,516			Springer Science & Business Media, Inc., Term Loan B9, First Lien			4.500%				8/14/20				B				6,532,562
	26,686			Tribune Media Company, Term Loan C			3.778%				1/18/24				BB+				26,919,192
	4,211			Univision Communications, Inc., Replacement Term Loan, First Lien			4.000%				3/01/20				B+				4,225,827
	122,868			Total Media															112,009,634
				Metals & Mining – 1.1% (0.7% of Total Investments)
	13,559			Fortescue Metals Group, Ltd., Term Loan B, First Lien, (DD1)			3.750%				6/30/19				BBB–				13,655,524
				Multiline Retail – 0.8% (0.5% of Total Investments)
	2,111			Bass Pro Group LLC, Term Loan B			5.970%				12/15/23				B+				2,056,188
	6,948			Belk, Inc., Term Loan B, First Lien			5.760%				12/12/22				B				5,962,907
	2,840			Dollar Tree, Inc., Term Loan B2			4.250%				7/06/22				BBB–				2,884,304
	11,899			Total Multiline Retail															10,903,399
				Oil, Gas & Consumable Fuels – 1.6% (1.0% of Total Investments)
	1,114			Crestwood Holdings LLC, Term Loan B			9.000%				6/19/19				B3				1,111,531
	4,969			Fieldwood Energy LLC, Term Loan, First Lien			8.000%				8/31/20				B2				4,826,174
	3,209			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				CCC–				2,542,754
	9,242			Fieldwood Energy LLC, Term Loan, Second Lien			8.375%				9/30/20				B–				8,364,092
	4,532			Harvey Gulf International Marine, Inc., Term Loan B			5.470%				6/18/20				CCC+				3,738,974
	23,066			Total Oil, Gas & Consumable Fuels															20,583,525
				Pharmaceuticals – 2.7% (1.7% of Total Investments)
	30,775			Pharmaceutical Product Development, Inc., Term Loan B, First Lien			4.250%				8/18/22				B1				31,024,672
	2,000			Valeant Pharmaceuticals International, Inc., Series C2, Tranche B Term Loan			5.522%				12/11/19				BB				2,005,491
	975			Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan			5.270%				8/05/20				BB–				977,968
	33,750			Total Pharmaceuticals															34,008,131
				Professional Services – 0.1% (0.0% of Total Investments)
	910			Ceridian Corporation, Term Loan B2			4.539%				9/15/20				Ba3				908,789
				Real Estate Management & Development – 1.2% (0.8% of Total Investments)
	15,490			Capital Automotive LP, Term Loan, Tranche B1			4.000%				4/10/19				BB				15,606,633
				Semiconductors & Semiconductor Equipment – 1.8% (1.2% of Total Investments)
	3,969			Microsemi Corporation, New Term Loan			3.019%				1/31/23				BB				3,946,990
	5,718			NXP Semiconductor LLC, Term Loan F			3.240%				12/07/20				Baa2				5,752,123
	13,217			On Semiconductor Corp., Term Loan B, First Lien			4.028%				3/31/23				Ba1				13,370,151
	22,904			Total Semiconductors & Semiconductor Equipment															23,069,264
				Software – 15.7% (10.1% of Total Investments)
	4,071			Blackboard, Inc., Term Loan B4			6.023%				6/30/21				B+				4,091,682
	26,466			BMC Software, Inc., Initial Term Loan			5.000%				9/10/20				B+				26,435,246
	10,615			Compuware Corporation, Term Loan B2, First Lien			5.250%				12/15/21				B				10,648,592
	27,820			Ellucian, Term Loan B, First Lien			4.250%				9/30/22				B				27,894,882
	16,677			Emdeon, Inc., Term Loan B2			3.750%				11/02/18				BB–				16,708,000
	23,783			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5			3.750%				6/03/20				B1				23,766,026
	6,419			Informatica Corp., Term Loan B			4.500%				8/05/22				B+				6,406,715
	3,000			Kronos Incorporated, Term Loan B, First Lien			5.000%				11/01/23				B				3,034,602
	15,169			Kronos Incorporated, Term Loan B, Second Lien			9.250%				11/01/24				CCC				15,695,182
	8,951			Micro Focus International PLC, Term Loan B			4.789%				11/19/21				BB–				9,055,125

 

NUVEEN			69

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JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon (4)				Maturity (2)				Ratings (3)				Value
				Software (continued)
$	1,361			Micro Focus International PLC, Term Loan C			4.789%				11/20/19				BB–			$	1,375,834
	15,000			Misys PLC, Term Loan, Second Lien			12.000%				6/12/19				CCC+				15,931,245
	11,284			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1			4.028%				7/08/22				BB+				11,421,566
	1,083			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2			4.028%				7/08/22				BB+				1,096,091
	16,807			Tibco Software, Inc., Term Loan B			5.500%				12/04/20				B1				16,980,567
	9,975			Uber Technologies, Inc., Term Loan B, First Lien			5.000%				7/13/23				N/R				10,051,059
	198,481			Total Software															200,592,414
				Specialty Retail – 2.5% (1.6% of Total Investments)
	7,447			Burlington Coat Factory Warehouse Corporation, Term Loan B4			3.530%				8/13/21				BB				7,489,485
	8,997			Gardner Denver, Inc., Term Loan, (WI/DD)			TBD				TBD				B				8,910,265
	592			Jo-Ann Stores, Inc., Term Loan B			6.256%				10/20/23				B+				585,693
	2,811			Michaels Stores, Inc., Term Loan B1, First Lien			3.750%				1/30/23				BB				2,807,240
	4,577			Petco Animal Supplies, Inc., Term Loan B1			4.250%				1/26/23				B1				4,521,625
	7,630			Petsmart Inc., Term Loan B, First Lien			4.000%				3/11/22				BB–				7,573,566
	32,054			Total Specialty Retail															31,887,874
				Technology Hardware, Storage & Peripherals – 3.3% (2.1% of Total Investments)
	33,339			Dell International LLC, Term Loan B			4.030%				9/07/23				BBB–				33,663,462
	8,756			Western Digital, Inc., Term Loan B1			4.526%				4/29/23				BBB–				8,870,923
	42,095			Total Technology Hardware, Storage & Peripherals															42,534,385
				Trading Companies & Distributors – 1.6% (1.0% of Total Investments)
	7,091			Avolon, Term Loan B2, (WI/DD)			TBD				TBD				BBB–				7,189,976
	12,881			HD Supply, Inc., Term Loan B			3.748%				8/13/21				BB–				12,980,785
	19,972			Total Trading Companies & Distributors															20,170,761
				Wireless Telecommunication Services – 0.7% (0.4% of Total Investments)
	5,000			Sprint Corporation, Term Loan, First Lien, (WI/DD)			TBD				TBD				Ba2				5,000,000
	2,496			Syniverse Holdings, Inc., Initial Term Loan B, First Lien, (WI/DD)			TBD				TBD				B				2,255,376
	1,500			Syniverse Technologies, Inc., Tranche B, Term Loan, (WI/DD)			TBD				TBD				B				1,355,625
	8,996			Total Wireless Telecommunication Services															8,611,001
$	1,408,234			Total Variable Rate Senior Loan Interests (cost $1,404,098,125)															1,389,713,676
Shares				Description (1)														Value
				COMMON STOCKS – 0.6% (0.4% of Total Investments)
				Diversified Consumer Services – 0.4% (0.2% of Total Investments)
	403,318			Cengage Learning Holdings II LP, (5)														$	4,638,157
				Energy Equipment & Services – 0.1% (0.1% of Total Investments)
	10,935			Vantage Drill International, (5), (6)															1,388,745
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	348,605			Millennium Health LLC, (5)															348,604
				Media – 0.1% (0.1% of Total Investments)
	51,720			Affinion Group Holdings, Inc., (5), (6)															439,622
	271			Cumulus Media, Inc., (5)															270
	22,352			Tribune Media Company															644,632
	17,987			Tribune Media Company, (7)															—
	5,588			tronc, Inc., (5)															74,097
				Total Media															1,158,621
				Total Common Stocks (cost $26,732,958)															7,534,127

 

	70			NUVEEN

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Shares				Description (1), (8)														Value
				EXCHANGE-TRADED FUNDS – 7.3% (4.7% of Total Investments)
	63,500			iShares U.S. Real Estate ETF														$	4,892,040
	2,571,083			PowerShares Senior Loan Portfolio															59,906,234
	296,265			SPDR® Bloomberg Barclays Short Term High Yield Bond ETF															8,283,569
	233,400			SPDR® S&P® Bank ETF															10,138,896
	127,700			SPDR® S&P® Oil & Gas Equipment & Services ETF															2,868,142
	202,700			VanEck Vectors Oil Services ETF															6,762,072
				Total Exchange-Traded Funds (cost $92,381,764)															92,850,953
Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				CORPORATE BONDS – 30.7% (19.7% of Total Investments)
				Commercial Services & Supplies – 0.3% (0.2% of Total Investments)
$	3,900			NES Rental Holdings Inc., 144A			7.875%				5/01/18				B–			$	3,929,250
				Communications Equipment – 2.2% (1.4% of Total Investments)
	19,375			Avaya Inc., 144A, (9)			7.000%				4/01/19				D				16,032,812
	9,250			Avaya Inc., 144A			10.500%				3/01/21				D				2,520,625
	8,510			CommScope Technologies Finance LLC, 144A, (9)			6.000%				6/15/25				B+				9,068,469
	37,135			Total Communications Equipment															27,621,906
				Diversified Telecommunication Services – 2.2% (1.4% of Total Investments)
	7,000			CenturyLink Inc.			5.625%				4/01/20				BB+				7,385,000
	8,000			CenturyLink Inc.			6.450%				6/15/21				BB+				8,500,000
	4,612			Inelsat Connect Finance SA, 144A			12.500%				4/01/22				CC				2,917,090
	3,413			IntelSat Limited			7.750%				6/01/21				Ca				1,186,018
	23,355			IntelSat Limited			8.125%				6/01/23				Ca				7,765,538
	46,380			Total Diversified Telecommunication Services															27,753,646
				Electrical Equipment – 0.2% (0.1% of Total Investments)
	2,000			Park Aerospace Holdings Limited, 144A, (WI/DD)			5.250%				8/15/22				BB				2,050,000
				Equity Real Estate Investment Trusts – 1.2% (0.8% of Total Investments)
	13,950			Communications Sales & Leasing Inc., (9)			8.250%				10/15/23				BB–				15,135,750
				Food & Staples Retailing – 0.1% (0.0% of Total Investments)
	1,000			Rite Aid Corporation, 144A			6.125%				4/01/23				B				1,041,250
				Health Care Equipment & Supplies – 0.9% (0.6% of Total Investments)
	7,000			Tenet Healthcare Corporation, 144A			7.500%				1/01/22				Ba3				7,507,500
	3,500			Tenet Healthcare Corporation			6.000%				10/01/20				BB–				3,692,500
	10,500			Total Health Care Equipment & Supplies															11,200,000
				Health Care Providers & Services – 1.2% (0.8% of Total Investments)
	12,500			DJO Finco Inc. / DJO Finance LLC / DJO Finance Corporation, 144A, (9)			8.125%				6/15/21				CCC				10,812,500
	4,000			IMS Health Incorporated, 144A			5.000%				10/15/26				BB+				4,026,640
	1,000			MPH Acquisition Holdings LLC, 144A			7.125%				6/01/24				B–				1,061,250
	17,500			Total Health Care Providers & Services															15,900,390
				Hotels, Restaurants & Leisure – 1.9% (1.2% of Total Investments)
	4,250			Scientific Games Corporation, 144A			7.000%				1/01/22				Ba3				4,542,188
	18,750			Scientific Games International Inc., (9)			10.000%				12/01/22				B–				19,211,625
	23,000			Total Hotels, Restaurants & Leisure															23,753,813
				Media – 5.4% (3.5% of Total Investments)
	604			Affinion International Holdings Co, 144A			7.500%				7/30/18				B–				583,193
	2,860			Altice US Finance I Corporation, 144A			5.375%				7/15/23				BB–				2,977,975
	4,000			CCO Holdings LLC Finance Corporation, 144A, (9)			5.125%				5/01/23				BB+				4,150,000
	7,000			CSC Holdings Inc., 144A			5.500%				4/15/27				Ba1				7,096,250
	19,000			Dish DBS Corporation, (9)			5.125%				5/01/20				Ba3				19,522,500
	3,000			Dish DBS Corporation			6.750%				6/01/21				Ba3				3,225,000

 

NUVEEN			71

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JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

Principal Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Media (continued)
$	6,000			Dish DBS Corporation			7.750%				7/01/26				Ba3			$	6,703,140
	10,609			iHeartCommunications, Inc.			9.000%				12/15/19				Caa1				8,878,407
	41,015			iHeartCommunications, Inc., PIK			14.000%				2/01/21				CC				15,380,760
	300			iHeartCommunications, Inc.			9.000%				3/01/21				Caa1				224,250
	94,388			Total Media															68,741,475
				Multiline Retail – 0.6% (0.4% of Total Investments)
	7,375			Dollar Tree, Inc.			5.750%				3/01/23				BB				7,791,688
				Oil, Gas & Consumable Fuels – 4.0% (2.6% of Total Investments)
	7,000			California Resources Corporation, 144A			8.000%				12/15/22				CCC+				6,230,000
	21,000			Chesapeake Energy Corporation, 144A			8.000%				12/15/22				B+				22,417,500
	4,000			Oasis Petroleum Inc.			6.875%				3/15/22				B+				4,100,000
	18,000			Whiting Petroleum Corporation			5.000%				3/15/19				BB–				18,324,000
	50,000			Total Oil, Gas & Consumable Fuels															51,071,500
				Pharmaceuticals – 0.2% (0.1% of Total Investments)
	4,850			Concordia Healthcare Corporation, 144A			9.500%				10/21/22				CCC				2,061,250
				Semiconductors & Semiconductor Equipment – 1.3% (0.8% of Total Investments)
	3,167			Advanced Micro Devices, Inc.			7.500%				8/15/22				CCC+				3,479,741
	1,719			Advanced Micro Devices, Inc.			7.000%				7/01/24				CCC+				1,779,165
	10,625			Micron Technology, Inc., 144A, (9)			7.500%				9/15/23				Baa2				11,793,750
	15,511			Total Semiconductors & Semiconductor Equipment															17,052,656
				Software – 0.6% (0.4% of Total Investments)
	2,830			Balboa Merger Sub Inc., 144A			11.375%				12/01/21				CCC+				3,113,000
	5,000			BMC Software Finance Inc., 144A, (9)			8.125%				7/15/21				CCC+				4,825,000
	7,830			Total Software															7,938,000
				Specialty Retail – 0.3% (0.2% of Total Investments)
	9,500			Claires Stores, Inc., 144A			9.000%				3/15/19				CCC–				4,560,000
				Technology Hardware, Storage & Peripherals – 1.4% (0.9% of Total Investments)
	5,000			Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (9)			5.875%				6/15/21				BB+				5,274,090
	5,000			Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (9)			7.125%				6/15/24				BB+				5,474,284
	7,000			Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (9)			6.020%				6/15/26				BBB–				7,557,277
	17,000			Total Technology Hardware, Storage & Peripherals															18,305,651
				Wireless Telecommunication Services – 6.7% (4.3% of Total Investments)
	7,000			Altice Financing SA, 144A, (9)			6.625%				2/15/23				BB–				7,310,625
	1,000			Hughes Satellite Systems Corporation, 144A			6.625%				8/01/26				BB–				1,035,000
	6,000			Hughes Satellite Systems Corporation, 144A			5.250%				8/01/26				BBB–				6,000,000
	12,000			Sprint Communications Inc., (9)			7.000%				8/15/20				B+				12,840,000
	2,500			Sprint Corporation			7.250%				9/15/21				B+				2,675,000
	29,000			Sprint Corporation, (9)			7.875%				9/15/23				B+				31,699,900
	10,000			T-Mobile USA Inc., (9)			6.250%				4/01/21				BB				10,362,000
	12,000			T-Mobile USA Inc., (9)			6.375%				3/01/25				BB				12,975,000
	79,500			Total Wireless Telecommunication Services															84,897,525
$	441,319			Total Corporate Bonds (cost $434,747,778)															390,805,750
				Total Long-Term Investments (cost $1,957,960,625)															1,880,904,506

 

	72			NUVEEN

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Principal Amount (000)				Description (1)		Coupon				Maturity								Value
				SHORT-TERM INVESTMENTS – 8.3% (5.3% of Total Investments)
				REPURCHASE AGREEMENTS – 8.3% (5.3% of Total Investments)
$	105,747			Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $105,747,083, collateralized by: $1,425,000 U.S. Treasury Notes, 1.375%, due 4/30/21, value $1,403,435; $104,815,000 U.S. Treasury Notes, 2.250%, due 7/31/21, value $106,460,910			0.030%				2/01/17							$	105,746,995
				Total Short-Term Investments (cost $105,746,995)															105,746,995
				Total Investments (cost $2,063,707,620) – 155.9%															1,986,651,501
				Borrowings – (44.0)% (10), (11)															(561,000,000	)
				Reverse Repurchase Agreements – (11.4)% (12)															(145,000,000	)
				Other Assets Less Liabilities – (0.5)% (13)															(6,349,700	)
				Net Assets Applicable to Common Shares – 100%														$	1,274,301,801

Investments in Derivatives as of January 31, 2017

Credit Default Swaps

 

Clearing Broker		Referenced Entity				Buy/Sell Protection (14)				Current Credit Spread (15)				Notional Amount				Fixed Rate (Annualized)				Termination Date				Value				Variation Margin Receivable/ (Payable)				Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services, LLC*			CDX.NA.HY.26				Sell				3.16	%		$	20,000,000				5.000	%			6/20/21			$	1,549,115			$	(22,631	)		$	1,097,813

*	ICE Clear Credit LLC is the clearing house for this transaction.

 

NUVEEN			73

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JQC		Nuveen Credit Strategies Income Fund
		Portfolio of Investments (continued)		January 31, 2017 (Unaudited)

 

 

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

 

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

 

(2)

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

 

(3)

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

 

(4)

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

 

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

 

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

 

(7)

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

 

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

 

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

 

(10)	Borrowings as a percentage of Total Investments is 28.2%.

 

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

 

(12)	Reverse Repurchase Agreements as a percentage of Total Investments is 7.3%.

 

(13)

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

 

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

 

(15)

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

 

(DD1)

Portion of investment purchased on a delayed delivery basis.

 

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

 

PIK	All or a portion of this security is payment-in-kind.

 

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

 

TBD

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

 

ETF	Exchange-Traded Fund

 

S&P	Standard & Poor’s

 

ICE	International Exchange

 

See accompanying notes to financial statements.

 

	74			NUVEEN

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Statement of Assets and Liabilities						January 31, 2017 (Unaudited)

 

		NSL				JFR				JRO				JSD				JQC
Assets
Long-term investments, at value (cost $412,377,907, $963,152,494, $677,852,703, $275,502,241 and $1,957,960,625, respectively)		$	399,802,777			$	937,571,330			$	658,114,906			$	270,748,652			$	1,880,904,506
Short-term investments, at value (cost approximates value)			23,888,748				73,311,435				47,667,107				16,871,737				105,746,995
Cash			91,198				193,174				130,648				53,817				41,251
Cash collateral at brokers(1)			900,000				—				—				270,000				759,426
Cash denominated in foreign currencies (cost $7,628, $19,422, $12,975, $— and $—, respectively)			7,277				18,527				12,377				—				—
Credit default swaps premiums paid			—				—				—				—				451,302
Unrealized appreciation on interest rate swaps, net			—				238,639				221,906				—				—
Receivable for:
Dividends			106,295				329,398				258,744				—				129,043
Interest			2,397,085				5,453,199				4,047,914				1,574,874				12,966,223
Investments sold			15,320,244				31,695,111				19,931,529				8,892,322				53,509,586
Reclaims			—				—				—				—				34,599
Shares sold			—				31,001				—				—				—
Other assets			153,971				151,009				115,792				57,011				319,835
Total assets			442,667,595				1,048,992,823				730,500,923				298,468,413				2,054,862,766
Liabilities
Borrowings			104,000,000				258,900,000				178,800,000				64,000,000				561,000,000
Reverse repurchase agreements			—				—				—				—				145,000,000
Unrealized depreciation on interest rate swaps			685,943				—				—				224,103				—
Payable for:
Dividends			1,497,080				3,693,510				2,692,894				990,281				7,049,419
Investments purchased			23,724,895				45,601,277				34,120,334				14,949,552				64,167,766
Offering costs			133,000				199,187				220,312				—				—
Variation margin on swap contracts			—				—				—				—				22,631
Term Preferred Shares (“Term Preferred”), net of deferred offering costs (liquidation preference $43,000,000, $90,200,000, $63,000,000, $35,000,000 and $—, respectively)			42,174,140				89,250,956				62,080,298				34,275,818				—
Accrued expenses:
Interest			—				11,183				223,972				89,894				1,292,917
Management fees			284,637				659,069				469,313				194,914				1,357,105
Trustees fees			67,569				125,500				79,539				14,009				335,290
Other			141,218				143,870				152,998				47,693				335,837
Total liabilities			172,708,482				398,584,552				278,839,660				114,786,264				780,560,965
Net assets applicable to common shares		$	269,959,113			$	650,408,271			$	451,661,263			$	183,682,149			$	1,274,301,801
Common shares outstanding			38,621,872				55,169,216				38,482,146				10,095,286				135,766,990
Net asset value (“NAV”) per common share outstanding		$	6.99			$	11.79			$	11.74			$	18.19			$	9.39
Net assets applicable to common shares consist of:
Common shares, $0.01 par value per share		$	386,219			$	551,692			$	384,821			$	100,953			$	1,357,670
Paid-in surplus			324,463,130				765,737,345				526,415,807				192,244,418				1,685,676,692
Undistributed (Over-distribution of) net investment income			1,384,577				(953,806	)			(225,592	)			(49,235	)			(5,567,240	)
Accumulated net realized gain (loss)			(43,013,389	)			(89,583,540	)			(55,397,284	)			(3,636,295	)			(331,207,701	)
Net unrealized appreciation (depreciation)			(13,261,424	)			(25,343,420	)			(19,516,489	)			(4,977,692	)			(75,957,620	)
Net assets applicable to common shares		$	269,959,113			$	650,408,271			$	451,661,263			$	183,682,149			$	1,274,301,801
Authorized shares:
Common			Unlimited				Unlimited				Unlimited				Unlimited				Unlimited
Preferred			Unlimited				Unlimited				Unlimited				Unlimited				Unlimited

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

 

See accompanying notes to financial statements.

 

NUVEEN			75

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Statement of Operations						Six Months Ended January 31, 2017 (Unaudited)

 

		NSL				JFR				JRO				JSD				JQC
Investment Income
Interest and dividends		$	12,129,324			$	28,048,873			$	20,193,940			$	8,550,526			$	51,397,702
Fees			450,681				958,690				693,463				298,686				1,703,062
Total investment income			12,580,005				29,007,563				20,887,403				8,849,212				53,100,764
Expenses
Management fees			1,696,683				4,046,072				2,830,100				1,141,130				7,998,728
Interest expense and amortization of offering costs			1,610,085				3,789,205				2,704,744				881,759				7,138,685
Custodian fees			74,435				147,205				105,188				58,906				223,262
Trustees fees			6,547				15,607				10,883				4,385				29,957
Professional fees			62,105				98,162				105,278				71,142				50,734
Shareholder reporting expenses			28,419				53,881				39,052				18,200				116,489
Shareholder servicing agent fees			17,233				17,036				16,845				13,118				2,319
Stock exchange listing fees			6,237				8,912				6,214				3,939				21,954
Investor relations expenses			23,164				53,713				37,370				17,065				109,018
Other			19,457				22,867				21,439				13,066				23,551
Total expenses			3,544,365				8,252,660				5,877,113				2,222,710				15,714,697
Net investment income (loss)			9,035,640				20,754,903				15,010,290				6,626,502				37,386,067
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments and foreign currency			(4,021,269	)			(9,748,326	)			(5,946,374	)			(908,916	)			(9,949,557	)
Swaps			39,180				3,663				6,855				(180,967	)			455,254
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			13,306,667				33,965,903				22,782,636				7,839,582				32,736,330
Swaps			(685,943	)			238,639				221,906				(76,566	)			643,488
Net realized and unrealized gain (loss)			8,638,635				24,459,879				17,065,023				6,673,133				23,885,515
Net increase (decrease) in net assets applicable to common shares from operations		$	17,674,275			$	45,214,782			$	32,075,313			$	13,299,635			$	61,271,582

 

See accompanying notes to financial statements.

 

	76			NUVEEN

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Statement of Changes in Net Assets						(Unaudited)

 

		NSL								JFR
		Six Months Ended 1/31/17				Year Ended 7/31/16				Six Months Ended 1/31/17				Year Ended 7/31/16
Operations
Net investment income (loss)		$	9,035,640			$	17,534,487			$	20,754,903			$	40,039,909
Net realized gain (loss) from:
Investments and foreign currency			(4,021,269	)			(1,495,922	)			(9,748,326	)			(2,197,879	)
Swaps			39,180				—				3,663				—
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			13,306,667				(15,170,917	)			33,965,903				(34,129,400	)
Swaps			(685,943	)			—				238,639				—
Net increase (decrease) in net assets applicable to common shares from operations			17,674,275				867,648				45,214,782				3,712,630
Distributions to Common Shareholders
From net investment income			(8,786,476	)			(16,299,305	)			(21,433,240	)			(39,887,343	)
From accumulated net realized gains			—				—				—				—
Decrease in net assets applicable to common shares from distributions to common shareholders			(8,786,476	)			(16,299,305	)			(21,433,240	)			(39,887,343	)
Capital Share Transactions
Common shares:
Net proceeds from shares issued to shareholders due to reinvestment of distributions			—				—				—				—
Cost of shares repurchased and retired			—				(27,250	)			—				—
Net increase (decrease) in net assets applicable to common shares from capital share transactions			—				(27,250	)			—				—
Net increase (decrease) in net assets applicable to common shares			8,887,799				(15,458,907	)			23,781,542				(36,174,713	)
Net assets applicable to common shares at the beginning of period			261,071,314				276,530,221				626,626,729				662,801,442
Net assets applicable to common shares at the end of period		$	269,959,113			$	261,071,314			$	650,408,271			$	626,626,729
Undistributed (Over-distribution of) net investment income at the end of period		$	1,384,577			$	1,135,413			$	(953,806	)		$	(275,469	)

 

See accompanying notes to financial statements.

 

NUVEEN			77

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

 

 

		JRO								JSD
		Six Months Ended 1/31/17				Year Ended 7/31/16				Six Months Ended 1/31/17				Year Ended 7/31/16
Operations
Net investment income (loss)		$	15,010,290			$	29,495,341			$	6,626,502			$	12,262,579
Net realized gain (loss) from:
Investments and foreign currency			(5,946,374	)			(2,403,022	)			(908,916	)			(2,399,349	)
Swaps			6,855				—				(180,967	)			(411,245	)
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			22,782,636				(26,311,460	)			7,839,582				(8,940,636	)
Swaps			221,906				—				(76,566	)			50,691
Net increase (decrease) in net assets applicable to common shares from operations			32,075,313				780,859				13,299,635				562,040
Distributions to Common Shareholders
From net investment income			(15,641,980	)			(29,320,832	)			(6,148,029	)			(11,750,913	)
From accumulated net realized gains			—				—				—				(311,944	)
Decrease in net assets applicable to common shares from distributions to common shareholders			(15,641,980	)			(29,320,832	)			(6,148,029	)			(12,062,857	)
Capital Share Transactions
Common shares:
Net proceeds from shares issued to shareholders due to reinvestment of distributions			39,101				—				—				—
Cost of shares repurchased and retired			—				—				—				—
Net increase (decrease) in net assets applicable to common shares from capital share transactions			39,101				—				—				—
Net increase (decrease) in net assets applicable to common shares			16,472,434				(28,539,973	)			7,151,606				(11,500,817	)
Net assets applicable to common shares at the beginning of period			435,188,829				463,728,802				176,530,543				188,031,360
Net assets applicable to common shares at the end of period		$	451,661,263			$	435,188,829			$	183,682,149			$	176,530,543
Undistributed (Over-distribution of) net investment income at the end of period		$	(225,592	)		$	406,098			$	(49,235	)		$	(527,708	)

 

See accompanying notes to financial statements.

 

	78			NUVEEN

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		JQC
		Six Months Ended 1/31/17				Year Ended 7/31/16
Operations
Net investment income (loss)		$	37,386,067			$	78,359,710
Net realized gain (loss) from:
Investments and foreign currency			(9,949,557	)			(19,197,503	)
Swaps			455,254				115,868
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			32,736,330				(63,796,853	)
Swaps			643,488				454,325
Net increase (decrease) in net assets applicable to common shares from operations			61,271,582				(4,064,453	)
Distributions to Common Shareholders
From net investment income			(42,223,534	)			(83,158,181	)
From accumulated net realized gains			—				—
Decrease in net assets applicable to common shares from distributions to common shareholders			(42,223,534	)			(83,158,181	)
Capital Share Transactions
Common shares:
Net proceeds from shares issued to shareholders due to reinvestment of distributions			—				—
Cost of shares repurchased and retired			—				(2,286,458	)
Net increase (decrease) in net assets applicable to common shares from capital share transactions			—				(2,286,458	)
Net increase (decrease) in net assets applicable to common shares			19,048,048				(89,509,092	)
Net assets applicable to common shares at the beginning of period			1,255,253,753				1,344,762,845
Net assets applicable to common shares at the end of period		$	1,274,301,801			$	1,255,253,753
Undistributed (Over-distribution of) net investment income at the end of period		$	(5,567,240	)		$	(729,773	)

 

See accompanying notes to financial statements.

 

NUVEEN			79

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Statement of Cash Flows						Six Months Ended January 31, 2017 (Unaudited)

 

		NSL				JFR				JRO				JSD				JQC
Cash Flows from Operating Activities:
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations		$	17,674,275			$	45,214,782			$	32,075,313			$	13,299,635			$	61,271,582
Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from operations to net cash provided by (used in) operating activities:
Purchases of investments			(91,840,452	)			(214,852,417	)			(161,151,642	)			(68,856,449	)			(491,434,312	)
Proceeds from sales and maturities of investments			99,443,360				259,830,564				183,730,749				76,032,055				530,044,850
Proceeds from (Purchases of) short-term investments, net			(8,001,741	)			(41,608,597	)			(23,250,232	)			(9,321,026	)			(1,209,041	)
Proceeds from (Payments for) swap contracts, net			39,180				3,663				6,855				(180,967	)			455,254
Premiums received (paid) for credit default swaps			—				—				—				191,609				51,900
Payment-in-kind distributions			(123,111	)			(288,236	)			(208,193	)			(55,580	)			(417,943	)
Proceeds from litigation settlement			—				—				—				15,388				182,978
Amortization (Accretion) of premiums and discounts, net			(1,064,380	)			(1,675,180	)			(1,421,027	)			(843,714	)			210,768
Amortization of deferred offering costs			144,818				261,629				186,589				97,267				—
(Increase) Decrease in:
Cash collateral at brokers			(900,000	)			—				—				(270,000	)			(109,431	)
Receivable for dividends			(106,295	)			(329,398	)			(258,744	)			—				(129,043	)
Receivable for interest			748,437				1,671,703				1,497,933				424,426				3,204,795
Receivable for investments sold			(4,732,555	)			(5,694,676	)			(4,795,131	)			(376,820	)			7,044,358
Receivable for reclaims			—				—				—				—				246
Receivable for shares sold			—				(31,001	)			—				—				—
Receivable for variation margin on swaps			—				—				—				—				75,448
Other assets			33,706				235,176				128,867				(34,949	)			13,533
Increase (Decrease) in:
Payable for investments purchased			6,036,639				4,059,980				6,914,405				2,726,238				(44,135,384	)
Payable for variation margin on swap contracts			—				—				—				—				22,631
Accrued interest			(136,450	)			(309,432	)			(2,610	)			(38,080	)			177,623
Accrued management fees			6,600				4,093				11,704				6,703				27,207
Accrued Trustees fees			3,986				9,725				6,786				2,584				17,388
Accrued other expenses			(93,857	)			(221,220	)			(155,673	)			(27,573	)			3,154
Net realized (gain) loss from:
Investments and foreign currency			4,021,269				9,748,326				5,946,374				908,916				9,949,557
Swaps			(39,180	)			(3,663	)			(6,855	)			180,967				(455,254	)
Change in net unrealized (appreciation) depreciation of:
Investments and foreign currency			(13,306,667	)			(33,965,903	)			(22,782,636	)			(7,839,582	)			(32,736,330	)
Swaps(1)			685,943				(238,639	)			(221,906	)			76,566				—
Net cash provided by (used in) operating activities			8,493,525				21,821,279				16,250,926				6,117,614				42,126,534
Cash Flows from Financing Activities:
Proceeds from borrowings			18,000,000				73,100,000				58,600,000				—				—
Repayments of borrowings			(15,000,000	)			(55,000,000	)			(46,600,000	)			—				—
(Payments for) deferred offering costs			(883,808	)			(1,021,448	)			(970,561	)			—				—
(Payments for) VRTP Shares redeemed, at liquidation preference			(45,000,000	)			(108,000,000	)			(75,000,000	)			—				—
Proceeds from Term Preferred Shares issued, at liquidation preference			43,000,000				90,200,000				63,000,000				—				—
Increase (Decrease) in payable for offering costs			133,000				199,187				220,312				—				—
Cash distributions paid to common shareholders			(8,651,519	)			(21,105,844	)			(15,370,029	)			(6,063,797	)			(42,085,283	)
Net cash provided by (used in) financing activities			(8,402,327	)			(21,628,105	)			(16,120,278	)			(6,063,797	)			(42,085,283	)
Net Increase (Decrease) in Cash			91,198				193,174				130,648				53,817				41,251
Cash at the beginning of period			—				—				—				—				—
Cash at the end of period			91,198				193,174				130,648				53,817				41,251
Supplemental Disclosure of Cash Flow Information		NSL				JFR				JRO				JSD				JQC
Cash paid for interest (excluding borrowing and amortization of offering costs)		$	1,527,810			$	3,679,755			$	2,380,769			$	783,918			$	6,961,062
Non-cash financing activities not included herein consists of reinvestments of common share distributions			—				—				39,101				—				—

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

 

See accompanying notes to financial statements.

 

	80			NUVEEN

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NUVEEN			81

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Financial

Highlights (Unaudited)

 

Selected data for a common share outstanding throughout each period:

 

 

						Investment Operations												Less Distributions to Common Shareholders												Common Share
		Beginning Common Share NAV				Net Invest ment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumu lated Net Realized Gains				Total				Offering Costs				Discount per Share Repurchased and Retired				Premium per Share Sold through Shelf Offering				Ending NAV				Ending Share Price
NSL
Year Ended 7/31:
2017(h)		$	6.76			$	0.23			$	0.23			$	0.46			$	(0.23	)		$	—			$	(0.23	)		$	—			$	—			$	—			$	6.99			$	6.93
2016			7.16				0.45				(0.43	)			0.02				(0.42	)			—				(0.42	)			—				—	*			—				6.76				6.25
2015			7.51				0.45				(0.38	)			0.07				(0.42	)			—				(0.42	)			—				—				—				7.16				6.34
2014			7.46				0.44				0.05				0.49				(0.44	)			—				(0.44	)			—				—				—				7.51				6.98
2013			7.07				0.54				0.35				0.89				(0.56	)			—				(0.56	)			(0.01	)			—				0.07				7.46				7.45
2012			7.12				0.57				(0.10	)			0.47				(0.54	)			—				(0.54	)			—				—				0.02				7.07				7.29
JFR
Year Ended 7/31:
2017(h)			11.36				0.38				0.44				0.82				(0.39	)			—				(0.39	)			—				—				—				11.79				12.05
2016			12.01				0.73				(0.66	)			0.07				(0.72	)			—				(0.72	)			—				—				—				11.36				10.68
2015			12.59				0.75				(0.61	)			0.14				(0.72	)			—				(0.72	)			—				—				—				12.01				10.67
2014			12.54				0.75				0.06				0.81				(0.76	)			—				(0.76	)			—	*			—				—	*			12.59				11.72
2013			11.87				0.90				0.68				1.58				(0.97	)			—				(0.97	)			—	*			—				0.06				12.54				12.72
2012			12.06				1.02				(0.25	)			0.77				(0.96	)			—				(0.96	)			—				—				—	*			11.87				11.78

 

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

(b)

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

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

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

 

 

	82			NUVEEN

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								Common Share Supplemental Data/ Ratios Applicable to Common Shares
Common Share Total Returns												Ratios to Average Net Assets Before Reimbursement(c)								Ratios to Average Net Assets After Reimbursement(c)(d)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income (Loss)(e)				Expenses				Net Investment Income (Loss)(e)				Portfolio Turnover Rate(g)
	6.86	%			14.73	%		$	269,959				2.65	%**			6.75	%**			N/A				N/A				25	%
	0.61				5.89				261,071				2.53				6.84				N/A				N/A				29
	0.96				(3.25	)			276,530				2.37				6.08				N/A				N/A				34
	6.78				(0.29	)			290,088				2.15				5.89				N/A				N/A				58
	13.89				10.23				288,025				1.74				7.32				N/A				N/A				76
	7.34				12.78				231,866				1.82				8.34				N/A				N/A				64
	7.31				16.74				650,408				2.57	**			6.46	**			N/A				N/A				24
	0.93				7.50				626,627				2.46				6.52				N/A				N/A				26
	1.15				(2.88	)			662,801				2.29				6.08				N/A				N/A				33
	6.62				(1.84	)			694,584				2.05				5.94				N/A				N/A				52
	14.26				16.76				691,312				1.71				7.34				N/A				N/A				69
	6.91				12.43				572,118				1.79				8.72				1.72	%			8.80	%			57

 

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

(e)

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

 

 

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

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

(h)	For the six months ended January 31, 2017.

*	Rounds to less than $0.01 per share.

**	Annualized.

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

 

See accompanying notes to financial statements.

 

NUVEEN			83

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Financial Highlights (Unaudited) (continued)

 

Selected data for a common share outstanding throughout each period:

 

						Investment Operations												Less Distributions to Common Shareholders												Common Share
		Beginning Common Share NAV				Net Investment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumu lated Net Realized Gains				Total				Offering Costs				Premium per Share Sold through Shelf Offering				Ending NAV				Ending Share Price
JRO
Year Ended 7/31:
2017(h)		$	11.31			$	0.39			$	0.45			$	0.84			$	(0.41	)		$	—			$	(0.41	)		$	—			$	—			$	11.74			$	12.16
2016			12.05				0.77				(0.75	)			0.02				(0.76	)			—				(0.76	)			—				—				11.31				10.72
2015			12.68				0.79				(0.66	)			0.13				(0.76	)			—				(0.76	)			—				—				12.05				10.82
2014			12.55				0.78				0.14				0.92				(0.79	)			—				(0.79	)			—	*			—	*			12.68				12.40
2013			11.84				0.95				0.68				1.63				(1.04	)			—				(1.04	)			(0.01	)			0.13				12.55				12.73
2012			11.96				1.13				(0.26	)			0.87				(1.01	)			—				(1.01	)			—				0.02				11.84				12.09
JSD
Year Ended 7/31:
2017(h)			17.49				0.66				0.65				1.31				(0.61	)			—				(0.61	)			—				—				18.19				18.15
2016			18.63				1.21				(1.16	)			0.05				(1.16	)			(0.03	)			(1.19	)			—				—				17.49				16.16
2015			19.48				1.22				(0.87	)			0.35				(1.16	)			(0.04	)			(1.20	)			—				—				18.63				16.41
2014			19.91				1.29				(0.02	)			1.27				(1.37	)			(0.33	)			(1.70	)			—	*			—				19.48				18.20
2013			19.49				1.61				0.49				2.10				(1.61	)			(0.07	)			(1.68	)			—				—	*			19.91				19.89
2012			19.08				1.56				0.25				1.81				(1.40	)			—				(1.40	)			—				—				19.49				19.54

 

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

(b)

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

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

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

 

 

	84			NUVEEN

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								Common Share Supplemental Data/ Ratios Applicable to Common Shares
Common Share Total Returns												Ratios to Average Net Assets Before Reimbursement(c)								Ratios to Average Net Assets After Reimbursement(c)(d)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income (Loss)(e)				Expenses				Net Investment Income (Loss)(e)				Portfolio Turnover Rate(g)
	7.51	%			17.52	%		$	451,661				2.63	%**			6.72	%**			N/A				N/A				26	%
	0.53				6.91				435,189				2.49				6.91				N/A				N/A				27
	1.03				(6.74	)			463,729				2.31				6.41				N/A				N/A				34
	7.54				3.91				487,784				2.07				6.16				N/A				N/A				55
	15.27				14.42				482,204				1.71				7.73				N/A				N/A				72
	8.03				15.20				369,939				1.74				9.75				1.65	%			9.85	%			85
	7.65				16.37				183,682				2.45	**			7.30	**			N/A				N/A				27
	0.62				6.52				176,531				2.27				7.05				N/A				N/A				34
	1.87				(3.27	)			188,031				1.78				6.43				N/A				N/A				31
	6.59				0.16				196,613				1.88				6.52				N/A				N/A				45
	11.17				10.77				201,031				1.80				8.12				N/A				N/A				82
	9.96				14.77				195,165				1.75				8.25				N/A				N/A				62

 

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

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

 

 

(f)	JRO had no matured senior loans subsequent to the fiscal year ended July 31, 2012. JSD has not had any matured senior loans since its commencement of operations on May 25, 2011.

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

(h)	For the six months ended January 31, 2017.

*	Rounds to less than $0.01 per share.

**	Annualized.

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

 

See accompanying notes to financial statements.

 

NUVEEN			85

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Financial Highlights (Unaudited) (continued)

 

Selected data for a common share outstanding throughout each period:

 

 

						Investment Operations												Less Distributions to Common Shareholders																Common Share
		Beginning Common Share NAV				Net Investment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				From Net Investment Income				From Accumulated Net Realized Gains				Return of Capital				Total				Discount per Share Repurchased and Retired				Ending NAV				Ending Share Price
JQC
Year Ended 7/31:
2017(k)		$	9.25			$	0.28			$	0.17			$	0.45			$	(0.31	)		$	—			$	—			$	(0.31	)		$	—			$	9.39			$	8.84
2016			9.88				0.58				(0.60	)			(0.02	)			(0.61	)			—				—				(0.61	)			—	*			9.25				8.43
2015			10.25				0.62				(0.43	)			0.19				(0.56	)			—				—				(0.56	)			—	*			9.88				8.59
2014			10.13				0.60				0.16				0.76				(0.64	)			—				—				(0.64	)			—	*			10.25				9.05
2013(j)			9.88				0.42				0.29				0.71				(0.46	)			—				—				(0.46	)			—				10.13				10.03
Year Ended 12/31:
2012			9.18				0.78				0.72				1.50				(0.80	)			—				—				(0.80	)			—				9.88				9.65
2011			10.13				0.55				(0.72	)			(0.17	)			(0.79	)			—				—				(0.79	)			0.01				9.18				8.05

 

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

(b)

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

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

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

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

 

JQC		Ratios of Dividends Expense on Securities Sold Short to Average Net Assets Applicable to Common Shares(i)				Ratios of Borrowings Interest Expense to Average Net Assets Applicable to Common Shares
Year Ended 7/31:
2017(k)			—	%			1.12	%***
2016			—				1.01
2015			—				0.66
2014			—				0.52
2013(j)			—				0.55	***
Year Ended 12/31:
2012			—	**			0.58
2011			—	**			0.43

 

	86			NUVEEN

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								Common Share Supplemental Data/ Ratios Applicable to Common Shares
Common Share Total Returns												Ratios to Average Net Assets Before Reimbursement(d)								Ratios to Average Net Assets After Reimbursement(c)(d)
Based on NAV(b)				Based on Share Price(b)				Ending Net Assets (000)				Expenses				Net Investment Income Loss(f)				Expenses				Net Investment Income Loss(f)				Portfolio Turnover Rate(h)
	4.94	%			8.70	%		$	1,274,302				2.46	%***			5.85	%***			N/A				N/A				26	%
	0.11				5.98				1,255,254				2.41				6.32				N/A				N/A				46
	1.82				1.02				1,344,763				1.95				6.16				N/A				N/A				61
	7.74				(3.44	)			1,396,303				1.77				5.84				1.76	%(e)			5.85	%(e)			65
	7.32				8.80				1,380,261				1.77	***			7.22	***			N/A				N/A				44
	16.80				30.55				1,345,657				1.86				8.07				N/A				N/A				127
	(1.70)				0.24				1,250,245				1.70				5.44				1.65				5.49				37

 

(e)

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

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

 

 

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

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

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

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

(k)	For the six months ended January 31, 2017.

*	Rounds to less than $0.01 per share.

**	Rounds to less than 0.01%.

***	Annualized.

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

 

See accompanying notes to financial statements.

 

NUVEEN			87

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Financial Highlights (Unaudited) (continued)

 

 

		Borrowings at the End of Period								VRTP Shares at the End of Period								Term Preferred at the End of Period								Borrowings, VRTP Shares and/or Term Preferred at the End of Period
		Aggregate Amount Outstanding (000)				Asset Coverage Per $1,000 Share(c)				Aggregate Amount Outstanding (000)				Asset Coverage Per $100,000 Share				Aggregate Amount Outstanding (000)				Asset Coverage Per $1,000 Share				Asset Coverage Per $1 Liquidation Preference
NSL
Year Ended 7/31:
2017(b)		$	104,000			$	4,009			$	—			$	—			$	43,000			$	2,836			$	2.84
2016			101,000				4,030				45,000				278,816				—				—				2.79
2015			112,500				3,974				58,000				262,188				—				—				2.62
2014			112,000				4,108				58,000				270,640				—				—				2.71
2013			123,000				3,342				—				—				—				—				—
2012			100,000				3,319				—				—				—				—				—
JFR
Year Ended 7/31:
2017(b)			258,900				3,861				—				—				90,200				2,863				2.86
2016			240,800				4,051				108,000				279,652				—				—				2.80
2015			270,300				3,966				139,000				261,935				—				—				2.62
2014			269,000				4,099				139,000				270,241				—				—				2.70
2013			295,200				3,342				—				—				—				—				—
2012			249,200				3,296				—				—				—				—				—
JRO
Year Ended 7/31:
2017(b)			178,800				3,878				—				—				63,000				2,868				2.87
2016			166,800				4,059				75,000				279,979				—				—				2.80
2015			188,800				3,975				98,000				261,691				—				—				2.62
2014			188,000				4,116				98,000				270,554				—				—				2.71
2013			201,900				3,388				—				—				—				—				—
2012			159,900				3,314				—				—				—				—				—
JSD
Year Ended 7/31:
2017(b)			64,000				4,417				—				—				35,000				2,855				2.86
2016			64,000				4,305				—				—				35,000				2,783				2.78
2015			85,200				3,207				—				—				—				—				—
2014			85,000				3,313				—				—				—				—				—
2013			85,000				3,365				—				—				—				—				—
2012			85,000				3,296				—				—				—				—				—
JQC
Year Ended 7/31:
2017(b)			561,000				3,271				—				—				—				—				—
2016			561,000				3,238				—				—				—				—				—
2015			640,000				3,101				—				—				—				—				—
2014			606,000				3,304				—				—				—				—				—
2013(a)			561,000				3,460				—				—				—				—				—
Year Ended 12/31:
2012			561,000				3,399				—				—				—				—				—
2011			517,000				3,418				—				—				—				—				—

 

	88			NUVEEN

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

(b)	For the six months ended January 31, 2017.

(c)

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

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

 

 

See accompanying notes to financial statements.

 

NUVEEN			89

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Notes to

Financial Statements (Unaudited)

 

1. General Information and Significant Accounting Policies

General Information

Fund Information

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

 

•

Nuveen Senior Income Fund (NSL)

 

•

Nuveen Floating Rate Income Fund (JFR)

 

•

Nuveen Floating Rate Income Opportunity Fund (JRO)

 

•

Nuveen Short Duration Credit Opportunities Fund (JSD)

 

•

Nuveen Credit Strategies Income Fund (JQC)

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

The end of the reporting period for the Funds is January 31, 2017, and the period covered by these Notes to Financial Statements is the six months ended January 31, 2017 (the “current fiscal period”).

Investment Adviser

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

Investment Objectives and Principal Investment Strategies

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

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

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

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

 

	90			NUVEEN

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

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

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

Significant Accounting Policies

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

Investment Transactions

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

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

 

		NSL				JFR				JRO				JSD				JQC
Outstanding when-issued/delayed delivery purchase commitments		$	23,303,828			$	44,403,677			$	33,292,899			$	14,538,186			$	64,167,766

Investment Income

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

Professional Fees

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

Dividends and Distributions to Common Shareholders

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

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

Indemnifications

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

 

NUVEEN			91

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Notes to Financial Statements (Unaudited) (continued)

 

Netting Agreements

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

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

Use of Estimates

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

2. Investment Valuation and Fair Value Measurements

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

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

 

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

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

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

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

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

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

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

 

	92			NUVEEN

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

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

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

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

 

NSL		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	357,543,364			$	—			$	357,543,364
Common Stocks**			3,632,427				2,585,398				—	***			6,217,825
$25 Par (or similar) Retail Preferred**			—				17				—				17
Corporate Bonds			—				36,041,571				—				36,041,571
Short-Term Investments:
Repurchase Agreements			—				23,888,748				—				23,888,748
Investments in Derivatives:
Interest Rate Swaps****			—				(685,943	)			—				(685,943	)
Total		$	3,632,427			$	419,373,155			$	—			$	423,005,582
JFR
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	802,732,682			$	—			$	802,732,682
Common Stocks**			5,291,301				6,334,812				2				11,626,115
$25 Par (or similar) Retail Preferred**			—				110				—				110
Convertible Bonds			—				825,562				—				825,562
Corporate Bonds			—				77,896,327				—				77,896,327
Asset-Backed Securities			—				32,541,618				—				32,541,618
Investment Companies			11,948,916				—				—				11,948,916
Short-Term Investments:
Repurchase Agreements			—				73,311,435				—				73,311,435
Investments in Derivatives:
Interest Rate Swaps****			—				238,639				—				238,639
Total		$	17,240,217			$	993,881,185			$	2			$	1,011,121,404

 

NUVEEN			93

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Notes to Financial Statements (Unaudited) (continued)

 

JRO		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	570,589,162			$	—			$	570,589,162
Common Stocks**			4,786,279				5,186,499				1				9,972,779
$25 Par (or similar) Retail Preferred**			—				34				—				34
Convertible Bonds			—				534,187				—				534,187
Corporate Bonds			—				57,303,433				—				57,303,433
Asset-Backed Securities			—				19,715,311				—				19,715,311
Short-Term Investments:
Repurchase Agreements			—				47,667,107				—				47,667,107
Investments in Derivatives:
Interest Rate Swaps****			—				221,906				—				221,906
Total		$	4,786,279			$	701,217,639			$	1			$	706,003,919
JSD
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	243,089,228			$	—			$	243,089,228
Common Stocks**			482,955				1,901,220				—				2,384,175
Corporate Bonds			—				25,275,249				—				25,275,249
Short-Term Investments:
Repurchase Agreements			—				16,871,737				—				16,871,737
Investments in Derivatives:
Interest Rate Swaps****			—				(224,103	)			—				(224,103	)
Total		$	482,955			$	286,913,331			$	—			$	287,396,286
JQC
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	1,389,713,676			$	—			$	1,389,713,676
Common Stocks**			5,705,760				1,828,367				—	***			7,534,127
Exchange-Traded Funds			92,850,953				—				—				92,850,953
Corporate Bonds			—				390,805,750				—				390,805,750
Short-Term Investments:
Repurchase Agreements			—				105,746,995				—				105,746,995
Investments in Derivatives:
Credit Default Swaps****			—				1,097,813				—				1,097,813
Total		$	98,556,713			$	1,889,192,601			$	—			$	1,987,749,314

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

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

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

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

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

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

 

(i)

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

 

(ii)

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

 

	94			NUVEEN

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

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

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Foreign Currency Transactions

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

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

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

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

Repurchase Agreements

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

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

 

Fund		Counterparty		Short-Term Investments, at Value				Collateral Pledged (From) Counterparty*				Net Exposure
NSL		Fixed Income Clearing Corporation		$	23,888,748			$	(23,888,748	)		$	—
JFR		Fixed Income Clearing Corporation			73,311,435				(73,311,435	)			—
JRO		Fixed Income Clearing Corporation			47,667,107				(47,667,107	)			—
JSD		Fixed Income Clearing Corporation			16,871,737				(16,871,737	)			—
JQC		Fixed Income Clearing Corporation			105,746,995				(105,746,995	)			—

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

Zero Coupon Securities

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

 

NUVEEN			95

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Notes to Financial Statements (Unaudited) (continued)

 

Investments in Derivatives

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

Interest Rate Swap Contracts

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

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

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

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

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

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

 

	96			NUVEEN

---

 

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

 

		NSL				JFR				JRO				JSD
Average notional amount of interest rate swap contracts outstanding*		$	28,666,667			$	30,066,667			$	21,000,000			$	52,500,000

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

Credit Default Swap Contracts

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

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

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

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

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

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

 

		JSD				JQC
Average notional amount of credit default swap contracts outstanding*		$	2,166,667			$	20,000,000

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

 

NUVEEN			97

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Notes to Financial Statements (Unaudited) (continued)

 

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

 

				Location on the Statement of Assets and Liabilities
Underlying Risk Exposure		Derivative Instrument		Asset Derivatives										(Liability) Derivatives
				Location		Value								Location		Value
NSL
Interest rate		Swaps (OTC Uncleared)		—		$	—							Unrealized depreciation on interest rate swaps		$	(685,943	)
JFR
Interest rate		Swaps (OTC Uncleared)		Unrealized appreciation on interest rate swaps, net		$	(62,212	)						—		$	—
Interest rate		Swaps (OTC Uncleared)		Unrealized appreciation on interest rate swaps, net			300,851							—			—
Total						$	238,639									$	—
JRO
Interest rate		Swaps (OTC Uncleared)		Unrealized appreciation on interest rate swaps, net		$	(52,106	)						—		$	—
Interest rate		Swaps (OTC Uncleared)		Unrealized appreciation on interest rate swaps, net			274,012							—			—
Total						$	221,906									$	—
JSD
Interest rate		Swaps (OTC Uncleared)		—		$	—							Unrealized depreciation on interest rate swaps		$	(224,103	)
JQC
Credit		Swaps (OTC Cleared)		—		$	—							Payable for variation margin on swap contracts**^		$	1,097,813

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

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

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

 

Fund		Counterparty		Gross Unrealized Appreciation on Interest Rate Swaps***				Gross Unrealized (Depreciation) on Interest Rate Swaps***				Amounts Netted on Statement of Assets and Liabilities				Net Unrealized Appreciation (Depreciation) on Interest Rate Swaps				Collateral Pledged to (from) Counterparty				Net Exposure
NSL		Morgan Stanley Capital Services, LLC		$	—			$	(685,943	)		$	—			$	(685,943	)		$	685,943			$	—
JFR		Morgan Stanley Capital Services, LLC			300,851				(62,212	)			(62,212	)			238,639				(157,936	)			80,703
JRO		Morgan Stanley Capital Services, LLC			274,012				(52,106	)			(52,106	)			221,906				(157,936	)			63,970
JSD		Morgan Stanley Capital Services, LLC			—				(224,103	)			—				(224,103	)			224,103				—

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

 

	98			NUVEEN

---

 

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

 

Fund		Underlying Risk Exposure		Derivative Instrument		Net Realized Gain (Loss) from Swaps				Change in Net Unrealized Appreciation (Depreciation) of Swaps
NSL		Interest rate		Swaps		$	39,180			$	(685,943	)
JFR		Interest rate		Swaps		$	3,663			$	238,639
JRO		Interest rate		Swaps		$	6,855			$	221,906
JSD
		Credit		Swaps		$	(170,121	)		$	158,625
		Interest rate		Swaps			(10,846	)			(235,191	)
Total						$	(180,967	)		$	(76,566	)
JQC		Credit		Swaps		$	455,254			$	643,488

Market and Counterparty Credit Risk

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

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

4. Fund Shares

Common Share Transactions

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

 

		NSL								JRO								JQC
		Six Months Ended 1/31/17				Year Ended 7/31/16				Six Months Ended 1/31/17				Year Ended 7/31/16				Six Months Ended 1/31/17				Year Ended 7/31/16
Common shares:
Issued to shareholders due to reinvestment of distributions			—				—				3,364				—				—				—
Repurchased and retired			—				(5,000	)			—				—				—				(304,100	)
Weighted average common share:
Price per share repurchased and retired			—			$	5.43				—				—				—			$	7.50
Discount per share repurchased and retired			—				15.42	%			—				—				—				16.69	%

 

NUVEEN			99

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Notes to Financial Statements (Unaudited) (continued)

 

Preferred Shares

Term Preferred Shares

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

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

 

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

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

 

Fund

Series

Term Redemption Date

Optional Redemption Premium Expiration Date

NSL

2021

November 1, 2021

October 31, 2017

JFR

2019

December 1, 2019

November 30, 2017

2022

January 1, 2022

December 31, 2017

2027

January 1, 2027

December 31, 2017

JRO

2022

January 1, 2022

December 31, 2017

2023

December 1, 2023

November 30, 2017

2027

January 1, 2027

December 31, 2017

JSD

2020

November 1, 2020

October 31, 2016

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

 

		NSL*				JFR**				JRO**				JSD
Average liquidation preference of Term Preferred outstanding		$	43,000,000			$	59,557,143			$	40,071,429			$	35,000,000
Annualized dividend rate			1.98	%			3.14	%			3.32	%			1.49	%

*	For the period October 31, 2016 (first issuance of shares) through January 31, 2017.

**	For the period November 23, 2016 (first issuance of shares) through January 31, 2017.

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

Dividends on Term Preferred (which are treated as interest payments for financial reporting purposes) are at the rates set forth in its offering document. The initial dividend rate will expire approximately two years after the first issuance of shares and will be adjusted upwards semi-annually thereafter. Unpaid

 

	100			NUVEEN

---

 

dividends on Term Preferred are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on Term Preferred are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

NSL incurred offering costs of $850,000 in connection with its issuance of Series 2021 Term Preferred, JFR incurred offering costs of $970,000 in connection with its issuance of Series 2019, Series 2022 and Series 2027 Term Preferred and JRO incurred offering costs of $935,000 in connection with its issuance of Series 2022, Series 2023 and Series 2027 Term Preferred, which were recorded as a deferred charge and is being amortized over the life of the shares. These offering costs are recognized as a component of “Deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

Variable Rate Term Preferred Shares

During the current fiscal period, NSL, JFR and JRO had issued and had outstanding Variable Rate Term Preferred (“VRTP”) Shares, with a $100,000 liquidation preference per share. VRTP Shares were issued via private placement and were not publicly available.

On November 22, 2016, December 20, 2016 and December 28, 2016, NSL, JFR and JRO redeemed all of its outstanding Series C-4 VRTP Shares, respectively. Each Fund’s VRTP Shares were redeemed at their $100,000 liquidation preference per share, plus dividend amounts owed, using proceeds from its issuance of Term Preferred (as described above in Term Preferred Shares).

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

 

		NSL*				JFR**				JRO***
Average liquidation preference of VRTP Shares outstanding		$	45,000,000			$	102,090,141			$	68,380,000
Annualized dividend rate			2.23	%			2.28	%			2.28	%

*	For the period August 1, 2016 through November 22, 2016.

**	For the period August 1, 2016 through December 20, 2016.

***	For the period August 1, 2016 through December 28, 2016.

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

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

In conjunction with NSL, JFR and JRO redemption of VRTP Shares, the remaining deferred offering costs of $33,808, $51,448 and $35,561, respectively, were fully expensed during the current fiscal period, as the redemptions were deemed on extinguishment of debt.

Preferred Share Transactions

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

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

 

		Six Months Ended January 31, 2017
NSL		Series				Shares				Amount
Term Preferred issued			2021				43,000			$	43,000,000
		Six Months Ended January 31, 2017
JFR		Series				Shares				Amount
Term Preferred issued			2019				10,200			$	10,200,000
			2022				25,000				25,000,000
			2027				55,000				55,000,000
Total							90,200			$	90,200,000

 

NUVEEN			101

---

Notes to Financial Statements (Unaudited) (continued)

 

		Six Months Ended January 31, 2017
JRO		Series				Shares				Amount
Term Preferred issued			2022				10,000			$	10,000,000
			2023				8,000				8,000,000
			2027				45,000				45,000,000
Total							63,000			$	63,000,000
		Year Ended July 31, 2016
JSD			Series				Shares				Amount
Term Preferred issued			2020				35,000			$	35,000,000

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

		Six Months Ended January 31, 2017												Year Ended July 31, 2016
NSL		Series				Shares				Amount				Series				Shares				Amount
VRTP Shares redeemed			C-4				(450	)		$	(45,000,000	)			C-4				(130	)		$	(13,000,000	)
		Six Months Ended January 31, 2017												Year Ended July 31, 2016
JFR		Series				Shares				Amount				Series				Shares				Amount
VRTP Shares redeemed			C-4				(1,080	)		$	(108,000,000	)			C-4				(310	)		$	(31,000,000	)
		Six Months Ended January 31, 2017												Year Ended July 31, 2016
JRO		Series				Shares				Amount				Series				Shares				Amount
VRTP Shares redeemed			C-4				(750	)		$	(75,000,000	)			C-4				(230	)		$	(23,000,000	)

5. Investment Transactions

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

 

		NSL				JFR				JRO				JSD				JQC
Purchases		$	91,840,452			$	214,852,417			$	161,151,642			$	68,859,449			$	491,434,312
Sales and maturities			99,443,360				259,830,564				183,730,749				76,032,055				530,044,850

6. Income Tax Information

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

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

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

 

	102			NUVEEN

---

 

As of January 31, 2017, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives, where applicable), as determined on a federal income tax basis, were as follows:

 

		NSL				JFR				JRO				JSD				JQC
Cost of investments		$	436,466,556			$	1,040,196,608			$	727,690,381			$	292,935,603			$	2,071,138,089
Gross unrealized:
Appreciation		$	11,923,213			$	24,609,515			$	19,022,166			$	7,529,345			$	37,279,588
Depreciation			(24,698,244	)			(53,923,358	)			(40,930,534	)			(12,844,559	)			(121,766,176	)
Net unrealized appreciation (depreciation) of investments		$	(12,775,031	)		$	(29,313,843	)		$	(21,908,368	)		$	(5,315,214	)		$	(84,486,588	)

Permanent differences, primarily due to expiration of capital loss carryforwards, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships and distribution reallocations, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2016, the Funds’ last tax year end, as follows:

 

		NSL				JFR				JRO				JSD				JQC
Paid-in-surplus		$	(246,607	)		$	(536,128	)		$	(398,785	)		$	(125,370	)		$	(150,044,569	)
Undistributed (Over-distribution of) net investment income			242,343				680,879				513,778				(140,186	)			1,927,869
Accumulated net realized gain (loss)			4,264				(144,751	)			(114,993	)			265,556				148,116,700

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2016, the Funds’ last tax year end, were as follows:

 

		NSL				JFR				JRO				JSD				JQC
Undistributed net ordinary income1		$	2,607,282			$	6,045,001			$	4,531,811			$	600,115			$	11,101,941
Undistributed net long-term capital gains			—				—				—				—				—
1      Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2016, paid on August 1, 2016. Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

The tax character of distributions paid during the Funds’ last tax year ended July 31, 2016, was designated for purposes of the dividends paid deduction as follows:

 

		NSL				JFR				JRO				JSD				JQC
Distributions from net ordinary income2		$	17,339,780			$	42,391,135			$	31,080,403			$	12,297,700			$	83,039,736
Distributions from net long-term capital gains			—				—				—				93,282				—

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

As of July 31, 2016, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

 

		NSL				JFR				JRO				JSD				JQC
Expiration:
July 31, 2017		$	6,925,213			$	9,819,992			$	503,687			$	—				$289,143,715
July 31, 2018			29,264,459				67,020,214				46,332,843				—				8,513,146
Not subject to expiration			2,641,727				2,638,853				2,257,033				2,361,607				22,842,170
Total		$	38,831,399			$	79,479,059			$	49,093,563			$	2,361,607				$320,499,031

As of July 31, 2016, the Funds’ last tax year end, $150,044,543 of JQC’s capital loss carryforward expired.

7. Management Fees and Other Transactions with Affiliates

Management Fees

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

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

 

NUVEEN			103

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Notes to Financial Statements (Unaudited) (continued)

 

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

 

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

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

 

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

*

For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of January 31, 2017, the complex-level fee rate for each Fund was 0.1621%.

Other Transactions with Affiliates

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

8. Senior Loan Commitments

Unfunded Commitments

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

Participation Commitments

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

 

	104			NUVEEN

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9. Borrowing Arrangements

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

Borrowings Information for NSL, JFR and JRO

The following Funds have entered into a revolving credit and security agreement with certain banks and their affiliates. Each Fund’s maximum commitment amount under its Borrowings is as follows:

 

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

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

 

		NSL				JFR				JRO
Outstanding balance on Borrowings		$	104,000,000			$	258,900,000			$	178,800,000

For the period August 1, 2016 through January 30, 2017, interest was charged on these Borrowings is based on the bank’s commercial paper issuance rate plus 0.75% per annum drawn fee on the amount borrowed and 0.15% per annum on the undrawn balance of the maximum commitment amount. The Funds also accrued an upfront fee of 0.15% per annum on the maximum commitment amount. Beginning on January 31, 2017, interest is charged at a rate equal to 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.80%. NSL accrues 0.15% per annum on the undrawn balance if less than 50% of the maximum commitment amount, however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue 0.25% per annum on the undrawn portion. JFR accrues 0.25% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 20% of the maximum commitment amount. JRO accrues 0.30% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 10% of the maximum commitment amount. NSL and JRO also accrued an upfront fee of 0.05% and 0.025% per annum on the maximum commitment amount, respectively,

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

 

		NSL				JFR				JRO
Average daily balance outstanding		$	105,451,087			$	268,972,826			$	186,757,609
Average annual interest rate			1.62	%			1.55	%			1.58	%

Borrowings Information for JSD

The Fund has entered into a 364-day revolving line of credit. The Fund’s maximum commitment amount under its Borrowings is as follows:

 

		JSD
Maximum commitment amount		$	75,000,000

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

 

		JSD
Outstanding balance on Borrowings		$	64,000,000

On August 4, 2016, JSD renewed its Borrowings through August 3, 2017. The interest charged on these Borrowings is at a rate per annum equal to the greater of 1-Month LIBOR or the Federal Funds Rate, plus 0.85%. The Fund also accrues an amendment fee of 0.10% per annum on the maximum commitment amount of the Borrowings and a 0.15% per annum on the undrawn portion if less than 50% of the maximum commitment, however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue a 0.25% per annum on the portion of the Borrowings.

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

 

		JSD
Average daily balance outstanding		$	64,000,000
Average annual interest rate			1.45	%

Borrowings Information for JQC

The Fund has entered into a borrowing agreement with a bank and its affiliate. The Fund’s maximum commitment amount under its Borrowings is as follows:

 

		JQC
Maximum commitment amount		$	640,000,000

 

NUVEEN			105

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Notes to Financial Statements (Unaudited) (continued)

 

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

 

		JQC
Outstanding balance on Borrowings		$	561,000,000

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

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

 

		JQC
Average daily balance outstanding		$	561,000,000
Average annual interest rate			1.95	%

Reverse Repurchase Agreements

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

Payments made on reverse repurchase agreements are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

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

 

Counterparty		Rate				Proceeds Amount				Maturity				Value				Value and Accrued Interest
Societe Generale			3-Month LIBOR plus 1.15	%		$	(145,000,000	)			4/15/20			$	(145,000,000	)		$	(145,282,244	)

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

 

		JQC
Average daily balance outstanding			$145,000,000
Weighted average interest rate			1.95	%

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

 

Counterparty		Reverse Repurchase Agreements*				Collateral Pledged to Counterparty**				Net Exposure
Societe Generale		$	(145,282,244	)		$	145,282,244			$	—

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

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

Other Borrowings Information for the Funds

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

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

10. Subsequent Events

Common Shares Equity Shelf Programs and Offering Costs

During February 2017, NSL, JFR, JRO and JSD filed registration statements with the Securities and Exchange Commission authorizing the Funds to issue an additional 8.8 million, 12.9 million, 8.5 million and 1 million common shares, respectively, through their equity shelf programs.

Borrowing Arrangements

Subsequent to the current fiscal period, NSL, JFR, JRO and JSD increased the outstanding balance on their Borrowings to $114,000,000, $288,900,000, $195,000,000 and $72,000,000, respectively.

 

	106			NUVEEN

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Additional

Fund Information

 

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

 

*	Interested Board Member.

 

Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606		Custodian State Street Bank & Trust Company One Lincoln Street Boston, MA 02111		Legal Counsel Chapman and Cutler LLP Chicago, IL 60603		Independent Registered Public Accounting Firm KPMG LLP 200 East Randolph Drive Chicago, IL 60601		Transfer Agent and Shareholder Services State Street Bank & Trust Company Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787

 

 

 

Quarterly Form N-Q Portfolio of Investments Information

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

Nuveen Funds’ Proxy Voting Information

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

 

 

CEO Certification Disclosure

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

 

 

Common Share Repurchases

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

 

NSL

JFR

JRO

JSD

JQC

Common shares repurchased

—

—

—

—

—

FINRA BrokerCheck

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

 

NUVEEN			107

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Glossary of Terms

Used in this Report

 

∎

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

 

∎

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

 

∎

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

 

∎

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

 

∎

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

 

∎

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

 

∎

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

 

∎

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

 

	108			NUVEEN

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Reinvest Automatically,

Easily and Conveniently

 

 

NUVEEN			109

---

Notes

 

 

	110			NUVEEN

---

Notes

 

 

NUVEEN			111

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Nuveen:

Serving Investors for Generations

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

Focused on meeting investor needs.   Nuveen helps secure the long-term goals of individual investors and the advisors who serve them, providing access to investment expertise from leading asset managers and solutions across traditional and alternative asset classes. Built on more than a century of industry leadership, Nuveen’s teams of experts align with clients’ specific financial needs and goals, demonstrating commitment to advisors and investors through market perspectives and wealth management and portfolio advisory services. Nuveen manages $236 billion in assets as of December 31, 2016.

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

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

 

ESA-A-0117D        124129

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Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

Item 6. Schedule of Investments.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

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

Not applicable to this filing.

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

Not applicable to this filing.

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

Not applicable.

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

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

Item 11. Controls and Procedures.

 

(a)

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

 

(b)

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

Item 12. Exhibits.

File the exhibits listed below as part of this Form.

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

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

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

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

---

SIGNATURES

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

(Registrant) Nuveen Credit Strategies Income Fund

 

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

Date: April 7, 2017

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

 

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

Date: April 7, 2017

 

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

Date: April 7, 2017