nvcsrs
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21579
Nuveen Floating Rate Income Opportunity Fund
 
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
 
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
 
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 917-7700
Date of fiscal year end: July 31
Date of reporting period: January 31, 2011
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. SS. 3507.
 
 

 


 

 
ITEM 1. REPORTS TO SHAREHOLDERS
(NUVEEN INVESTMENTS LOGO)
 
 
Closed-End Funds
 
     
 
Nuveen Investments
Closed-End Funds
Seeks high current income from portfolios of senior corporate loans.
   
     
Semi-Annual Report
January 31, 2011
   
 
 

             
 
 
   
Nuveen Senior
Income Fund
NSL
  Nuveen Floating
Rate Income Fund
JFR
  Nuveen Floating
Rate Income
Opportunity Fund
JRO
   

(JULY 09)


 

 
 
INVESTMENT ADVISER NAME CHANGE
 
Effective January 1, 2011, Nuveen Asset Management, the Funds’ investment adviser, changed its name to Nuveen Fund Advisors, Inc. (“Nuveen Fund Advisors”). Concurrently, Nuveen Fund Advisors formed a wholly-owned subsidiary, Nuveen Asset Management, LLC, to house its portfolio management capabilities.
 
NUVEEN INVESTMENTS COMPLETES STRATEGIC COMBINATION WITH FAF ADVISORS
 
On December 31, 2010, Nuveen Investments completed the strategic combination between Nuveen Asset Management, LLC, the largest investment affiliate of Nuveen Investments, and FAF Advisors. As part of this transaction, U.S. Bancorp—the parent of FAF Advisors—received cash consideration and a 9.5% stake in Nuveen Investments in exchange for the long term investment business of FAF Advisors, including investment-management responsibilities for the non-money market mutual funds of the First American Funds family.
 
The approximately $27 billion of mutual fund and institutional assets managed by FAF Advisors, along with the investment professionals managing these assets and other key personnel, have become part of Nuveen Asset Management, LLC. With these additions to Nuveen Asset Management, LLC, this affiliate now manages more than $100 billion of assets across a broad range of strategies from municipal and taxable fixed income to traditional and specialized equity investments.
 
This combination does not affect the investment objectives or strategies of the Funds in this report. Over time, Nuveen Investments expects that the combination will provide even more ways to meet the needs of investors who work with financial advisors and consultants by enhancing the multi-boutique model of Nuveen Investments, which also includes highly respected investment teams at HydePark, NWQ Investment Management, Santa Barbara Asset Management, Symphony Asset Management, Tradewinds Global Investors and Winslow Capital. Nuveen Investments managed approximately $197 billion of assets as of December 31, 2010.


 

 
Table of Contents

 
     
     
Chairman’s Letter to Shareholders
  4
     
Portfolio Manager’s Comments
  5
     
Common Share Distribution and Share Price Information
  9
     
Performance Overviews
  11
     
Shareholder Meeting Report
  14
     
Portfolios of Investments
  15
     
Statement of Assets and Liabilities
  36
     
Statement of Operations
  37
     
Statement of Changes in Net Assets
  38
     
Statement of Cash Flows
  39
     
Financial Highlights
  40
     
Notes to Financial Statements
  42
     
Reinvest Automatically, Easily and Conveniently
  51
     
Glossary of Terms Used in this Report
  53
     
Other Useful Information
  55


 

 
Chairman’s
Letter to Shareholders

 
(ROBERT P. BREMNER PHOTO)
 
Dear Shareholders,
 
In 2010, the global economy recorded another year of recovery from the financial and economic crises of 2008, but many of the factors that caused the downturn still weigh on the prospects for continued improvement. In the U.S., ongoing weakness in housing values has put pressure on homeowners and mortgage lenders. Similarly, the strong earnings recovery for corporations and banks is only slowly being translated into increased hiring or more active lending. Globally, deleveraging by private and public borrowers has inhibited economic growth and that process is far from complete.
 
Encouragingly, constructive actions are being taken by governments around the world to deal with economic issues. In the U.S., the recent passage of a stimulatory tax bill relieved some of the pressure on the Federal Reserve to promote economic expansion through quantitative easing and offers the promise of sustained economic growth. A number of European governments are undertaking programs that could significantly reduce their budget deficits. Governments across the emerging markets are implementing various steps to deal with global capital flows without undermining international trade and investment.
 
The success of these government actions could determine whether 2011 brings further economic recovery and financial market progress. One risk associated with the extraordinary efforts to strengthen U.S. economic growth is that the debt of the U.S. government will continue to grow to unprecedented levels. Another risk is that over time there could be inflationary pressures on asset values in the U.S. and abroad, because what happens in the U.S. impacts the rest of the world economy. Also, these various actions are being taken in a setting of heightened global economic uncertainty, primarily about the supplies of energy and other critical commodities. In this challenging environment, your Nuveen investment team continues to seek sustainable investment opportunities and to remain alert to potential risks in a recovery still facing many headwinds. On your behalf, we monitor their activities to assure they maintain their investment disciplines.
 
As you will note elsewhere in this report, on December 31, 2010, Nuveen Investments completed a strategic combination with FAF Advisors, Inc., the manager of the First American Funds. The combination adds highly respected and distinct investment teams to meet the needs of investors and their advisors and is designed to benefit all fund shareholders by creating a fund organization with the potential for further economies of scale and the ability to draw from even greater talent and expertise to meet those investor needs.
 
As always, I encourage you to contact your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
 
Sincerely,
-s- Robert P. Bremner
Robert P. Bremner
Chairman of the Board
March 24, 2011

     
     
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Portfolio Manager’s Comments

 
 
Nuveen Senior Income Fund (NSL)
Nuveen Floating Rate Income Fund (JFR)
Nuveen Floating Rate Income Opportunity Fund (JRO)
 
The Funds’ investment portfolios have been managed since 2001 by Gunther Stein of Symphony Asset Management LLC, an affiliate of Nuveen Investments, Inc. Gunther, who is Symphony’s Chief Investment Officer, has more than 20 years of investment management experience, much of it in evaluating and purchasing senior corporate loans and other high yield debt.
 
Here Gunther talks about his management strategies and the performance of the Funds for the six-month period ended January 31, 2011.
 
What key strategies were used to manage the Fund during the six-month period ended January 31, 2011?
 
 
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 manager 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.
 
Any reference to credit ratings for portfolio holdings denotes the highest rating assigned by a Nationally Recognized Statistical Rating Organization (NRSRO) such as Standard & Poor’s, Moody’s or Fitch. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below investment grade. Holdings and ratings may change over time.
 
The investment objective of each Fund is to achieve a high level of current income by investing primarily in adjustable rate secured and unsecured senior loans and other debt instruments. Other investments may include U.S. dollar denominated senior loans of non-U.S. borrowers and equity securities and warrants acquired in connection with the Fund’s investment in senior loans.
 
The six-month period ended January 31, 2011, saw continued asset price recovery in the corporate credit markets from depressed 2009 levels, driven by an improving fundamental and technical environment. The senior loan market represented an attractive asset class during the period, driven by a strong risk-return relationship featuring both interest income and principal appreciation from the secured position in the capital structure. Further, a recovering primary market generated significant new loan activity during the period, allowing companies to refinance debt and extend loan maturities while offering investors attractive terms.
 
Fundamentals over the period were positive, demonstrated by a significant decline in defaults and decreased corporate leverage with improved corporate earnings. For example, leveraged loans finished 2010 at a 2.58% default rate, according to Credit Suisse, compared with 2009 defaults of 9.58%. Similarly, high yield bonds experienced a significant improving default environment finishing 2010 with defaults of 1.51% compared to 2009 defaults of 9.36% according to Credit Suisse. An improving leveraged loan and high yield primary market enabled companies to refinance deals and extend maturities.
 
The strong supply and demand dynamic in the market was driven by significant interest in senior loans. As an example, inflows into loan mutual funds were $12.3 billion for 2010, according to Lipper, a near four-fold increase from 2009 inflows. On the supply-side, new issues for senior loans were $183.2 billion for 2010, according to Credit Suisse, a

     
     
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significant increase from the $56.3 million of new deals in 2009, but below the $226.0 billion average for the last five years.
 
The consensus of market participants implies that technicals will remain firm in the short term, as new issue volume will be outweighed by investor demand for loans. This demand is coming from both investors looking to take on credit risk, as well as investors who want to swap into floating rate income given the steepness in the yield curve. In terms of fundamentals, we remain optimistic in the near term as earnings are improved on average, however we are monitoring longer-term implications of rising commodity costs on the economy. We feel that active managers who understand the companies in which they invest will outperform the market, as technical and fundamental catalysts provide for opportunistic investment in (and avoidance of) specific loans.
 
How did the Fund perform over this six-month period?
 
The performance of the Funds, as well as the returns of comparative market indexes, is presented in the accompanying table.
 
Average Annual Total Returns on Common Share Net Asset Value
For periods ended 1/31/11
 
                 
    6-Month   1-Year   5-Year   10-Year
NSL
  10.26%   15.18%   5.40%   6.19%
JFR
  10.06%   14.31%   4.82%   N/A
JRO
  10.96%   15.34%   5.52%   N/A
CSFB Leveraged Loan Index1
  7.06%   10.13%   4.69%   4.93%
Barclays Capital U.S. Aggregate Bond Index2
  0.20%   5.06%   5.82%   5.68%
                 
 
 
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.
 
For additional information, see the individual Performance Overview for your Fund in this report.
 
The CSFB Leveraged Loan Index is a representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns do not include the effects of any sales charges or management fees. It is not possible to invest directly in an index.
 
The Barclays Capital U.S. Aggregate Bond Index is an unmanaged index that includes all investment-grade, publicly issued, fixed-rate, dollar denominated, nonconvertible debt issues and commercial mortgage backed securities with maturities of at least one year and outstanding par values of $150 million or more. Index returns do not include the effects of any sales charges or management fees. It is not possible to invest directly in an index.
 
Six-month returns are cumulative; all other returns are annualized.
 
For the six-month period ending January 31, 2011, all three Funds outperformed the comparative indexes. The senior loan market performance during the period was driven by continued appreciation of lower-rated and higher leveraged loans. Despite a focus on higher quality names, some of the lower-dollar priced assets in each Fund’s portfolio drove performance for the period. Examples included Univision Communications and U.S. Foodservice, whose loan securities continued to appreciate during the period from stressed price levels stemming from their highly levered balance sheets after their respective leveraged buyouts in 2007. We felt that both businesses offered sufficient downside protection due to their asset quality and business valuation. These assets provided an attractive total return opportunity in the senior loan asset class where returns are historically driven by coupon.
 
A continued trend during the six-month period was the high level of refinancing in the corporate credit market, specifically the use of high yield bond issuance to refinance senior loans. This trend has enabled companies to extend debt maturities (with typically longer maturity and fixed funding high yield bonds) and provide a runway for the business cycle to improve and leverage to decrease over time. This dynamic continued to be a positive technical factor as it removed supply from the senior loan market. Further, the 2012-2014 loan “maturity wall” was below $290 billion at the end of 2010, according to Barclays, compared with $405 billion at the end of 2009, demonstrating loan issuers’ ability to

     
     
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refinance and repay their debt maturities within the confines of the corporate credit markets.
 
IMPACT OF THE FUNDS’ LEVERAGE STRATEGY ON PERFORMANCE
 
One important factor impacting the return of the Funds relative to the comparative indexes was the Funds’ use of financial leverage through the use of bank borrowings. The Funds use leverage because their managers believe 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 net asset value 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. Leverage made a positive contribution to the performance of the Funds over this reporting period.
 
RECENT EVENTS CONCERNING THE FUNDS’ REDEMPTION OF AUCTION RATE PREFERRED SHARES
 
Shortly after their inceptions, the Funds issued auction rate preferred shares (ARPS) to create financial leverage. As noted in past shareholder reports, the weekly auctions for those ARPS began in February 2008 to consistently fail, causing the Funds to pay the so-called “maximum rate” to ARPS shareholders under the terms of the ARPS in the Funds’ charter documents. The Funds redeemed their ARPS at par in 2009 and since then have relied upon bank borrowings to create financial leverage.
 
During 2010, certain Nuveen leveraged closed-end funds (including JRO) received a demand letter from a law firm on behalf of purported holders of common shares of each such fund, alleging that Nuveen and the funds’ officers and Board of Directors/Trustees breached their fiduciary duties related to the redemption at par of the funds’ ARPS. In response, the Board established an ad hoc Demand Committee consisting of certain of its disinterested and independent Board members to investigate the claims. The Demand Committee retained independent counsel to assist it in conducting an extensive investigation. Based upon its investigation, the Demand Committee found that it was not in the best interests of each fund or its shareholders to take the actions suggested in the demand letters, and recommended that the full Board reject the demands made in the demand letters. After reviewing the findings and recommendation of the Demand Committee, the full Board of each fund unanimously adopted the Demand Committee’s recommendation.
 
Subsequently, the funds that received demand letters (excluding JRO) were named in a consolidated complaint as nominal defendants in a putative shareholder derivative action captioned Martin Safier, et al. v. Nuveen Asset Management, et al. that was filed in the Circuit Court of Cook County, Illinois, Chancery Division (the “Cook County Chancery Court”) on February 18, 2011 (the “Complaint”). The Complaint, filed on behalf of purported holders of each fund’s common shares, also name Nuveen Asset Management as a defendant, together with current and former Officers and interested Director/Trustees of each of the funds (together with the nominal defendants, collectively, the

     
     
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“Defendants”). The Complaint contains the same basic allegations contained in the demand letters. The suits seek a declaration that the Defendants have breached their fiduciary duties, an order directing the Defendants not to redeem any ARPS at their liquidation value using fund assets, indeterminate monetary damages in favor of the funds and an award of plaintiffs’ costs and disbursements in pursuing the action. Nuveen Asset Management believes that the Complaint is without merit, and is defending vigorously against these charges.

     
     
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Common Share Distribution
and Share Price Information

 
 
As noted earlier, these Funds use financial leverage to potentially enhance opportunities for additional income for common shareholders. The Funds’ use of this leverage strategy continued to provide incremental income, although the extent of this benefit was reduced to some degree by short-term interest rates that remained relatively high during the early part of the period. This, in turn, kept the Funds’ borrowing costs high. NSL increased its distribution once while JFR and JRO increased their distributions twice over the six-month period.
 
During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s common share NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund’s common share NAV. As of January 31, 2011, all three Funds had positive UNII balances, based on our best estimates, for tax purposes and positive UNII balances for financial reporting purposes.
 
COMMON SHARE REPURCHASES
 
As of January 31, 2011, and since the inception of the Funds’ repurchase program, JFR and JRO have cumulatively repurchased and retired their common shares as shown in the accompanying table. Since the inception of the Fund’s repurchase program, NSL has not repurchased any of its outstanding common shares.
 
         
    Common Shares
  % of Outstanding
Fund   Repurchased and Retired   Common Shares
JFR
  147,593   0.3%
JRO
  19,400   0.1%
         
 
During the six-month reporting period, JFR and JRO did not repurchase any of their outstanding common shares.
 
SHELF EQUITY PROGRAMS
 
During the six-month reporting period, NSL, JFR and JRO filed registration statements with the Securities and Exchange Commission (SEC) authorizing the Funds to issue 2.9 million, 4.7 million and 2.8 million common shares, respectively, through a shelf offering. Under these equity shelf 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.

     
     
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As of January 31, 2011, NSL and JRO had cumulatively sold 1,072,309 and 925,494 common shares, respectively, through their shelf equity programs. JFR has not sold any common shares through its shelf equity program.
 
During the six-month reporting period, NSL and JRO sold common shares through their shelf equity programs at an average premium to NAV per common share as shown in the accompanying table.
 
         
    Common Shares
   
    Sold through
  Premium to NAV
Fund   Shelf Offering   per Share Sold
NSL
  1,072,309   3.23%
JRO
  925,494   3.10%
         
 
SHARE PRICE INFORMATION
 
As of January 31, 2011, the Funds were trading at (+) premiums to their common share NAVs as shown in the accompanying table.
 
         
    1/31/11
  Six-Month
    (+) Premium/
  Average
Fund   (-) Discount   (+) Premium/(-) Discount
NSL
  (+)1.79%   (+)2.93%
JFR
  (+)1.71%   (-)2.91%
JRO
  (+)2.96%   (+)1.96%
         

     
     
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NSL
Performance
OVERVIEW
    Nuveen Senior
Income Fund
      as of January 31, 2011

     
Fund Snapshot
Common Share Price   $7.38
     
Common Share Net Asset Value   $7.25
     
Premium/(Discount) to NAV   1.79%
     
Latest Dividend   $0.0410
     
Market Yield   6.67%
     
Net Assets Applicable to
Common Shares ($000)
  $224,192
     
         
Average Annual Total Return
(Inception 10/26/99)
    On Share Price   On NAV
6-Month (Cumulative)   9.95%   10.26%
         
1-Year   10.43%   15.18%
         
5-Year   7.15%   5.40%
         
10-Year   5.12%   6.19%
         
     
Portfolio Composition
(as a % of total investments)1
Hotels, Restaurants & Leisure   12.0%
     
Media   11.1%
     
Health Care Providers & Services   10.9%
     
Communications Equipment   4.6%
     
IT Services   4.5%
     
Oil, Gas & Consumable Fuels   3.0%
     
Auto Components   2.6%
     
Building Products   2.6%
     
Paper & Forest Products   2.4%
     
Food Products   2.3%
     
Leisure Equipment & Products   2.2%
     
Wireless Telecommunication Services   2.1%
     
Food & Staples Retailing   2.0%
     
Software   2.0%
     
Chemicals   1.9%
     
Diversified Consumer Services   1.8%
     
Real Estate Management & Development   1.8%
     
Road & Rail   1.8%
     
Diversified Financial Services   1.7%
     
Multi-Line Retail   1.7%
     
Specialty Retail   1.7%
     
Airlines   1.4%
     
Diversified Telecommunication Services   1.4%
     
Pharmaceuticals   1.4%
     
Semiconductors & Equipment   1.4%
     
Short-Term Investments   2.9%
     
Other   14.8%
     
     
Top Five Issuers
(as a % of total long-term investments)1
Clear Channel Communications, Inc.   2.9%
     
LifeCare   2.7%
     
Infor Global Solutions Intermediate Holdings, Ltd.   2.3%
     
Avaya, Inc.   2.1%
     
U.S. Foodservice, Inc.   2.0%
     
 
 
Portfolio Allocation (as a % of total investments)1
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2010-2011 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
 
Holdings are subject to change.

     
     
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JFR
Performance
OVERVIEW
    Nuveen Floating
Rate Income
Fund
      as of January 31, 2011

     
Fund Snapshot
Common Share Price   $12.49
     
Common Share Net Asset Value   $12.28
     
Premium/(Discount) to NAV   1.71%
     
Latest Dividend   $0.0570
     
Market Yield   5.48%
     
Net Assets Applicable to
Common Shares ($000)
  $580,583
     
         
Average Annual Total Return
(Inception 3/25/04)
    On Share Price   On NAV
6-Month (Cumulative)   14.72%   10.06%
         
1-Year   22.69%   14.31%
         
5-Year   7.50%   4.82%
         
Since Inception   4.87%   4.84%
         
     
Portfolio Composition
(as a % of total investments)1
Media   10.1%
     
Hotels, Restaurants & Leisure   9.6%
     
Health Care Providers & Services   8.2%
     
IT Services   4.9%
     
Communications Equipment   4.5%
     
Specialty Retail   3.8%
     
Wireless Telecommunication Services   3.7%
     
Building Products   3.0%
     
Auto Components   2.9%
     
Leisure Equipment & Products   2.6%
     
Software   2.6%
     
Chemicals   2.4%
     
Oil, Gas & Consumable Fuels   2.4%
     
Food Products   2.3%
     
Road & Rail   2.1%
     
Food & Staples Retailing   2.0%
     
Pharmaceuticals   2.0%
     
Airlines   1.9%
     
Real Estate Management & Development   1.8%
     
Semiconductors & Equipment   1.7%
     
Diversified Financial Services   1.6%
     
Diversified Consumer Services   1.5%
     
Electrical Equipment   1.4%
     
Investment Companies   1.6%
     
Warrants   0.4%
     
Short-Term Investments   4.5%
     
Other   14.5%
     
     
Top Five Issuers
(as a % of total long-term investments)1
Univision Communications, Inc.   2.9%
     
Clear Channel Communications, Inc.   2.6%
     
Avaya, Inc.   2.4%
     
U.S. Foodservice, Inc.   2.1%
     
Federal-Mogul Corporation   2.0%
     
 
 
Portfolio Allocation (as a % of total investments)1
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2010-2011 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
 
Holdings are subject to change.

     
     
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JRO
Performance
OVERVIEW
    Nuveen Floating
Rate Income
Opportunity Fund
      as of January 31, 2011

     
Fund Snapshot
Common Share Price   $12.52
     
Common Share Net Asset Value   $12.16
     
Premium/(Discount) to NAV   2.96%
     
Latest Dividend   $0.0665
     
Market Yield   6.37%
     
Net Assets Applicable to
Common Shares ($000)
  $356,772
     
         
Average Annual Total Return
(Inception 7/27/04)
    On Share Price   On NAV
6-Month (Cumulative)   11.18%   10.96%
         
1-Year   19.36%   15.34%
         
5-Year   8.36%   5.52%
         
Since Inception   5.60%   5.37%
         
     
Portfolio Composition
(as a % of total investments)1
Media   12.1%
     
Hotels, Restaurants & Leisure   10.0%
     
Health Care Providers & Services   7.0%
     
IT Services   5.9%
     
Communications Equipment   4.8%
     
Wireless Telecommunication Services   4.0%
     
Auto Components   3.7%
     
Building Products   3.4%
     
Oil, Gas & Consumable Fuels   3.3%
     
Food Products   2.7%
     
Leisure Equipment & Products   2.5%
     
Real Estate Management & Development   2.4%
     
Software   2.4%
     
Road & Rail   2.3%
     
Chemicals   2.2%
     
Diversified Consumer Services   2.1%
     
Diversified Financial Services   2.1%
     
Pharmaceuticals   2.1%
     
Food & Staples Retailing   1.9%
     
Specialty Retail   1.9%
     
Airlines   1.8%
     
Internet Software & Services   1.8%
     
Paper & Forest Products   1.8%
     
Warrants   0.6%
     
Short-Term Investments   1.8%
     
Other   13.4%
     
     
Top Five Issuers
(as a % of total long-term investments)1
Clear Channel Communications, Inc.   3.8%
     
First Data Corporation   2.7%
     
Federal-Mogul Corporation   2.7%
     
Avaya, Inc.   2.6%
     
Goodman Global Inc.   2.6%
     
 
 
Portfolio Allocation (as a % of total investments)1
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2010-2011 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
 
Holdings are subject to change.

     
     
Nuveen Investments
  13
     


 

 
Shareholder Meeting Report (Unaudited)
 
The annual meeting of shareholders was held in the offices of Nuveen Investments on November 16, 2010; at this meeting the shareholders were asked to vote on the election of Board Members.

                   
 
      NSL     JFR     JRO
Approval of the Board Members was reached as follows:                  
      Common Shares     Common Shares     Common Shares
William C. Hunter
                 
For
    26,981,596     43,388,061     24,684,625
Withhold
    886,536     1,151,734     525,995
                   
Total
    27,868,132     44,539,795     25,210,620
                   
Judith M. Stockdale
                 
For
    26,974,374     43,355,559     24,659,641
Withhold
    893,758     1,184,236     550,979
                   
Total
    27,868,132     44,539,795     25,210,620
                   
Carole E. Stone
                 
For
    26,992,455     43,353,565     24,667,533
Withhold
    875,677     1,186,230     543,087
                   
Total
    27,868,132     44,539,795     25,210,620
                   

     
     
14
  Nuveen Investments
     


 

           
           
  NSL
    Nuveen Senior Income Fund
Portfolio of Investments
          January 31, 2011 (Unaudited)

 
                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 116.7% (86.2% of Total Investments) (4)
         
       
Aerospace & Defense – 1.7% (1.2% of Total Investments)
                                         
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
    4.060%       7/31/14       B     $ 571,237  
  555    
DAE Aviation Holdings, Inc., Term Loan B2
    4.060%       7/31/14       B       551,718  
  168    
Hawker Beechcraft, LLC, LC Facility, DD1
    2.303%       3/26/14       CCC+       150,553  
  2,808    
Hawker Beechcraft, LLC, Term Loan, DD1
    2.272%       3/26/14       CCC+       2,511,718  
                                         
  4,105    
Total Aerospace & Defense
                            3,785,226  
                                         
       
Air Freight & Logistics – 0.3% (0.2% of Total Investments)
                                         
  600    
Transdigm, Inc., Term Loan
    5.000%       12/06/16       Ba2       610,388  
                                         
       
Airlines – 2.0% (1.4% of Total Investments)
                                         
  1,930    
Delta Air Lines, Inc., Term Loan
    3.511%       4/30/14       B       1,908,288  
  2,520    
United Air Lines, Inc., Term Loan B
    2.313%       2/01/14       BB–       2,500,083  
                                         
  4,450    
Total Airlines
                            4,408,371  
                                         
       
Auto Components – 3.5% (2.6% of Total Investments)
                                         
  3,265    
Capital Automotive LP, Tranche C
    5.000%       12/14/12       Ba3       3,314,179  
  3,040    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.198%       12/29/14       Ba3       2,961,154  
  1,552    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.198%       12/28/15       Ba3       1,511,202  
                                         
  7,857    
Total Auto Components
                            7,786,535  
                                         
       
Biotechnology – 0.8% (0.6% of Total Investments)
                                         
  1,800    
Grifols, Term Loan, WI/DD
    TBD       TBD       BB       1,830,562  
                                         
       
Building Products – 2.1% (1.6% of Total Investments)
                                         
  2,000    
Goodman Global Inc., Second Lien Term Loan
    9.000%       10/28/17       B–       2,072,990  
  2,660    
Goodman Global Inc., Term Loan
    5.750%       10/28/16       B+       2,687,632  
                                         
  4,660    
Total Building Products
                            4,760,622  
                                         
       
Capital Markets – 0.4% (0.3% of Total Investments)
                                         
  296    
BNY Convergex Group LLC, Incremental Term Loan
    5.250%       12/19/16       B+       299,716  
  704    
BNY Convergex Group LLC, Term Loan
    5.250%       12/19/16       B+       714,284  
                                         
  1,000    
Total Capital Markets
                            1,014,000  
                                         
       
Chemicals – 2.5% (1.9% of Total Investments)
                                         
  831    
Ineos US Finance LLC, Tranche B2
    7.500%       12/16/13       B1       862,413  
  832    
Ineos US Finance LLC, Tranche C2
    8.000%       12/16/14       B1       862,964  
  692    
Styron Corporation, Term Loan
    7.500%       6/17/16       B+       703,932  
  1,696    
Univar, Inc., Add-on Term Loan
    6.250%       6/30/17       B       1,716,947  
  1,504    
Univar, Inc., Term Loan
    6.250%       11/30/16       B       1,522,659  
                                         
  5,555    
Total Chemicals
                            5,668,915  
                                         
       
Commercial Banks – 0.4% (0.3% of Total Investments)
                                         
  800    
Fifth Third Processing Solutions LLC, Term Loan
    5.500%       11/03/16       BB–       813,600  
                                         
       
Commercial Services & Supplies – 1.7% (1.3% of Total Investments)
                                         
  2,400    
Knology, Inc., Term Loan
    5.500%       10/17/16       B+       2,430,374  
  133    
ServiceMaster Company, Delayed Term Loan
    2.760%       7/24/14       B+       131,818  
  1,340    
ServiceMaster Company, Term Loan
    2.775%       7/24/14       B+       1,323,668  
                                         
  3,873    
Total Commercial Services & Supplies
                            3,885,860  
                                         
       
Communications Equipment – 5.9% (4.3% of Total Investments)
                                         
  6,421    
Avaya, Inc., Term Loan, DD1
    3.034%       10/24/14       B+       6,284,909  
  1,500    
CommScope Inc., Term Loan
    5.000%       1/14/18       BB       1,533,750  
  3,033    
Intelsat, Term Loan
    5.250%       4/02/18       BB–       3,077,689  
  1,300    
Presidio, Inc., Term Loan
    7.500%       12/16/15       Ba3       1,285,375  
  993    
Telcordia Technologies, Inc., New Term Loan
    6.750%       4/30/16       B+       1,001,805  
                                         
  13,247    
Total Communications Equipment
                            13,183,528  
                                         
       
Containers & Packaging – 1.4% (1.0% of Total Investments)
                                         
  1,330    
Graham Packaging Company LP, Term Loan D
    6.000%       9/23/16       B+       1,356,323  
  250    
Reynolds Group Holdings, Inc., Term Loan A
    6.250%       8/06/15       Ba3       251,406  
  1,500    
Reynolds Group Holdings, Inc., Term Loan D
    6.500%       5/05/16       Ba3       1,509,996  
                                         
  3,080    
Total Containers & Packaging
                            3,117,725  
                                         

     
     
Nuveen Investments
  15
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Diversified Consumer Services – 2.4% (1.8% of Total Investments)
                                         
$ 3,000    
Advantage Sales and Marketing, Inc., Term Loan, First Lien
    5.250%       12/17/17       B+     $ 3,026,775  
  1,200    
Brickman Group Holdings, Inc., Tranche B, Term Loan
    7.250%       10/14/16       B+       1,227,000  
  1,162    
Cengage Learning Acquisitions, Inc., Term Loan
    2.550%       7/03/14       B+       1,145,204  
                                         
  5,362    
Total Diversified Consumer Services
                            5,398,979  
                                         
       
Diversified Financial Services – 2.3% (1.7% of Total Investments)
                                         
  1,243    
CIT Group, Inc., Tranche 3, Term Loan
    6.250%       8/11/15       BB       1,276,308  
  1,727    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,729,274  
  2,072    
Pinafore LLC, Term Loan
    6.250%       9/29/16       BB       2,106,862  
                                         
  5,042    
Total Diversified Financial Services
                            5,112,444  
                                         
       
Diversified Telecommunication Services – 1.8% (1.4% of Total Investments)
                                         
  2,000    
Intelsat, Unsecured Term Loan
    2.803%       2/01/14       B+       1,936,876  
  2,267    
Level 3 Financing, Inc., Term Loan
    2.553%       3/13/14       B+       2,212,833  
                                         
  4,267    
Total Diversified Telecommunication Services
                            4,149,709  
                                         
       
Electric Utilities – 0.5% (0.4% of Total Investments)
                                         
  443    
TXU Corporation, Term Loan B2
    3.786%       10/10/14       B2       367,252  
  945    
TXU Corporation, Term Loan B3
    3.763%       10/10/14       B2       782,431  
                                         
  1,388    
Total Electric Utilities
                            1,149,683  
                                         
       
Food & Staples Retailing – 2.7% (2.0% of Total Investments)
                                         
  6,177    
U.S. Foodservice, Inc., Term Loan
    2.760%       7/03/14       B2       5,974,547  
                                         
       
Food Products – 3.2% (2.3% of Total Investments)
                                         
  360    
Darling International, Inc., Term Loan
    5.750%       12/17/16       BB+       365,175  
  1,000    
Great Atlantic and Pacific Tea Company, Inc., Term Loan
    9.250%       6/13/12       BB–       1,012,500  
  1,640    
Michael Foods Group, Inc., Term Loan B
    6.250%       6/29/16       BB–       1,668,470  
  1,800    
NBTY, Inc., Term Loan
    6.250%       10/01/17       BB–       1,830,938  
  1,995    
Pierre Foods, Inc., Term Loan
    7.000%       9/30/16       B+       2,018,691  
  222    
Pinnacle Foods Finance LLC, Tranche D, Term Loan
    6.000%       4/02/14       Ba3       225,272  
                                         
  7,017    
Total Food Products
                            7,121,046  
                                         
       
Health Care Equipment & Supplies – 1.2% (0.9% of Total Investments)
                                         
  238    
Fenwal, Inc., Delayed Term Loan
    2.544%       2/28/14       B       222,273  
  755    
Fenwal, Inc., Term Loan
    2.544%       2/28/14       B       705,545  
  849    
Symbion, Inc., Term Loan A
    3.510%       8/23/13       B1       820,924  
  924    
Symbion, Inc., Term Loan B
    3.510%       8/25/14       B1       893,486  
                                         
  2,766    
Total Health Care Equipment & Supplies
                            2,642,228  
                                         
       
Health Care Providers & Services – 13.5% (10.0% of Total Investments)
                                         
  1,489    
Ardent Medical Services, Inc., Term Loan
    6.500%       9/15/15       B1       1,500,536  
  122    
Community Health Systems, Inc., Extended Term Loan
    3.794%       1/25/17       BB       123,517  
  1,304    
Gentiva Health Services, Inc., Term Loan B
    6.750%       8/17/16       Ba2       1,327,122  
  1,480    
Healthspring, Term Loan
    6.000%       10/21/16       Ba3       1,489,250  
  2,203    
IASIS Healthcare LLC, PIK Term Loan
    5.554%       6/16/14       CCC+       2,178,777  
  4,088    
LifeCare, Term Loan B
    6.500%       8/10/12       B2       4,047,541  
  4,000    
LifeCare, Term Loan, WI/DD
    TBD       TBD       Caa1       3,840,000  
  750    
MedAssets, Inc., Term Loan
    5.250%       11/16/16       BB       761,563  
  1,938    
MultiPlan, Inc., Term Loan
    6.500%       8/26/17       Ba3       1,960,573  
  1,713    
Rehabcare Group, Inc., Term Loan B
    6.000%       11/24/15       BB       1,733,323  
  450    
Renal Advantage, Inc., Tranche B, Term Loan
    5.750%       12/17/16       Ba3       457,453  
  4,719    
Skilled Healthcare Group, Inc., Term Loan
    5.250%       4/09/16       B+       4,724,625  
  1,503    
Sun Healthcare Group, Inc., Term Loan
    7.500%       10/18/16       Ba2       1,517,203  
  3,000    
Universal Health Services, Term Loan
    5.500%       11/15/16       BB+       3,056,508  
  1,566    
Vanguard Health Holding Company II LLC, Initial Term Loan
    5.000%       1/29/16       Ba2       1,582,496  
                                         
  30,325    
Total Health Care Providers & Services
                            30,300,487  
                                         
       
Hotels, Restaurants & Leisure – 15.5% (11.5% of Total Investments)
                                         
  1,990    
24 Hour Fitness Worldwide, Inc., New Term Loan
    6.750%       4/22/16       Ba3       1,971,344  
  2,700    
Burger King Corporation, Term Loan B
    6.250%       10/19/16       BB–       2,746,194  
  3,318    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–       3,326,584  
  1,346    
DineEquity, Inc., Term Loan
    6.000%       10/19/17       Ba2       1,369,797  
  1,000    
Harrah’s Operating Company, Inc., Term Loan B1
    3.303%       1/28/15       B       932,031  
  2,000    
Harrah’s Operating Company, Inc., Term Loan B2
    3.303%       1/28/15       B       1,867,188  
  991    
Harrah’s Operating Company, Inc., Term Loan B3
    3.303%       1/28/15       B       925,118  
  1,619    
Herbst Gaming, LLC, Term Loan
    10.000%       12/31/15       B+       1,686,842  

     
     
16
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Hotels, Restaurants & Leisure (continued)
                                         
$ 882    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    5.000%       11/25/13       B+     $ 883,370  
  673    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    5.000%       11/25/13       B+       674,411  
  1,339    
Isle of Capri Casinos, Inc., Delayed Term Loan
    5.000%       11/25/13       B+       1,341,012  
  1,861    
Orbitz Worldwide, Inc., Term Loan
    3.281%       7/25/14       B+       1,743,585  
  404    
OSI Restaurant Partners LLC, Revolver
    2.027%       6/14/13       B+       397,935  
  3,810    
OSI Restaurant Partners LLC, Term Loan
    2.625%       6/14/14       B+       3,751,159  
  1,000    
QCE LLC, Term Loan
    6.010%       11/05/13       N/R       790,000  
  981    
Reynolds Group Holdings, Inc., US Term Loan
    6.750%       5/05/16       BB–       986,950  
  2,100    
Six Flags Theme Parks, Inc., Tranche B, Term Loan
    5.500%       6/30/16       BB       2,132,812  
  988    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       999,863  
  965    
Travelport LLC, Delayed Term Loan
    4.963%       8/21/15       Ba3       941,358  
  213    
Travelport LLC, Letter of Credit
    4.803%       8/21/15       Ba3       207,838  
  660    
Travelport LLC, Term Loan
    4.963%       8/21/15       Ba3       643,520  
  840    
Venetian Casino Resort LLC, Delayed Term Loan
    3.040%       11/23/16       B1       836,298  
  3,653    
Venetian Casino Resort LLC, Tranche B, Term Loan
    3.040%       11/23/16       B1       3,640,568  
                                         
  35,333    
Total Hotels, Restaurants & Leisure
                            34,795,777  
                                         
       
Household Durables – 1.4% (1.1% of Total Investments)
                                         
  3,182    
Spectrum Brands, Inc., Term Loan
    8.000%       6/16/16       B       3,221,613  
                                         
       
Household Products – 0.7% (0.5% of Total Investments)
                                         
  1,496    
Visant Holding Corporation, Tranche B, Term Loan
    7.000%       12/22/16       BB–       1,518,227  
                                         
       
Internet Software & Services – 1.5% (1.1% of Total Investments)
                                         
  1,451    
Open Solutions, Inc., Term Loan B
    2.425%       1/23/14       BB–       1,270,362  
  1,990    
SkillSoft Corporation, Term Loan
    6.500%       5/26/17       BB       2,019,850  
                                         
  3,441    
Total Internet Software & Services
                            3,290,212  
                                         
       
IT Services – 6.1% (4.5% of Total Investments)
                                         
  998    
Evertec, Inc., Term Loan B
    7.000%       9/30/16       BB–       1,014,333  
  913    
First Data Corporation, Term Loan B1
    3.010%       9/24/14       B+       865,673  
  2,370    
First Data Corporation, Term Loan B2
    3.010%       9/24/14       B+       2,246,530  
  2,000    
First Data Corporation, Term Loan B3, WI/DD
    TBD       TBD       B+       1,895,910  
  122    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan
    4.010%       7/28/12       B+       120,211  
  542    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan
    6.010%       7/28/15       B+       529,128  
  1,052    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan
    8.270%       9/02/14       B–       469,259  
  2,090    
Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw
    6.510%       3/02/14       CCC+       1,609,300  
  259    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    4.010%       7/28/12       B+       255,048  
  3,610    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
    6.510%       3/02/14       CCC+       2,794,743  
  1,033    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    6.010%       7/28/15       B+       1,005,419  
  900    
Syniverse Holdings, Inc., Term Loan
    5.250%       12/21/17       BB–       915,375  
                                         
  15,889    
Total IT Services
                            13,720,929  
                                         
       
Leisure Equipment & Products – 3.0% (2.2% of Total Investments)
                                         
  2,089    
BLB Management Services, Inc., Term Loan, DD1
    8.500%       11/05/15       BB–       2,105,041  
  3,244    
Bombardier Recreational Products, Inc., Term Loan
    2.810%       6/28/13       B–       3,231,357  
  1,448    
Cedar Fair LP, Term Loan
    5.500%       12/15/16       Ba2       1,470,309  
                                         
  6,781    
Total Leisure Equipment & Products
                            6,806,707  
                                         
       
Media – 11.0% (8.1% of Total Investments)
                                         
  1,614    
Carmike Cinemas, Inc., Term Loan
    5.500%       1/27/16       B1       1,635,605  
  1,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    2.760%       3/06/14       BB+       982,500  
  1,250    
Citadel Broadcasting Corporation, Term Loan, (7)
    4.250%       12/30/16       Baa3       1,264,698  
  975    
Emmis Operating Company, Term Loan
    4.303%       11/01/13       Caa2       909,117  
  1,474    
Gray Television, Inc., Term Loan B
    3.770%       12/31/14       B       1,458,321  
  2,388    
Interactive Data Corporation, Term Loan
    6.750%       1/29/17       Ba3       2,425,800  
  733    
Miramax Film, LLC, Term Loan
    7.750%       7/01/16       Ba2       753,500  
  2,958    
Spanish Broadcasting System, Inc., Term Loan B
    2.060%       6/11/12       B–       2,891,604  
  1,022    
SuperMedia, Term Loan
    11.000%       12/31/15       B–       709,410  
  7,910    
Tribune Company, Term Loan B, (5), (6), DD1
    0.000%       6/04/14       Ca       5,831,628  
  4,933    
Univision Communications, Inc., Term Loan
    4.510%       3/31/17       B       4,844,216  
  1,903    
Yell Group PLC, Term Loan
    4.010%       7/31/14       B–       965,650  
                                         
  28,160    
Total Media
                            24,672,049  
                                         
       
Metals & Mining – 0.7% (0.5% of Total Investments)
                                         
  1,500    
Novelis, Inc., Term Loan
    5.250%       12/17/16       Ba2       1,529,062  
                                         

     
     
Nuveen Investments
  17
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Multiline Retail – 1.6% (1.2% of Total Investments)
                                         
$ 3,490    
Neiman Marcus Group, Inc., Term Loan
    4.303%       4/06/16       BB–     $ 3,516,369  
                                         
       
Oil, Gas & Consumable Fuels – 3.6% (2.6% of Total Investments)
                                         
  166    
Alon USA Energy, Inc., Edgington Facility
    2.544%       8/05/13       B+       137,195  
  1,330    
Alon USA Energy, Inc., Paramount Facility
    2.533%       8/05/13       B+       1,097,482  
  1,000    
Big West Oil LLC, Term Loan
    7.000%       3/31/16       B+       1,012,500  
  295    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.153%       1/03/15       B1       288,148  
  2,165    
Calumet Lubricants Company LP, Term Loan
    4.286%       1/03/15       B1       2,117,229  
  2,324    
Venoco, Inc., Term Loan
    4.313%       5/07/14       B       2,311,602  
  981    
Western Refining, Inc., Term Loan
    10.750%       5/30/14       B       1,007,098  
                                         
  8,261    
Total Oil, Gas & Consumable Fuels
                            7,971,254  
                                         
       
Paper & Forest Products – 2.9% (2.1% of Total Investments)
                                         
  2,858    
Newark Group, Inc., DIP Term Loan
    12.500%       3/31/14       N/R       2,957,699  
  3,810    
Wilton Products, Term Loan
    3.540%       8/01/14       N/R       3,448,270  
                                         
  6,668    
Total Paper & Forest Products
                            6,405,969  
                                         
       
Personal Products – 0.9% (0.7% of Total Investments)
                                         
  1,985    
Revlon Consumer Products Corporation, Term Loan
    6.000%       3/11/15       BB–       2,003,609  
                                         
       
Pharmaceuticals – 2.0% (1.4% of Total Investments)
                                         
  1,120    
ConvaTec Healthcare, Term Loan
    5.750%       12/30/16       Ba3       1,137,033  
  2,000    
Graceway Pharmaceuticals LLC, Second Lien Term Loan (5), (6)
    0.000%       5/03/13       Ca       185,000  
  1,917    
Graceway Pharmaceuticals LLC, Term Loan, (7)
    5.010%       5/03/12       Caa2       907,193  
  235    
Warner Chilcott Corporation, Add on Term Loan
    6.250%       4/30/15       BB       237,085  
  610    
Warner Chilcott Corporation, Term Loan A
    6.000%       10/30/14       BB       612,458  
  302    
Warner Chilcott Corporation, Term Loan B1
    6.250%       4/30/15       BB       304,739  
  503    
Warner Chilcott Corporation, Term Loan B2
    6.250%       4/30/15       BB       507,446  
  498    
Warner Chilcott Corporation, Term Loan B3
    6.500%       2/22/16       BB       504,650  
                                         
  7,185    
Total Pharmaceuticals
                            4,395,604  
                                         
       
Professional Services – 1.1% (0.8% of Total Investments)
                                         
  1,824    
U.S. Investigations Services, Inc., Term Loan
    7.750%       2/21/15       B+       1,851,529  
  728    
Vertrue Inc., Term Loan
    3.310%       8/16/14       Ba3       660,989  
                                         
  2,552    
Total Professional Services
                            2,512,518  
                                         
       
Real Estate Management & Development – 2.4% (1.8% of Total Investments)
                                         
  1,729    
LNR Property Corporation, Term Loan B
    3.760%       7/12/11       B2       1,714,602  
  3,895    
Realogy Corporation, Delayed Term Loan
    3.287%       10/10/13       B1       3,786,283  
                                         
  5,624    
Total Real Estate Management & Development
                            5,500,885  
                                         
       
Road & Rail – 1.9% (1.4% of Total Investments)
                                         
  389    
Avis Budget Car Rental LLC, Term Loan
    5.750%       4/19/14       BB       391,874  
  3,891    
Swift Transportation Company, Inc., Term Loan
    6.000%       12/21/16       BB–       3,950,921  
                                         
  4,280    
Total Road & Rail
                            4,342,795  
                                         
       
Semiconductors & Equipment – 1.8% (1.4% of Total Investments)
                                         
  1,193    
Freescale Semiconductor, Inc., Term Loan
    4.511%       12/01/16       B2       1,197,251  
  1,800    
Microsemi Corporation, Term Loan
    5.000%       11/02/17       BB+       1,827,751  
  1,116    
Spansion LLC, Term Loan
    6.500%       2/09/15       BB–       1,130,726  
                                         
  4,109    
Total Semiconductors & Equipment
                            4,155,728  
                                         
       
Software – 2.7% (2.0% of Total Investments)
                                         
  1,532    
Dealer Computer Services, Inc., New Term Loan
    5.250%       4/21/17       BB–       1,548,046  
  2,000    
IPC Systems, Inc., Term Loan, Second Lien
    5.553%       6/01/15       CCC       1,830,000  
  1,359    
IPC Systems, Inc., Term Loan
    2.535%       6/02/14       B1       1,324,853  
  494    
Reynolds Group Holdings, Inc., Incremental US Term Loan
    6.250%       5/05/16       BB–       497,933  
  796    
Vertafore, Inc., Term Loan
    7.239%       7/29/16       B+       800,727  
                                         
  6,181    
Total Software
                            6,001,559  
                                         
       
Specialty Retail – 2.3% (1.7% of Total Investments)
                                         
  1,443    
Toys “R” Us – Delaware, Inc., Term Loan
    6.000%       9/01/16       BB–       1,463,987  
  1,884    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.549%       5/28/13       B–       1,880,952  
  500    
Claire’s Stores, Inc., Term Loan B, WI/DD
    TBD       TBD       B–       481,518  
  1,381    
Michaels Stores, Inc., Term Loan B1
    2.563%       10/31/13       B+       1,378,930  
                                         
  5,208    
Total Specialty Retail
                            5,205,387  
                                         

     
     
18
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Textiles, Apparel & Luxury Goods – 0.4% (0.3% of Total Investments)
                                         
$ 900    
Gymboree Corporation, Term Loan
    5.500%       11/23/17       B+     $ 912,797  
                                         
       
Wireless Telecommunication Services – 2.9% (2.1% of Total Investments)
                                         
  1,975    
Asurion Corporation, Term Loan
    3.265%       7/03/14       N/R       1,928,248  
  5,000    
Clear Channel Communications, Inc., Tranche B, Term Loan, DD1
    3.910%       11/13/15       CCC+       4,507,145  
                                         
  6,975    
Total Wireless Telecommunication Services
                            6,435,393  
                                         
$ 272,571    
Total Variable Rate Senior Loan Interests (cost $258,967,274)
                            261,628,898  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 4.4% (3.2% of Total Investments)
         
       
Building Products – 1.4% (1.0% of Total Investments)
                                         
  88,501    
Masonite Worldwide Holdings, (8), (9)
                          $ 3,130,723  
                                         
       
Hotels, Restaurants & Leisure – 0.7% (0.5% of Total Investments)
                                         
  40,968    
BLB Worldwide Holdings Inc., (9)
                            440,406  
  92,505    
Herbst Gaming Inc., (9)
                            1,084,051  
                                         
       
Total Hotels, Restaurants & Leisure
                            1,524,457  
                                         
       
Media – 2.3% (1.7% of Total Investments)
                                         
  85,405    
Citadel Broadcasting Corporation, (8)
                            2,519,875  
  51,773    
Metro-Goldwyn-Mayer, (9)
                            1,151,949  
  5,339    
Philadelphia Newspapers LLC, (9)
                            557,926  
  33,484    
Readers Digest Association Inc., (8), (9)
                            849,657  
                                         
       
Total Media
                            5,079,407  
                                         
       
Total Common Stocks (cost $12,324,001)
    9,734,587  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Convertible Bonds – 0.4% (0.3% of Total Investments)
         
       
Communications Equipment – 0.4% (0.3% of Total Investments)
                                         
$ 1,000    
Nortel Networks Corporation, (10)
    1.750%       4/15/12       D     $ 840,000  
                                         
$ 1,000    
Total Convertible Bonds (cost $780,000)
                            840,000  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 10.0% (7.4% of Total Investments)
         
       
Automobiles – 1.0% (0.9% of Total Investments)
                                         
$ 2,500    
General Motors Corporation, (6), (11)
    8.250%       7/15/23       N/R     $ 887,500  
  4,000    
General Motors Corporation, (6), (11)
    6.750%       5/01/28       N/R       1,390,000  
                                         
  6,500    
Total Automobiles
                            2,277,500  
                                         
       
Biotechnology – 0.7% (0.5% of Total Investments)
                                         
  2,000    
Angiotech Pharmaceuticals, Inc., Floating Rate Note, 3.750% plus three-month LIBOR
    4.054%       12/01/13       N/R       1,660,000  
                                         
       
Construction Materials – 1.0% (0.7% of Total Investments)
                                         
  2,000    
Headwaters Inc., 144A
    11.375%       11/01/14       B+       2,240,000  
                                         
       
Health Care Equipment & Supplies – 0.5% (0.4% of Total Investments)
                                         
  1,000    
Merge Healthcare Inc.
    11.750%       5/01/15       B+       1,075,000  
                                         
       
Health Care Providers & Services – 1.2% (0.9% of Total Investments)
                                         
  1,750    
Select Medical Corporation
    7.625%       2/01/15       B–       1,793,750  
  1,000    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.204%       9/15/15       CCC+       955,000  
                                         
  2,750    
Total Health Care Providers & Services
                            2,748,750  
                                         
       
Household Durables – 0.3% (0.2% of Total Investments)
                                         
  700    
William Lyon Homes Inc., Unsecured Senior Note
    10.750%       4/01/13       CC       612,500  
                                         
       
Internet Software & Services – 0.3% (0.2% of Total Investments)
                                         
  850    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       609,875  
                                         

     
     
Nuveen Investments
  19
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Machinery – 0.9% (0.6% of Total Investments)
                                         
$ 2,000    
NES Rental Holdings Inc., 144A
    12.250%       4/15/15       CCC+     $ 1,920,000  
                                         
       
Media – 1.8% (1.3% of Total Investments)
                                         
  1,700    
Clear Channel Communications, Inc.
    5.500%       9/15/14       C       1,466,250  
  2,000    
Clear Channel Communications, Inc.
    10.750%       8/01/16       C       1,885,000  
  1,000    
Clear Channel Communications, Inc.
    6.875%       6/15/18       C       680,000  
                                         
  4,700    
Total Media
                            4,031,250  
                                         
       
Multiline Retail – 0.7% (0.5% of Total Investments)
                                         
  1,500    
Sprectum Brands Inc., 144A
    9.500%       6/15/18       B       1,653,750  
                                         
       
Multi-Utilities – 0.2% (0.2% of Total Investments)
                                         
  500    
Bon-Ton Department Stores Inc.
    10.250%       3/15/14       CC       517,500  
                                         
       
Oil, Gas & Consumable Fuels – 0.6% (0.4% of Total Investments)
                                         
  1,100    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
    7.804%       6/15/14       B3       1,215,500  
                                         
       
Paper & Forest Products – 0.4% (0.3% of Total Investments)
                                         
  1,000    
Verso Paper Holdings LLC, Floating Rate Note, 3.750% plus three-month LIBOR
    4.054%       8/01/14       B       966,250  
                                         
       
Road & Rail – 0.4% (0.3% of Total Investments)
                                         
  1,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.804%       5/15/14       B       976,250  
                                         
       
Specialty Retail – 0.0% (0.0% of Total Investments)
                                         
  480    
Local Insight Regatta Holdings
    11.000%       12/01/17       N/R       22,200  
                                         
$ 28,080    
Total Corporate Bonds (cost $20,601,661)
                            22,526,325  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 3.9% (2.9% of Total Investments)
                                         
$ 8,760    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/11, repurchase price $8,759,941, collateralized by $8,925,000 U.S. Treasury Notes, 2.000%, due 1/31/16, value $8,936,156
    0.020%       2/01/11             $ 8,759,936  
                                         
       
Total Short-Term Investments (cost $8,759,936)
    8,759,936  
                                         
       
Total Investments (cost $301,432,872) – 135.4%
    303,489,746  
                                         
       
Borrowings – (33.0)% (12), (13)
    (73,950,000 )
                                         
       
Other Assets Less Liabilities – (2.4)%
    (5,347,405 )
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 224,192,341  
                                         

     
     
20
  Nuveen Investments
     


 

             
            For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
        (6)   At or subsequent to January 31, 2011, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (7)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (8)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (9)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information.
        (10)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
        (11)   Non-income producing security, in the case of a bond, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
        (12)   Borrowings as a percentage of Total Investments is 24.4%.
        (13)   The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.
        N/R   Not rated.
        DD1   Investment, or portion of investment, purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

     
     
Nuveen Investments
  21
     


 

           
           
  JFR
    Nuveen Floating Rate Income Fund
Portfolio of Investments
          January 31, 2011 (Unaudited)

 
                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 119.0% (86.1% of Total Investments) (4)
         
       
Aerospace & Defense – 0.9% (0.6% of Total Investments)
                                         
$ 281    
Hawker Beechcraft, LLC, LC Facility, DD1
    2.303%       3/26/14       CCC+     $ 251,125  
  494    
Hawker Beechcraft, LLC, Term Loan B
    10.500%       3/26/14       CCC+       497,577  
  4,683    
Hawker Beechcraft, LLC, Term Loan, DD1
    2.272%       3/26/14       CCC+       4,189,603  
                                         
  5,458    
Total Aerospace & Defense
                            4,938,305  
                                         
       
Air Freight & Logistics – 0.3% (0.2% of Total Investments)
                                         
  1,800    
Transdigm, Inc., Term Loan
    5.000%       12/06/16       Ba2       1,831,163  
                                         
       
Airlines – 2.5% (1.8% of Total Investments)
                                         
  4,267    
Delta Air Lines, Inc., Term Loan
    3.511%       4/30/14       B       4,219,443  
  10,446    
United Air Lines, Inc., Term Loan B
    2.313%       2/01/14       BB–       10,363,083  
                                         
  14,713    
Total Airlines
                            14,582,526  
                                         
       
Auto Components – 4.0% (2.9% of Total Investments)
                                         
  7,286    
Capital Automotive LP, Tranche C
    5.000%       12/14/12       Ba3       7,394,790  
  10,347    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.198%       12/29/14       Ba3       10,077,969  
  5,714    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.198%       12/28/15       Ba3       5,565,413  
                                         
  23,347    
Total Auto Components
                            23,038,172  
                                         
       
Biotechnology – 1.1% (0.8% of Total Investments)
                                         
  6,000    
Grifols, Term Loan, WI/DD
    TBD       TBD       BB       6,101,874  
                                         
       
Building Products – 2.3% (1.7% of Total Investments)
                                         
  2,000    
Goodman Global Inc., Second Lien Term Loan
    9.000%       10/28/17       B–       2,072,990  
  11,305    
Goodman Global Inc., Term Loan
    5.750%       10/28/16       B+       11,422,436  
                                         
  13,305    
Total Building Products
                            13,495,426  
                                         
       
Capital Markets – 0.3% (0.2% of Total Investments)
                                         
  591    
BNY Convergex Group LLC, Incremental Term Loan
    5.250%       12/19/16       B+       599,433  
  1,409    
BNY Convergex Group LLC, Term Loan
    5.250%       12/19/16       B+       1,428,567  
                                         
  2,000    
Total Capital Markets
                            2,028,000  
                                         
       
Chemicals – 3.4% (2.4% of Total Investments)
                                         
  1,401    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1
    4.063%       5/05/15       Ba3       1,408,159  
  596    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2
    4.063%       5/05/15       Ba3       598,950  
  3,420    
Ineos US Finance LLC, Tranche B2
    7.500%       12/16/13       B1       3,547,774  
  3,422    
Ineos US Finance LLC, Tranche C2
    8.000%       12/16/14       B1       3,549,953  
  2,808    
Styron Corporation, Term Loan
    7.500%       6/17/16       B+       2,855,385  
  4,239    
Univar, Inc., Add-on Term Loan
    6.250%       6/30/17       B       4,292,367  
  3,363    
Univar, Inc., Term Loan
    6.250%       11/30/16       B       3,405,058  
                                         
  19,249    
Total Chemicals
                            19,657,646  
                                         
       
Commercial Banks – 0.4% (0.2% of Total Investments)
                                         
  2,000    
Fifth Third Processing Solutions LLC, Term Loan
    5.500%       11/03/16       BB–       2,034,000  
                                         
       
Commercial Services & Supplies – 1.2% (0.8% of Total Investments)
                                         
  627    
ServiceMaster Company, Delayed Term Loan
    2.760%       7/24/14       B+       619,917  
  6,301    
ServiceMaster Company, Term Loan
    2.775%       7/24/14       B+       6,224,994  
                                         
  6,928    
Total Commercial Services & Supplies
                            6,844,911  
                                         
       
Communications Equipment – 6.2% (4.5% of Total Investments)
                                         
  18,503    
Avaya, Inc., Term Loan, DD1
    3.034%       10/24/14       B+       18,111,804  
  3,750    
CommScope Inc., Term Loan
    5.000%       1/14/18       BB       3,834,375  
  9,533    
Intelsat, Term Loan
    5.250%       4/02/18       BB–       9,672,739  
  3,467    
Presidio, Inc., Term Loan
    7.500%       12/16/15       Ba3       3,427,667  
  1,001    
Telcordia Technologies, Inc., New Term Loan
    6.750%       4/30/16       B+       1,010,223  
                                         
  36,254    
Total Communications Equipment
                            36,056,808  
                                         
       
Consumer Finance – 0.1% (0.1% of Total Investments)
                                         
  1,006    
Peach Holdings, Inc., Term Loan
    6.250%       11/21/13       CCC–       858,889  
                                         
       
Containers & Packaging – 1.8% (1.3% of Total Investments)
                                         
  2,851    
Graham Packaging Company LP, Term Loan C
    6.750%       4/05/14       B+       2,901,353  
  1,995    
Graham Packaging Company LP, Term Loan D
    6.000%       9/23/16       B+       2,034,485  

     
     
22
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Containers & Packaging (continued)
                                         
$ 800    
Reynolds Group Holdings, Inc., Term Loan A
    6.250%       8/06/15       Ba3     $ 804,500  
  4,800    
Reynolds Group Holdings, Inc., Term Loan D
    6.500%       5/05/16       Ba3       4,831,987  
                                         
  10,446    
Total Containers & Packaging
                            10,572,325  
                                         
       
Diversified Consumer Services – 2.1% (1.5% of Total Investments)
                                         
  6,000    
Advantage Sales and Marketing, Inc., Term Loan, First Lien
    5.250%       12/17/17       B+       6,053,550  
  2,400    
Brickman Group Holdings, Inc., Tranche B, Term Loan
    7.250%       10/14/16       B+       2,454,000  
  3,685    
Cengage Learning Acquisitions, Inc., Term Loan
    2.550%       7/03/14       B+       3,631,472  
                                         
  12,085    
Total Diversified Consumer Services
                            12,139,022  
                                         
       
Diversified Financial Services – 2.2% (1.6% of Total Investments)
                                         
  2,072    
CIT Group, Inc., Tranche 3, Term Loan
    6.250%       8/11/15       BB       2,127,180  
  1,727    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,729,274  
  8,682    
Pinafore LLC, Term Loan
    6.250%       9/29/16       BB       8,828,756  
                                         
  12,481    
Total Diversified Financial Services
                            12,685,210  
                                         
       
Diversified Telecommunication Services – 1.2% (0.9% of Total Investments)
                                         
  6,800    
Level 3 Financing, Inc., Term Loan
    2.553%       3/13/14       B+       6,638,500  
  295    
MetroPCS Wireless, Inc., Tranche B1, Term Loan
    2.563%       11/03/13       Ba1       295,695  
                                         
  7,095    
Total Diversified Telecommunication Services
                            6,934,195  
                                         
       
Electric Utilities – 0.8% (0.6% of Total Investments)
                                         
  2,593    
TXU Corporation, Term Loan B2
    3.786%       10/10/14       B2       2,149,381  
  2,880    
TXU Corporation, Term Loan B3
    3.763%       10/10/14       B2       2,384,162  
                                         
  5,473    
Total Electric Utilities
                            4,533,543  
                                         
       
Electrical Equipment – 1.9% (1.4% of Total Investments)
                                         
  11,120    
Allison Transmission Holdings, Inc., Term Loan
    3.022%       8/07/14       B       11,114,363  
                                         
       
Food & Staples Retailing – 2.8% (2.0% of Total Investments)
                                         
  16,620    
U.S. Foodservice, Inc., Term Loan
    2.760%       7/03/14       B2       16,075,028  
                                         
       
Food Products – 3.2% (2.3% of Total Investments)
                                         
  1,200    
Darling International, Inc., Term Loan
    5.750%       12/17/16       BB+       1,217,250  
  1,000    
Great Atlantic and Pacific Tea Company, Inc., Term Loan
    9.250%       6/13/12       BB–       1,012,500  
  4,535    
Michael Foods Group, Inc., Term Loan B
    6.250%       6/29/16       BB–       4,612,829  
  5,400    
NBTY, Inc., Term Loan
    6.250%       10/01/17       BB–       5,492,815  
  3,990    
Pierre Foods, Inc., Term Loan
    7.000%       9/30/16       B+       4,037,381  
  2,220    
Pinnacle Foods Finance LLC, Tranche D, Term Loan
    6.000%       4/02/14       Ba3       2,252,713  
                                         
  18,345    
Total Food Products
                            18,625,488  
                                         
       
Health Care Equipment & Supplies – 0.6% (0.5% of Total Investments)
                                         
  144    
Fenwal, Inc., Delayed Term Loan
    2.544%       2/28/14       B       134,836  
  841    
Fenwal, Inc., Term Loan
    2.544%       2/28/14       B       786,544  
  1,177    
Symbion, Inc., Term Loan A
    3.510%       8/23/13       B1       1,138,743  
  1,745    
Symbion, Inc., Term Loan B
    3.510%       8/25/14       B1       1,688,491  
                                         
  3,907    
Total Health Care Equipment & Supplies
                            3,748,614  
                                         
       
Health Care Providers & Services – 10.1% (7.3% of Total Investments)
                                         
  1,489    
Ardent Medical Services, Inc., Term Loan
    6.500%       9/15/15       B1       1,500,536  
  406    
Community Health Systems, Inc., Delayed Term Loan
    2.544%       7/25/14       BB       404,268  
  7,877    
Community Health Systems, Inc., Term Loan
    2.544%       7/25/14       BB       7,847,662  
  5,590    
Gentiva Health Services, Inc., Term Loan B
    6.750%       8/17/16       Ba2       5,687,666  
  1,480    
Healthspring, Term Loan
    6.000%       10/21/16       Ba3       1,489,250  
  1,163    
IASIS Healthcare LLC, PIK Term Loan
    5.554%       6/16/14       CCC+       1,150,390  
  4,088    
LifeCare, Term Loan B
    6.500%       8/10/12       B2       4,047,541  
  4,000    
LifeCare, Term Loan, WI/DD
    TBD       TBD       Caa1       3,840,000  
  1,500    
MedAssets, Inc., Term Loan
    5.250%       11/16/16       BB       1,523,126  
  4,846    
MultiPlan, Inc., Term Loan
    6.500%       8/26/17       Ba3       4,901,431  
  1,713    
Rehabcare Group, Inc., Term Loan B
    6.000%       11/24/15       BB       1,733,323  
  1,200    
Renal Advantage, Inc., Tranche B, Term Loan
    5.750%       12/17/16       Ba3       1,219,876  
  4,984    
Skilled Healthcare Group, Inc., Term Loan
    5.250%       4/09/16       B+       4,989,917  
  2,255    
Sun Healthcare Group, Inc., Term Loan
    7.500%       10/18/16       Ba2       2,275,804  
  9,000    
Universal Health Services, Term Loan
    5.500%       11/15/16       BB+       9,169,524  
  6,930    
Vanguard Health Holding Company II LLC, Initial Term Loan
    5.000%       1/29/16       Ba2       7,002,648  
                                         
  58,521    
Total Health Care Providers & Services
                            58,782,962  
                                         

     
     
Nuveen Investments
  23
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Hotels, Restaurants & Leisure – 13.1% (9.6% of Total Investments)
                                         
$ 4,975    
24 Hour Fitness Worldwide, Inc., New Term Loan
    6.750%       4/22/16       Ba3     $ 4,928,359  
  71    
Buffets, Inc., 1st Lien PF/LC Loan
    7.553%       4/22/15       N/R       68,102  
  9,000    
Burger King Corporation, Term Loan B
    6.250%       10/19/16       BB–       9,153,981  
  923    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–       925,432  
  2,550    
Dunkin Brands, Inc., Term Loan
    5.750%       11/23/17       B+       2,596,318  
  1,500    
Harrah’s Operating Company, Inc., Term Loan B1
    3.303%       1/28/15       B       1,398,046  
  5,000    
Harrah’s Operating Company, Inc., Term Loan B2
    3.303%       1/28/15       B       4,667,970  
  1,981    
Harrah’s Operating Company, Inc., Term Loan B3
    3.303%       1/28/15       B       1,850,236  
  921    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    5.000%       11/25/13       B+       922,168  
  1,001    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    5.000%       11/25/13       B+       1,002,520  
  2,462    
Isle of Capri Casinos, Inc., Delayed Term Loan
    5.000%       11/25/13       B+       2,465,894  
  5,110    
Orbitz Worldwide, Inc., Term Loan
    3.281%       7/25/14       B+       4,788,859  
  581    
OSI Restaurant Partners LLC, Revolver
    2.027%       6/14/13       B+       572,065  
  5,267    
OSI Restaurant Partners LLC, Term Loan
    2.625%       6/14/14       B+       5,185,926  
  2,944    
Reynolds Group Holdings, Inc., US Term Loan
    6.750%       5/05/16       BB–       2,960,850  
  6,300    
Six Flags Theme Parks, Inc., Tranche B, Term Loan
    5.500%       6/30/16       BB       6,398,438  
  7,918    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       8,016,488  
  1,930    
Travelport LLC, Delayed Term Loan
    4.963%       8/21/15       Ba3       1,882,715  
  674    
Travelport LLC, Letter of Credit
    4.803%       8/21/15       Ba3       657,573  
  3,199    
Travelport LLC, Term Loan
    4.963%       8/21/15       Ba3       3,120,284  
  2,572    
Venetian Casino Resort LLC, Delayed Term Loan
    3.040%       11/23/16       B1       2,560,888  
  10,831    
Venetian Casino Resort LLC, Tranche B, Term Loan
    3.040%       11/23/16       B1       10,794,700  
                                         
  77,710    
Total Hotels, Restaurants & Leisure
                            76,917,812  
                                         
       
Household Durables – 1.5% (1.1% of Total Investments)
                                         
  8,486    
Spectrum Brands, Inc., Term Loan
    8.000%       6/16/16       B       8,591,868  
                                         
       
Household Products – 0.5% (0.4% of Total Investments)
                                         
  2,993    
Visant Holding Corporation, Tranche B, Term Loan
    7.000%       12/22/16       BB–       3,036,454  
                                         
       
Internet Software & Services – 1.3% (0.9% of Total Investments)
                                         
  758    
Open Solutions, Inc., Term Loan B
    2.425%       1/23/14       BB–       663,921  
  2,971    
Sabre, Inc., Term Loan
    2.276%       9/30/14       B1       2,783,706  
  3,980    
SkillSoft Corporation, Term Loan
    6.500%       5/26/17       BB       4,039,700  
                                         
  7,709    
Total Internet Software & Services
                            7,487,327  
                                         
       
IT Services – 6.6% (4.8% of Total Investments)
                                         
  1,000    
Attachmate Corporation, Second Lien Term Loan
    7.054%       10/13/13       CCC+       995,000  
  1,995    
Evertec, Inc., Term Loan B
    7.000%       9/30/16       BB–       2,028,666  
  2,000    
First Data Corporation, Term Loan B1, WI/DD
    TBD       TBD       B+       1,896,388  
  7,240    
First Data Corporation, Term Loan B2
    3.010%       9/24/14       B+       6,863,755  
  5,664    
First Data Corporation, Term Loan B3
    3.010%       9/24/14       B+       5,369,448  
  122    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan
    4.010%       7/28/12       B+       120,211  
  1,855    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan
    6.010%       7/28/15       B+       1,810,263  
  4,710    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan
    8.270%       9/02/14       B–       2,101,827  
  2,475    
Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw
    6.510%       3/02/14       CCC+       1,905,750  
  259    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    4.010%       7/28/12       B+       255,048  
  4,275    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
    6.510%       3/02/14       CCC+       3,309,564  
  3,549    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    6.010%       7/28/15       B+       3,456,193  
  6,020    
SunGard Data Systems, Inc., Term Loan B
    2.011%       2/28/14       BB       6,006,625  
  2,400    
Syniverse Holdings, Inc., Term Loan
    5.250%       12/21/17       BB–       2,440,999  
                                         
  43,564    
Total IT Services
                            38,559,737  
                                         
       
Leisure Equipment & Products – 3.6% (2.6% of Total Investments)
                                         
  2,121    
BLB Management Services, Inc., Term Loan
    8.500%       11/05/15       BB–       2,136,438  
  14,341    
Bombardier Recreational Products, Inc., Term Loan
    2.810%       6/28/13       B–       14,287,058  
  4,178    
Cedar Fair LP, Term Loan
    5.500%       12/15/16       Ba2       4,242,959  
                                         
  20,640    
Total Leisure Equipment & Products
                            20,666,455  
                                         
       
Media – 11.3% (8.2% of Total Investments)
                                         
  3,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    2.760%       3/06/14       BB+       2,947,500  
  2,370    
Citadel Broadcasting Corporation, Term Loan, (7)
    4.250%       12/30/16       Baa3       2,397,882  
  1,604    
Gray Television, Inc., Term Loan B
    3.770%       12/31/14       B       1,586,699  
  6,368    
Interactive Data Corporation, Term Loan
    6.750%       1/29/17       Ba3       6,468,799  
  3,209    
Mediacom Broadband LLC, Tranche D, Term Loan
    5.500%       3/31/17       BB–       3,206,368  
  1,467    
Miramax Film, LLC, Term Loan
    7.750%       7/01/16       Ba2       1,507,000  
  67    
Nielsen Finance LLC, Term Loan A
    2.261%       8/09/13       BB–       66,852  
  3,497    
Nielsen Finance LLC, Term Loan B
    4.011%       5/02/16       BB–       3,531,157  

     
     
24
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Media (continued)
                                         
$ 1,096    
Nielsen Finance LLC, Term Loan C
    4.011%       5/02/16       BB–     $ 1,102,425  
  5,365    
Spanish Broadcasting System, Inc., Term Loan B
    2.060%       6/11/12       B–       5,243,830  
  2,724    
SuperMedia, Term Loan
    11.000%       12/31/15       B–       1,891,761  
  12,432    
Tribune Company, Term Loan B, (5), (6), DD1
    0.000%       6/04/14       Ca       9,165,823  
  22,693    
Univision Communications, Inc., Term Loan
    4.510%       3/31/17       B       22,283,400  
  2,000    
UPC Broadband Holding BV, Term Loan N
    3.761%       12/31/17       Ba3       2,004,584  
  4,844    
Yell Group PLC, Term Loan
    4.010%       7/31/14       B–       2,458,551  
                                         
  72,736    
Total Media
                            65,862,631  
                                         
       
Metals & Mining – 1.5% (1.1% of Total Investments)
                                         
  3,634    
John Maneely Company, Term Loan
    3.553%       12/09/13       B       3,600,044  
  5,000    
Novelis, Inc., Term Loan
    5.250%       12/17/16       Ba2       5,096,875  
                                         
  8,634    
Total Metals & Mining
                            8,696,919  
                                         
       
Multiline Retail – 1.2% (0.8% of Total Investments)
                                         
  6,780    
Neiman Marcus Group, Inc., Term Loan
    4.303%       4/06/16       BB–       6,830,442  
                                         
       
Oil, Gas & Consumable Fuels – 2.9% (2.1% of Total Investments)
                                         
  257    
Alon USA Energy, Inc., Edgington Facility
    2.544%       8/05/13       B+       212,315  
  2,059    
Alon USA Energy, Inc., Paramount Facility
    2.533%       8/05/13       B+       1,698,405  
  2,500    
Big West Oil LLC, Term Loan
    7.000%       3/31/16       B+       2,531,250  
  1,834    
Brand Energy & Infrastructure Services, Inc., Term Loan B
    2.563%       2/07/14       B1       1,809,627  
  412    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.153%       1/03/15       B1       403,199  
  3,029    
Calumet Lubricants Company LP, Term Loan
    4.286%       1/03/15       B1       2,962,585  
  2,917    
CCS Income Trust, Term Loan
    3.304%       11/14/14       B       2,790,575  
  3,282    
Venoco, Inc., Term Loan
    4.313%       5/07/14       B       3,265,051  
  981    
Western Refining, Inc., Term Loan
    10.750%       5/30/14       B       1,007,098  
                                         
  17,271    
Total Oil, Gas & Consumable Fuels
                            16,680,105  
                                         
       
Paper & Forest Products – 1.6% (1.2% of Total Investments)
                                         
  4,763    
Newark Group, Inc., DIP Term Loan
    12.500%       3/31/14       N/R       4,929,498  
  4,897    
Wilton Products, Term Loan
    3.540%       8/01/14       N/R       4,432,028  
                                         
  9,660    
Total Paper & Forest Products
                            9,361,526  
                                         
       
Personal Products – 0.7% (0.5% of Total Investments)
                                         
  3,970    
Revlon Consumer Products Corporation, Term Loan
    6.000%       3/11/15       BB–       4,007,219  
                                         
       
Pharmaceuticals – 2.7% (2.0% of Total Investments)
                                         
  2,800    
ConvaTec Healthcare, Term Loan
    5.750%       12/30/16       Ba3       2,842,580  
  5,625    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5), (6)
    0.000%       5/03/13       Ca       520,310  
  1,565    
Graceway Pharmaceuticals LLC, Term Loan, (7)
    5.010%       5/03/12       Caa2       740,521  
  1,531    
Warner Chilcott Corporation, Add on Term Loan
    6.250%       4/30/15       BB       1,545,092  
  3,956    
Warner Chilcott Corporation, Term Loan A
    6.000%       10/30/14       BB       3,971,143  
  1,830    
Warner Chilcott Corporation, Term Loan B1
    6.250%       4/30/15       BB       1,847,160  
  3,048    
Warner Chilcott Corporation, Term Loan B2
    6.250%       4/30/15       BB       3,075,855  
  1,276    
Warner Chilcott Corporation, Term Loan B3
    6.500%       2/22/16       BB       1,293,165  
                                         
  21,631    
Total Pharmaceuticals
                            15,835,826  
                                         
       
Professional Services – 0.1% (0.1% of Total Investments)
                                         
  728    
Vertrue Inc., Term Loan
    3.310%       8/16/14       Ba3       660,989  
                                         
       
Real Estate Management & Development – 2.5% (1.8% of Total Investments)
                                         
  6,057    
LNR Property Corporation, Term Loan B
    3.760%       7/12/11       B2       6,005,374  
  8,775    
Realogy Corporation, Delayed Term Loan
    3.287%       10/10/13       B1       8,529,046  
                                         
  14,832    
Total Real Estate Management & Development
                            14,534,420  
                                         
       
Road & Rail – 2.2% (1.6% of Total Investments)
                                         
  649    
Avis Budget Car Rental LLC, Term Loan
    5.750%       4/19/14       BB       653,124  
  11,674    
Swift Transportation Company, Inc., Term Loan
    6.000%       12/21/16       BB–       11,852,760  
                                         
  12,323    
Total Road & Rail
                            12,505,884  
                                         
       
Semiconductors & Equipment – 2.4% (1.7% of Total Investments)
                                         
  12,307    
Freescale Semiconductor, Inc., Term Loan, DD1
    4.511%       12/01/16       B2       12,355,025  
  1,674    
Spansion LLC, Term Loan
    6.500%       2/09/15       BB–       1,696,085  
                                         
  13,981    
Total Semiconductors & Equipment
                            14,051,110  
                                         

     
     
Nuveen Investments
  25
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Software – 3.6% (2.6% of Total Investments)
                                         
$ 7,709    
Dealer Computer Services, Inc., New Term Loan
    5.250%       4/21/17       BB–     $ 7,786,951  
  7,000    
IPC Systems, Inc., Term Loan, Second Lien
    5.553%       6/01/15       CCC       6,405,000  
  4,631    
IPC Systems, Inc., Term Loan
    2.535%       6/02/14       B1       4,515,600  
  1,975    
Reynolds Group Holdings, Inc., Incremental US Term Loan
    6.250%       5/05/16       BB–       1,991,732  
                                         
  21,315    
Total Software
                            20,699,283  
                                         
       
Specialty Retail – 5.3% (3.8% of Total Investments)
                                         
  8,646    
Toys “R” Us – Delaware, Inc., Term Loan
    6.000%       9/01/16       BB–       8,772,995  
  9,331    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.549%       5/28/13       B–       9,315,925  
  1,000    
Claire’s Stores, Inc., Term Loan B, WI/DD
    TBD       TBD       B–       963,034  
  6,934    
Michaels Stores, Inc., Term Loan B1
    2.563%       10/31/13       B+       6,921,591  
  1,143    
Michaels Stores, Inc., Term Loan B2
    4.813%       7/31/16       B+       1,157,995  
  2,250    
Petco Animal Supplies, Inc., Term Loan
    6.000%       11/24/17       B1       2,284,276  
  1,088    
Pilot Travel Centers LLC, Term Loan
    5.250%       6/30/16       BBB–       1,108,760  
                                         
  30,392    
Total Specialty Retail
                            30,524,576  
                                         
       
Textiles, Apparel & Luxury Goods – 0.3% (0.2% of Total Investments)
                                         
  1,800    
Gymboree Corporation, Term Loan
    5.500%       11/23/17       B+       1,825,594  
                                         
       
Wireless Telecommunication Services – 4.7% (3.4% of Total Investments)
                                         
  10,863    
Asurion Corporation, Term Loan
    3.265%       7/03/14       N/R       10,605,362  
  15,000    
Clear Channel Communications, Inc., Tranche B, Term Loan, DD1
    3.910%       11/13/15       CCC+       13,521,434  
  3,212    
MetroPCS Wireless, Inc., Tranche B2, Term Loan
    3.813%       11/03/16       Ba1       3,241,963  
                                         
  29,075    
Total Wireless Telecommunication Services
                            27,368,759  
                                         
$ 714,383    
Total Variable Rate Senior Loan Interests (cost $665,437,522)
                            691,383,406  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 3.4% (2.5% of Total Investments)
         
       
Building Products – 1.8% (1.3% of Total Investments)
                                         
  301,905    
Masonite Worldwide Holdings, (8), (9)
                          $ 10,679,889  
                                         
       
Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)
                                         
  42,041    
BLB Worldwide Holdings Inc., (9)
                            451,941  
                                         
       
Media – 1.5% (1.1% of Total Investments)
                                         
  36,467    
Citadel Broadcasting Corp Class B Shares, (8)
                            1,094,192  
  8,135    
Citadel Broadcasting Corporation, (8)
                            240,023  
  215,163    
Metro-Goldwyn-Mayer, (9)
                            4,787,377  
  13,347    
Philadelphia Newspapers LLC, (9)
                            1,394,762  
  49,989    
Readers Digest Association Inc., (8), (9)
                            1,268,471  
                                         
       
Total Media
                            8,784,825  
                                         
       
Total Common Stocks (cost $31,273,260)
    19,916,655  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Convertible Bonds – 0.3% (0.2% of Total Investments)
         
       
Airlines – 0.2% (0.1% of Total Investments)
                                         
$ 1,000    
UAL Corporation
    4.500%       6/30/21       CCC+     $ 1,043,000  
                                         
       
Communications Equipment – 0.1% (0.1% of Total Investments)
                                         
  500    
Nortel Networks Corporation, (10)
    1.750%       4/15/12       D       420,000  
                                         
$ 1,500    
Total Convertible Bonds (cost $1,363,627)
                            1,463,000  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 6.4% (4.7% of Total Investments)
         
       
Automobiles – 0.2% (0.2% of Total Investments)
                                         
$ 4,000    
General Motors Corporation, (6), (11)
    8.250%       7/15/23       N/R     $ 1,420,000  
                                         
       
Biotechnology – 0.1% (0.1% of Total Investments)
                                         
  1,023    
Angiotech Pharmaceuticals, Inc., Floating Rate Note, 3.750% plus three-month LIBOR
    4.054%       12/01/13       N/R       849,090  
                                         

     
     
26
  Nuveen Investments
     


 

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Construction Materials – 0.2% (0.1% of Total Investments)
                                         
$ 1,000    
Headwaters Inc., 144A
    11.375%       11/01/14       B+     $ 1,120,000  
                                         
       
Diversified Telecommunication Services – 0.3% (0.2% of Total Investments)
                                         
  2,000    
Nortel Networks Limited, (10)
    0.000%       7/15/11       N/R       1,700,000  
                                         
       
Health Care Equipment & Supplies – 0.5% (0.3% of Total Investments)
                                         
  2,500    
Merge Healthcare Inc.
    11.750%       5/01/15       B+       2,687,500  
                                         
       
Health Care Providers & Services – 1.3% (0.9% of Total Investments)
                                         
  2,000    
Aurora Diagnostics Holdings LLC, 144A
    10.750%       1/15/18       B3       2,030,000  
  2,000    
HCA Inc., 144A
    8.500%       4/15/19       BB       2,240,000  
  2,500    
Select Medical Corporation
    7.625%       2/01/15       B–       2,562,500  
  500    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.204%       9/15/15       CCC+       477,500  
                                         
  7,000    
Total Health Care Providers & Services
                            7,310,000  
                                         
       
Internet Software & Services – 0.2% (0.2% of Total Investments)
                                         
  2,010    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       1,442,175  
                                         
       
IT Services – 0.2% (0.1% of Total Investments)
                                         
  1,108    
First Data Corporation
    10.550%       9/24/15       B–       1,124,906  
                                         
       
Media – 1.1% (0.8% of Total Investments)
                                         
  3,700    
Clear Channel Communications, Inc.
    5.500%       9/15/14       C       3,191,250  
  3,250    
Clear Channel Communications, Inc.
    10.750%       8/01/16       C       3,063,125  
                                         
  6,950    
Total Media
                            6,254,375  
                                         
       
Multiline Retail – 0.4% (0.3% of Total Investments)
                                         
  2,250    
Sprectum Brands Inc., 144A
    9.500%       6/15/18       B       2,480,625  
                                         
       
Oil, Gas & Consumable Fuels – 0.5% (0.4% of Total Investments)
                                         
  2,500    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
    7.804%       6/15/14       B3       2,762,500  
                                         
       
Paper & Forest Products – 0.3% (0.3% of Total Investments)
                                         
  2,000    
Verso Paper Holdings LLC, Floating Rate Note, 3.750% plus three-month LIBOR
    4.054%       8/01/14       B       1,932,500  
                                         
       
Road & Rail – 0.7% (0.5% of Total Investments)
                                         
  2,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.804%       5/15/14       B       1,952,500  
  2,000    
Swift Services Holdings Inc.
    10.000%       11/15/18       B–       2,172,500  
                                         
  4,000    
Total Road & Rail
                            4,125,000  
                                         
       
Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)
                                         
  2,000    
Sprint Nextel Corporation
    8.375%       8/15/17       BB–       2,195,000  
                                         
$ 40,341    
Total Corporate Bonds (cost $33,290,112)
                            37,403,671  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Investment Companies – 2.3% (1.6% of Total Investments)
                                         
  353,668    
Eaton Vance Floating-Rate Income Trust Fund
                          $ 6,033,576  
  963,820    
Eaton Vance Senior Income Trust
                            7,112,992  
                                         
       
Total Investment Companies Funds (cost $11,947,776)
    13,146,568  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Warrants – 0.6% (0.4% of Total Investments)
                                         
  117,325    
Citadel Broadcasting Corporation
                          $ 3,534,416  
                                         
       
Total Warrants (cost $3,575,479)
    3,534,416  
                                         

     
     
Nuveen Investments
  27
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 6.3% (4.5% of Total Investments)
                                         
$ 36,289    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/11, repurchase price $36,288,689, collateralized by $36,835,000 U.S. Treasury Notes, 1.125%, due 6/30/11, value $37,019,175
    0.020%       2/01/11             $ 36,288,669  
                                         
       
Total Short-Term Investments (cost $36,288,669)
                            36,288,669  
                                         
       
Total Investments (cost $783,176,445) – 138.3%
    803,136,385  
                                         
       
Borrowings – (34.1)% (12), (13)
    (197,740,000 )
                                         
       
Other Assets Less Liabilities – (4.2)%
    (24,813,271 )
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 580,583,114  
                                         
 
             
            For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
        (6)   At or subsequent to January 31, 2011, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (7)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (8)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (9)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information.
        (10)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
        (11)   Non-income producing security, in the case of a bond, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
        (12)   Borrowings as a percentage of Total Investments is 24.6%.
        (13)   The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.
        N/R   Not rated.
        DD1   Investment, or portion of investment, purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

     
     
28
  Nuveen Investments
     


 

           
           
  JRO
    Nuveen Floating Rate Income Opportunity Fund
Portfolio of Investments
          January 31, 2011 (Unaudited)

 
                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 115.6% (87.5% of Total Investments) (4)
         
       
Aerospace & Defense – 1.5% (1.1% of Total Investments)
                                         
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
    4.060%       7/31/14       B     $ 571,237  
  555    
DAE Aviation Holdings, Inc., Term Loan B2
    4.060%       7/31/14       B       551,718  
  225    
Hawker Beechcraft, LLC, LC Facility, DD1
    2.303%       3/26/14       CCC+       201,145  
  494    
Hawker Beechcraft, LLC, Term Loan B
    10.500%       3/26/14       CCC+       497,577  
  3,751    
Hawker Beechcraft, LLC, Term Loan, DD1
    2.272%       3/26/14       CCC+       3,355,769  
                                         
  5,599    
Total Aerospace & Defense
                            5,177,446  
                                         
       
Air Freight & Logistics – 0.4% (0.3% of Total Investments)
                                         
  1,400    
Transdigm, Inc., Term Loan
    5.000%       12/06/16       Ba2       1,424,238  
                                         
       
Airlines – 2.1% (1.6% of Total Investments)
                                         
  2,325    
Delta Air Lines, Inc., Term Loan
    3.511%       4/30/14       B       2,298,439  
  5,204    
United Air Lines, Inc., Term Loan B
    2.313%       2/01/14       BB–       5,162,831  
                                         
  7,529    
Total Airlines
                            7,461,270  
                                         
       
Auto Components – 4.8% (3.7% of Total Investments)
                                         
  4,881    
Capital Automotive LP, Tranche C
    5.000%       12/14/12       Ba3       4,954,616  
  8,378    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.198%       12/29/14       Ba3       8,159,755  
  4,275    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.198%       12/28/15       Ba3       4,163,958  
                                         
  17,534    
Total Auto Components
                            17,278,329  
                                         
       
Biotechnology – 1.0% (0.8% of Total Investments)
                                         
  3,600    
Grifols, Term Loan, WI/DD
    TBD       TBD       BB       3,661,124  
                                         
       
Building Products – 3.3% (2.5% of Total Investments)
                                         
  3,000    
Goodman Global Inc., Second Lien Term Loan
    9.000%       10/28/17       B–       3,109,485  
  8,645    
Goodman Global Inc., Term Loan
    5.750%       10/28/16       B+       8,734,805  
                                         
  11,645    
Total Building Products
                            11,844,290  
                                         
       
Capital Markets – 0.3% (0.2% of Total Investments)
                                         
  296    
BNY Convergex Group LLC, Incremental Term Loan
    5.250%       12/19/16       B+       299,716  
  704    
BNY Convergex Group LLC, Term Loan
    5.250%       12/19/16       B+       714,284  
                                         
  1,000    
Total Capital Markets
                            1,014,000  
                                         
       
Chemicals – 2.9% (2.2% of Total Investments)
                                         
  1,445    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1
    4.063%       5/05/15       Ba3       1,452,800  
  609    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2
    4.063%       5/05/15       Ba3       612,760  
  1,362    
Ineos US Finance LLC, Tranche B2
    7.500%       12/16/13       B1       1,412,894  
  1,363    
Ineos US Finance LLC, Tranche C2
    8.000%       12/16/14       B1       1,413,761  
  2,096    
Styron Corporation, Term Loan
    7.500%       6/17/16       B+       2,131,624  
  3,392    
Univar, Inc., Add-on Term Loan
    6.250%       6/30/17       B       3,433,894  
                                         
  10,267    
Total Chemicals
                            10,457,733  
                                         
       
Commercial Banks – 0.3% (0.3% of Total Investments)
                                         
  1,200    
Fifth Third Processing Solutions LLC, Term Loan
    5.500%       11/03/16       BB–       1,220,400  
                                         
       
Commercial Services & Supplies – 0.3% (0.2% of Total Investments)
                                         
  88    
ServiceMaster Company, Delayed Term Loan
    2.760%       7/24/14       B+       87,425  
  889    
ServiceMaster Company, Term Loan
    2.775%       7/24/14       B+       877,896  
                                         
  977    
Total Commercial Services & Supplies
                            965,321  
                                         
       
Communications Equipment – 6.3% (4.7% of Total Investments)
                                         
  12,318    
Avaya, Inc., Term Loan
    3.034%       10/24/14       B+       12,057,867  
  2,250    
CommScope Inc., Term Loan
    5.000%       1/14/18       BB       2,300,625  
  5,200    
Intelsat, Term Loan
    5.250%       4/02/18       BB–       5,276,040  
  1,733    
Presidio, Inc., Term Loan
    7.500%       12/16/15       Ba3       1,713,833  
  1,001    
Telcordia Technologies, Inc., New Term Loan
    6.750%       4/30/16       B+       1,010,223  
                                         
  22,502    
Total Communications Equipment
                            22,358,588  
                                         
       
Containers & Packaging – 1.6% (1.2% of Total Investments)
                                         
  1,330    
Graham Packaging Company LP, Term Loan D
    6.000%       9/23/16       B+       1,356,323  
  600    
Reynolds Group Holdings, Inc., Term Loan A
    6.250%       8/06/15       Ba3       603,375  

     
     
Nuveen Investments
  29
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Containers & Packaging (continued)
                                         
$ 3,600    
Reynolds Group Holdings, Inc., Term Loan D
    6.500%       5/05/16       Ba3     $ 3,623,990  
                                         
  5,530    
Total Containers & Packaging
                            5,583,688  
                                         
       
Diversified Consumer Services – 2.8% (2.1% of Total Investments)
                                         
  4,000    
Advantage Sales and Marketing, Inc., Term Loan, First Lien
    5.250%       12/17/17       B+       4,035,700  
  1,800    
Brickman Group Holdings, Inc., Tranche B, Term Loan
    7.250%       10/14/16       B+       1,840,500  
  2,137    
Cengage Learning Acquisitions, Inc., Term Loan
    2.550%       7/03/14       B+       2,105,533  
  252    
Laureate Education, Inc., Delayed Draw Term Loan
    3.554%       8/15/14       B1       246,166  
  1,685    
Laureate Education, Inc., Term Loan B
    3.554%       8/15/14       B1       1,644,243  
                                         
  9,874    
Total Diversified Consumer Services
                            9,872,142  
                                         
       
Diversified Financial Services – 2.7% (2.1% of Total Investments)
                                         
  1,243    
CIT Group, Inc., Tranche 3, Term Loan
    6.250%       8/11/15       BB       1,276,308  
  1,727    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,729,274  
  6,610    
Pinafore LLC, Term Loan
    6.250%       9/29/16       BB       6,721,894  
                                         
  9,580    
Total Diversified Financial Services
                            9,727,476  
                                         
       
Diversified Telecommunication Services – 1.8% (1.4% of Total Investments)
                                         
  2,000    
Intelsat, Unsecured Term Loan
    2.803%       2/01/14       B+       1,936,876  
  4,533    
Level 3 Financing, Inc., Term Loan
    2.553%       3/13/14       B+       4,425,667  
  158    
MetroPCS Wireless, Inc., Tranche B1, Term Loan
    2.563%       11/03/13       Ba1       158,184  
                                         
  6,691    
Total Diversified Telecommunication Services
                            6,520,727  
                                         
       
Electric Utilities – 0.6% (0.5% of Total Investments)
                                         
  1,658    
TXU Corporation, Term Loan B2
    3.786%       10/10/14       B2       1,374,245  
  945    
TXU Corporation, Term Loan B3
    3.763%       10/10/14       B2       782,431  
                                         
  2,603    
Total Electric Utilities
                            2,156,676  
                                         
       
Food & Staples Retailing – 2.5% (1.9% of Total Investments)
                                         
  9,168    
U.S. Foodservice, Inc., Term Loan
    2.760%       7/03/14       B2       8,867,148  
                                         
       
Food Products – 3.5% (2.7% of Total Investments)
                                         
  960    
Darling International, Inc., Term Loan
    5.750%       12/17/16       BB+       973,800  
  1,000    
Great Atlantic and Pacific Tea Company, Inc., Term Loan
    9.250%       6/13/12       BB–       1,012,500  
  2,509    
Michael Foods Group, Inc., Term Loan B
    6.250%       6/29/16       BB–       2,551,778  
  3,600    
NBTY, Inc., Term Loan
    6.250%       10/01/17       BB–       3,661,877  
  2,993    
Pierre Foods, Inc., Term Loan
    7.000%       9/30/16       B+       3,028,036  
  1,332    
Pinnacle Foods Finance LLC, Tranche D, Term Loan
    6.000%       4/02/14       Ba3       1,351,628  
                                         
  12,394    
Total Food Products
                            12,579,619  
                                         
       
Health Care Equipment & Supplies – 1.0% (0.7% of Total Investments)
                                         
  238    
Fenwal, Inc., Delayed Term Loan
    2.544%       2/28/14       B       222,273  
  755    
Fenwal, Inc., Term Loan
    2.544%       2/28/14       B       705,545  
  1,273    
Symbion, Inc., Term Loan A
    3.510%       8/23/13       B1       1,231,386  
  1,385    
Symbion, Inc., Term Loan B
    3.510%       8/25/14       B1       1,340,229  
                                         
  3,651    
Total Health Care Equipment & Supplies
                            3,499,433  
                                         
       
Health Care Providers & Services – 7.5% (5.7% of Total Investments)
                                         
  1,739    
Gentiva Health Services, Inc., Term Loan B
    6.750%       8/17/16       Ba2       1,769,496  
  1,480    
Healthspring, Term Loan
    6.000%       10/21/16       Ba3       1,489,250  
  2,216    
IASIS Healthcare LLC, PIK Term Loan
    5.554%       6/16/14       CCC+       2,192,380  
  398    
LifeCare, Term Loan B
    6.500%       8/10/12       B2       393,921  
  500    
LifeCare, Term Loan, WI/DD
    TBD       TBD       Caa1       480,000  
  2,908    
MultiPlan, Inc., Term Loan
    6.500%       8/26/17       Ba3       2,940,859  
  900    
Renal Advantage, Inc., Tranche B, Term Loan
    5.750%       12/17/16       Ba3       914,907  
  3,491    
Skilled Healthcare Group, Inc., Term Loan
    5.250%       4/09/16       B+       3,495,570  
  1,503    
Sun Healthcare Group, Inc., Term Loan
    7.500%       10/18/16       Ba2       1,517,203  
  7,000    
Universal Health Services, Term Loan
    5.500%       11/15/16       BB+       7,131,852  
  4,395    
Vanguard Health Holding Company II LLC, Initial Term Loan
    5.000%       1/29/16       Ba2       4,441,014  
                                         
  26,530    
Total Health Care Providers & Services
                            26,766,452  
                                         
       
Hotels, Restaurants & Leisure – 13.1% (9.9% of Total Investments)
                                         
  2,985    
24 Hour Fitness Worldwide, Inc., New Term Loan
    6.750%       4/22/16       Ba3       2,957,016  
  5,400    
Burger King Corporation, Term Loan B
    6.250%       10/19/16       BB–       5,492,389  
  97    
CBRL Group, Inc., Term Loan B2
    1.790%       4/26/13       BB–       96,750  
  1,485    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–       1,488,334  
  1,500    
Harrah’s Operating Company, Inc., Term Loan B1
    3.303%       1/28/15       B       1,398,046  

     
     
30
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Hotels, Restaurants & Leisure (continued)
                                         
$ 3,000    
Harrah’s Operating Company, Inc., Term Loan B2
    3.303%       1/28/15       B     $ 2,800,782  
  1,981    
Harrah’s Operating Company, Inc., Term Loan B3
    3.303%       1/28/15       B       1,850,236  
  753    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    5.000%       11/25/13       B+       753,883  
  810    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    5.000%       11/25/13       B+       811,197  
  1,984    
Isle of Capri Casinos, Inc., Delayed Term Loan
    5.000%       11/25/13       B+       1,987,587  
  3,221    
Orbitz Worldwide, Inc., Term Loan
    3.281%       7/25/14       B+       3,018,708  
  308    
OSI Restaurant Partners LLC, Revolver
    2.027%       6/14/13       B+       303,085  
  2,813    
OSI Restaurant Partners LLC, Term Loan
    2.625%       6/14/14       B+       2,769,462  
  981    
Reynolds Group Holdings, Inc., US Term Loan
    6.750%       5/05/16       BB–       986,950  
  2,991    
Shingle Springs Tribal Gaming Authority, Term Loan
    10.500%       12/17/13       CCC       2,856,233  
  4,200    
Six Flags Theme Parks, Inc., Tranche B, Term Loan
    5.500%       6/30/16       BB       4,265,625  
  3,203    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       3,242,645  
  1,930    
Travelport LLC, Delayed Term Loan
    4.963%       8/21/15       Ba3       1,882,715  
  1,499    
Venetian Casino Resort LLC, Delayed Term Loan
    3.040%       11/23/16       B1       1,492,591  
  6,151    
Venetian Casino Resort LLC, Tranche B, Term Loan
    3.040%       11/23/16       B1       6,131,150  
                                         
  47,292    
Total Hotels, Restaurants & Leisure
                            46,585,384  
                                         
       
Household Durables – 1.7% (1.2% of Total Investments)
                                         
  5,838    
Spectrum Brands, Inc., Term Loan
    8.000%       6/16/16       B       5,910,838  
                                         
       
Household Products – 0.4% (0.3% of Total Investments)
                                         
  1,496    
Visant Holding Corporation, Tranche B, Term Loan
    7.000%       12/22/16       BB–       1,518,227  
                                         
       
Internet Software & Services – 2.0% (1.5% of Total Investments)
                                         
  758    
Open Solutions, Inc., Term Loan B
    2.425%       1/23/14       BB–       663,921  
  3,850    
Sabre, Inc., Term Loan
    2.276%       9/30/14       B1       3,606,969  
  2,985    
SkillSoft Corporation, Term Loan
    6.500%       5/26/17       BB       3,029,775  
                                         
  7,593    
Total Internet Software & Services
                            7,300,665  
                                         
       
IT Services – 7.6% (5.7% of Total Investments)
                                         
  1,000    
Attachmate Corporation, Second Lien Term Loan
    7.054%       10/13/13       CCC+       995,000  
  826    
Attachmate Corporation, Term Loan
    3.554%       4/13/13       BB–       821,580  
  998    
Evertec, Inc., Term Loan B
    7.000%       9/30/16       BB–       1,014,333  
  11,017    
First Data Corporation, Term Loan B2
    3.010%       9/24/14       B+       10,443,679  
  948    
First Data Corporation, Term Loan B3
    3.010%       9/24/14       B+       899,032  
  122    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan
    4.010%       7/28/12       B+       120,211  
  535    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan
    6.010%       7/28/15       B+       521,755  
  5,813    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan
    8.270%       9/02/14       B–       2,593,916  
  2,292    
Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw
    6.510%       3/02/14       CCC+       1,764,583  
  259    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    4.010%       7/28/12       B+       255,048  
  3,958    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
    6.510%       3/02/14       CCC+       3,064,411  
  1,018    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    6.010%       7/28/15       B+       991,316  
  2,015    
SunGard Data Systems, Inc., Term Loan B
    2.011%       2/28/14       BB       2,010,920  
  1,500    
Syniverse Holdings, Inc., Term Loan
    5.250%       12/21/17       BB–       1,525,624  
                                         
  32,301    
Total IT Services
                            27,021,408  
                                         
       
Leisure Equipment & Products – 3.3% (2.5% of Total Investments)
                                         
  2,121    
BLB Management Services, Inc., Term Loan
    8.500%       11/05/15       BB–       2,136,438  
  7,612    
Bombardier Recreational Products, Inc., Term Loan
    2.810%       6/28/13       B–       7,583,808  
  2,172    
Cedar Fair LP, Term Loan
    5.500%       12/15/16       Ba2       2,205,464  
                                         
  11,905    
Total Leisure Equipment & Products
                            11,925,710  
                                         
       
Media – 12.1% (9.1% of Total Investments)
                                         
  3,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    2.760%       3/06/14       BB+       2,947,500  
  2,067    
Citadel Broadcasting Corporation, Term Loan, (7)
    4.250%       12/30/16       Baa3       2,090,833  
  792    
Cumulus Media, Inc., Term Loan
    4.010%       6/11/14       B–       767,428  
  1,180    
Gray Television, Inc., Term Loan B
    3.770%       12/31/14       B       1,167,550  
  2,898    
HIT Entertainment, Inc., Term Loan B
    5.536%       6/01/12       B2       2,860,238  
  2,000    
HIT Entertainment, Inc., Term Loan
    5.790%       2/26/13       CCC–       1,810,000  
  3,980    
Interactive Data Corporation, Term Loan
    6.750%       1/29/17       Ba3       4,042,999  
  733    
Miramax Film, LLC, Term Loan
    7.750%       7/01/16       Ba2       753,500  
  82    
Nielsen Finance LLC, Term Loan A
    2.261%       8/09/13       BB–       81,701  
  1,340    
Nielsen Finance LLC, Term Loan C
    4.011%       5/02/16       BB–       1,347,303  
  2,956    
Spanish Broadcasting System, Inc., Term Loan B
    2.060%       6/11/12       B–       2,889,092  
  1,703    
SuperMedia, Term Loan
    11.000%       12/31/15       B–       1,182,351  
  12,057    
Tribune Company, Term Loan B, (5), (6), DD1
    0.000%       6/04/14       Ca       8,889,353  

     
     
Nuveen Investments
  31
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Media (continued)
                                         
$ 10,853    
Univision Communications, Inc., Term Loan
    4.510%       3/31/17       B     $ 10,657,276  
  3,236    
Yell Group PLC, Term Loan
    4.010%       7/31/14       B–       1,642,435  
                                         
  48,877    
Total Media
                            43,129,559  
                                         
       
Metals & Mining – 1.1% (0.9% of Total Investments)
                                         
  4,000    
Novelis, Inc., Term Loan
    5.250%       12/17/16       Ba2       4,077,500  
                                         
       
Multiline Retail – 1.3% (1.0% of Total Investments)
                                         
  4,695    
Neiman Marcus Group, Inc., Term Loan
    4.303%       4/06/16       BB–       4,729,948  
                                         
       
Oil, Gas & Consumable Fuels – 3.9% (3.0% of Total Investments)
                                         
  222    
Alon USA Energy, Inc., Edgington Facility
    2.544%       8/05/13       B+       183,055  
  1,775    
Alon USA Energy, Inc., Paramount Facility
    2.533%       8/05/13       B+       1,464,318  
  2,000    
Big West Oil LLC, Term Loan
    7.000%       3/31/16       B+       2,025,000  
  575    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.153%       1/03/15       B1       562,141  
  4,223    
Calumet Lubricants Company LP, Term Loan
    4.286%       1/03/15       B1       4,130,443  
  2,925    
CCS Income Trust, Term Loan
    3.304%       11/14/14       B       2,797,586  
  2,814    
Venoco, Inc., Term Loan
    4.313%       5/07/14       B       2,798,615  
                                         
  14,534    
Total Oil, Gas & Consumable Fuels
                            13,961,158  
                                         
       
Paper & Forest Products – 2.5% (1.8% of Total Investments)
                                         
  3,810    
Newark Group, Inc., DIP Term Loan
    12.500%       3/31/14       N/R       3,943,599  
  5,306    
Wilton Products, Term Loan
    3.540%       8/01/14       N/R       4,802,216  
                                         
  9,116    
Total Paper & Forest Products
                            8,745,815  
                                         
       
Pharmaceuticals – 2.7% (2.1% of Total Investments)
                                         
  2,240    
ConvaTec Healthcare, Term Loan
    5.750%       12/30/16       Ba3       2,274,066  
  3,125    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5), (6)
    0.000%       5/03/13       Ca       289,062  
  1,917    
Graceway Pharmaceuticals LLC, Term Loan, (7)
    5.010%       5/03/12       Caa2       907,193  
  705    
Warner Chilcott Corporation, Add on Term Loan
    6.250%       4/30/15       BB       711,254  
  1,831    
Warner Chilcott Corporation, Term Loan A
    6.000%       10/30/14       BB       1,837,373  
  906    
Warner Chilcott Corporation, Term Loan B1
    6.250%       4/30/15       BB       914,218  
  1,508    
Warner Chilcott Corporation, Term Loan B2
    6.250%       4/30/15       BB       1,522,338  
  1,276    
Warner Chilcott Corporation, Term Loan B3
    6.500%       2/22/16       BB       1,293,167  
                                         
  13,508    
Total Pharmaceuticals
                            9,748,671  
                                         
       
Real Estate Management & Development – 3.2% (2.4% of Total Investments)
                                         
  3,786    
LNR Property Corporation, Term Loan B
    3.760%       7/12/11       B2       3,753,359  
  7,810    
Realogy Corporation, Delayed Term Loan
    3.287%       10/10/13       B1       7,591,021  
                                         
  11,596    
Total Real Estate Management & Development
                            11,344,380  
                                         
       
Road & Rail – 2.6% (1.9% of Total Investments)
                                         
  519    
Avis Budget Car Rental LLC, Term Loan
    5.750%       4/19/14       BB       522,499  
  8,431    
Swift Transportation Company, Inc., Term Loan
    6.000%       12/21/16       BB–       8,560,329  
                                         
  8,950    
Total Road & Rail
                            9,082,828  
                                         
       
Semiconductors & Equipment – 0.7% (0.5% of Total Investments)
                                         
  1,193    
Freescale Semiconductor, Inc., Term Loan
    4.511%       12/01/16       B2       1,197,251  
  1,116    
Spansion LLC, Term Loan
    6.500%       2/09/15       BB–       1,130,726  
                                         
  2,309    
Total Semiconductors & Equipment
                            2,327,977  
                                         
       
Software – 3.1% (2.4% of Total Investments)
                                         
  4,621    
Dealer Computer Services, Inc., New Term Loan
    5.250%       4/21/17       BB–       4,667,510  
  2,000    
IPC Systems, Inc., Term Loan, Second Lien
    5.553%       6/01/15       CCC       1,830,000  
  3,720    
IPC Systems, Inc., Term Loan
    2.535%       6/02/14       B1       3,627,478  
  988    
Reynolds Group Holdings, Inc., Incremental US Term Loan
    6.250%       5/05/16       BB–       995,866  
                                         
  11,329    
Total Software
                            11,120,854  
                                         
       
Specialty Retail – 2.5% (1.9% of Total Investments)
                                         
  3,596    
Toys “R” Us – Delaware, Inc., Term Loan
    6.000%       9/01/16       BB–       3,649,043  
  2,381    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.549%       5/28/13       B–       2,376,713  
  1,000    
Claire’s Stores, Inc., Term Loan B, WI/DD
    TBD       TBD       B–       963,036  
  2,025    
Michaels Stores, Inc., Term Loan B1
    2.563%       10/31/13       B+       2,021,195  
                                         
  9,002    
Total Specialty Retail
                            9,009,987  
                                         

     
     
32
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Wireless Telecommunication Services – 4.6% (3.5% of Total Investments)
                                         
$ 4,938    
Asurion Corporation, Term Loan
    3.265%       7/03/14       N/R     $ 4,820,620  
  11,070    
Clear Channel Communications, Inc., Tranche B, Term Loan, DD1
    3.910%       11/13/15       CCC+       9,978,757  
  1,718    
MetroPCS Wireless, Inc., Tranche B2, Term Loan
    3.813%       11/03/16       Ba1       1,734,308  
                                         
  17,726    
Total Wireless Telecommunication Services
                            16,533,685  
                                         
$ 431,341    
Total Variable Rate Senior Loan Interests (cost $397,550,840)
                            412,510,694  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 3.2% (2.4% of Total Investments)
         
       
Building Products – 1.3% (0.9% of Total Investments)
                                         
  124,402    
Masonite Worldwide Holdings, (8), (9)
                          $ 4,400,721  
                                         
       
Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)
                                         
  42,041    
BLB Worldwide Holdings Inc., (9)
                            451,941  
                                         
       
Media – 1.8% (1.4% of Total Investments)
                                         
  33,696    
Citadel Broadcasting Corp Class B Shares, (8)
                            1,011,048  
  7,400    
Citadel Broadcasting Corporation, (8)
                            218,337  
  193,006    
Metro-Goldwyn-Mayer, (9)
                            4,294,384  
  600    
Philadelphia Newspapers LLC, (9)
                            62,700  
  33,776    
Readers Digest Association Inc., (8), (9)
                            857,066  
                                         
       
Total Media
                            6,443,535  
                                         
       
Total Common Stocks (cost $18,892,221)
    11,296,197  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Convertible Bonds – 0.4% (0.3% of Total Investments)
         
       
Airlines – 0.3% (0.2% of Total Investments)
                                         
$ 1,000    
UAL Corporation
    4.500%       6/30/21       CCC+     $ 1,043,000  
                                         
       
Communications Equipment – 0.1% (0.1% of Total Investments)
                                         
  500    
Nortel Networks Corporation, (10)
    1.750%       4/15/12       D       420,000  
                                         
$ 1,500    
Total Convertible Bonds (cost $1,361,397)
                            1,463,000  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 9.8% (7.4% of Total Investments)
         
       
Automobiles – 0.4% (0.3% of Total Investments)
                                         
$ 4,000    
General Motors Corporation, (6), (11)
    8.250%       7/15/23       N/R     $ 1,420,000  
                                         
       
Construction Materials – 0.6% (0.5% of Total Investments)
                                         
  2,000    
Headwaters Inc., 144A
    11.375%       11/01/14       B+       2,240,000  
                                         
       
Diversified Telecommunication Services – 0.2% (0.2% of Total Investments)
                                         
  1,000    
Nortel Networks Limited, (10)
    0.000%       7/15/11       N/R       850,000  
                                         
       
Health Care Equipment & Supplies – 0.8% (0.6% of Total Investments)
                                         
  2,500    
Merge Healthcare Inc.
    11.750%       5/01/15       B+       2,687,500  
                                         
       
Health Care Providers & Services – 1.8% (1.4% of Total Investments)
                                         
  2,000    
Aurora Diagnostics Holdings LLC, 144A
    10.750%       1/15/18       B3       2,030,000  
  1,000    
LifeCare Holdings Inc.
    9.250%       8/15/13       C       718,750  
  1,250    
Select Medical Corporation
    7.625%       2/01/15       B–       1,281,250  
  2,500    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.204%       9/15/15       CCC+       2,387,500  
                                         
  6,750    
Total Health Care Providers & Services
                            6,417,500  
                                         
       
Household Durables – 0.2% (0.1% of Total Investments)
                                         
  700    
William Lyon Homes Inc., Unsecured Senior Note
    10.750%       4/01/13       CC       612,500  
                                         
       
Internet Software & Services – 0.3% (0.3% of Total Investments)
                                         
  1,650    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       1,183,875  
                                         
       
IT Services – 0.3% (0.2% of Total Investments)
                                         
  1,108    
First Data Corporation
    10.550%       9/24/15       B–       1,124,906  
                                         

     
     
Nuveen Investments
  33
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments January 31, 2011 (Unaudited)

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Machinery – 0.6% (0.4% of Total Investments)
                                         
$ 2,000    
NES Rental Holdings Inc., 144A
    12.250%       4/15/15       CCC+     $ 1,920,000  
                                         
       
Media – 2.1% (1.6% of Total Investments)
                                         
  3,600    
Clear Channel Communications, Inc.
    5.500%       9/15/14       C       3,105,000  
  4,750    
Clear Channel Communications, Inc.
    10.750%       8/01/16       C       4,476,875  
                                         
  8,350    
Total Media
                            7,581,875  
                                         
       
Multiline Retail – 0.7% (0.5% of Total Investments)
                                         
  2,250    
Sprectum Brands Inc., 144A
    9.500%       6/15/18       B       2,480,625  
                                         
       
Multi-Utilities – 0.2% (0.1% of Total Investments)
                                         
  500    
Bon-Ton Department Stores Inc.
    10.250%       3/15/14       CC       517,500  
                                         
       
Oil, Gas & Consumable Fuels – 0.4% (0.3% of Total Investments)
                                         
  1,400    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
    7.804%       6/15/14       B3       1,547,000  
                                         
       
Road & Rail – 0.6% (0.4% of Total Investments)
                                         
  2,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.804%       5/15/14       B       1,952,500  
                                         
       
Wireless Telecommunication Services – 0.6% (0.5% of Total Investments)
                                         
  2,000    
Sprint Nextel Corporation
    8.375%       8/15/17       BB–       2,195,000  
                                         
$ 38,208    
Total Corporate Bonds (cost $30,137,960)
                            34,730,781  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Warrants – 0.8% (0.6% of Total Investments)
                                         
  100,096    
Citadel Broadcasting Corporation
                          $ 3,015,392  
                                         
       
Total Warrants (cost $3,050,426)
    3,015,392  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 2.4% (1.8% of Total Investments)
                                         
$ 8,491    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/11, repurchase price $8,491,156, collateralized by $8,655,000 U.S. Treasury Notes, 2.000%, due 1/31/16, value $8,665,819
    0.020%       2/01/11             $ 8,491,151  
                                         
       
Total Short-Term Investments (cost $8,491,151)
                            8,491,151  
                                         
       
Total Investments (cost $459,483,995) – 132.2%
    471,507,215  
                                         
       
Borrowings – (32.9)% (12), (13)
    (117,270,000 )
                                         
       
Other Assets Less Liabilities – 0.7%
    2,534,316  
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 356,771,531  
                                         

     
     
34
  Nuveen Investments
     


 

             
            For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
        (6)   At or subsequent to January 31, 2011, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (7)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (8)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (9)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information.
        (10)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
        (11)   Non-income producing security, in the case of a bond, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
        (12)   Borrowings as a percentage of Total Investments is 24.9%.
        (13)   The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.
        N/R   Not rated.
        DD1   Investment, or portion of investment, purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

     
     
Nuveen Investments
  35
     


 

           
           
  
    Statement of
Assets & Liabilities
          January 31, 2011 (Unaudited)

 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Assets
                       
Investments, at value (cost $301,432,872, $783,176,445 and $459,483,995, respectively)
  $ 303,489,746     $ 803,136,385     $ 471,507,215  
Cash
    205,938             1,467,136  
Receivables:
                       
Interest
    1,910,936       4,047,042       3,134,524  
Investments sold
    10,612,344       10,139,461       14,612,568  
Matured senior loans
    544,633       1,446,400       964,267  
Shares sold
    87,098             185,387  
Deferred offering costs
    101,381       170,000       110,370  
Other assets
    110,514       173,751       103,907  
                         
Total assets
    317,062,590       819,113,039       492,085,374  
                         
Liabilities
                       
Cash overdraft
          2,170,555        
Borrowings
    73,950,000       197,740,000       117,270,000  
Payables:
                       
Investments purchased
    17,175,004       35,078,125       15,540,250  
Common share dividends
    1,244,744       2,602,951       1,918,362  
Accrued expenses:
                       
Interest on borrowings
    21,272       57,937       33,733  
Management fees
    208,316       434,970       275,259  
Shelf offering costs
    41,595       44,234       42,767  
Other
    229,318       401,153       233,472  
                         
Total liabilities
    92,870,249       238,529,925       135,313,843  
                         
Net assets applicable to Common shares
  $ 224,192,341     $ 580,583,114     $ 356,771,531  
                         
Common shares outstanding
    30,929,695       47,297,036       29,345,160  
                         
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
  $ 7.25     $ 12.28     $ 12.16  
                         
                         
Net assets applicable to Common shares consist of:
                       
                         
Common shares, $.01 par value per share
  $ 309,297     $ 472,970     $ 293,452  
Paid-in surplus
    276,463,196       667,769,861       411,890,767  
Undistributed (Over-distribution of) net investment income
    (143,847 )     3,513,983       2,081,351  
Accumulated net realized gain (loss)
    (54,493,179 )     (111,133,640 )     (69,517,259 )
Net unrealized appreciation (depreciation)
    2,056,874       19,959,940       12,023,220  
                         
Net assets applicable to Common shares
  $ 224,192,341     $ 580,583,114     $ 356,771,531  
                         
 
 
See accompanying notes to financial statements.

     
     
36
  Nuveen Investments
     


 

           
           
  
    Statement of
Operations
      Six Months Ended January 31, 2011 (Unaudited)

 
                         
                Floating Rate
 
    Senior
    Floating Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Investment Income
                       
Interest
  $ 8,967,880     $ 22,168,470     $ 13,992,940  
Dividends
          411,015        
Fees
    476,457       1,104,964       686,416  
Other
    56,035       168,106       112,071  
                         
Total investment income
    9,500,372       23,852,555       14,791,427  
                         
Expenses
                       
Management fees
    1,191,961       3,127,778       1,888,105  
Shareholders’ servicing agent fees and expenses
    1,699       445       278  
Interest expense on borrowings and amortization of borrowing costs
    584,048       1,576,245       930,650  
Custodian’s fees and expenses
    59,379       131,800       83,948  
Trustees’ fees and expenses
    3,194       8,462       5,844  
Professional fees
    28,027       27,922       43,038  
Shareholders’ reports – printing and mailing expenses
    30,645       6,774       37,524  
Stock exchange listing fees
    7,588       10,559       7,340  
Other expenses
    5,932       7,779       7,240  
                         
Total expenses before custodian fee credit and expense reimbursement
    1,912,473       4,897,764       3,003,967  
Custodian fee credit
    (14 )     (400 )     (153 )
Expense reimbursement
          (607,407 )     (317,594 )
                         
Net expenses
    1,912,459       4,289,957       2,686,220  
                         
Net investment income
    7,587,913       19,562,598       12,105,207  
                         
Realized and Unrealized Gain (Loss)
                       
Net realized gain (loss) from investments
    883,148       (1,064,824 )     1,104,878  
Change in net unrealized appreciation (depreciation) of investments
    12,272,280       35,095,077       21,408,859  
                         
Net realized and unrealized gain (loss)
    13,155,428       34,030,253       22,513,737  
                         
Net increase (decrease) in net assets applicable to Common shares from operations
  $ 20,743,341     $ 53,592,851     $ 34,618,944  
                         
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
  37
     


 

           
           
  
    Statement of
Changes in Net Assets
          (Unaudited)

 
                                                 
                Floating Rate
 
    Senior Income (NSL)     Floating Rate Income (JFR)     Income Opportunity (JRO)  
    Six Months
          Six Months
          Six Months
       
    Ended
    Year Ended
    Ended
    Year Ended
    Ended
    Year Ended
 
    1/31/11     7/31/10     1/31/11     7/31/10     1/31/11     7/31/10  
Operations
                                               
Net investment income
  $ 7,587,913     $ 11,001,084     $ 19,562,598     $ 38,747,971     $ 12,105,207     $ 28,685,388  
Net realized gain (loss) from investments
    883,148       843,334       (1,064,824 )     (15,811,388 )     1,104,878       (5,845,955 )
Change in net unrealized appreciation (depreciation) of investments
    12,272,280       35,288,873       35,095,077       85,441,084       21,408,859       48,450,761  
Distributions to Preferred shareholders from net investment income
          (15,266 )           (219,515 )           (123,985 )
                                                 
Net increase (decrease) in net assets applicable to Common shares from operations
    20,743,341       47,118,025       53,592,851       108,158,152       34,618,944       71,166,209  
                                                 
Distributions to Common Shareholders
                                               
From net investment income
    (7,425,810 )     (13,860,296 )     (15,466,131 )     (27,633,733 )     (11,177,565 )     (20,196,415 )
                                                 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
    (7,425,810 )     (13,860,296 )     (15,466,131 )     (27,633,733 )     (11,177,565 )     (20,196,415 )
                                                 
Capital Share Transactions
                                               
Common shares:
                                               
Proceeds from shelf offering, net of offering costs
    7,541,517                         11,094,637        
Net proceeds from shares issued to shareholders due to reinvestment of distributions
    72,735       86,152             169,959       99,796       128,250  
Repurchased and retired
                      (1,264,374 )           (87,047 )
                                                 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
    7,614,252       86,152             (1,094,415 )     11,194,433       41,203  
                                                 
Net increase (decrease) in net assets applicable to Common shares
    20,931,783       33,343,881       38,126,720       79,430,004       34,635,812       51,010,997  
Net assets applicable to Common shares at the beginning of period
    203,260,558       169,916,677       542,456,394       463,026,390       322,135,719       271,124,722  
                                                 
Net assets applicable to Common shares at the end of period
  $ 224,192,341     $ 203,260,558     $ 580,583,114     $ 542,456,394     $ 356,771,531     $ 322,135,719  
                                                 
Undistributed (Over-distribution of) net investment income at the end of period
  $ (143,847 )   $ (305,950 )   $ 3,513,983     $ (582,484 )   $ 2,081,351     $ 1,153,709  
                                                 
 
See accompanying notes to financial statements.

     
     
38
  Nuveen Investments
     


 

           
           
  
    Statement of
Cash Flows
      Six Months Ended January 31, 2011 (Unaudited)

 
                         
                Floating Rate
 
    Senior
    Floating Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
                         
Cash Flows from Operating Activities:
                       
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
    20,743,341       53,592,851       34,618,944  
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
    (126,943,484 )     (319,993,328 )     (192,232,860 )
Proceeds from sales and maturities of investments
    119,565,276       314,452,561       193,786,448  
Proceeds from (Purchases of) short-term investments, net
    15,057,971       9,485,357       14,407,093  
Amortization (Accretion) of premiums and discounts, net
    (2,178,487 )     (4,566,414 )     (3,472,475 )
(Increase) Decrease in:
                       
Receivable for interest
    (270,715 )     (367,941 )     (169,256 )
Receivable for investments sold
    (5,701,573 )     7,799,957       (1,446,615 )
Receivable for matured senior loans
    (56,035 )     (168,106 )     (112,071 )
Receivable for shares sold
    (87,098 )           (185,387 )
Other assets
    59,324       (11,126 )     90,415  
Increase (Decrease) in:
                       
Payable for investments purchased
    (7,115,066 )     (12,528,324 )     (21,870,250 )
Accrued interest on borrowings
    (9,093 )     (13,460 )     (14,420 )
Accrued management fees
    13,270       20,431       48,198  
Accrued other liabilities
    (35,496 )     (91,624 )     (90,533 )
Net realized (gain) loss from:
                       
Investments
    (883,148 )     1,064,824       (1,104,878 )
Paydowns
    120,113       (563,037 )     498,960  
Change in net unrealized (appreciation) depreciation of investments
    (12,272,280 )     (35,095,077 )     (21,408,859 )
                         
Net cash provided by (used in) operating activities
    6,820       13,017,544       1,342,454  
                         
Cash Flows from Financing Activities:
                       
(Increase) Decrease in deferred offering costs
    (101,381 )           (110,370 )
Increase (Decrease) in cash overdraft balance
          2,170,555        
Increase (Decrease) in accrued shelf offering costs
    41,595             42,767  
Cash distributions paid to Common shareholders
    (7,282,613 )     (15,190,724 )     (10,902,352 )
Proceeds from shelf offering, net of offering costs
    7,541,517             11,094,637  
                         
Net cash provided by (used in) financing activities
    199,118       (13,020,169 )     124,682  
                         
Net Increase (Decrease) in Cash
    205,938       (2,625 )     1,467,136  
Cash at the beginning of period
          2,625        
                         
Cash at the End of Period
    205,938             1,467,136  
                         
 
Supplemental Disclosure of Cash Flow Information
 
Cash paid by Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) for interest on borrowings (excluding amortization of borrowing costs) during the six months ended January 31, 2011, was $536,671, $1,432,150 and $854,823, respectively.
 
Non-cash financing activities not included herein consist of reinvestments of Common share distributions of $72,735, $0 and $99,796 for Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO), respectively.
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
  39
     


 

           
           
       Financial
Highlights (Unaudited)
      Selected data for a Common share outstanding throughout each period:

 
                                                                                                                 
          Investment Operations     Less Distributions                                
                      Distributions
                                              Premium
             
                      from Net
    Distributions
          Net
                Offering Costs
          from
             
    Beginning
                Investment
    from Capital
          Investment
    Capital
          and
    Discount
    Common
    Ending
       
    Common
          Net
    Income to
    Gains to
          Income to
    Gains to
          Preferred
    from
    Shares Sold
    Common
       
    Share
    Net
    Realized/
    Preferred
    Preferred
          Common
    Common
          Share
    Shares
    through
    Share
    Ending
 
    Net Asset
    Investment
    Unrealized
    Share-
    Share-
          Share-
    Share-
          Underwriting
    Repurchased
    Shelf
    Net Asset
    Market
 
    Value     Income(a)     Gain (Loss)     holders(b)     holders(b)     Total     holders     holders     Total     Discounts     and Retired     Offering     Value     Value  
Senior Income (NSL)
                                                                                                                 
Year Ended 7/31:
2011(h)   $ 6.81     $ .25     $ .40     $     $       0.65     $ (.25 )   $     $ (.25 )   $ **   $     $ .04     $ 7.25     $ 7.38  
2010     5.70       .37       1.20       **           1.57       (.46 )           (.46 )       –         –             6.81       6.95  
2009     7.18       .45       (1.46 )     (.02 )       –       (1.03 )     (.45 )       –       (.45 )                       5.70       5.15  
2008     8.00       .72       (.83 )     (.07 )           (.18 )     (.64 )           (.64 )                       7.18       6.18  
2007     8.33       .79       (.33 )     (.08 )           .38       (.71 )           (.71 )                       8.00       8.08  
2006     8.48       .69       (.15 )     (.07 )           .47       (.62 )           (.62 )                       8.33       8.15  
 
Floating Rate Income (JFR)
                                                                                                                 
Year Ended 7/31:
2011(h)     11.47       .41       .73                   1.14       (.33 )           (.33 )               $       12.28       12.49  
2010     9.76       .82       1.47       **           2.29       (.58 )           (.58 )           **           11.47       11.20  
2009     11.83       .71       (2.07 )     (.07 )           (1.43 )     (.64 )           (.64 )           **           9.76       8.37  
2008     13.08       1.40       (1.20 )     (.37 )           (.17 )     (1.08 )           (1.08 )                       11.83       10.19  
2007     13.90       1.56       (.78 )     (.43 )           .35       (1.17 )           (1.17 )                       13.08       12.88  
2006     14.11       1.31       (.18 )     (.35 )           .78       (.99 )           (.99 )                       13.90       13.15  
 
Floating Rate Income Opportunity (JRO)
                                                                                                                 
Year Ended 7/31:
2011(h)     11.34       .42       .76                   1.18       (.39 )           (.39 )     **         $ .03       12.16       12.52  
2010     9.54       1.01       1.50       **           2.51       (.71 )           (.71 )           **           11.34       11.64  
2009     11.75       .73       (2.15 )     (.07 )           (1.49 )     (.72 )           (.72 )           **           9.54       8.35  
2008     13.14       1.41       (1.29 )     (.37 )           (.25 )     (1.14 )           (1.14 )                       11.75       10.06  
2007     13.95       1.62       (.78 )     (.43 )           .41       (1.22 )           (1.22 )                       13.14       13.05  
2006     14.08       1.38       (.13 )     (.35 )           .90       (1.03 )           (1.03 )                       13.95       13.30  
                                                                                                                 
 
(a) Per share Net Investment Income is calculated using the average daily shares method.
(b) The amounts shown are based on Common share equivalents.
(c) Total Return Based on Market Value 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.
 
Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, 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 net asset value. 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 net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.
 
(d)
• Ratios do not reflect the effect of dividend payments to Preferred shareholders, where applicable.
• Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Preferred shares and/or borrowings, where applicable.
• Each ratio includes the effect of the interest expense paid on borrowings as follows:
 
         
Ratios of Borrowings Interest Expense to
 
Average Net Assets Applicable to Common Shares(g)  
Senior Income (NSL)
Year Ended 7/31:
2011(h)     .55 %*
2010     .13  
2009     1.28  
2008     2.05  
2007     2.22  
2006     1.85  
         
Floating Rate Income (JFR)
Year Ended 7/31:
2011(h)     .55 %*
2010     .13  
2009     1.04  
2008     .28  
2007      
2006      
         
Floating Rate Income Opportunity (JRO)
Year Ended 7/31:
2011(h)     .55 %*
2010     .13  
2009     1.14  
2008     .28  
2007      
2006      
         
 
See accompanying notes to financial statements.

     
     
40
  Nuveen Investments
     


 

                                                                                                         
                Ratios/Supplemental Data                                
                Ratios to Average Net
    Ratios to Average Net
                   
                Assets Applicable to
    Assets Applicable to
                   
                Common Shares Before
    Common Shares After
                Borrowings at
 
    Total Returns           Reimbursement(d)     Reimbursement(d)(e)           Preferred Shares at End of Period     End of Period  
          Based
                                                                   
          on
    Ending
                                                             
          Common
    Net
                                                             
    Based
    Share
    Assets
                                  Aggregate
    Liquidation
          Aggregate
    Asset
 
    on
    Net
    Applicable to
          Net
          Net
    Portfolio
    Amount
    and Market
    Asset
    Amount
    Coverage
 
    Market
    Asset
    Common
          Investment
          Investment
    Turnover
    Outstanding
    Value Per
    Coverage
    Outstanding
    Per
 
    Value(c)     Value(c)     Shares (000)     Expenses     Income(f)     Expenses     Income(f)     Rate     (000)     Share     Per Share     (000)     $1,000  
                                                                                                         
      9.95 %     10.26 %     $224,192       1.80 %*     7.16 %*     1.80 %*     7.16 %*     42 %   $     $     $     $ 73,950     $ 4,032  
      44.83       28.15       203,261       2.18       5.61       2.17       5.62       68                         73,950       3,749  
      (6.83 )     (12.25 )     169,917       3.50       9.39       3.39       9.50       48       26,000       25,000       188,381       32,900       6,955  
      (16.31 )     (2.32 )     214,311       3.88       9.38       3.69       9.57       50       46,000       25,000       141,473       90,000       3,892  
      7.79       4.39       238,779       3.88       8.99       3.59       9.27       80       46,000       25,000       154,771       103,000       3,765  
      (1.87 )     5.78       248,271       3.52       7.74       3.08       8.18       55       46,000       25,000       159,930       103,000       3,857  
 
 
                                                                                                         
                                                                                                         
      14.72       10.06       580,583       1.75 *     6.77 *     1.53 *     6.98 *     42                         197,740       3,936  
      41.48       23.85       542,456       2.03       7.14       1.74       7.42       51                         197,740       3,743  
      (9.82 )     (10.37 )     463,026       3.25       8.27       2.79       8.74       38       105,000       25,000       135,244       38,500       15,754  
      (13.07 )     (1.43 )     560,473       2.04       10.71       1.50       11.25       30       165,000       25,000       109,920       235,000       4,087  
      6.69       2.33       619,843       1.59       10.63       1.08       11.14       81       400,000       25,000       63,740              
      3.70       5.72       657,517       1.61       8.83       1.10       9.34       50       400,000       25,000       66,095              
 
 
                                                                                                         
                                                                                                         
      11.18       10.96       356,772       1.79 *     7.02 *     1.60 *     7.21 *     43                         117,270       4,042  
      49.00       26.66       322,136       2.14       8.95       1.84       9.25       58                         117,270       3,747  
      (7.35 )     (10.57 )     271,125       3.35       8.74       2.86       9.23       41       60,000       25,000       137,969       37,350       9,865  
      (14.88 )     (1.99 )     334,040       2.06       10.88       1.55       11.38       33       100,000       25,000       108,510       140,000       4,100  
      7.13       2.73       373,366       1.61       11.06       1.13       11.54       81       240,000       25,000       63,892              
      7.32       6.60       396,195       1.63       9.36       1.15       9.84       50       240,000       25,000       66,270              
                                                                                                         
 
(e) After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash deposit with the custodian bank and/or legal fee refunds, where applicable. As of October 31, 2009, the Adviser is no longer reimbursing Senior Income (NSL) for any fees or expenses.
(f) For the six months ended January 31, 2011, each ratio of Net Investment Income includes the effect of the increase of the net realizable value of the receivable of matured senior loans as described in Footnote 1 — General Information and Significant Accounting Policies, Investment Income. The increase (decrease) to the Ratios of Net Investment Income to Average Net Assets Applicable to Common Shares were as follows:
 
         
Increase (Decrease) to Ratios of Net Investment Income
 
to Average Net Assets Applicable to Common Shares  
Senior Income (NSL)
Year Ended 7/31:
2011(h)     .05 %*
2010     .09  
2009     N/A  
2008     N/A  
2007     N/A  
2006     N/A  
         
Floating Rate Income (JFR)
Year Ended 7/31:
2011(h)     .06 %*
2010     .08  
2009     N/A  
2008     N/A  
2007     N/A  
2006     N/A  
         
Floating Rate Income Opportunity (JRO)
Year Ended 7/31:
2011(h)     .07 %*
2010     .09  
2009     N/A  
2008     N/A  
2007     N/A  
2006     N/A  
         
 
(g) Borrowings Interest Expense includes amortization of borrowing costs, where applicable. For the periods prior to the six months ended January 31, 2011, the Ratios of Borrowings Interest Expense to Average Net Assets Applicable to Common Shares does not include program and liquidity fees.
(h) For the six months ended January 31, 2011.
N/A The Funds had no matured senior loans.
* Annualized.
** Rounds to less than $.01 per share.
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
  41
     


 

           
           
       Notes to
Financial Statements (Unaudited)
           

 
 
1.  General Information and Significant Accounting Policies
 
General Information
 
The funds covered in this report and their corresponding Common share New York Stock Exchange (“NYSE”) symbols are Nuveen Senior Income Fund (NSL), Nuveen Floating Rate Income Fund (JFR) and Nuveen Floating Rate Income Opportunity Fund (JRO) (collectively, the “Funds”). The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies.
 
Effective January 1, 2011, the Funds’ adviser Nuveen Asset Management, a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”) has charged its name to Nuveen Fund Advisors, Inc. (the “Adviser”).
 
Senior Income’s (NSL) investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests 80% of its total assets in adjustable rate senior secured loans. The Fund may invest up to 20% of its total assets in U.S. dollar- denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities, and equity securities and warrants acquired in connection with the Fund’s investment in senior loans.
 
Floating Rate Income’s (JFR) investment objective is to achieve a high level of current income. The Fund invests at least 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 the Fund’s sub-adviser Symphony Asset Management LLC (“Symphony”), a subsidiary of Nuveen.
 
Floating Rate Income Opportunity’s (JRO) investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral.
 
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”).
 
Significant Accounting Policies
 
Investment Valuation
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, except as indicated below, 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 mean between the quoted bid and ask prices and are generally classified as Level 1. Investments in investment companies are valued at their respective net asset values on the valuation date. These investment vehicles are generally classified as Level 1.
 
Prices of fixed-income securities and senior loans are provided by a pricing service approved by the Funds’ Board of Trustees. Floating Rate Income Opportunity (JRO) currently expects that the independent pricing services will be unable to provide a market based price for certain of the privately negotiated subordinated loans issued by middle market companies. The pricing services, with input from Symphony and the Adviser will estimate the fair value for such subordinated loans, subject to the supervision of Symphony and the Adviser. Floating Rate Income Opportunity (JRO) may engage an independent appraiser to periodically provide an independent determination of the value, or an opinion with respect to the pricing services’ value, of such loans. These securities are generally classified as Level 2. Prices of fixed-income securities are based on the mean between the bid and asked prices. When price quotes are not readily available 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. 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

     
     
42
  Nuveen Investments
     


 

Level 3 depending on the priority of the significant inputs. Highly rated zero coupon fixed-income securities, like U.S. Treasury Bills, issued with maturities of one year or less, are valued using the amortized cost method when 60 days or less remain until maturity. With amortized cost, any discount or premium is amortized each day, regardless of the impact of fluctuating rates on the market value of the security. These securities are generally classified as Level 2.
 
Like most fixed income instruments, the senior loans in which the Funds invest are not listed on an organized exchange. The secondary market of senior loans may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior 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.
 
Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.
 
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 Funds’ Board of Trustees or its designee 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 net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds’ Board of Trustees or its designee.
 
Refer to Footnote 2 – Fair Value Measurements for further details on the leveling of securities held by the Funds as of the end of the reporting period.
 
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 instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At January 31, 2011, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had outstanding when-issued/delayed delivery purchase commitments of $15,815,785, $35,078,125 and $15,540,250, respectively.
 
Investment Income
Dividend income is recorded on the ex-dividend date. Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects paydown gains and losses and fee income, if any. 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. Other income includes the increase of the net realizable value of the receivable of matured senior loans during the current fiscal period.
 
Income Taxes
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 gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.
 
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.

     
     
Nuveen Investments
  43
     


 

       
       
        Notes to
Financial Statements (Unaudited) (continued)

 
Dividends and Distributions to Common Shareholders
Dividends to Common shareholders are declared monthly. Net realized capital gains from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
 
Distributions to Common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal corporate income tax regulations, which may differ from U.S. GAAP.
 
Preferred Shares
The Funds are authorized to issue Preferred shares. As of July 31, 2010, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) redeemed all of their outstanding Preferred shares, at liquidation values of $46,000,000, $400,000,000 and $240,000,000, respectively.
 
During the six months ended January 31, 2011, lawsuits pursuing claims made in a demand letter alleging that the Funds’ Board of Trustees breached their fiduciary duties related to the redemption at par of the Funds’ Preferred shares had been filed on behalf of shareholders of the Funds and against the Adviser, together with current and former officers and interested director/trustees of the Funds. Nuveen and the other named defendants believe these lawsuits to be without merit, and all named parties intend to defend themselves vigorously. The Funds believe that these lawsuits will not have a material effect on the Funds or on the Adviser’s ability to serve as investment adviser to the Funds.
 
Common Shares Shelf Offering
During the six months ended January 31, 2011, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) each filed a registration statement with the Securities and Exchange Commission authorizing each Fund to issue additional 2.9 million, 4.7 million and 2.8 million Common shares, respectively, through an equity shelf offering.
 
During the six months ended January 31, 2011, Senior Income (NSL) and Floating Rate Income Opportunity (JRO) issued 1,072,309 and 925,494 Common shares, respectively, receiving offering proceeds, net of offering costs of $7,541,517 and $11,094,637, respectively. During the six months ended January 31, 2011, Floating Rate Income (JFR) did not issue any Common shares through its equity shelf program. Under these equity shelf programs, each Fund, subject to market conditions, may raise additional equity capital from time to time in varying amounts and offering methods at a net price at or above each Fund’s net asset value per Common share.
 
Shelf Offering Costs
Costs incurred by the Funds in connection with the shelf offerings of their Common shares are recorded as a deferred charge which are amortized over the period such additional Common shares are sold not to exceed the one-year life of the shelf offering period.
 
Derivative Financial Instruments
Each Fund is authorized to invest in derivative financial instruments, including forwards, futures, options and swap transactions. Although each Fund is authorized to invest in such financial instruments, and may do so in the future, they did not make any such investments during the six months ended January 31, 2011.
 
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.
 
Zero Coupon Securities
Each Fund is authorized to invest in 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.
 
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.

     
     
44
  Nuveen Investments
     


 

Borrowing Costs
Costs incurred by each Fund in connection with structuring its refinancing during the six months ended January 31, 2011, were recorded as a deferred charge which will be amortized through May 12, 2011, and is included as a component of “Interest expense on borrowings and amortization of borrowing costs” on the Statement of Operations.
 
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.
 
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates.
 
2.  Fair Value Measurements
In determining the fair value of each Fund’s investments, various inputs are used. These inputs are summarized in the three broad levels listed below:
 
         
Level 1     Quoted prices in active markets for identical securities.
Level 2     Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3     Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of January 31, 2011:
 
                                 
Senior Income (NSL)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 261,628,898     $   –     $ 261,628,898  
Common Stocks*
    2,519,875       7,214,712             9,734,587  
Convertible Bonds
          840,000             840,000  
Corporate Bonds
          22,526,325             22,526,325  
Short-Term Investments
          8,759,936             8,759,936  
                                 
Total
  $ 2,519,875     $ 300,969,871     $     $ 303,489,746  
                                 
 
                                 
Floating Rate Income (JFR)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 691,383,406     $   –     $ 691,383,406  
Common Stocks*
    1,334,215       18,582,440             19,916,655  
Convertible Bonds
          1,463,000             1,463,000  
Corporate Bonds
          37,403,671             37,403,671  
Investment Companies
    13,146,568                   13,146,568  
Warrants
    3,534,416                   3,534,416  
Short-Term Investments
          36,288,669             36,288,669  
                                 
Total
  $ 18,015,199     $ 785,121,186     $     $ 803,136,385  
                                 
                                 
Floating Rate Income Opportunity (JRO)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 412,510,694     $   –     $ 412,510,694  
Common Stocks*
    1,229,385       10,066,812             11,296,197  
Convertible Bonds
          1,463,000             1,463,000  
Corporate Bonds
          34,730,781             34,730,781  
Warrants
    3,015,392                   3,015,392  
Short-Term Investments
          8,491,151             8,491,151  
                                 
Total
  $ 4,244,777     $ 467,262,438     $     $ 471,507,215  
                                 
Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.
 
During the six months ended January 31, 2011, the Funds recognized no significant transfers to/from Level 1, Level 2 or Level 3.

     
     
Nuveen Investments
  45
     


 

       
       
        Notes to
Financial Statements (Unaudited) (continued)

 
3.  Derivative Instruments and Hedging Activities
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. The Funds did not invest in derivative instruments during the six months ended January 31, 2011.
 
4.  Fund Shares
Common Shares
Transactions in Common shares were as follows:
 
                                                 
                Floating Rate
 
    Senior Income (NSL)     Floating Rate Income (JFR)     Income Opportunity (JRO)  
    Six Months
    Year
    Six Months
    Year
    Six Months
    Year
 
    Ended
    Ended
    Ended
    Ended
    Ended
    Ended
 
    1/31/11     7/31/10     1/31/11     7/31/10     1/31/11     7/31/10  
Common shares:
                                               
Sold through shelf offering
    1,072,309                         925,494        
Issued to shareholders due to reinvestment of distributions
    10,502       12,531             14,604       8,632       11,112  
Repurchased and retired
                      (137,893 )           (9,700 )
                                                 
Total
    1,082,811       12,531             (123,289 )     934,126       1,412  
                                                 
Weighted average Common share:
                                               
Price per share repurchased and retired
    $  –       $  –       $  –       $  9.15       $  –       $  8.95  
Discount per share repurchased and retired
                      12.86 %           13.25 %
Premium per shelf offering share sold
    3.23 %                       3.10 %      
                                                 
 
Preferred Shares
Transactions in Preferred shares were as follows:
 
                                                                                                 
                Floating Rate
 
    Senior Income (NSL)     Floating Rate Income (JFR)     Income Opportunity (JRO)  
    Six Months
          Six Months
          Six Months
       
    Ended
    Year Ended
    Ended
    Year Ended
    Ended
    Year Ended
 
    1/31/11     7/31/10     1/31/11     7/31/10     1/31/11     7/31/10  
    Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount  
Preferred shares redeemed:
Series M
    N/A       N/A           $       N/A       N/A       1,050     $ 26,250,000       N/A       N/A       800     $ 20,000,000  
Series T
    N/A       N/A                   N/A       N/A       1,050       26,250,000       N/A       N/A              
Series W
    N/A       N/A                   N/A       N/A       1,050       26,250,000       N/A       N/A              
Series TH
    N/A       N/A       1,040       26,000,000       N/A       N/A                   N/A       N/A       800       20,000,000  
Series F
    N/A       N/A                   N/A       N/A       1,050       26,250,000       N/A       N/A       800       20,000,000  
                                                                                                 
Total
    N/A       N/A       1,040     $ 26,000,000       N/A       N/A       4,200     $ 105,000,000       N/A       N/A       2,400     $ 60,000,000  
                                                                                                 
 
N/A – Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) redeemed all $46,000,000, $400,000,000 and $240,000,000, respectively, of their outstanding Preferred shares as of July 31, 2010.
 
5.  Investment Transactions
Purchases and sales (including maturities but excluding short-term investments) during the six months ended January 31, 2011, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Purchases
  $ 126,943,484     $ 319,993,328     $ 192,232,860  
Sales and maturities
    119,565,276       314,452,561       193,786,448  
                         
 
6.  Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing certain gains and losses on investment transactions and, for Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO), recognition of premium amortization. To the extent that differences

     
     
46
  Nuveen Investments
     


 

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 net asset values of the Funds.
 
At January 31, 2011, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Cost of investments
  $ 301,455,372     $ 784,227,252     $ 460,052,386  
                         
Gross unrealized:
                       
Appreciation
  $ 15,529,248     $ 42,208,545     $ 27,102,388  
Depreciation
    (13,494,874 )     (23,299,412 )     (15,647,559 )
                         
Net unrealized appreciation (depreciation) of investments
  $ 2,034,374     $ 18,909,133     $ 11,454,829  
                         
 
Permanent differences, primarily due to federal taxes paid, paydowns, expiration of capital loss carryforwards and bond premium adjustments resulted in reclassifications among the Funds’ components of net assets at July 31, 2010, the Funds’ last tax year-end, as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Paid-in-surplus
  $ (14,268,135 )   $ (28,157 )   $ (71,260 )
Undistributed (Over-distribution of) net investment income
    2,415,593       (7,747,543 )     (6,417,029 )
Accumulated net realized gain (loss)
    11,852,542       7,775,700       6,488,289  
                         
 
The tax components of undistributed net ordinary income and net long-term capital gains at July 31, 2010, the Funds’ last tax year end, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Undistributed net ordinary income *
  $ 1,389,952     $ 3,605,436     $ 3,717,652  
Undistributed net long-term capital gains
                 
                         
Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any. Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2010, paid on August 2, 2010.
 
The tax character of distributions paid during the Funds’ last tax year ended July 31, 2010, was designated for purposes of the dividends paid deduction as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Distributions from net ordinary income *
  $ 13,684,842     $ 27,379,807     $ 19,988,093  
Distributions from net long-term capital gains
                 
                         
Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

     
     
Nuveen Investments
  47
     


 

       
       
        Notes to
Financial Statements (Unaudited) (continued)

 
At July 31, 2010, 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 follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Expiration:
                       
July 31, 2011
  $ 10,704,255     $     $  
July 31, 2013
          819,145       30,377  
July 31, 2014
          2,934,270       2,151,577  
July 31, 2015
    1,002,070       9,492,118       5,017,841  
July 31, 2016
          183,234       1,294,188  
July 31, 2017
    8,900,332       21,620,554       13,760,353  
July 31, 2018
    29,264,459       67,020,214       46,332,843  
                         
Total
  $ 49,871,116     $ 102,069,535     $ 68,587,179  
                         
 
At July 31, 2010, the Fund’s last tax year-end, $14,207,781 of Senior Income’s (NSL) capital loss carryforward expired.
 
The Funds have elected to defer net realized losses from investments incurred from November 1, 2009 through July 31, 2010, the Funds’ last tax year end, (“post-October losses”) in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the current fiscal year:
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Post-October capital losses
  $ 5,482,712     $ 6,989,418     $ 1,503,280  
                         
 
7.  Management Fees and Other Transactions with Affiliates
Each Fund’s management fee consists of two components – a fund–level fee, based only on the amount of assets within the 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 Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
 
The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedule:
 
         
    Senior Income (NSL)
Average Daily Managed Assets*   Fund-Level Fee Rate
For the first $1 billion
    .6500 %
For the next $1 billion
    .6375  
For the next $3 billion
    .6250  
For the next $5 billion
    .6000  
For managed assets over $10 billion
    .5750  
         
 
         
    Floating Rate Income (JFR)
    Floating Rate Income Opportunity (JRO)
Average Daily Managed Assets*   Fund-Level Fee Rate
For the first $500 million
    .6500 %
For the next $500 million
    .6250  
For the next $500 million
    .6000  
For the next $500 million
    .5750  
For managed assets over $2 billion
    .5500  
         

     
     
48
  Nuveen Investments
     


 

The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:
 
         
Complex-Level Managed Asset Breakpoint Level*   Effective Rate at Breakpoint Level
$55 billion
    .2000 %
$56 billion
    .1996  
$57 billion
    .1989  
$60 billion
    .1961  
$63 billion
    .1931  
$66 billion
    .1900  
$71 billion
    .1851  
$76 billion
    .1806  
$80 billion
    .1773  
$91 billion
    .1691  
$125 billion
    .1599  
$200 billion
    .1505  
$250 billion
    .1469  
$300 billion
    .1445  
         
For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial 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 and assets in excess of $2 billion added to the Nuveen Fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of January 31, 2011, the complex-level fee rate was .1835%.
 
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser has entered into Sub-Advisory Agreements with Symphony under which Symphony manages the investment portfolios of the Funds. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.
 
The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds.
 
For the first ten years of Senior Income’s (NSL) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
For the first eight years of Floating Rate Income’s (JFR) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
March 31,       March 31,    
2004 *     .32 %   2009     .32 %
2005     .32     2010     .24  
2006     .32     2011     .16  
2007     .32     2012     .08  
2008     .32              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Floating Rate Income (JFR) for any portion of its fees and expenses beyond March 31, 2012.
 
For the first eight years of Floating Rate Income Opportunity’s (JRO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
July 31,       July 31,    
2004 *     .30 %   2009     .30 %
2005     .30     2010     .22  
2006     .30     2011     .14  
2007     .30     2012     .08  
2008     .30              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO) for any portion of its fees and expenses beyond July 31, 2012.

     
     
Nuveen Investments
  49
     


 

       
       
        Notes to
Financial Statements (Unaudited) (continued)

 
During the six months ended January 31, 2011, the Adviser received commissions of $15,364 and $22,524, related to the sale of Common shares as a result of the Senior Income (NSL) and Floating Rate Income Opportunity (JRO) shelf offerings, respectively.
 
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 the custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. At January 31, 2011, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had no 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. At January 31, 2011, there were no such outstanding participation commitments in any of the Funds.
 
9.  Borrowing Arrangements
Each Fund has entered into a Revolving Credit and Security Agreement (“Credit Agreement”) with an affiliate of Citibank N.A. as a means of financial leverage. Each Fund’s maximum commitment amount under its Credit Agreement is as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Maximum commitment amount
    75,500,000       209,500,000       120,000,000  
                         
 
As of January 31, 2011, each Fund’s outstanding borrowings on its Credit Agreement was as follows:
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Outstanding borrowings
    73,950,000       197,740,000       117,270,000  
                         
 
During the six months ended January 31, 2011, the average daily balance outstanding and average annual interest rate on each Fund’s Credit Agreement were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Average daily balance outstanding
    73,950,000       197,740,000       117,270,000  
Average annual interest rate
    1.42 %     1.42 %     1.42 %
                         
 
In order to maintain these borrowing arrangements, the Funds must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by securities held in each Fund’s portfolio of investments. Interest expense incurred on these borrowings, which is based on a commercial paper rate, is recognized as a component of “Interest expense on borrowings and amortization of borrowing costs” on the Statement of Operations. In addition to the interest expense, each Fund pays a .65% per annum program fee, based on the average daily outstanding balance and a .35% per annum liquidity fee, based on the total commitment amount of the borrowings through the renewal date, both of which are recognized as a component of “Interest expense on borrowings and amortization of borrowing costs” on the Statement of Operations. Borrowings outstanding are recognized as “Borrowings” on the Statement of Assets and Liabilities.

     
     
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  Nuveen Investments
     


 

 
Reinvest Automatically,
Easily and Conveniently

 
 
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
 
Nuveen Closed-End Funds Automatic Reinvestment Plan
Your Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.
 
By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of tax-free compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.
 
It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
 
Easy and convenient
To make recordkeeping easy and convenient, each month you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.
 
How shares are purchased
The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

     
     
Nuveen Investments
  51
     


 

 
Flexible
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.
 
You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.
 
The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.
 
Call today to start reinvesting distributions
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

     
     
52
  Nuveen Investments
     


 

 
Glossary of Terms
Used in this Report

 
 
n  Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in common share NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
 
n  Collateralized Debt Obligations (CDOs): Collateralized debt obligations are a type of asset-backed security constructed from a portfolio of fixed-income assets. CDOs usually are divided into different tranches having different ratings and paying different interest rates. Losses, if any, are applied in reverse order of seniority and so junior tranches generally offer higher coupons to compensate for added default risk.
 
n  Market Yield (also known as Dividend Yield or Current Yield): Market yield 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 calendar year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a tax return of capital.
 
n  Net Asset Value (NAV): A Fund’s NAV per common share is calculated by subtracting the liabilities of the Fund (including any Preferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of common shares outstanding. Fund NAVs are calculated at the end of each business day.

     
     
Nuveen Investments
  53
     


 

 
Notes

 

     
     
54
  Nuveen Investments
     


 

 
Other Useful Information

 
 
Board of Trustees
John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Terence J. Toth
 
Fund Manager
Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606
 
Custodian
State Street Bank & Trust Company
Boston, MA
 
Transfer Agent and
Shareholder Services
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI
02940-3071
(800) 257-8787
 
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
 
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, IL
 
 
Quarterly Portfolio of Investments and Proxy Voting Information
 
You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
 
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.
 
CEO Certification Disclosure
 
Each Fund’s Chief Executive Officer 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 Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 
Common Share Information
 
Each Fund intends to repurchase shares of its own common in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, the Funds repurchased shares of their common stock as shown in the accompanying table.
 
     
    Common Shares
Fund   Repurchased
NSL
 
JFR
 
JRO
 
     
 
Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

     
     
Nuveen Investments
  55
     


 

 
Nuveen Investments:
Serving Investors for Generations

 
 
Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, longterm investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.
 
Focused on meeting investor needs.
 
Nuveen Investments is a global investment management firm that seeks to help secure the long-term goals of institutions and high net worth investors as well as the consultants and financial advisors who serve them. We market our growing range of specialized investment solutions under the high-quality brands of HydePark, NWQ, Nuveen Asset Management, Santa Barbara, Symphony, Tradewinds and Winslow Capital. In total, Nuveen Investments managed approximately $197 billion of assets as of December 31, 2010.
 
Find out how we can help you.
 
To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
 
Learn more about Nuveen Funds at: www.nuveen.com/cef
 
Nuveen makes things e-simple.
 
It only takes a minute to sign up for e-Reports. Once enrolled, you’ll receive an e-mail as soon as your Nuveen Fund information is ready—no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish.
 
Free e-Reports right to your e-mail!
 
www.investordelivery.com
If you receive your Nuveen Fund distributions and statements from your financial advisor or brokerage account.
 
OR
 
www.nuveen.com/accountaccess
If you receive your Nuveen Fund distributions and statements directly from Nuveen.
 
         
Distributed by
Nuveen Investments, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com
       

ESA-A-0111D


 

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: Ex-99.CERT attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.

 


 

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
         
(Registrant) Nuveen Floating Rate Income Opportunity Fund
 
   
By (Signature and Title) /s/ Kevin J. McCarthy      
  Kevin J. McCarthy     
  Vice President and Secretary     
 
Date: April 8, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
     
By (Signature and Title) /s/ Gifford R. Zimmerman      
  Gifford R. Zimmerman     
  Chief Administrative Officer
(principal executive officer) 
   
 
Date: April 8, 2011
         
     
By (Signature and Title) /s/ Stephen D. Foy      
  Stephen D. Foy     
  Vice President and Controller
(principal financial officer) 
   
 
Date: April 8, 2011