UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number       811-21494

Nuveen Floating Rate Income Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Address of principal executive offices) (Zip code)

Mark L. Winget

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Name and address of agent for service)

 

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

 

Date of fiscal year end:       July 31

 

Date of reporting period:       July 31, 2022

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

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


ITEM 1.

REPORTS TO STOCKHOLDERS.


LOGO

 

Closed-End Funds

 

31 July 2022

 

Nuveen

Closed-End Funds

 

NSL    Nuveen Senior Income Fund
JFR    Nuveen Floating Rate Income Fund
JRO    Nuveen Floating Rate Income Opportunity Fund
JSD    Nuveen Short Duration Credit Opportunities Fund
JQC    Nuveen Credit Strategies Income Fund

Annual Report


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LOGO


Table of Contents

 

Chair’s Letter to Shareholders

     4  

Important Notices

     5  

Portfolio Managers’ Commentary

     6  

Fund Leverage

     8  

Common Share Information

     11  

Performance Overview and Holding Summaries

     14  

Shareholder Meeting Report

     24  

Report of Independent Registered Public Accounting Firm

     25  

Portfolios of Investments

     26  

Statement of Assets and Liabilities

     96  

Statement of Operations

     97  

Statement of Changes in Net Assets

     98  

Statement of Cash Flows

     101  

Financial Highlights

     102  

Notes to Financial Statements

     109  

Shareholder Update

     124  

Important Tax Information

     162  

Additional Fund Information

     163  

Glossary of Terms Used in this Report

     164  

Annual Investment Management Agreement Approval Process

     165  

Board Members & Officers

     175  

 

3


Chair’s Letter to Shareholders

 

LOGO

Dear Shareholders,

The question of whether economies are moving toward normalization or recession has dominated financial markets in 2022. Persistently high inflation has made the outcome more unpredictable, as it has dampened consumer sentiment, pushed central banks into raising interest rates more aggressively and contributed to considerable turbulence in the markets this year.

Inflation has surged partially due to COVID supply chain bottlenecks and exacerbated by Russia’s war in Ukraine and recent lockdowns across China to contain a large-scale COVID-19 outbreak. This has necessitated increasingly forceful responses from the U.S. Federal Reserve (Fed) and other central banks, who have signaled their intentions to slow inflation while tolerating slower economic growth. As anticipated, the Fed began the rate hiking cycle in March 2022, raising its short-term rate by 0.25% from near zero for the first time since the pandemic was declared two years ago. Larger increases of 0.50% in May and 0.75% in June, July and September 2022 followed, bringing the target fed funds rate to a range of 3.00% to 3.25%. Additional rate hikes are expected in the remainder of this year, although Fed officials will closely monitor inflation data along with other economic measures and modify their rate setting policy based upon these factors. U.S. gross domestic product growth has now contracted for two consecutive quarters, according to government estimates, as consumer and business activity has slowed in part due to higher prices and borrowing costs. However, the still strong labor market suggests not all areas of the economy are weakening in unison.

While markets will likely continue fluctuating with the daily headlines, we encourage investors to keep a long-term perspective. To learn more about how well your portfolio is aligned to your time horizon, risk tolerance and investment goals, consider reviewing it with your financial professional.

On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

Terence J. Toth

Chair of the Board

September 23, 2022

 

 

4


Important Notices

 

For Shareholders of

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

Additional Market Disruption Risk

In late February 2022, Russia launched a large scale military attack on Ukraine. The invasion significantly amplified already existing geopolitical tensions among Russia, Ukraine, Europe, NATO and other western nations, including the U.S. In response to the military action by Russia, various countries, including the U.S., the United Kingdom, and European Union issued broad-ranging economic sanctions against Russia. Such sanctions included, among other things, a prohibition on doing business with certain Russian companies, large financial institutions, officials and oligarchs; a commitment by certain countries and the European Union to remove selected Russian banks from the Society for Worldwide Interbank Financial Telecommunications (“SWIFT”), the electronic banking network that connects banks globally; and restrictive measures to prevent the Russian Central Bank from undermining the impact of the sanctions.

Additional sanctions may be imposed in the future. Such sanctions may adversely impact, among other things, the Russian economy and various sectors of the global economy, including but not limited to, the financials, energy, metals and mining, engineering and defense sectors. The sanctions and any related boycotts, tariffs, and financial restrictions imposed on Russia’s government, companies and certain individuals may cause a decline in the value and liquidity of Russian securities; weaken the value of the ruble; downgrade the country’s credit rating; freeze Russian securities and/or funds invested in prohibited assets and impair the ability to trade in Russian securities and/or other assets; and have other adverse consequences on the Russian government, economy, companies and region. Further, several large

corporations and U.S. states have announced plans to divest interests or otherwise curtail business dealings with certain Russian businesses.

The ramifications of the hostilities and sanctions, however, may not be limited to Russia and Russian companies but may spill over to and negatively impact other regional and global economic markets (including Europe and the United States), companies in other countries (particularly those that have done business with Russia) and on various sectors, industries and markets for securities and commodities globally, such as oil and natural gas. Accordingly, the actions discussed above and the potential for a wider conflict could increase financial market volatility, cause severe negative effects on regional and global economic markets, industries, and companies and have a negative effect on your Fund’s investments and performance beyond any direct exposure to Russian issuers or those of adjoining geographic regions. In addition, Russia may take retaliatory actions and other countermeasures, including cyberattacks and espionage against other countries and companies around the world, which may negatively impact such countries and the companies in which your Fund invests.

The extent and duration of the military action or future escalation of such hostilities, the extent and impact of existing and future sanctions, market disruptions and volatility, and the result of any diplomatic negotiations cannot be predicted. These and any related events could have a significant impact on Fund performance and the value of an investment in the Fund.

 

5


Portfolio Managers’ Commentary

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

The Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser (the “Adviser”). The Funds’ portfolio managers are Scott Caraher and Kevin Lorenz, CFA.

Here the portfolio management team discusses economic and market conditions, key investment strategies and the Funds’ performance for the twelve-month reporting period ended July 31, 2022. For more information on the Funds’ investment objectives and policies, please refer to the Shareholder Update section of the report.

What factors affected the economy and the markets during the twelve-month annual reporting period ended July 31, 2022?

After recovering from the pandemic in 2021, the U.S. economy weakened in the first half of 2022. Overall, 2021 gross domestic product (GDP) grew by 5.7% as the economy reopened with the help of $5.3 trillion in crisis-related aid from the federal government, low borrowing rates for businesses and individuals, an increase in COVID-19 vaccinations and improved treatments for COVID-19. However, in early 2022, China’s COVID-19 lockdown and the Russia-Ukraine war worsened existing pandemic-related supply chain disruptions. Inflation increased more than expected during the first half of 2022, putting pressure on global central banks to respond with more aggressive measures.

The U.S. Federal Reserve (Fed) began an interest rate hiking cycle in March 2022 with a 0.25% hike to the target federal funds rate, followed by larger increases of 0.50% in May 2022, 0.75% in June 2022 and another 0.75% in July 2022. Overall, the Fed raised the target federal funds rate from near zero at the start of 2022 to a range of 2.25% to 2.50% by July 2022. Subsequent to the end of the reporting period, the Fed raised the policy interest rate another 0.75% in September 2022 to a range of 3.00% to 3.25%. Interest rate, stock and bond price volatility increased as markets considered whether the Fed could cool inflation without putting the economy into a recession. Additionally, the U.S. dollar appreciated significantly relative to major world currencies beginning in March of 2022, serving as a headwind to the profits of international companies and U.S. domestic companies with overseas earnings. The dollar’s appreciation was driven in part by the Fed’s increasingly forceful response to inflation compared with other central banks, the relatively better prospects of the U.S. economy and “safe-haven” flows from investors uncertain about geopolitical and global economic conditions.

By mid-year, inflation and higher borrowing costs appeared to be dampening consumer confidence and consumer spending. Also, two consecutive quarters of negative U.S. GDP growth added to recession risks. U.S. GDP fell by an annual rate of 0.6% in the second quarter of 2022, according to the second estimate from the U.S. Bureau of Economic Analysis. This followed a 1.6% annualized GDP decrease in the first quarter of 2022. However, the labor market, another key gauge of the economy’s health, has remained resilient. As of July 2022, the U.S. unemployment rate fell to 3.5%, its pre-pandemic low, and the economy has now recovered the 22 million jobs lost since the beginning of the pandemic.

The loan market benefited from generally stable prices and constructive investor sentiment throughout much of the reporting period. However, loans briefly sold off in March 2022 as concerns escalated about the Russia-Ukraine war, and

 

6


 

stumbled again in mid-June 2022 following the Fed’s 0.75% rate hike. After getting a lift from steady inflows in 2021 and the first quarter of 2022, retail loan mutual funds experienced outflows during the second quarter of 2022. Recession fears induced by the Fed outweighed concerns regarding the impact of rising rates on longer-duration assets. Institutional demand for loans from collateralized loan obligations (CLOs) remained relatively robust despite shifts in market sentiment. As the reporting period drew to a close, investor anxiety that weaker companies carrying more debt would come under pressure was fueled by several factors, including the potentially slowing economy, a further rise in short-term yields and the Fed’s inflation-fighting measures.

What key strategies were used to manage the Funds during the twelve-month reporting period ended July 31, 2022?

The Funds’ investment objective is to achieve a high level of current income, consistent with capital preservation by investing primarily in adjustable rate U.S. dollar-denominated secured senior loans and other debt instruments. The investment management team focuses on loans of issuers with businesses in defensive sectors that have strong asset coverage, as well as loans of larger issuance and facility sizes. These loans are generally referred to as broadly syndicated loans. Consistent with their investment policies, the Funds also invest opportunistically in below investment grade corporate bonds to seek relative value opportunities across the capital structure. The Funds use leverage.

During the reporting period, the investment management team actively increased exposure to larger, more liquid loans and publicly traded issuers with listed equity, with a goal of maintaining portfolio liquidity amid escalating market uncertainties. Overall, such issuers tend to operate with greater economies of scale, enabling them to better manage input costs. Doing so may offset potential margin pressures during periods of sharply rising inflation such as that experienced during the reporting period.

How did the Funds perform during the twelve-month reporting period ended July 31, 2022?

For the twelve-month reporting period ended July 31, 2022, all five Funds underperformed the Credit Suisse Leveraged Loan Index. For purposes of this performance commentary, references to relative performance are in comparison to the Credit Suisse Leveraged Loan Index.

The Funds’ use of leverage through bank borrowings, the issuance of preferred shares and, in the case of JQC, reverse repurchase agreements detracted from relative performance during the reporting period. However, the Funds’ use of leverage was accretive to overall common share income. Leverage is discussed in more detail in the Fund Leverage section of this report.

In addition to the use of leverage, the Funds’ allocations to out-of-benchmark high yield corporate bonds detracted from relative results as high yield corporate bonds significantly underperformed senior loans, particularly during the second half of the reporting period. JQC, consistent with its mandate, maintained a higher allocation to high yield corporate bonds compared to NSL, JFR, JRO and JSD, and as a result, experienced a more pronounced negative impact on relative performance compared to the other Funds. The top individual detractors from relative performance included senior loans and corporate bonds of Avaya Inc., a telecommunications equipment manufacturer which announced disappointing earnings during the reporting period. As of the end of the reporting period, the Funds continued to hold these positions in their respective portfolios based on an assessment of their fundamental long-term value.

The Funds’ relative underperformance was partially offset by select holdings in energy-related companies, which contributed positively to relative results given the rise in energy prices during the reporting period. In particular, the post-reorganization equity of exploration and production (E&P) company California Resources Corp. notched gains driven by the energy rally and the firm’s strong earnings. Loans issued by another E&P company, QuarterNorth Energy, Inc. (formerly known as Fieldwood Energy Inc. prior to its debt restructuring), also performed well. Lastly, the equity of power generator Energy Harbor Corp. contributed positively to performance. As of the end of the reporting period, the Funds continued to maintain exposure to all three companies.

 

7


Fund Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage through bank borrowings, Taxable Fund Preferred Shares (TFP) and reverse repurchase agreements for JQC. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income. The opportunity arises when short-term rates that a Fund pays on its leveraging instruments are lower than the interest the Fund earns on its portfolio securities that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been low by historical standards.

However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund’s common shares will experience a greater increase in their net asset value if the securities acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the securities acquired through leverage decline in value. All this will make the shares’ total return performance more variable over time.

In addition, common share income in levered funds will typically decrease in comparison to unlevered funds when shortterm interest rates increase and increase when short-term interest rates decrease. In recent quarters, fund leverage expenses have generally tracked the overall movement of short-term interest rates. While fund leverage expenses are somewhat higher than their recent lows, leverage nevertheless continues to provide the opportunity for incremental common share income, particularly over longer-term periods.

The Funds’ use of leverage detracted from relative performance during the reporting period. However, the Funds’ use of leverage was accretive to overall common share income.

As of July 31, 2022, the Funds’ percentages of leverage are as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    38.42        38.42        38.58        38.45        38.97

Regulatory Leverage*

    38.42        38.42        38.58        38.45        31.82
*

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

 

8


 

THE FUNDS’ LEVERAGE

Bank Borrowings

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

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   Outstanding
Balance as of
August 1, 2021
    Draws     Paydowns    

Outstanding
Balance as of

July 31, 2022

    Average
Balance
Outstanding
           Draws     Paydowns     Outstanding
Balance as of
September 23, 2022
 

NSL

  $ 94,300,000     $     —     $ (1,500,000   $ 92,800,000     $ 94,201,370             $     —     $     —     $ 92,800,000  

JFR

  $ 238,400,000     $     —     $ (5,000,000   $ 233,400,000     $ 238,057,534             $     —     $     —     $ 233,400,000  

JRO

  $ 164,500,000     $     —     $ (2,400,000   $ 162,100,000     $ 164,335,616             $     —     $     —     $ 162,100,000  

JSD

  $ 19,500,000     $     —     $ (1,500,000   $ 18,000,000     $ 19,401,370             $     —     $     —     $ 18,000,000  

JQC

  $ 402,000,000     $     —     $ (156,000,000   $ 246,000,000     $ 380,191,781             $     —     $     —     $ 246,000,000  

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

Reverse Repurchase Agreements

As noted previously, in addition to bank borrowings, JQC also used reverse repurchase agreements, in which the Fund sells to a counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. The Fund’s transactions in reverse repurchase agreements are as shown in the accompanying table.

 

Current Reporting Period             Subsequent to the Close of
the Reporting Period
 
Outstanding
Balance as of
August 1, 2021
     Sales      Purchases      Outstanding
Balance as of
July 31, 2022
     Average Balance
Outstanding
             Sales      Purchases      Outstanding
Balance as of
September 23, 2022
 
  $142,000,000        $    —        $    —        $142,000,000       
$142,000,000
 
              $    —        $    —       
$142,000,000
 

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

 

9


Fund Leverage (continued)

 

Taxable Fund Preferred Shares

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

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   Outstanding
Balance as of
August 1, 2021
    Issuance     Redemptions     Outstanding
Balance as of
July 31, 2022
    Average
Balance
Outstanding
           Issuance     Redemptions     Outstanding
Balance as of
September 23, 2022
 

NSL

  $ 40,000,000     $     —     $     —     $  40,000,000     $  40,000,000             $     —     $     —     $ 40,000,000  

JFR

  $ 100,000,000     $     —     $     —     $ 100,000,000     $ 100,000,000             $     —     $     —     $ 100,000,000  

JRO

  $ 75,000,000     $     —     $     —     $ 75,000,000     $ 75,000,000             $     —     $     —     $ 75,000,000  

JSD

  $ 70,000,000     $     —     $     —     $ 70,000,000     $ 70,000,000             $     —     $     —     $ 70,000,000  

JQC

  $     —     $ 140,000,000     $     —     $ 140,000,000     $ 140,000,000           $     —     $     —     $ 140,000,000  
*

For the period June 8, 2022 (first issuance date of shares) through July 31, 2022.

Refer to Notes to Financial Statements, Note 5 – Fund Shares for further details on TFP.

 

10


Common Share Information

 

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of July 31, 2022 and may differ from previously issued distribution notifications.

NSL, JFR, JRO and JSD

NSL, JFR, JRO and JSD have implemented a level distribution policy. The goal of the Funds’ level distribution policy is intended to provide shareholders with stable, but not guaranteed, cash flow, independent of the amount or timing of income earned or capital gains realized by the Funds. The Funds intend to distribute all or substantially all of their net investment income through their regular monthly distribution and to distribute realized capital gains at least annually. In any monthly period, in order to maintain its level distribution amount, each Fund may pay out more or less than its net investment income during the period. As a result, regular distributions throughout the year are expected to include net investment income, realized gains and return of capital. You should not draw any conclusions about the Funds’ investment performance from the amount of the distribution or from the terms of the level distribution program. A return of capital is a non-taxable distribution of a portion of a Fund’s capital. A return of capital distribution does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.”

JQC

JQC had a capital return plan where a supplemental amount is expected to be included in the Fund’s regular monthly distribution. Under this program, the Fund’s regular monthly distribution was expected to include net investment income, return of capital and potentially capital gains for tax purposes. On September 20, 2021, JQC announced that its Board of Trustees approved the adoption of a level distribution policy. The level distribution policy became effective with the Fund’s distribution payable November 1, 2021.

The amounts and sources of distributions reported in this notice are for financial reporting purposes and are not being provided for tax reporting purposes. The actual amounts and character of the distributions for tax reporting purposes will be reported to shareholders on Form 1099-DIV, which will be sent to shareholders shortly after calendar year-end. Because distribution source estimates are updated throughout the current fiscal year based on a Fund’s performance, those estimates may differ from both the tax information reported to you in your Fund’s 1099 statement, as well as the ultimate economic sources of distributions over the life of your investment. The figures in the table below provide the sources of distributions and may include amounts attributed to realized gains and/or returns of capital. More details about each Fund’s distributions are available on www.nuveen.com/en-us/closed-end-funds.

Data as of July 31, 2022

 

    Current Month
Percentage of Distributions
     Fiscal YTD
Per Share Amounts
 
Fund   Net
Investment
Income
     Realized
Gains
     Return of
Capital
     Total
Distributions
     Net
Investment
Income
     Realized
Gains
     Return of
Capital
 

NSL

    84.82      0.00      15.18    $ 0.4125      $ 0.3499      $ 0.0000      $ 0.0626  

JFR

    87.36      0.00      12.64    $ 0.7040      $ 0.6150      $ 0.0000      $ 0.0890  

JRO

    85.74      0.00      14.26    $ 0.6980      $ 0.5985      $ 0.0000      $ 0.0995  

JSD

    90.45      0.00      9.55    $ 1.0500      $ 0.9497      $ 0.0000      $ 0.1003  

JQC

    72.87      0.00      27.13    $ 0.4774      $ 0.3479      $ 0.0000      $ 0.1295  

 

11


Common Share Information (continued)

 

The following table provides information regarding Fund distributions and total return performance over various time periods. This information is intended to help you better understand whether Fund returns for the specified time periods were sufficient to meet Fund distributions.

Data as of July 31, 2022

 

                  Annualized      Cumulative  
Fund   Inception
Date
     Latest
Monthly
Per Share
Distribution
     Current
Distribution on
NAV
     1-Year
Return on
NAV
     5-Year
Return on
NAV
     Fiscal YTD
Distributions
on NAV
     Fiscal
YTD Return
on NAV
 

NSL

    10/27/1999      $ 0.0385        8.38      (3.03 )%       2.05      7.49      (3.03 )% 

JFR

    3/25/2004      $ 0.0660        8.43      (2.84 )%       2.18      7.50      (2.84 )% 

JRO

    7/27/2004      $ 0.0655        8.44      (2.82 )%       2.17      7.50      (2.82 )% 

JSD

    5/26/2011      $ 0.0985        8.46      (3.52 )%       1.82      7.52      (3.52 )% 

JQC

    6/25/2003      $ 0.0420        8.26      (5.15 )%       1.65      7.83      (5.15 )% 

NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

The Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders are posted on www.nuveen.com and can be found on Nuveen’s enhanced closed-end fund resource page, which is at https://www.nuveen.com/resource-center-closed-end-funds, along with other Nuveen closed-end fund product updates. To ensure timely access to the latest information, shareholders may use a subscribe function, which can be activated at this web page (https://www.nuveen.com/subscriptions).

COMMON SHARE REPURCHASES

During August 2022 (subsequent to the close of the reporting period), the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding common shares.

During the current reporting period, the Funds did not repurchase any of their outstanding common shares. As of July 31, 2022, (and since the inception of the Funds’ repurchase programs) each Fund has cumulatively repurchased and retired its outstanding common shares as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares cumulatively repurchased and retired

    15,400          147,593          39,400          10,000          5,473,400  

Common shares authorized for repurchase

    3,860,000          5,690,000          4,050,000          1,005,000          13,560,000  

 

OTHER COMMON SHARE INFORMATION

As of July 31, 2022, the Funds’ common share prices were trading at a premium/(discount) to their common share NAVs and trading at an average premium/(discount) to NAV during the current reporting period, as follows:

 

     NSL        JFR        JRO        JSD        JQC  

Common share NAV

    $5.51          $9.39          $9.31          $13.97          $6.10  

Common share price

    $5.02          $8.84          $8.67          $12.63          $5.50  

Premium/(Discount) to NAV

    (8.89 )%         (5.86 )%         (6.87 )%         (9.59 )%         (9.84 )% 

Average premium/(discount) to NAV

    (6.34 )%         (4.57 )%         (4.72 )%         (7.25 )%         (8.42 )% 

 

12


THIS PAGE INTENTIONALLY LEFT BLANK

 

13


NSL     

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of July 31, 2022

 

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

Average Annual Total Returns as of July 31, 2022*

 

       Average Annual  
        1-Year        5-Year        10-Year  
NSL at Common Share NAV        (3.03)%          2.05%          4.19%  
NSL at Common Share Price        (5.84)%          1.23%          3.42%  
Credit Suisse Leveraged Loan Index        (0.86)%          3.20%          3.99%  
*

For purposes of Fund performance, relative results are measured against the Credit Suisse Leveraged Loan Index.

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2022 — Common Share Price

 

LOGO

 

14


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     135.7%  
Corporate Bonds     17.8%  
Common Stocks     3.9%  
Warrants     0.9%  
Convertible Preferred Securities     0.1%  
Other Assets Less Liabilities     3.8%  
Net Assets Plus Borrowings and Taxable Fund Preferred Shares, net of deferred offering costs     162.2%  
Borrowings     (43.6)%  
Taxable Fund Preferred Shares, net of deferred offering costs     (18.6)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term investments)

 

B.C. Unlimited Liability Company     1.9%  
Quarternorth Energy Holding Inc     1.6%  
Medline Borrower, LP     1.5%  
Delta 2 (LUX) S.a.r.l     1.3%  
PetSmart, Inc.     1.1%  

Portfolio Composition1

(% of total investments)

 

Hotels, Restaurants & Leisure     13.2%  
Software     11.1%  
Health Care Providers & Services     8.8%  
Media     8.4%  
Oil, Gas & Consumable Fuels     4.4%  
Diversified Telecommunication Services     3.4%  
Specialty Retail     3.1%  
Health Care Equipment & Supplies     3.0%  
IT Services     2.9%  
Insurance     2.8%  
Pharmaceuticals     2.6%  
Communications Equipment     2.6%  
Entertainment     2.3%  
Commercial Services & Supplies     2.3%  
Airlines     2.1%  
Energy Equipment & Services     1.8%  
Professional Services     1.5%  
Machinery     1.4%  
Auto Components     1.3%  
Beverages     1.2%  
Other     19.8%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.7%  
BB or Lower     88.8%  
N/R (not rated)     1.5%  

Total

    100%  
 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

15


JFR     

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of July 31, 2022

 

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

Average Annual Total Returns as of July 31, 2022*

 

    Average Annual  
     1-Year        5-Year        10-Year  
JFR at Common Share NAV     (2.84)%          2.18%          4.37%  
JFR at Common Share Price     (2.59)%          1.44%          4.31%  
Credit Suisse Leveraged Loan Index     (0.86)%          3.20%          3.99%  
*

For purposes of Fund performance, relative results are measured against the Credit Suisse Leveraged Loan Index.

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 30, 2022 — Common Share Price

 

LOGO

 

16


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     136.2%  
Corporate Bonds     17.8%  
Common Stocks     3.7%  
Asset-Backed Securities     2.2%  
Warrants     0.8%  
Convertible Preferred Securities     0.1%  
Short-Term Investment Companies     1.6%  
Other Assets Less Liabilities     (0.1)%  
Net Assets Plus Borrowings and Taxable Fund Preferred Shares, net of deferred offering costs     162.3%  
Borrowings     (43.7)%  
Taxable Fund Preferred Shares, net of deferred offering costs     (18.6)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

B.C. Unlimited Liability Company     2.4%  
Quarternorth Energy Holding Inc     1.5%  
Delta 2 (LUX) S.a.r.l.     1.2%  
Medline Borrower, LP     1.2%  
Clear Channel Outdoor Holdings, Inc.     1.2%  

Portfolio Composition1

(% of total investments)

 

Hotels, Restaurants & Leisure     13.6%  
Software     9.8%  
Media     9.0%  
Health Care Providers & Services     9.0%  
Oil, Gas & Consumable Fuels     4.2%  
Diversified Telecommunication Services     3.1%  
Insurance     3.0%  
Specialty Retail     2.9%  
Health Care Equipment & Supplies     2.7%  
IT Services     2.6%  
Pharmaceuticals     2.6%  
Communications Equipment     2.3%  
Commercial Services & Supplies     2.3%  
Entertainment     2.1%  
Airlines     1.9%  
Energy Equipment & Services     1.6%  
Road & Rail     1.3%  
Machinery     1.3%  
Auto Components     1.2%  
Building Products     1.2%  
Other     19.9%  
Asset-Backed Securities     1.4%  
Short-Term Investment Companies     1.0%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.3%  
BB or Lower     88.2%  
N/R (not rated)     1.5%  

Total

    100%  
 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

17


JRO     

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of July 31, 2022

 

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

Average Annual Total Returns as of July 31, 2022*

 

       Average Annual  
        1-Year        5-Year        10-Year  
JRO at Common Share NAV        (2.82)%          2.17%          4.52%  
JRO at Common Share Price        (3.76)%          1.05%          4.03%  
Credit Suisse Leveraged Loan Index        (0.86)%          3.20%          3.99%  
*

For purposes of Fund performance, relative results are measured against the Credit Suisse Leveraged Loan Index.

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2022 — Common Share Price

 

LOGO

 

18


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests      135.7%  
Corporate Bonds      18.1%  
Common Stocks      3.7%  
Asset-Backed Securities      1.9%  
Warrants      0.8%  
Convertible Preferred Securities      0.1%  
Short-Term Investment Companies      2.7%  
Other Assets Less Liabilities      (0.3)%  
Net Assets Plus Borrowings and Taxable Fund Preferred Shares, net of deferred offering costs      162.7%  
Borrowings      (42.9)%  
Taxable Fund Preferred Shares, net of deferred offering costs      (19.8)%  

Net Assets

     100%  

Top Five Issuers

(% of total long-term investments)

 

B.C. Unlimited Liability Company      2.4%  
Quarternorth Energy Holding Inc      1.5%  
Medline Borrower, LP      1.3%  
Delta 2 (LUX) S.a.r.l.      1.2%  
Caesars Resort Collection, LLC      1.2%  

Portfolio Composition1

(% of total investments)

 

Hotels, Restaurants & Leisure      13.7%  
Software      9.7%  
Media      9.2%  
Health Care Providers & Services      9.1%  
Oil, Gas & Consumable Fuels      4.1%  
Diversified Telecommunication Services      3.1%  
Specialty Retail      2.9%  
IT Services      2.9%  
Health Care Equipment & Supplies      2.7%  
Insurance      2.7%  
Commercial Services & Supplies      2.4%  
Communications Equipment      2.3%  
Pharmaceuticals      2.3%  
Entertainment      2.0%  
Airlines      1.9%  
Energy Equipment & Services      1.7%  
Machinery      1.6%  
Road & Rail      1.3%  
Professional Services      1.3%  
Building Products      1.3%  
Other      19.0%  
Asset-Backed Securities      1.2%  
Short-Term Investment Companies      1.6%  

Total

     100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.9%  
BB or Lower     88.4%  
N/R (not rated)     1.7%  

Total

    100%  
 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

19


JSD     

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of July 31, 2022

 

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

Average Annual Total Returns as of July 31, 2022*

 

       Average Annual  
        1-Year        5-Year        10-Year  
JSD at Common Share NAV        (3.52)%          1.82%          3.94%  
JSD at Common Share Price        (5.50)%          0.78%          3.43%  
Credit Suisse Leveraged Loan Index        (0.86)%          3.20%          3.99%  
*

For purposes of Fund performance, relative results are measured against the Credit Suisse Leveraged Loan Index.

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2022 — Common Share Price

 

LOGO

 

20


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     136.7%  
Corporate Bonds     19.2%  
Common Stocks     4.0%  
Warrants     0.9%  
Convertible Preferred Securities     0.1%  
Short-term Investment Companies     3.6%  
Other Assets Less Liabilities     (2.3)%  
Net Assets Plus Borrowings and Taxable Fund Preferred Shares, net of deferred offering costs     162.2%  
Borrowings     (12.8)%  
Taxable Fund Preferred Shares, net of deferred offering costs     (49.4)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Caesars Resort Collection, LLC,     1.6%  
Delta 2 (LUX) S.a.r.l.     1.4%  
Medline Borrower, LP     1.3%  
PetSmart, Inc.     1.1%  
CenturyLink, Inc.     1.1%  

Portfolio Composition1

(% of total investments)

 

Hotels, Restaurants & Leisure     11.9%  
Software     10.8%  
Health Care Providers & Services     9.2%  
Media     6.5%  
Oil, Gas & Consumable Fuels     4.8%  
Diversified Telecommunication Services     3.4%  
IT Services     3.3%  
Health Care Equipment & Supplies     3.0%  
Specialty Retail     3.0%  
Communications Equipment     2.5%  
Pharmaceuticals     2.4%  
Commercial Services & Supplies     2.3%  
Insurance     2.2%  
Airlines     2.2%  
Entertainment     2.1%  
Energy Equipment & Services     1.7%  
Machinery     1.7%  
Aerospace & Defense     1.4%  
Beverages     1.3%  
Auto Components     1.3%  
Wireless Telecommunication Services     1.3%  
Other     19.5%  
Short-term Investment Companies     2.2%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.3%  
BB or Lower     89.0%  
N/R (not rated)     1.7%  

Total

    100%  
 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

21


JQC     

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of July 31, 2022

 

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

Average Annual Total Returns as of July 31, 2022*

 

    Average Annual  
     1-Year        5-Year        10-Year  
JQC at Common Share NAV     (5.15)%          1.65%          3.84%  
JQC at Common Share Price     (8.93)%          2.08%          4.00%  
Credit Suisse Leveraged Loan Index     (0.86)%          3.20%          3.99%  
*

For purposes of Fund performance, relative results are measured against the Credit Suisse Leveraged Loan Index.

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2022 — Common Share Price

 

LOGO

 

22


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     137.4%  
Corporate Bonds     22.9%  
Common Stocks     1.3%  
Warrants     0.3%  
Convertible Bonds     0.2%  
Convertible Preferred Securities     0.0%  
Short-term Investment Companies     1.6%  
Other Assets Less Liabilities     0.1%  
Net Assets Plus Borrowings, Reverse Repurchase Agreements and Taxable Fund Preferred Shares, net of deferred offering costs     163.8%  
Borrowings     (29.8)%  
Reverse Repurchase Agreements     (17.2)%  
Taxable Fund Preferred Shares, net of deferred offering costs     (16.8)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Medline Borrower, LP     1.3%  
Acrisure, LLC     1.2%  
Sabre GLBL Inc.     1.2%  
PetSmart, Inc.     1.2%  
RegionalCare Hospital Partners Holdings, Inc.     1.1%  

Portfolio Composition1

(% of total investments)

 

Hotels, Restaurants & Leisure     11.1%  
Software     10.8%  
Media     9.5%  
Health Care Providers & Services     9.1%  
Insurance     4.3%  
Airlines     3.9%  
Oil, Gas & Consumable Fuels     3.6%  
IT Services     3.6%  
Specialty Retail     3.1%  
Health Care Equipment & Supplies     3.0%  
Communications Equipment     2.5%  
Diversified Telecommunication Services     2.5%  
Commercial Services & Supplies     2.3%  
Pharmaceuticals     1.9%  
Entertainment     1.7%  
Professional Services     1.7%  
Machinery     1.7%  
Chemicals     1.6%  
Trading Companies & Distributors     1.5%  
Other     19.6%  
Short-term Investment Companies     1.0%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     11.3%  
BB or Lower     87.2%  
N/R (not rated)     1.5%  

Total

    100%  
 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

23


Shareholder Meeting Report

 

The annual meeting of shareholders was held on April 8, 2022 for NSL, JFR, JRO, JSD and JQC. The meeting was held virtually due to public health concerns regarding the ongoing COVID-19 pandemic; at this meeting the shareholders were asked to elect Board members.

 

     NSL     JFR     JRO     JSD     JQC  
    

Common and
Preferred
shares voting
together

as a class

    Preferred
Shares
   

Common and
Preferred
shares voting
together

as a class

    Preferred
Shares
   

Common and
Preferred
shares voting
together

as a class

    Preferred
Shares
   

Common and
Preferred
shares voting
together

as a class

    Preferred
Shares
    Common
Shares
 

Approval of the Board Members was reached as follows:

                 

Judith M. Stockdale

                 

For

    26,882,992             44,127,175             30,612,984             4,814,128             93,453,198  

Withhold

    1,149,514             731,553             654,334             3,054,815             10,773,654  

Total

    28,032,506             44,858,728             31,267,318             7,868,943             104,226,852  

Carole E. Stone

                 

For

    26,994,468             44,169,119             30,618,335             4,825,231             93,347,955  

Withhold

    1,038,038             689,609             648,983             3,043,712             10,878,897  

Total

    28,032,506             44,858,728             31,267,318             7,868,943             104,226,852  

Margaret L. Wolff

                 

For

    27,241,603             44,176,024             30,684,165             4,836,090             101,615,425  

Withhold

    790,903             682,704             583,153             3,032,853             2,611,427  

Total

    28,032,506             44,858,728             31,267,318             7,868,943             104,226,852  

William C. Hunter

                 

For

          40,000             100,000             75,000             70,000       101,666,286  

Withhold

                                                    2,560,566  

Total

          40,000             100,000             75,000             70,000       104,226,852  

Albin F. Moschner

                 

For

          40,000             100,000             75,000             70,000        

Withhold

                                                     

Total

          40,000             100,000             75,000             70,000        

 

24


Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees

Nuveen Senior Income Fund

Nuveen Floating Rate Income Fund

Nuveen Floating Rate Income Opportunity Fund

Nuveen Short Duration Credit Opportunities Fund

Nuveen Credit Strategies Income Fund:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, Nuveen Short Duration Credit Opportunities Fund, and Nuveen Credit Strategies Income Fund (the Funds), including the portfolios of investments, as of July 31, 2022, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2022, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2022, by correspondence with custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the auditor of one or more Nuveen investment companies since 2014.

Chicago, Illinois

September 28, 2022

 

25


NSL   

Nuveen Senior Income Fund

 

Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
 

LONG-TERM INVESTMENTS – 158.4%(100.0% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 135.7% (85.7% of Total Investments) (2)

 

      Aerospace & Defense – 1.6% (1.0% of Total Investments)  
$ 1,032    

Sequa Mezzanine Holdings L.L.C., Term Loan, (cash 6.750%, PIK 1.000%)

    8.303%        3-Month LIBOR        6.750%        7/31/23        B–      $ 1,029,580  
  1,074    

TransDigm, Inc., Term Loan E, (DD1)

    4.622%        1-Month LIBOR        2.250%        5/30/25        Ba3        1,046,541  
  787    

TransDigm, Inc., Term Loan F

    4.622%        1-Month LIBOR        2.250%        12/09/25        Ba3        766,328  
  680    

TransDigm, Inc., Term Loan G

    4.622%        1-Month LIBOR        2.250%        8/22/24        Ba3        667,920  
  3,573    

Total Aerospace & Defense

                                                 3,510,369  
      Airlines – 3.1% (2.0% of Total Investments)  
  1,117    

AAdvantage Loyalty IP Ltd., Term Loan, (DD1)

    7.460%        3-Month LIBOR        4.750%        4/20/28        Ba2        1,103,265  
  187    

American Airlines, Inc., Term Loan

    2.840%        6-Month LIBOR        2.000%        12/14/23        Ba3        183,943  
  752    

American Airlines, Inc., Term Loan, First Lien

    4.122%        1-Month LIBOR        1.750%        1/29/27        Ba3        688,708  
  1,688    

Kestrel Bidco Inc., Term Loan B, (DD1)

    5.030%        3-Month LIBOR        3.000%        12/11/26        BB–        1,489,233  
  580    

Mileage Plus Holdings LLC, Term Loan B, (DD1)

    7.313%        3-Month LIBOR        5.250%        6/20/27        Baa3        585,800  
  1,075    

SkyMiles IP Ltd., Term Loan B

    6.460%        3-Month LIBOR        3.750%        10/20/27        Baa1        1,088,706  
  1,481    

United Airlines, Inc., Term Loan B

    6.533%        1-Month LIBOR        3.750%        4/21/28        Ba1        1,431,813  
  6,880    

Total Airlines

                                                 6,571,468  
      Auto Components – 1.2% (0.7% of Total Investments)  
  123    

Adient US LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/08/28        BB+        119,135  
  1,268    

Clarios Global LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/30/26        B1        1,224,459  
  51    

DexKo Global Inc., Term Loan

    5.402%        1-Month LIBOR        3.750%        10/04/28        B1        46,284  
  268    

DexKo Global Inc., Term Loan B

    5.982%        3-Month LIBOR        3.750%        10/04/28        B1        242,991  
  898    

Superior Industries International, Inc., Term Loan B, First Lien

    6.372%        1-Month LIBOR        4.000%        5/23/24        Ba3        873,826  
  2,608    

Total Auto Components

                                                 2,506,695  
      Beverages – 2.0% (1.2% of Total Investments)  
  611    

Arterra Wines Canada, Inc., Term Loan

    5.750%        3-Month LIBOR        3.500%        11/25/27        B1        576,348  
  466    

City Brewing Company, LLC, Term Loan

    5.298%        1-Month LIBOR        3.500%        4/05/28        B        407,297  
  1,000    

Naked Juice LLC, Term Loan

    5.541%        SOFR90A        3.250%        1/20/29        Ba3        958,125  
  135    

Naked Juice LLC, Term Loan, Second Lien

    8.154%        3-Month LIBOR        6.000%        1/20/30        B3        124,763  
  1,125    

Pegasus Bidco BV, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        1,085,625  
  1,173    

Triton Water Holdings, Inc, Term Loan

    5.750%        3-Month LIBOR        3.500%        3/31/28        B1        1,045,401  
  4,510    

Total Beverages

                                                 4,197,559  
      Biotechnology – 1.0% (0.6% of Total Investments)  
  2,268    

Grifols Worldwide Operations USA, Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        11/15/27        BB+        2,175,089  
      Building Products – 1.9% (1.2% of Total Investments)  
  1,717    

Chamberlain Group Inc, Term Loan B

    5.872%        1-Month LIBOR        3.500%        10/22/28        B+        1,604,092  
  1,122    

Cornerstone Building Brands, Inc., Term Loan B

    5.249%        1-Month LIBOR        3.250%        4/12/28        B        961,672  
  1,049    

Quikrete Holdings, Inc., Term Loan, First Lien

    4.997%        1-Month LIBOR        2.625%        1/31/27        Ba2        994,260  
  333    

Standard Industries Inc., Term Loan B

    3.788%        6-Month LIBOR        2.500%        9/22/28        BBB–        328,409  
  179    

Zurn Holdings, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        10/04/28        Ba3        176,783  
  4,400    

Total Building Products

                                                 4,065,216  
      Capital Markets – 0.5% (0.3% of Total Investments)  
  1,229    

Astra Acquisition Corp., Term Loan, First Lien

    7.622%        1-Month LIBOR        5.250%        10/22/28        BB–        1,046,336  
      Chemicals – 1.6% (1.0% of Total Investments)  
  319    

ASP Unifrax Holdings Inc, Term Loan B

    6.000%        3-Month LIBOR        3.750%        12/12/25        BB        292,373  
  824    

Atotech B.V., Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/18/28        B+        818,093  
  588    

Diamond (BC) B.V., Term Loan B

    5.339%        1 + 3 Month LIBOR        2.750%        9/29/28        Ba3        562,906  
  394    

INEOS Styrolution US Holding LLC, Term Loan B

    5.122%        1-Month LIBOR        2.750%        1/29/26        BB+        374,699  
  652    

Ineos US Finance LLC, Term Loan B

    4.593%        2-Month LIBOR        2.000%        3/31/24        BBB–        637,524  
  85    

Kraton Corporation, Term Loan

    5.109%       
CME Term SOFR
3 Month
 
 
     3.250%        3/15/29        BB        83,330  
  477    

PMHC II, Inc., Term Loan B

    6.977%        SOFR90A        4.250%        2/03/29        B–        414,763  

 

26


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Chemicals (continued)  
$ 190    

Trinseo Materials Operating SCA, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Ba2      $ 179,746  
  3,529    

Total Chemicals

                                                 3,363,434  
      Commercial Services & Supplies – 2.6% (1.7% of Total Investments)  
  720    

Amentum Government Services Holdings LLC, Term Loan

    5.187%        SOFR90A        4.000%        2/07/29        B1        700,873  
  299    

Anticimex International AB, Term Loan B1

    5.098%        3-Month LIBOR        3.500%        11/16/28        B        288,674  
  501    

Covanta Holding Corporation, Term Loan B

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        491,269  
  38    

Covanta Holding Corporation, Term Loan C

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        36,891  
  433    

Garda World Security Corporation, Term Loan B

    6.470%        1-Month LIBOR        4.250%        10/30/26        BB+        410,668  
  1,026    

GFL Environmental Inc., Term Loan

    5.806%        3-Month LIBOR        3.000%        5/30/25        N/R        1,019,841  
  1,602    

Intrado Corporation, Term Loan

    6.372%        1-Month LIBOR        4.000%        10/10/24        B2        1,343,435  
  289    

Prime Security Services Borrower, LLC, Term Loan

    5.697%        6-Month LIBOR        2.750%        9/23/26        BB–        281,905  
  300    

Vertical US Newco Inc, Term Loan B

    6.871%        6-Month LIBOR        3.500%        7/31/27        B+        290,327  
  361    

West Corporation, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        10/10/24        B2        304,384  
  485    

WIN Waste Innovations Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        3/25/28        B+        472,245  
  6,054    

Total Commercial Services & Supplies

                                                 5,640,512  
      Communications Equipment – 2.8% (1.7% of Total Investments)  
  621    

CommScope, Inc., Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/04/26        B1        586,030  
  1,481    

Delta TopCo, Inc., Term Loan B

    5.836%        3-Month LIBOR        3.750%        12/01/27        B2        1,402,425  
  1,980    

Maxar Technologies Ltd., Term Loan B

    6.677%        SOFR30A        4.250%        6/09/29        B        1,901,424  
  1,979    

MLN US HoldCo LLC, Term Loan, First Lien

    6.307%        1-Month LIBOR        4.500%        11/30/25        B3        1,287,300  
  990    

Riverbed Technology, Inc., Exit Term Loan (cash 7.000%, PIK 2.000%) (5)

    4.815%        3-Month LIBOR        2.000%        12/07/26        Caa1        471,884  
  250    

ViaSat, Inc., Term Loan

    6.941%        SOFR30A        4.500%        3/04/29        BB+        234,375  
  7,301    

Total Communications Equipment

                                                 5,883,438  
      Construction & Engineering – 0.9% (0.6% of Total Investments)  
  462    

Aegion Corporation, Term Loan

    6.906%        1-Month LIBOR        4.750%        5/17/28        B        417,092  
  387    

Brand Energy & Infrastructure Services, Inc., Term Loan

    6.711%        3-Month LIBOR        4.250%        6/21/24        B–        354,251  
  618    

Centuri Group, Inc, Term Loan B

    3.560%        3-Month LIBOR        2.500%        8/27/28        Ba2        597,771  
  361    

Osmose Utilities Services, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        6/22/28        B        336,935  
  216    

Pike Corporation, Term Loan B

    5.380%        1-Month LIBOR        3.000%        1/21/28        Ba3        210,564  
  2,044    

Total Construction & Engineering

                                                 1,916,613  
      Consumer Finance – 0.8% (0.5% of Total Investments)  
  1,735    

Fleetcor Technologies Operating Company, LLC, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/30/28        BB+        1,697,163  
      Containers & Packaging – 1.8% (1.2% of Total Investments)  
  880    

Berry Global, Inc., Term Loan Z

    4.178%        3-Month LIBOR        1.750%        7/01/26        BBB–        866,997  
  616    

Charter NEX US, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        12/01/27        B        593,069  
  430    

Clydesdale Acquisition Holdings Inc, Term Loan B

    6.602%        SOFR30A        4.175%        3/30/29        B        414,266  
  41    

Klockner-Pentaplast of America, Inc., Term Loan B

    5.554%        6-Month LIBOR        4.750%        2/09/26        B        36,449  
  496    

Reynolds Group Holdings Inc. , Term Loan B

    5.872%        1-Month LIBOR        3.500%        9/24/28        B+        481,541  
  319    

Reynolds Group Holdings Inc. , Term Loan B2

    5.622%        1-Month LIBOR        3.250%        2/05/26        B+        310,629  
  1,269    

TricorBraun Holdings, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/03/28        B2        1,206,181  
  4,051    

Total Containers & Packaging

                                                 3,909,132  
      Diversified Consumer Services – 0.5% (0.3% of Total Investments)  
  335    

GT Polaris, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        9/24/27        BB–        319,280  
  740    

Spin Holdco Inc., Term Loan

    5.611%        3-Month LIBOR        4.000%        3/04/28        B–        685,889  
  1,075    

Total Diversified Consumer Services

                                                 1,005,169  
      Diversified Financial Services – 1.6% (1.0% of Total Investments)  
  121    

Avaya, Inc., Term Loan B2

    5.999%        1-Month LIBOR        4.000%        12/15/27        BB–        62,439  
  1,002    

Avolon TLB Borrower 1 (US) LLC, Term Loan B3

    3.876%        1-Month LIBOR        1.750%        1/15/25        Baa2        983,741  
  1,902    

Avolon TLB Borrower 1 (US) LLC, Term Loan B4

    3.626%        1-Month LIBOR        1.500%        2/12/27        Baa2        1,836,854  
  943    

Ditech Holding Corporation, Term Loan (5)

    0.000%        N/A        N/A        12/19/22        N/R        113,141  
  350    

Trans Union, LLC, Term Loan B6

    4.622%        1-Month LIBOR        2.250%        12/01/28        BBB–        342,704  
  4,318    

Total Diversified Financial Services

                                                 3,338,879  

 

27


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Telecommunication Services – 4.3% (2.7% of Total Investments)  
$ 585    

Altice France S.A., Term Loan B12

    6.200%        3-Month LIBOR        3.688%        1/31/26        B      $ 554,254  
  2,896    

Altice France S.A., Term Loan B13

    5.411%        3-Month LIBOR        4.000%        8/14/26        B        2,761,363  
  2,892    

CenturyLink, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/15/27        BBB–        2,761,627  
  443    

Cincinnati Bell, Inc., Term Loan B2

    5.677%        SOFR30A        3.250%        11/23/28        B+        432,467  
  639    

Connect Finco Sarl, Term Loan B

    5.880%        1-Month LIBOR        3.500%        12/12/26        B+        617,566  
  425    

Cyxtera DC Holdings, Inc., Term Loan B, (DD1)

    5.790%        3-Month LIBOR        3.000%        5/01/24        B        410,757  
  1,731    

Frontier Communications Corp., Term Loan B

    6.063%        3-Month LIBOR        3.750%        10/08/27        BB+        1,659,322  
  9,611    

Total Diversified Telecommunication Services

                                                 9,197,356  
      Electric Utilities – 0.5% (0.3% of Total Investments)  
  530    

ExGen Renewables IV, LLC, Term Loan

    4.080%        3-Month LIBOR        2.500%        12/15/27        BB–        520,918  
  490    

Pacific Gas & Electric Company, Term Loan

    5.375%        1-Month LIBOR        3.000%        6/23/25        BB        474,533  
  1,020    

Total Electric Utilities

                                                 995,451  
      Electronic Equipment, Instruments & Components – 1.5% (0.9% of Total Investments)  
  700    

II-VI Incorporated, Term Loan B

    4.463%        3-Month LIBOR        2.750%        7/01/29        BBB–        683,081  
  1,386    

Ingram Micro Inc., Term Loan B

    5.750%        3-Month LIBOR        3.500%        7/02/28        BB+        1,363,477  
  866    

TTM Technologies, Inc., Term Loan

    4.213%        1-Month LIBOR        2.500%        9/28/24        BB+        864,792  
  256    

Vertiv Group Corporation, Term Loan B

    4.548%        1-Month LIBOR        2.750%        3/02/27        BB–        244,368  
  3,208    

Total Electronic Equipment, Instruments & Components

                                                 3,155,718  
      Energy Equipment & Services – 0.0% (0.0% of Total Investments)  
  67    

Petroleum Geo-Services ASA, Term Loan

    9.815%        1 + 3 Month LIBOR        7.500%        3/19/24        N/R        63,316  
      Entertainment – 2.4% (1.5% of Total Investments)  
  878    

AMC Entertainment Holdings, Inc. , Term Loan B, (DD1)

    4.872%        1-Month LIBOR        3.000%        4/22/26        B–        764,254  
  2,552    

Crown Finance US, Inc., Term Loan

    4.000%        3-Month LIBOR        2.500%        2/28/25        CCC        1,651,038  
  294    

Crown Finance US, Inc., Term Loan

    4.250%        3-Month LIBOR        2.750%        9/20/26        CCC        180,993  
  216    

Crown Finance US, Inc., Term Loan B1

    10.076%        6-Month LIBOR        8.250%        5/23/24        B–        225,821  
  297    

Diamond Sports Group, LLC, Term Loan

    9.786%        1-Month LIBOR        8.000%        5/19/26        B        283,131  
  761    

Diamond Sports Group, LLC, Term Loan, Second Lien

    5.036%        SOFR30A        3.250%        8/24/26        CCC+        154,979  
  327    

Lions Gate Capital Holdings LLC, Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/24/25        Ba2        317,359  
  639    

Springer Nature Deutschland GmbH, Term Loan B18

    3.804%        3-Month LIBOR        3.000%        8/14/26        BB+        625,323  
  355    

Univision Communications Inc., Term Loan C5

    5.122%        1-Month LIBOR        2.750%        3/15/24        B+        352,239  
  630    

Virgin Media Bristol LLC, Term Loan Q

    5.249%        1-Month LIBOR        3.250%        1/31/29        BB+        623,026  
  6,949    

Total Entertainment

                                                 5,178,163  
      Food & Staples Retailing – 0.6% (0.4% of Total Investments)  
  480    

American Seafoods Group LLC, Term Loan, First Lien

    4.310%        3-Month LIBOR        2.750%        8/21/23        BB–        471,895  
  372    

US Foods, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        363,059  
  458    

US Foods, Inc., Term Loan B

    4.325%        3-Month LIBOR        2.750%        11/22/28        BB        448,976  
  1,310    

Total Food & Staples Retailing

                                                 1,283,930  
      Food Products – 0.8% (0.5% of Total Investments)  
  414    

CHG PPC Parent LLC, Term Loan

    5.375%        1-Month LIBOR        3.000%        12/08/28        B1        399,991  
  172    

Froneri International Ltd., Term Loan

    4.622%        1-Month LIBOR        2.250%        1/31/27        B+        165,029  
  313    

H Food Holdings LLC, Term Loan B

    5.354%        1-Month LIBOR        3.688%        5/31/25        B2        282,904  
  29    

H Food Holdings LLC, Term Loan B3

    6.666%        1-Month LIBOR        5.000%        5/31/25        B2        27,108  
  500    

Sycamore Buyer LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        488,440  
  437    

UTZ Quality Foods, LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        1/20/28        B1        425,115  
  1,865    

Total Food Products

                                                 1,788,587  
      Health Care Equipment & Supplies – 4.7% (3.0% of Total Investments)  
  2,100    

Bausch & Lomb, Inc., Term Loan, (DD1)

    4.549%        SOFR30A        3.250%        5/05/27        BB+        1,996,753  
  1,399    

Carestream Health, Inc., Term Loan

    9.500%        3-Month LIBOR        7.250%        5/08/23        B1        1,392,431  
  206    

Embecta Corp, Term Loan B

    5.054%        SOFR90A        3.000%        1/27/29        Ba3        201,242  
  399    

ICU Medical, Inc., Term Loan B

    4.604%        SOFR90A        2.650%        12/14/28        BBB–        387,429  
  5,107    

Medline Borrower, LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        10/21/28        BB–        4,890,144  
  941    

Viant Medical Holdings, Inc., Term Loan, First Lien

    6.122%        1-Month LIBOR        3.750%        7/02/25        B3        874,662  
  450    

Vyaire Medical, Inc., Term Loan B

    7.035%        3-Month LIBOR        4.750%        4/30/25        Caa1        332,920  
  10,602    

Total Health Care Equipment & Supplies

                                                 10,075,581  

 

28


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services – 11.7% (7.4% of Total Investments)  
$ 1,241    

AHP Health Partners, Inc., Term Loan B

    5.872%        1-Month LIBOR        3.500%        8/23/28        B1      $ 1,174,717  
  2,824    

Change Healthcare Holdings LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/01/24        B+        2,796,035  
  523    

DaVita, Inc. , Term Loan B, (DD1)

    4.122%        1-Month LIBOR        1.750%        8/12/26        BBB–        496,910  
  137    

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        131,938  
  63    

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        60,895  
  799    

Gainwell Acquisition Corp., Term Loan B

    6.250%        3-Month LIBOR        4.000%        10/01/27        BB–        776,985  
  198    

Global Medical Response, Inc., Term Loan

    6.622%        1-Month LIBOR        4.250%        3/14/25        B        190,146  
  1,856    

Global Medical Response, Inc., Term Loan B

    5.963%        1-Month LIBOR        4.250%        10/02/25        B        1,779,261  
  2,210    

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        2,175,328  
  634    

National Mentor Holdings, Inc., Term Loan, (DD1)

    6.070%        1 + 3 Month LIBOR        3.750%        3/02/28        B–        542,054  
  12    

National Mentor Holdings, Inc., Term Loan C

    6.010%        3-Month LIBOR        3.750%        3/02/28        B–        10,493  
  975    

Onex TSG Intermediate Corp., Term Loan B

    7.122%        1-Month LIBOR        4.750%        2/26/28        B        892,262  
  3,558    

Parexel International Corporation, Term Loan, First Lien, (DD1)

    4.916%        1-Month LIBOR        3.250%        11/15/28        B1        3,475,250  
  1,060    

Phoenix Guarantor Inc, Term Loan B

    5.622%        1-Month LIBOR        3.250%        3/05/26        B1        1,021,029  
  987    

Phoenix Guarantor Inc, Term Loan B3

    5.759%        1-Month LIBOR        3.500%        3/05/26        B1        953,693  
  103    

Quorum Health Corporation, Term Loan (5)

    10.598%        3-Month LIBOR        8.250%        4/29/25        B–        67,061  
  2,842    

RegionalCare Hospital Partners Holdings, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/16/25        B1        2,691,360  
  1,253    

Select Medical Corporation, Term Loan B

    4.880%        1-Month LIBOR        2.500%        3/06/25        Ba2        1,228,113  
  2,689    

Surgery Center Holdings, Inc., Term Loan, (DD1)

    5.630%        1-Month LIBOR        3.750%        8/31/26        B1        2,589,431  
  864    

Team Health Holdings, Inc., Term Loan B

    6.913%       
SOFR30A +
3 Month LIBOR
 
 
     5.250%        2/17/27        B        713,244  
  406    

Team Health Holdings, Inc., Term Loan, First Lien

    5.122%        1-Month LIBOR        2.750%        2/06/24        B        365,636  
  741    

US Radiology Specialists, Inc., Term Loan

    7.563%        3-Month LIBOR        5.250%        12/15/27        B–        697,325  
  25,975    

Total Health Care Providers & Services

                                                 24,829,166  
      Health Care Technology – 0.8% (0.5% of Total Investments)  
  109    

Athenahealth, Inc., Term Loan (6)

    3.500%        1-Month LIBOR        3.500%        1/27/29        B+        103,917  
  561    

Athenahealth, Inc., Term Loan B

    5.653%        SOFR30A        3.500%        1/27/29        B+        536,630  
  1,140    

Carestream Health, Inc., Term Loan, Second Lien (cash 5.500%, PIK 8.000%)

    7.375%        3-Month LIBOR        8.000%        8/05/23        Caa1        996,499  
  1,810    

Total Health Care Technology

                                                 1,637,046  
      Hotels, Restaurants & Leisure – 20.1% (12.7% of Total Investments)  
  245    

24 Hour Fitness Worldwide, Inc., Exit Term Loan (cash 0.220%, PIK 5.000%)

    7.232%        3-Month LIBOR        5.000%        12/29/25        CCC–        82,220  
  104    

24 Hour Fitness Worldwide, Inc., Exit Term Loan

    15.913%        3-Month LIBOR        14.000%        9/29/26        Caa3        101,468  
  296    

Alterra Mountain Company, Term Loan

    5.872%        1-Month LIBOR        3.500%        8/17/28        B        286,147  
  1,305    

Alterra Mountain Company, Term Loan B1

    5.122%        1-Month LIBOR        2.750%        7/31/24        B        1,272,465  
  555    

Aramark Services, Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        3/11/25        BB+        540,460  
  6,728    

B.C. Unlimited Liability Company, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        11/19/26        BB+        6,538,594  
  3,140    

Caesars Resort Collection, LLC, Term Loan B, First Lien

    5.122%        1-Month LIBOR        2.750%        12/22/24        B+        3,077,949  
  474    

Caesars Resort Collection, LLC, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        7/20/25        B+        466,166  
  481    

Carnival Corporation, Term Loan B

    6.127%        6-Month LIBOR        3.250%        10/18/28        Ba2        448,101  
  958    

Carnival Corporation, Term Loan B, (DD1)

    5.877%        6-Month LIBOR        3.000%        6/30/25        Ba2        916,877  
  1,178    

Churchill Downs Incorporated, Term Loan B1, (DD1)

    4.380%        1-Month LIBOR        2.000%        3/17/28        BBB–        1,135,773  
  2,632    

ClubCorp Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        9/18/24        B2        2,430,658  
  574    

Crown Finance US, Inc., Term Loan, (DD1) (6)

    4.260%        3-Month LIBOR        3.000%        5/31/23        CCC+        438,154  
  399    

Crown Finance US, Inc., Term Loan B1 (cash 7.132%, PIK 8.250%)

    7.625%        3-Month LIBOR        8.250%        5/23/24        B–        441,937  
  4,501    

Delta 2 (LUX) S.a.r.l., Term Loan

    4.872%        1-Month LIBOR        2.500%        2/01/24        BB–        4,466,195  
  1,571    

Equinox Holdings, Inc., Term Loan, First Lien

    5.250%        3-Month LIBOR        3.000%        3/08/24        CCC        1,139,809  
  3,087    

Fertitta Entertainment, LLC, Term Loan B

    6.327%        SOFR30A        4.000%        1/27/29        B        2,952,384  
  465    

Four Seasons Hotels Limited, Term Loan, First Lien

    4.372%        1-Month LIBOR        2.000%        11/30/23        BB+        462,473  
  496    

Hilton Grand Vacations Borrower LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        8/02/28        BB+        487,628  
  1,234    

Hilton Worldwide Finance, LLC, Term Loan B2

    3.964%        1-Month LIBOR        1.750%        6/21/26        BBB–        1,217,630  
  1,748    

IRB Holding Corp, Term Loan B

    4.874%        SOFR30A        3.150%        12/15/27        B+        1,681,500  
  628    

Life Time Fitness Inc , Term Loan B

    6.325%        3-Month LIBOR        4.750%        12/15/24        B        620,666  
  589    

NASCAR Holdings, Inc, Term Loan B, (DD1)

    4.872%        1-Month LIBOR        2.500%        10/18/26        BBB–        581,204  
  548    

PCI Gaming Authority, Term Loan

    4.872%        1-Month LIBOR        2.500%        5/31/26        BBB–        533,601  
  439    

Penn National Gaming, Inc., Term Loan B

    5.177%        SOFR30A        2.750%        4/20/29        BB        430,249  
  510    

Scientific Games Holdings LP, Term Loan B

    5.617%        SOFR90A        3.500%        2/04/29        BB–        488,764  

 

29


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Hotels, Restaurants & Leisure (continued)  
$ 1,714    

Scientific Games International, Inc., Term Loan

    5.044%        SOFR30A        3.000%        4/07/29        BB      $ 1,679,009  
  993    

SeaWorld Parks & Entertainment, Inc., Term Loan B

    5.375%        1-Month LIBOR        3.000%        8/25/28        BB–        949,386  
  3,295    

Stars Group Holdings B.V. (The), Term Loan, (DD1)

    4.500%        3-Month LIBOR        2.250%        7/10/25        BBB        3,238,313  
  1,441    

Station Casinos LLC, Term Loan B

    4.630%        1-Month LIBOR        2.250%        2/08/27        BB–        1,406,157  
  746    

Twin River Worldwide Holdings, Inc., Term Loan B

    5.048%        1-Month LIBOR        3.250%        10/01/28        BB+        709,639  
  1,000    

William Morris Endeavor Entertainment, LLC, Term Loan, First Lien

    5.130%        1-Month LIBOR        2.750%        5/16/25        B        962,664  
  715    

Wyndham Hotels & Resorts, Inc., Term Loan B

    4.122%        1-Month LIBOR        1.750%        5/30/25        BBB–        707,478  
  44,789    

Total Hotels, Restaurants & Leisure

                                                 42,891,718  
      Household Durables – 0.9% (0.6% of Total Investments)  
  306    

AI Aqua Merger Sub Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        289,641  
  69    

AI Aqua Merger Sub Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        65,827  
  800    

AI Aqua Merger Sub, Inc., Term Loan B, First Lien

    5.436%        SOFR30A        3.750%        7/30/28        B3        757,400  
  715    

Serta Simmons Bedding, LLC, Term Loan (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B–        475,988  
  37    

Serta Simmons Bedding, LLC, Term Loan (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B        36,298  
  364    

Weber-Stephen Products LLC, Term Loan B, (DD1)

    5.622%        1-Month LIBOR        3.250%        10/30/27        CCC+        299,077  
  2,291    

Total Household Durables

                                                 1,924,231  
      Household Products – 0.2% (0.1% of Total Investments)  
  95    

Illuminate Merger Sub Corp., Term Loan

    6.377%        6-Month LIBOR        3.500%        5/16/28        B1        84,061  
  322    

Reynolds Consumer Products LLC, Term Loan

    4.122%        1-Month LIBOR        1.750%        2/04/27        BBB–        315,562  
  417    

Total Household Products

                                                 399,623  
      Independent Power And Renewable Electricity Prod – 0.3% (0.2% of Total Investments)  
  595    

Vistra Operations Company LLC, Term Loan B3, First Lien

    4.014%        1-Month LIBOR        1.750%        12/31/25        BBB–        585,955  
      Insurance – 4.4% (2.8% of Total Investments)  
  2,063    

Acrisure, LLC, Term Loan B

    5.872%        1-Month LIBOR        3.500%        2/15/27        B        1,967,488  
  1,758    

Alliant Holdings Intermediate, LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        5/10/25        B        1,705,008  
  248    

Alliant Holdings Intermediate, LLC, Term Loan B4

    5.656%        1-Month LIBOR        3.500%        11/12/27        B        240,255  
  1,087    

Asurion LLC, Term Loan B4, Second Lien

    7.622%        1-Month LIBOR        5.250%        1/15/29        B        937,266  
  254    

Asurion LLC, Term Loan B6

    5.497%        1-Month LIBOR        3.125%        11/03/23        Ba3        250,590  
  1,313    

Asurion LLC, Term Loan B8

    5.622%        1-Month LIBOR        3.250%        12/23/26        Ba3        1,237,496  
  355    

Asurion LLC, Term Loan B9

    5.622%        1-Month LIBOR        3.250%        7/31/27        Ba3        335,038  
  347    

Broadstreet Partners, Inc., Term Loan B2

    5.622%        1-Month LIBOR        3.250%        1/27/27        B1        334,348  
  1,592    

Hub International Limited, Term Loan B

    5.657%        3-Month LIBOR        3.000%        4/25/25        B        1,556,735  
  533    

Hub International Limited, Term Loan B

    5.255%        2 + 3 Month LIBOR        3.250%        4/25/25        B        522,896  
  270    

Ryan Specialty Group, LLC, Term Loan

    5.427%        SOFR30A        3.000%        9/01/27        BB–        263,657  
  9,820    

Total Insurance

                                                 9,350,777  
      Interactive Media & Services – 0.7% (0.5% of Total Investments)  
  1,718    

Rackspace Technology Global, Inc., Term Loan B

    4.160%        3-Month LIBOR        2.750%        2/09/28        B+        1,583,357  
      Internet & Direct Marketing Retail – 0.6% (0.4% of Total Investments)  
  987    

CNT Holdings I Corp, Term Loan

    5.372%        1-Month LIBOR        3.500%        11/08/27        B        959,801  
  64    

Medical Solutions Holdings, Inc., Term Loan (6)

    2.771%        3-Month LIBOR        3.500%        11/01/23        B1        61,840  
  344    

Medical Solutions Holdings, Inc., Term Loan, First Lien

    6.377%        3-Month LIBOR        3.500%        11/01/28        B1        332,351  
  1,395    

Total Internet & Direct Marketing Retail

                                                 1,353,992  
      IT Services – 4.4% (2.8% of Total Investments)  
  953    

Ahead DB Holdings, LLC, Term Loan B

    6.010%        3-Month LIBOR        3.750%        10/16/27        B+        927,491  
  156    

iQor US Inc., Exit Term Loan

    9.872%        1-Month LIBOR        7.500%        9/15/27        B1        155,351  
  727    

Peraton Corp., Term Loan B

    6.122%        1-Month LIBOR        3.750%        2/01/28        BB–        708,578  
  681    

Perforce Software, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        7/01/26        B2        621,395  
  1,398    

Sabre GLBL Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        2/22/24        Ba3        1,364,539  
  1,875    

Syniverse Holdings, Inc., Term Loan

    8.286%       
CME Term SOFR
3 Month
 
 
     7.000%        5/10/29        B–        1,683,984  
  1,046    

Tempo Acquisition LLC, Term Loan B

    5.327%        SOFR30A        3.000%        8/31/28        BB–        1,027,800  
  2,232    

Travelport Finance (Luxembourg) S.a.r.l., Term Loan (cash 3.500%, PIK 6.500%)

    3.750%        3-Month LIBOR        1.500%        2/28/25        B–        2,176,768  

 

30


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      IT Services (continued)  
$ 722    

WEX Inc., Term Loan

    4.622%        1-Month LIBOR        2.250%        4/01/28        Ba2      $ 709,896  
  9,790    

Total IT Services

                                                 9,375,802  
      Leisure Products – 0.3% (0.2% of Total Investments)  
  277    

Hayward Industries, Inc., Term Loan

    4.872%        1-Month LIBOR        2.500%        5/28/28        BB        265,751  
  416    

SRAM, LLC , Term Loan B

    5.363%        1 + 3 Month LIBOR        2.750%        5/18/28        BB–        401,007  
  693    

Total Leisure Products

                                                 666,758  
      Life Sciences Tools & Services – 0.6% (0.4% of Total Investments)  
  308    

Avantor Funding, Inc., Term Loan B5

    4.622%        1-Month LIBOR        2.250%        11/06/27        BB+        303,129  
  371    

Curia Global, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        8/30/26        B        359,597  
  551    

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        541,827  
  1,230    

Total Life Sciences Tools & Services

                                                 1,204,553  
      Machinery – 2.2% (1.4% of Total Investments)  
  1,350    

Ali Group North America Corp., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        Baa3        1,325,815  
  731    

Alliance Laundry Systems LLC, Term Loan B

    5.955%        3-Month LIBOR        3.500%        10/08/27        B        711,168  
  829    

Gardner Denver, Inc., Term Loan B2

    4.177%        1-Month LIBOR        1.750%        2/28/27        BB+        816,129  
  1,027    

Gates Global LLC, Term Loan B3

    4.872%        1-Month LIBOR        2.500%        3/31/27        Ba3        992,736  
  352    

Grinding Media Inc., Term Loan B

    4.796%        3-Month LIBOR        4.000%        10/12/28        B        330,316  
  495    

Madison IAQ LLC, Term Loan

    4.524%        6-Month LIBOR        3.250%        6/21/28        B1        472,195  
  4,784    

Total Machinery

                                                 4,648,359  
      Marine – 0.5% (0.3% of Total Investments)  
  1,040    

HGIM Corp., Exit Term Loan

    9.750%        Prime        6.000%        7/02/23        CCC+        986,279  
      Media – 11.1% (7.0% of Total Investments)  
  1,000    

ABG Intermediate Holdings 2 LLC, Term Loan B1

    5.927%        SOFR30A        3.500%        12/21/28        B1        966,875  
  160    

ABG Intermediate Holdings 2 LLC, Term Loan, Second Lien

    8.427%        SOFR30A        6.000%        12/20/29        CCC+        147,400  
  230    

Altice Financing SA, Term Loan, First Lien

    5.262%        3-Month LIBOR        2.750%        1/31/26        B        218,393  
  248    

Cable One, Inc., Term Loan B4

    4.372%        1-Month LIBOR        2.000%        5/03/28        BB+        238,776  
  1,459    

Cengage Learning, Inc., Term Loan B

    7.814%        3-Month LIBOR        4.750%        7/14/26        B        1,341,542  
  1,661    

Charter Communications Operating, LLC, Term Loan B2

    4.130%        1-Month LIBOR        1.750%        2/01/27        BBB–        1,611,628  
  194    

Checkout Holding Corp., First Out Term Loan

    9.872%        1-Month LIBOR        7.500%        2/15/23        N/R        163,205  
  369    

Checkout Holding Corp., Last Out Term Loan (cash 2.000%, PIK 9.500%)

    6.436%        1-Month LIBOR        9.500%        8/15/23        N/R        129,660  
  3,310    

Clear Channel Outdoor Holdings, Inc., Term Loan B

    6.089%        1 + 3 Month LIBOR        3.500%        8/21/26        B1        3,028,652  
  3,125    

CSC Holdings, LLC, Term Loan

    4.249%        1-Month LIBOR        2.250%        1/15/26        BB        3,028,641  
  1,174    

CSC Holdings, LLC, Term Loan B1

    4.249%        1-Month LIBOR        2.250%        7/17/25        BB        1,138,753  
  1,822    

CSC Holdings, LLC, Term Loan B5

    4.499%        1-Month LIBOR        2.500%        4/15/27        BB        1,754,691  
  214    

Cumulus Media New Holdings Inc., Term Loan B

    4.750%        6-Month LIBOR        3.750%        3/31/26        B        205,587  
  2,700    

DirecTV Financing, LLC, Term Loan

    7.372%        1-Month LIBOR        5.000%        8/02/27        BBB–        2,558,561  
  353    

Dotdash Meredith Inc, Term Loan B

    5.699%        1-Month LIBOR        4.000%        12/01/28        BB–        320,339  
  484    

E.W. Scripps Company (The), Term Loan B2

    4.935%        1-Month LIBOR        2.563%        5/01/26        BB        471,276  
  2,248    

iHeartCommunications, Inc., Term Loan

    5.372%        1-Month LIBOR        3.000%        5/01/26        BB–        2,133,424  
  239    

LCPR Loan Financing LLC, Term Loan B

    5.749%        1-Month LIBOR        3.750%        10/15/28        BB+        233,786  
  993    

McGraw-Hill Global Education Holdings, LLC, Term Loan

    5.554%        6-Month LIBOR        4.750%        7/30/28        BB+        944,116  
  84    

Mission Broadcasting, Inc., Term Loan B

    4.213%        1-Month LIBOR        2.500%        6/03/28        BBB–        82,011  
  182    

Outfront Media Capital LLC, Term Loan B

    4.122%        1-Month LIBOR        1.750%        11/18/26        Ba1        175,858  
  161    

Radiate Holdco, LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        9/25/26        B1        152,596  
  532    

WideOpenWest Finance LLC, Term Loan B

    5.153%        SOFR30A        3.000%        12/20/28        BB        524,103  
  2,074    

Ziggo Financing Partnership, Term Loan I

    4.499%        1-Month LIBOR        2.500%        4/30/28        BB        2,025,046  
  25,016    

Total Media

                                                 23,594,919  
      Multiline Retail – 0.3% (0.2% of Total Investments)  
  1,162    

Belk, Inc., Term Loan (cash 5.000%, PIK 8.000%)

    13.000%        3-Month LIBOR        13.000%        7/31/25        CCC–        441,030  
  248    

Belk, Inc., Term Loan

    9.006%        3-Month LIBOR        7.500%        7/31/25        B–        223,331  
  1,410    

Total Multiline Retail

                                                 664,361  

 

31


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels – 2.9% (1.9% of Total Investments)  
$ 640    

BCP Renaissance Parent LLC, Term Loan B3

    5.554%        SOFR30A        3.500%        11/01/24        B+      $ 625,198  
  604    

Buckeye Partners, L.P., Term Loan B

    3.916%        1-Month LIBOR        2.250%        11/01/26        BBB–        594,432  
  218    

EG America LLC, Term Loan

    6.250%        3-Month LIBOR        4.000%        2/05/25        B–        207,512  
  698    

Freeport LNG Investments, LLLP, Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        659,530  
  1    

Freeport LNG Investments, LLLP, Term Loan B

    6.210%        3-Month LIBOR        3.500%        12/21/28        B+        1,404  
  1,413    

Gulf Finance, LLC, Term Loan

    8.835%        1-Month LIBOR        6.750%        8/25/26        B        1,081,485  
  1,334    

QuarterNorth Energy Holding Inc., Exit Term Loan, Second Lien

    10.372%        1-Month LIBOR        8.000%        8/27/26        B        1,329,135  
  662    

TransMontaigne Operating Company L.P., Term Loan B

    5.659%        1-Month LIBOR        3.500%        11/05/28        BB        637,451  
  1,136    

Traverse Midstream Partners LLC, Term Loan

    5.950%        SOFR90A        4.250%        9/27/24        B+        1,121,196  
  6,706    

Total Oil, Gas & Consumable Fuels

                                                 6,257,343  
      Personal Products – 1.0% (0.7% of Total Investments)  
  496    

Conair Holdings, LLC, Term Loan B

    6.000%        3-Month LIBOR        3.750%        5/17/28        B–        423,673  
  73    

Coty Inc., Term Loan B

    4.057%        1-Month LIBOR        2.250%        4/05/25        BB–        70,001  
  (7)   

Kronos Acquisition Holdings Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        12/22/26        B2        293  
  2,527    

Revlon Consumer Products Corporation, Term Loan B, (DD1) (5), (8)

    5.576%        6-Month LIBOR        3.500%        9/07/23        N/R        1,732,607  
  3,096    

Total Personal Products

                                                 2,226,574  
      Pharmaceuticals – 4.0% (2.5% of Total Investments)  
  920    

Bausch Health Companies Inc., Term Loan B

    7.174%        SOFR30A        5.250%        1/27/27        BB        776,545  
  453    

Catalent Pharma Solutions Inc., Term Loan B3

    4.250%        1-Month LIBOR        2.000%        2/22/28        BBB–        447,062  
  462    

Elanco Animal Health Incorporated, Term Loan B

    3.463%        1-Month LIBOR        1.750%        8/01/27        BBB–        447,853  
  3,350    

Jazz Financing Lux S.a.r.l., Term Loan

    5.872%        1-Month LIBOR        3.500%        5/05/28        BB+        3,280,381  
  750    

Mallinckrodt International Finance S.A., Term Loan B, (DD1) (5)

    6.911%        3-Month LIBOR        5.500%        2/24/25        B        620,638  
  1,379    

Mallinckrodt International Finance S.A., Term Loan B (5)

    6.246%        3-Month LIBOR        5.250%        9/24/24        B        1,178,863  
  1,396    

Organon & Co, Term Loan

    4.625%        3-Month LIBOR        3.000%        6/02/28        BB        1,376,619  
  391    

Perrigo Investments, LLC, Term Loan B

    1.890%       
CME Term SOFR
3 Month + SOFR90A
 
 
     2.500%        4/05/29        Baa3        386,112  
  9,101    

Total Pharmaceuticals

                                                 8,514,073  
      Professional Services – 2.3% (1.4% of Total Investments)  
  283    

CHG Healthcare Services Inc., Term Loan

    4.916%        3-Month LIBOR        3.250%        9/30/28        B1        275,210  
  487    

Creative Artists Agency, LLC , Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/26/26        B        479,361  
  1,314    

Dun & Bradstreet Corporation (The), Term Loan

    4.874%        3-Month LIBOR        3.250%        2/08/26        BB+        1,282,598  
  724    

EAB Global, Inc., Term Loan

    6.089%        1 + 3 Month LIBOR        3.500%        8/16/28        B2        692,581  
  449    

Physician Partners LLC, Term Loan

    6.427%        SOFR30A        4.000%        2/01/29        B        424,559  
  190    

R1 RCM Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        188,100  
  1,490    

Verscend Holding Corp., Term Loan B

    6.372%        1-Month LIBOR        4.000%        8/27/25        BB–        1,454,272  
  4,937    

Total Professional Services

                                                 4,796,681  
      Real Estate Management & Development – 0.2% (0.1% of Total Investments)  
  380    

Cushman & Wakefield PLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        368,803  
      Road & Rail – 1.6% (1.0% of Total Investments)  
  230    

Genesee & Wyoming Inc. (New), Term Loan

    4.250%        3-Month LIBOR        2.000%        12/30/26        BB+        226,011  
  651    

Hertz Corporation, (The), Term Loan B

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        627,340  
  124    

Hertz Corporation, (The), Term Loan C

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        119,210  
  1,438    

Uber Technologies, Inc., Term Loan B, First Lien

    5.075%        3-Month LIBOR        3.500%        4/04/25        Ba3        1,417,152  
  1,083    

XPO Logistics, Inc., Term Loan B

    3.548%        1-Month LIBOR        1.750%        2/24/25        Baa3        1,060,357  
  3,526    

Total Road & Rail

                                                 3,450,070  
      Semiconductors & Semiconductor Equipment – 0.7% (0.4% of Total Investments)  
  2,879    

Bright Bidco B.V., Term Loan B, (DD1)

    4.774%        3-Month LIBOR        3.500%        6/30/24        CCC        1,134,509  
  293    

Entegris, Inc., Term Loan B

    5.597%        3-Month LIBOR        3.000%        7/06/29        Baa3        290,008  
  3,172    

Total Semiconductors & Semiconductor Equipment

                                                 1,424,517  
      Software – 17.3% (10.9% of Total Investments)  
  654    

Apttus Corporation, Term Loan

    5.621%        3-Month LIBOR        4.250%        5/06/28        BB        634,598  
  390    

Avaya, Inc., Term Loan

    12.481%        SOFR90A        10.000%        12/15/27        BB–        247,650  

 

32


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)  
$ 1,457    

Banff Merger Sub Inc, Term Loan

    6.122%        1-Month LIBOR        3.750%        10/02/25        B2      $ 1,407,100  
  380    

Camelot U.S. Acquisition LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        10/31/26        B1        371,991  
  249    

CCC Intelligent Solutions Inc., Term Loan B

    4.500%        3-Month LIBOR        2.250%        9/21/28        B1        242,610  
  1,115    

CDK Global, Inc., Term Loan B

    6.610%        SOFR90A        4.500%        6/09/29        B+        1,086,016  
  1,148    

Ceridian HCM Holding Inc., Term Loan B

    4.166%        1-Month LIBOR        2.500%        4/30/25        B+        1,112,669  
  1,500    

DTI Holdco, Inc., Term Loan

    7.327%        SOFR90A        4.750%        4/21/29        B2        1,410,938  
  248    

Dynatrace LLC, Term Loan, First Lien

    4.622%        1-Month LIBOR        2.250%        8/23/25        BB+        246,760  
  2,500    

Epicor Software Corporation, Term Loan

    5.622%        1-Month LIBOR        3.250%        7/31/27        B2        2,389,710  
  1,879    

Finastra USA, Inc., Term Loan, First Lien, (DD1)

    6.871%        3-Month LIBOR        3.500%        6/13/24        B+        1,760,397  
  2,367    

Greeneden U.S. Holdings II, LLC, Term Loan B4

    6.372%        1-Month LIBOR        4.000%        12/01/27        B2        2,316,181  
  234    

Greenway Health, LLC, Term Loan, First Lien

    5.250%        3-Month LIBOR        3.750%        2/16/24        B–        212,467  
  2,195    

Informatica LLC, Term Loan B

    5.125%        1-Month LIBOR        2.750%        10/14/28        BB–        2,143,763  
  430    

iQor US Inc., Second Out Term Loan

    9.872%        1-Month LIBOR        7.500%        11/19/25        CCC+        351,017  
  781    

MA FinanceCo., LLC, Term Loan B

    5.915%        3-Month LIBOR        4.250%        6/05/25        BB+        689,142  
  634    

Magenta Buyer LLC, Term Loan, First Lien

    7.050%        3-Month LIBOR        4.750%        7/27/28        BB–        603,976  
  1,062    

McAfee, LLC, Term Loan B

    5.699%       
CME Term SOFR
1 Week + 1 Month LIBOR
 
 
     4.000%        2/03/29        BB+        1,018,240  
  2,500    

Nortonlifelock Inc, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        2,439,850  
  795    

Polaris Newco LLC, Term Loan B

    6.372%        1-Month LIBOR        4.000%        6/04/28        B2        756,869  
  247    

Project Ruby Ultimate Parent Corp., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/10/28        B        236,563  
  912    

Proofpoint, Inc., Term Loan, First Lien

    4.825%        3-Month LIBOR        3.250%        8/31/28        BB–        877,789  
  250    

RealPage, Inc, Term Loan, First Lien

    5.372%        1-Month LIBOR        3.000%        4/22/28        B+        240,858  
  2,947    

Seattle Spinco, Inc., Term Loan B3

    5.122%        1-Month LIBOR        2.750%        6/21/24        BB+        2,747,841  
  2,359    

Seattle Spinco, Inc., Term Loan B5

    6.253%        SOFR30A        4.000%        1/14/27        BB+        2,070,413  
  1,260    

Sophia, L.P., Term Loan B

    5.500%        3-Month LIBOR        3.250%        10/07/27        B2        1,217,813  
  654    

SS&C European Holdings Sarl, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        639,827  
  805    

SS&C Technologies Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        788,171  
  176    

SS&C Technologies Inc., Term Loan B6

    4.677%        SOFR30A        2.250%        3/22/29        BB+        172,314  
  253    

SS&C Technologies Inc., Term Loan B7

    4.677%        SOFR30A        2.250%        3/22/29        BB+        246,753  
  650    

Tibco Software Inc., Term Loan B3

    6.130%        1-Month LIBOR        3.750%        7/03/26        B+        646,869  
  918    

Ultimate Software Group Inc (The), Term Loan

    5.535%        3-Month LIBOR        3.250%        5/03/26        B1        892,430  
  486    

Ultimate Software Group Inc (The), Term Loan B

    6.122%        1-Month LIBOR        3.750%        5/03/26        B1        474,094  
  744    

Vision Solutions, Inc., Term Loan

    6.783%        3-Month LIBOR        4.000%        5/28/28        B2        691,524  
  2,213    

Zelis Healthcare Corporation, Term Loan

    5.213%        1-Month LIBOR        3.500%        9/30/26        B        2,161,689  
  1,264    

ZoomInfo LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        2/01/26        BB+        1,253,830  
  38,656    

Total Software

                                                 36,800,722  
      Specialty Retail – 4.3% (2.7% of Total Investments)  
  370    

Academy, Ltd., Term Loan

    5.463%        1-Month LIBOR        3.750%        11/06/27        BB–        358,277  
  774    

Avis Budget Car Rental, LLC, Term Loan B, (DD1)

    4.130%        1-Month LIBOR        1.750%        8/06/27        BB+        731,661  
  619    

Avis Budget Car Rental, LLC, Term Loan C, (DD1)

    5.927%        SOFR30A        3.500%        3/15/29        BB+        607,922  
  170    

Driven Holdings, LLC, Term Loan B

    3.517%        3-Month LIBOR        3.000%        12/17/28        B2        164,488  
  697    

Jo-Ann Stores, Inc., Term Loan B1

    7.516%        3-Month LIBOR        4.750%        6/30/28        B–        475,055  
  877    

LBM Acquisition LLC, Term Loan B

    5.416%        1-Week LIBOR        3.750%        12/18/27        B+        756,150  
  324    

Les Schwab Tire Centers, Term Loan B

    4.000%        3-Month LIBOR        3.250%        11/02/27        B        313,228  
  3,960    

PetSmart, Inc., Term Loan B

    6.120%        1-Month LIBOR        3.750%        2/12/28        BB–        3,827,162  
  992    

Restoration Hardware, Inc., Term Loan B

    4.872%        1-Month LIBOR        2.500%        10/15/28        BB        901,810  
  214    

SRS Distribution Inc., Term Loan

    6.177%        SOFR90A        3.500%        6/04/28        B2        204,477  
  304    

Staples, Inc., Term Loan

    6.286%        3-Month LIBOR        5.000%        4/12/26        B        265,111  
  513    

Wand NewCo 3, Inc., Term Loan

    5.372%        1-Month LIBOR        3.000%        2/05/26        B2        493,301  
  9,814    

Total Specialty Retail

                                                 9,098,642  
      Technology Hardware, Storage & Peripherals – 0.2% (0.1% of Total Investments)  
  486    

NCR Corporation, Term Loan

    5.310%        3-Month LIBOR        2.500%        8/28/26        BB+        476,121  
      Textiles, Apparel & Luxury Goods – 0.4% (0.3% of Total Investments)  
  766    

Birkenstock GmbH & Co. KG, Term Loan B

    5.098%        6-Month LIBOR        3.250%        4/28/28        BB–        719,327  
  150    

New Trojan Parent, Inc., Term Loan, First Lien

    5.386%        1-Month LIBOR        3.250%        1/06/28        B        134,171  
  916    

Total Textiles, Apparel & Luxury Goods

                                                 853,498  
      Trading Companies & Distributors – 0.9% (0.6% of Total Investments)  
  993    

Core & Main LP, Term Loan B

    4.800%        3-Month LIBOR        2.500%        6/10/28        Ba3        961,177  
  583    

Resideo Funding Inc., Term Loan

    4.000%        1 + 3 Month LIBOR        2.250%        2/12/28        BBB–        569,999  
  381    

Univar Solutions USA Inc., Term Loan B6

    4.122%        1-Month LIBOR        1.750%        6/03/28        BBB–        375,114  
  1,957    

Total Trading Companies & Distributors

                                                 1,906,290  

 

33


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Transportation Infrastructure – 0.7% (0.4% of Total Investments)  
$ 1,112    

Brown Group Holding, LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        4/22/28        B+      $ 1,073,329  
  400    

Brown Group Holding, LLC, Term Loan B2

    6.327%        SOFR30A        3.750%        6/09/29        B+        392,708  
  1,512    

Total Transportation Infrastructure

                                                 1,466,037  
      Wireless Telecommunication Services – 1.4% (0.9% of Total Investments)  
  743    

GOGO Intermediate Holdings LLC, Term Loan B

    6.556%        3-Month LIBOR        3.750%        4/30/28        B+        725,979  
  1,786    

Intelsat Jackson Holdings S.A., Term Loan B, (DD1) (5)

    4.920%        SOFR180A        4.250%        1/27/29        BB–        1,693,147  
  495    

MetroNet Systems Holdings, LLC, Term Loan, First Lien

    5.694%        SOFR30A        3.750%        6/02/28        B        473,980  
  3,024    

Total Wireless Telecommunication Services

 

     2,893,106  
$ 310,263    

Total Variable Rate Senior Loan Interests (cost $304,525,030)

 

     288,794,547  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 17.8% (11.2% of Total Investments)

 

      Airlines – 0.3% (0.2% of Total Investments)  
$ 302    

United Airlines Inc, 144A

          4.375%        4/15/26        Ba1      $ 289,920  
  398    

United Airlines Inc, 144A

                      4.625%        4/15/29        Ba1        366,658  
  700    

Total Airlines

                                                 656,578  
      Auto Components – 0.9% (0.6% of Total Investments)         
  1,105    

Adient Global Holdings Ltd, 144A

          4.875%        8/15/26        BB–        1,033,385  
  810    

Adient US LLC, 144A

                      9.000%        4/15/25        BB+        834,300  
  1,915    

Total Auto Components

                                                 1,867,685  
      Chemicals – 0.2% (0.1% of Total Investments)                                         
  522    

Rayonier AM Products Inc, 144A

                      7.625%        1/15/26        B+        467,190  
      Commercial Services & Supplies – 0.9% (0.6% of Total Investments)         
  575    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

     5.750%        4/15/26        BB–        584,355  
  750    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

     3.375%        8/31/27        BB–        684,015  
  780    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

     6.250%        1/15/28        B–        715,011  
  2,105    

Total Commercial Services & Supplies

                                                 1,983,381  
      Communications Equipment – 1.3% (0.8% of Total Investments)         
  3,645    

Avaya Inc, 144A

          6.125%        9/15/28        BB–        1,712,166  
  750    

Commscope Inc, 144A

 

     8.250%        3/01/27        CCC+        652,500  
  400    

CommScope Technologies LLC, 144A

                      5.000%        3/15/27        CCC+        328,874  
  4,795    

Total Communications Equipment

                                                 2,693,540  
      Diversified Telecommunication Services – 1.0% (0.6% of Total Investments)         
  340    

Frontier Communications Holdings LLC, 144A

          5.000%        5/01/28        BB+        319,511  
  250    

Frontier Communications Holdings LLC

 

     5.875%        11/01/29        CCC+        210,000  
  1,540    

Frontier Communications Holdings LLC, 144A

                      5.875%        10/15/27        BB+        1,517,116  
  2,130    

Total Diversified Telecommunication Services

                                                 2,046,627  
      Electric Utilities – 0.0% (0.0% of Total Investments)         
  1,735    

Bruce Mansfield Unit 1 2007 Pass Through Trust (5)

                      6.850%        6/01/34        N/R        2,169  
      Electronic Equipment, Instruments & Components – 0.4% (0.3% of Total Investments)         
  1,017    

Imola Merger Corp, 144A

                      4.750%        5/15/29        BB+        950,895  
      Energy Equipment & Services – 0.2% (0.1% of Total Investments)         
  500    

Weatherford International Ltd, 144A

                      8.625%        4/30/30        B–        452,150  
      Entertainment – 1.2% (0.7% of Total Investments)         
  2,586    

AMC Entertainment Holdings Inc, 144A (cash 10.000%, PIK 12.000%)

 

     10.000%        6/15/26        CCC–        2,045,810  
  1,285    

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

 

     5.375%        8/15/26        CCC+        282,700  

 

34


  
  

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Entertainment (continued)         
$ 1,775    

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

 

     6.625%        8/15/27        CCC–      $ 164,188  
  5,646    

Total Entertainment

                                                 2,492,698  
      Health Care Providers & Services – 2.3% (1.4% of Total Investments)         
  285    

CHS/Community Health Systems Inc, 144A

          8.000%        3/15/26        BB–        272,175  
  150    

CHS/Community Health Systems Inc, 144A

 

     8.000%        12/15/27        BB–        142,500  
  65    

HCA Inc

 

     5.375%        2/01/25        BBB–        66,302  
  1,050    

Legacy LifePoint Health LLC, 144A

 

     4.375%        2/15/27        B1        931,875  
  1,704    

LifePoint Health Inc, 144A

 

     5.375%        1/15/29        CCC+        1,314,806  
  800    

Team Health Holdings Inc, 144A

 

     6.375%        2/01/25        CCC        545,295  
  1,100    

Tenet Healthcare Corp, 144A

 

     6.125%        10/01/28        B+        1,072,500  
  302    

Tenet Healthcare Corp, 144A

 

     4.875%        1/01/26        BB–        297,440  
  68    

Tenet Healthcare Corp

 

     4.625%        7/15/24        BB–        67,948  
  90    

Tenet Healthcare Corp, 144A

                      6.250%        2/01/27        B1        91,050  
  5,614    

Total Health Care Providers & Services

                                                 4,801,891  
      Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)         
  302    

1011778 BC ULC / New Red Finance Inc, 144A

          3.500%        2/15/29        BB+        275,116  
  501    

1011778 BC ULC / New Red Finance Inc, 144A

          4.000%        10/15/30        B+        435,870  
  398    

Caesars Entertainment Inc, 144A

          6.250%        7/01/25        B1        397,005  
  302    

Life Time Inc, 144A

                      5.750%        1/15/26        B        283,886  
  1,503    

Total Hotels, Restaurants & Leisure

                                                 1,391,877  
      Independent Power Producers & Energy Traders – 0.5% (0.3% of Total Investments)         
  984    

Talen Energy Supply LLC, 144A (5)

                      7.625%        6/01/28        N/R        975,413  
      Insurance – 0.1% (0.1% of Total Investments)         
  155    

Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A

 

     4.250%        10/15/27        B        144,471  
      Interactive Media & Services – 0.4% (0.3% of Total Investments)         
  1,107    

Rackspace Technology Global Inc, 144A

 

     3.500%        2/15/28        B+        914,905  
      IT Services – 0.2% (0.1% of Total Investments)         
  500    

Ahead DB Holdings LLC, 144A

 

     6.625%        5/01/28        CCC+        461,545  
      Media – 2.2% (1.4% of Total Investments)         
  500    

Clear Channel Outdoor Holdings Inc, 144A

 

     7.500%        6/01/29        CCC        402,500  
  1,358    

CSC Holdings LLC, 144A

 

     3.375%        2/15/31        BB        1,086,400  
  574    

iHeartCommunications Inc

 

     8.375%        5/01/27        B–        517,907  
  1,380    

iHeartCommunications Inc, 144A

 

     5.250%        8/15/27        BB–        1,261,596  
  4    

iHeartCommunications Inc

 

     6.375%        5/01/26        BB–        3,757  
  691    

McGraw-Hill Education Inc, 144A

 

     5.750%        8/01/28        BB+        619,765  
  1,005    

VZ Secured Financing BV, 144A

                      5.000%        1/15/32        BB        896,269  
  5,512    

Total Media

                                                 4,788,194  
      Metals & Mining – 0.2% (0.1% of Total Investments)         
  485    

First Quantum Minerals Ltd, 144A

 

     6.875%        10/15/27        B+        461,962  
      Oil, Gas & Consumable Fuels – 3.5% (2.2% of Total Investments)         
  500    

Calumet Specialty Products Partners LP / Calumet Finance Corp, 144A

 

     8.125%        1/15/27        B–        430,665  
  1,715    

Citgo Holding Inc, 144A

 

     9.250%        8/01/24        B+        1,706,425  
  595    

Citgo Petroleum Corp, 144A

 

     7.000%        6/15/25        BB        586,045  
  325    

Gulfport Energy Corp, 144A

 

     8.000%        5/17/26        BB–        326,570  
  302    

Hilcorp Energy I LP / Hilcorp Finance Co, 144A

 

     6.250%        11/01/28        BB+        292,470  
  500    

Laredo Petroleum Inc

 

     9.500%        1/15/25        B        512,280  
  350    

Matador Resources Co

 

     5.875%        9/15/26        BB–        356,125  
  302    

MEG Energy Corp, 144A

 

     5.875%        2/01/29        BB–        286,900  
  1,417    

NGL Energy Operating LLC / NGL Energy Finance Corp, 144A

 

     7.500%        2/01/26        BB–        1,294,529  
  250    

NGL Energy Partners LP / NGL Energy Finance Corp

 

     7.500%        11/01/23        CCC+        233,637  
  250    

NGL Energy Partners LP / NGL Energy Finance Corp

 

     6.125%        3/01/25        CCC+        196,178  
  250    

NGL Energy Partners LP / NGL Energy Finance Corp

 

     7.500%        4/15/26        CCC+        188,722  
  1,125    

PBF Holding Co LLC / PBF Finance Corp

 

     6.000%        2/15/28        BB–        1,020,938  

 

35


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels (continued)         
$ 121    

PBF Holding Co LLC / PBF Finance Corp

                      7.250%        6/15/25        BB–      $ 119,357  
  8,002    

Total Oil, Gas & Consumable Fuels

                                                 7,550,841  
      Pharmaceuticals – 0.1% (0.0% of Total Investments)         
  340    

Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A

 

     6.000%        6/30/28        C        22,100  
  134    

Par Pharmaceutical Inc, 144A

                      7.500%        4/01/27        Caa2        107,981  
  474    

Total Pharmaceuticals

                                                 130,081  
      Software – 0.3% (0.2% of Total Investments)         
  700    

Condor Merger Sub Inc, 144A

 

     7.375%        2/15/30        CCC+        614,582  
      Specialty Retail – 0.6% (0.4% of Total Investments)         
  890    

Hertz Corp/The, 144A

 

     4.625%        12/01/26        B+        792,100  
  125    

PetSmart Inc / PetSmart Finance Corp, 144A

 

     7.750%        2/15/29        B3        120,340  
  290    

PetSmart Inc / PetSmart Finance Corp, 144A

                      4.750%        2/15/28        BB–        275,204  
  1,305    

Total Specialty Retail

                                                 1,187,644  
      Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)         
  1,005    

Vmed O2 UK Financing I PLC, 144A

 

     4.250%        1/31/31        BB+        880,269  
$ 48,411    

Total Corporate Bonds (cost $42,721,489)

                                                 37,916,588  
Shares     Description (1)                                           Value  
      COMMON STOCKS – 3.9% (2.5% of Total Investments)         
      Banks – 0.0% (0.0% of Total Investments)         
  15,167    

iQor US Inc (9), (10)

 

                              $ 60,668  
      Construction & Engineering – 0.0% (0.0% of Total Investments)         
  1,013    

TNT Crane & Rigging Inc (9), (10)

 

              14,182  
  1,797    

TNT Crane & Rigging Inc (9), (10)

                                                 449  
 

Total Construction & Engineering

                                                 14,631  
      Diversified Consumer Services – 0.1% (0.1% of Total Investments)         
  12,578    

Cengage Learning Holdings II Inc (9), (10)

 

                                175,463  
      Diversified Telecommunication Services – 0.1% (0.1% of Total Investments)         
  9,071    

Windstream Services PE LLC (9), (10)

 

              138,333  
  8,135    

Windstream Services PE LLC (9), (10)

                                                 124,059  
 

Total Diversified Telecommunication Services

                                                 262,392  
      Energy Equipment & Services – 1.8% (1.1% of Total Investments)         
  33,080    

Quarternorth Energy Holding Inc (9), (10)

 

              3,575,385  
  40,007    

Transocean Ltd (10)

 

              135,224  
  5,623    

Vantage Drilling International (9), (10)

                                                 83,642  
 

Total Energy Equipment & Services

                                                 3,794,251  
      Entertainment – 0.0% (0.0% of Total Investments)         
  6,268    

Metro-Goldwyn-Mayer Inc (9), (10)

 

                                26,589  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)         
  33,563    

Millennium Health LLC (8), (10)

 

              1,543  
  35,750    

Millennium Health LLC (8), (10)

                                                 5,221  
 

Total Health Care Providers & Services

                                                 6,764  
      Hotels, Restaurants & Leisure – 0.1% (0.0% of Total Investments)         
  116,526    

24 Hour Fitness Worldwide Inc (9), (10)

 

              34,142  
  55,426    

24 Hour Fitness Worldwide Inc (9), (10)

                                                 41,570  
 

Total Hotels, Restaurants & Leisure

                                                 75,712  

 

36


  
  

 

    
Shares
    Description (1)                                           Value  
      Independent Power and Renewable Electricity Producers – 1.2% (0.8% of Total Investments)         
  37,457    

Energy Harbor Corp (9), (10), (11)

 

                              $ 2,580,787  
      Internet & Direct Marketing Retail – 0.0% (0.0% of Total Investments)         
  5,388    

Catalina Marketing Corp (9), (10)

 

                                1,142  
      Marine – 0.0% (0.0% of Total Investments)         
  430    

ACBL HLDG CORP (9), (10)

 

                                8,170  
      Media – 0.0% (0.0% of Total Investments)         
  4    

Cumulus Media Inc, Class A (10)

 

              32  
  775,233    

Hibu plc (9), (10)

                                                 3,876  
 

Total Media

                                                 3,908  
      Multiline Retail – 0.0% (0.0% of Total Investments)         
  148    

PEABODYENERGY WTS (9), (10)

 

                                1,295  
      Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments)         
  4,261    

California Resources Corp

 

              191,149  
  7,189    

Chord Energy Corp

 

              921,917  
  160    

Quarternorth Energy Holding Inc (WI/DD), (9), (10)

                                                 17,293  
 

Total Oil, Gas & Consumable Fuels

                                                 1,130,359  
      Professional Services – 0.1% (0.1% of Total Investments)  
  48,296    

Skillsoft Corp (10)

                                                 185,457  
 

Total Common Stocks (cost $13,182,265)

 

     8,327,588  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.9% (0.6% of Total Investments)

 

  
      Energy Equipment & Services – 0.8% (0.5% of Total Investments)  
  14,599    

Quarternorth Energy Holding Inc (9)

                 $ 1,577,904  
  22,626    

Quarternorth Energy Holding Inc (9)

                   101,817  
  11,748    

Quarternorth Energy Holding Inc (9)

                                                 88,110  
 

Total Energy Equipment & Services

 

                       1,767,831  
      Entertainment – 0.0% (0.0% of Total Investments)  
  102,295    

Cineworld Warrant (9)

                                                 10,536  
      Industrial Conglomerates – 0.0% (0.0% of Total Investments)  
  10,232    

American Commercial Barge Line LLC (9)

                                                 3,714  
      Marine – 0.1% (0.1% of Total Investments)  
  1,279    

ACBL HLDG CORP (9)

                   54,357  
  452    

ACBL HLDG CORP (9)

                   8,588  
  1,682    

ACBL HLDG CORP (9)

                   40,649  
  13,456    

American Commercial Barge Line LLC (9)

                                                 4,037  
 

Total Marine

 

                       107,631  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  188    

California Resources Corp

                                                 2,745  
      Software – 0.0% (0.0% of Total Investments)  
  11,806    

Avaya Holdings Corp (9)

                                                 331  
      Wireless Telecommunication Services – 0.0% (0.0% of Total Investments)  
  1    

Intelsat SA/Luxembourg (9)

                                                 1  
 

Total Warrants (cost $1,523,646)

 

                       1,892,789  

 

37


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

    
Shares
    Description (1)                   Coupon              Ratings (4)      Value  
 

CONVERTIBLE PREFERRED SECURITIES – 0.1% (0.0% of Total Investments)

 

  
      Communications Equipment – 0.0% (0.0% of Total Investments)  
  8,660    

Riverbed Technology Inc (9), (10)

                      0.000%                 N/R      $ 34,640  
      Marine – 0.1% (0.0% of Total Investments)         
  1,600    

ACBL HLDG CORP (9), (10)

          0.000%           N/R        38,667  
  1,821    

ACBL HLDG CORP (9), (10)

                      0.000%                 N/R        77,393  
 

Total Marine

                                                 116,060  
 

Total Convertible Preferred Securities (cost $247,327)

 

     150,700  
 

Total Long-Term Investments (cost $362,199,757)

 

     337,082,212  
 

Borrowings – (43.6)% (12), (13)

 

     (92,800,000
 

Taxable Fund Preferred Shares, net of deferred offering costs – (18.6)% (14)

 

     (39,615,370
 

Other Assets Less Liabilities – 3.8%

 

     8,201,541  
 

Net Assets Applicable to Common Shares – 100%

 

   $ 212,868,383  

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

 

(1)

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy.

 

(6)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment.

 

(7)

Principal Amount (000) rounds to less than $1,000.

 

(8)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

 

(9)

For fair value measurement disclosure purposes, investment classified as Level 2.

 

(10)

Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

 

(11)

Common Stock received as part of the bankruptcy settlements during February 2020 for Bruce Mansfield Unit 1 2007 Pass-Through Trust.

 

(12)

Borrowings as a percentage of Total Investments is 27.5%.

 

(13)

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

 

(14)

Taxable Fund Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.8%.

 

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.

 

CME

Chicago Mercantile Exchange

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

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

 

SOFR 180A

180 Day Average Secured Overnight Financing Rate

 

SOFR 30A

30 Day Average Secured Overnight Financing Rate

 

SOFR 90A

90 Day Average Secured Overnight Financing Rate

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

38


JFR   

Nuveen Floating Rate Income Fund

 

Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
 

LONG-TERM INVESTMENTS – 160.8% (99.0% of Total Investments)

 

           
 

VARIABLE RATE SENIOR LOAN INTERESTS – 136.2% (83.8% of Total Investments) (2)

 

        
      Aerospace & Defense – 1.6% (1.0% of Total Investments)                              
$ 2,786    

Sequa Mezzanine Holdings L.L.C., Term Loan, (cash 6.750%, PIK 1.000%)

    8.303%        3-Month LIBOR        6.750%        7/31/23        B-      $ 2,780,899  
  1,736    

TransDigm, Inc., Term Loan E, (DD1)

    4.622%        1-Month LIBOR        2.250%        5/30/25        Ba3        1,691,473  
  1,721    

TransDigm, Inc., Term Loan F

    4.622%        1-Month LIBOR        2.250%        12/09/25        Ba3        1,674,975  
  2,189    

TransDigm, Inc., Term Loan G

    4.622%        1-Month LIBOR        2.250%        8/22/24        Ba3        2,150,703  
  8,432    

Total Aerospace & Defense

                                                 8,298,050  
      Airlines – 2.8% (1.7% of Total Investments)  
  2,802    

AAdvantage Loyalty IP Ltd., Term Loan, (DD1)

    7.460%        3-Month LIBOR        4.750%        4/20/28        Ba2        2,767,110  
  419    

American Airlines, Inc., Term Loan

    2.840%        6-Month LIBOR        2.000%        12/14/23        Ba3        412,631  
  1,542    

American Airlines, Inc., Term Loan, First Lien

    4.122%        1-Month LIBOR        1.750%        1/29/27        Ba3        1,412,859  
  3,550    

Kestrel Bidco Inc., Term Loan B, (DD1)

    5.030%        3-Month LIBOR        3.000%        12/11/26        BB-        3,132,665  
  1,480    

Mileage Plus Holdings LLC, Term Loan B, (DD1)

    7.313%        3-Month LIBOR        5.250%        6/20/27        Baa3        1,494,800  
  2,675    

SkyMiles IP Ltd., Term Loan B

    6.460%        3-Month LIBOR        3.750%        10/20/27        Baa1        2,709,106  
  2,963    

United Airlines, Inc., Term Loan B

    6.533%        1-Month LIBOR        3.750%        4/21/28        Ba1        2,863,627  
  15,431    

Total Airlines

                                                 14,792,798  
      Auto Components – 1.2% (0.7% of Total Investments)  
  817    

Adient US LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/08/28        BB+        794,232  
  2,958    

Clarios Global LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/30/26        B1        2,857,071  
  141    

DexKo Global Inc., Term Loan

    5.402%        1-Month LIBOR        3.750%        10/04/28        B1        127,281  
  737    

DexKo Global Inc., Term Loan B

    5.982%        3-Month LIBOR        3.750%        10/04/28        B1        668,225  
  1,796    

Superior Industries International, Inc., Term Loan B, First Lien

    6.372%        1-Month LIBOR        4.000%        5/23/24        Ba3        1,747,653  
  6,449    

Total Auto Components

                                                 6,194,462  
      Beverages – 2.0% (1.2% of Total Investments)  
  1,537    

Arterra Wines Canada, Inc., Term Loan

    5.750%        3-Month LIBOR        3.500%        11/25/27        B1        1,450,166  
  1,171    

City Brewing Company, LLC, Term Loan

    5.298%        1-Month LIBOR        3.500%        4/05/28        B        1,024,756  
  2,250    

Naked Juice LLC, Term Loan

    5.541%        SOFR90A        3.250%        1/20/29        Ba3        2,155,781  
  537    

Naked Juice LLC, Term Loan, Second Lien

    8.154%        3-Month LIBOR        6.000%        1/20/30        B3        496,280  
  2,875    

Pegasus Bidco BV, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        2,774,375  
  3,161    

Triton Water Holdings, Inc, Term Loan, (DD1)

    5.750%        3-Month LIBOR        3.500%        3/31/28        B1        2,816,101  
  11,531    

Total Beverages

                                                 10,717,459  
      Biotechnology – 0.6% (0.4% of Total Investments)  
  3,511    

Grifols Worldwide Operations USA, Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        11/15/27        BB+        3,366,361  
      Building Products – 2.0% (1.2% of Total Investments)  
  4,290    

Chamberlain Group Inc, Term Loan B

    5.872%        1-Month LIBOR        3.500%        10/22/28        B+        4,007,443  
  2,261    

Cornerstone Building Brands, Inc., Term Loan B

    5.249%        1-Month LIBOR        3.250%        4/12/28        B        1,938,485  
  467    

Griffon Corporation, Term Loan B

    5.804%        SOFR30A        2.750%        1/19/29        BB        455,934  
  3,194    

Quikrete Holdings, Inc., Term Loan, First Lien

    4.997%        1-Month LIBOR        2.625%        1/31/27        Ba2        3,027,206  
  917    

Standard Industries Inc., Term Loan B

    3.788%        6-Month LIBOR        2.500%        9/22/28        BBB-        903,123  
  446    

Zurn Holdings, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        10/04/28        Ba3        441,995  
  11,575    

Total Building Products

                                                 10,774,186  
      Capital Markets – 0.6% (0.4% of Total Investments)  
  3,766    

Astra Acquisition Corp., Term Loan, First Lien

    7.622%        1-Month LIBOR        5.250%        10/22/28        BB-        3,207,289  
      Chemicals – 1.4% (0.9% of Total Investments)                              
  801    

ASP Unifrax Holdings Inc, Term Loan B

    6.000%        3-Month LIBOR        3.750%        12/12/25        BB        734,443  
  2,072    

Atotech B.V., Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/18/28        B+        2,057,549  
  1,172    

Diamond (BC) B.V., Term Loan B

    5.339%        1 + 3-Month LIBOR        2.750%        9/29/28        Ba3        1,122,002  
  1,022    

INEOS Styrolution US Holding LLC, Term Loan B

    5.122%        1-Month LIBOR        2.750%        1/29/26        BB+        973,459  
  1,163    

Ineos US Finance LLC, Term Loan B

    4.593%        2-Month LIBOR        2.000%        3/31/24        BBB-        1,136,290  

 

39


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Chemicals (continued)                              
$ 249    

Kraton Corporation, Term Loan

    5.109%       
CME Term SOFR
3 Month
 
 
     3.250%        3/15/29        BB      $ 245,088  
  1,114    

PMHC II, Inc., Term Loan B

    6.977%        SOFR90A        4.250%        2/03/29        B-        967,781  
  485    

Trinseo Materials Operating SCA, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Ba2        460,750  
  8,078    

Total Chemicals

                                                 7,697,362  
      Commercial Services & Supplies – 2.7% (1.7% of Total Investments)                              
  1,720    

Amentum Government Services Holdings LLC, Term Loan

    5.187%        SOFR90A        4.000%        2/07/29        B1        1,674,308  
  697    

Anticimex International AB, Term Loan B1

    5.098%        3-Month LIBOR        3.500%        11/16/28        B        673,571  
  1,387    

Covanta Holding Corporation, Term Loan B

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        1,360,087  
  104    

Covanta Holding Corporation, Term Loan C

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        102,135  
  1,058    

Garda World Security Corporation, Term Loan B

    6.470%        1-Month LIBOR        4.250%        10/30/26        BB+        1,003,854  
  2,356    

GFL Environmental Inc., Term Loan

    5.806%        3-Month LIBOR        3.000%        5/30/25        N/R        2,340,789  
  993    

Herman Miller, Inc, Term Loan B

    3.688%        1-Month LIBOR        2.000%        7/19/28        BBB-        940,642  
  3,790    

Intrado Corporation, Term Loan

    6.372%        1-Month LIBOR        4.000%        10/10/24        B2        3,179,207  
  844    

Prime Security Services Borrower, LLC, Term Loan

    5.697%        6-Month LIBOR        2.750%        9/23/26        BB-        821,919  
  566    

Vertical US Newco Inc, Term Loan B

    6.871%        6-Month LIBOR        3.500%        7/31/27        B+        548,430  
  818    

West Corporation, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        10/10/24        B2        688,857  
  1,220    

WIN Waste Innovations Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        3/25/28        B+        1,188,017  
  15,553    

Total Commercial Services & Supplies

                                                 14,521,816  
      Communications Equipment – 2.5% (1.5% of Total Investments)                              
  1,971    

CommScope, Inc., Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/04/26        B1        1,859,668  
  2,962    

Delta TopCo, Inc., Term Loan B

    5.836%        3-Month LIBOR        3.750%        12/01/27        B2        2,804,850  
  4,895    

Maxar Technologies Ltd., Term Loan B

    6.677%        SOFR30A        4.250%        6/09/29        B        4,700,742  
  3,318    

MLN US HoldCo LLC, Term Loan, First Lien

    6.307%        1-Month LIBOR        4.500%        11/30/25        B3        2,158,358  
  2,456    

Riverbed Technology, Inc., Exit Term Loan (cash 7.000%, PIK 2.000%) (5)

    4.815%        3-Month LIBOR        2.000%        12/07/26        Caa1        1,170,658  
  750    

ViaSat, Inc., Term Loan

    6.941%        SOFR30A        4.500%        3/04/29        BB+        703,125  
  16,352    

Total Communications Equipment

                                                 13,397,401  
      Construction & Engineering – 0.9% (0.6% of Total Investments)                              
  1,161    

Aegion Corporation, Term Loan

    6.906%        1-Month LIBOR        4.750%        5/17/28        B        1,049,457  
  806    

Brand Energy & Infrastructure Services, Inc., Term Loan

    6.791%        3-Month LIBOR        4.250%        6/21/24        B-        737,704  
  1,325    

Centuri Group, Inc, Term Loan B

    3.560%        3-Month LIBOR        2.500%        8/27/28        Ba2        1,280,938  
  1,442    

Osmose Utilities Services, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        6/22/28        B        1,346,810  
  540    

Pike Corporation, Term Loan B

    5.380%        1-Month LIBOR        3.000%        1/21/28        Ba3        526,161  
  5,274    

Total Construction & Engineering

                                                 4,941,070  
      Consumer Finance – 0.7% (0.5% of Total Investments)                              
  4,016    

Fleetcor Technologies Operating Company, LLC, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/30/28        BB+        3,928,617  
      Containers & Packaging – 1.9% (1.2% of Total Investments)                              
  2,641    

Berry Global, Inc., Term Loan Z

    4.178%        3-Month LIBOR        1.750%        7/01/26        BBB-        2,600,991  
  1,551    

Charter NEX US, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        12/01/27        B        1,494,533  
  1,000    

Clydesdale Acquisition Holdings Inc, Term Loan B

    6.602%        SOFR30A        4.175%        3/30/29        B        963,410  
  130    

Klockner-Pentaplast of America, Inc., Term Loan B

    5.554%        6-Month LIBOR        4.750%        2/09/26        B        116,244  
  1,439    

Reynolds Group Holdings Inc. , Term Loan B

    5.872%        1-Month LIBOR        3.500%        9/24/28        B+        1,396,469  
  762    

Reynolds Group Holdings Inc. , Term Loan B2

    5.622%        1-Month LIBOR        3.250%        2/05/26        B+        741,011  
  3,186    

TricorBraun Holdings, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/03/28        B2        3,028,163  
  10,709    

Total Containers & Packaging

                                                 10,340,821  
      Diversified Consumer Services – 0.4% (0.3% of Total Investments)                              
  833    

GT Polaris, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        9/24/27        BB-        793,506  
  1,481    

Spin Holdco Inc., Term Loan

    5.611%        3-Month LIBOR        4.000%        3/04/28        B-        1,371,778  
  2,314    

Total Diversified Consumer Services

                                                 2,165,284  

 

40


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Financial Services – 1.5% (0.9% of Total Investments)                              
$ 311    

Avaya, Inc., Term Loan B2

    5.999%        1-Month LIBOR        4.000%        12/15/27        BB-      $ 160,644  
  2,278    

Avolon TLB Borrower 1 (US) LLC, Term Loan B3

    3.876%        1-Month LIBOR        1.750%        1/15/25        Baa2        2,237,457  
  4,306    

Avolon TLB Borrower 1 (US) LLC, Term Loan B4

    3.626%        1-Month LIBOR        1.500%        2/12/27        Baa2        4,157,699  
  2,103    

Ditech Holding Corporation, Term Loan (5)

    0.000%        N/A        N/A        12/19/22        N/R        252,349  
  1,201    

Trans Union, LLC, Term Loan B6

    4.622%        1-Month LIBOR        2.250%        12/01/28        BBB-        1,174,419  
  10,199    

Total Diversified Financial Services

                                                 7,982,568  
      Diversified Telecommunication Services – 3.9% (2.4% of Total Investments)                              
  1,760    

Altice France S.A., Term Loan B12

    6.200%        3-Month LIBOR        3.688%        1/31/26        B        1,665,804  
  5,836    

Altice France S.A., Term Loan B13

    5.411%        3-Month LIBOR        4.000%        8/14/26        B        5,564,548  
  6,500    

CenturyLink, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/15/27        BBB-        6,207,215  
  1,105    

Cincinnati Bell, Inc., Term Loan B2

    5.677%        SOFR30A        3.250%        11/23/28        B+        1,078,738  
  1,523    

Connect Finco Sarl, Term Loan B

    5.880%        1-Month LIBOR        3.500%        12/12/26        B+        1,470,988  
  1,075    

Cyxtera DC Holdings, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B        1,039,487  
  3,966    

Frontier Communications Corp., Term Loan B

    6.063%        3-Month LIBOR        3.750%        10/08/27        BB+        3,802,238  
  21,765    

Total Diversified Telecommunication Services

                                                 20,829,018  
      Electric Utilities – 0.4% (0.2% of Total Investments)                              
  1,153    

ExGen Renewables IV, LLC, Term Loan

    4.080%        3-Month LIBOR        2.500%        12/15/27        BB-        1,132,430  
  980    

Pacific Gas & Electric Company, Term Loan

    5.375%        1-Month LIBOR        3.000%        6/23/25        BB        949,066  
  2,133    

Total Electric Utilities

                                                 2,081,496  
      Electronic Equipment, Instruments & Components – 1.3% (0.8% of Total Investments)         
  1,875    

II-VI Incorporated, Term Loan B

    4.463%        3-Month LIBOR        2.750%        7/01/29        BBB-        1,829,681  
  2,772    

Ingram Micro Inc., Term Loan B

    5.750%        3-Month LIBOR        3.500%        7/02/28        BB+        2,726,955  
  1,863    

TTM Technologies, Inc., Term Loan

    4.213%        1-Month LIBOR        2.500%        9/28/24        BB+        1,860,663  
  460    

Vertiv Group Corporation, Term Loan B

    4.548%        1-Month LIBOR        2.750%        3/02/27        BB-        439,473  
  6,970    

Total Electronic Equipment, Instruments & Components

 

                                         6,856,772  
      Energy Equipment & Services – 0.0% (0.0% of Total Investments)                              
  168    

Petroleum Geo-Services ASA, Term Loan

    9.815%        1 + 3-Month LIBOR        7.500%        3/19/24        N/R        157,827  
      Entertainment – 2.3% (1.4% of Total Investments)                              
  2,224    

AMC Entertainment Holdings, Inc. , Term Loan B, (DD1)

    4.872%        1-Month LIBOR        3.000%        4/22/26        B-        1,935,999  
  5,092    

Crown Finance US, Inc., Term Loan

    4.000%        3-Month LIBOR        2.500%        2/28/25        CCC        3,294,694  
  675    

Crown Finance US, Inc., Term Loan

    4.250%        3-Month LIBOR        2.750%        9/20/26        CCC        415,419  
  430    

Crown Finance US, Inc., Term Loan B1

    10.076%        6-Month LIBOR        8.250%        5/23/24        B-        450,445  
  584    

Diamond Sports Group, LLC, Term Loan

    9.786%        1-Month LIBOR        8.000%        5/19/26        B        556,041  
  1,394    

Diamond Sports Group, LLC, Term Loan, Second Lien

    5.036%        SOFR30A        3.250%        8/24/26        CCC+        283,826  
  653    

Lions Gate Capital Holdings LLC, Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/24/25        Ba2        634,718  
  1,145    

Springer Nature Deutschland GmbH, Term Loan B18

    3.804%        3-Month LIBOR        3.000%        8/14/26        BB+        1,119,434  
  1,892    

Univision Communications Inc., Term Loan C5

    5.122%        1-Month LIBOR        2.750%        3/15/24        B+        1,877,341  
  1,560    

Virgin Media Bristol LLC, Term Loan Q

    5.249%        1-Month LIBOR        3.250%        1/31/29        BB+        1,542,731  
  15,649    

Total Entertainment

                                                 12,110,648  
      Food & Staples Retailing – 0.6% (0.4% of Total Investments)                              
  1,057    

American Seafoods Group LLC, Term Loan, First Lien

    5.844%        1 + 3-Month LIBOR        2.750%        8/21/23        BB-        1,038,169  
  821    

US Foods, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        801,065  
  1,522    

US Foods, Inc., Term Loan B

    4.325%        3-Month LIBOR        2.750%        11/22/28        BB        1,493,334  
  3,400    

Total Food & Staples Retailing

                                                 3,332,568  
      Food Products – 1.0% (0.6% of Total Investments)                              
  1,162    

CHG PPC Parent LLC, Term Loan

    5.375%        1-Month LIBOR        3.000%        12/08/28        B1        1,122,867  
  1,142    

Froneri International Ltd., Term Loan

    4.622%        1-Month LIBOR        2.250%        1/31/27        B+        1,098,624  
  627    

H Food Holdings LLC, Term Loan B

    5.354%        1-Month LIBOR        3.688%        5/31/25        B2        567,608  
  59    

H Food Holdings LLC, Term Loan B3

    6.666%        1-Month LIBOR        5.000%        5/31/25        B2        54,215  
  1,400    

Sycamore Buyer LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        1,367,632  
  1,087    

UTZ Quality Foods, LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        1/20/28        B1        1,057,337  
  5,477    

Total Food Products

                                                 5,268,283  

 

41


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Equipment & Supplies – 4.4% (2.7% of Total Investments)                              
$ 5,270    

Bausch & Lomb, Inc., Term Loan, (DD1)

    4.549%        SOFR30A        3.250%        5/05/27        BB+      $ 5,010,900  
  2,626    

Carestream Health, Inc., Term Loan

    7.375%        3-Month LIBOR        7.250%        5/08/23        B1        2,613,664  
  618    

Embecta Corp, Term Loan B

    5.054%        SOFR90A        3.000%        1/27/29        Ba3        603,725  
  1,063    

ICU Medical, Inc., Term Loan B

    4.604%        SOFR90A        2.650%        12/14/28        BBB-        1,031,530  
  743    

Insulet Corporation, Term Loan B

    5.622%        1-Month LIBOR        3.250%        5/04/28        Ba3        728,890  
  11,059    

Medline Borrower, LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        10/21/28        BB-        10,589,263  
  2,403    

Viant Medical Holdings, Inc., Term Loan, First Lien

    6.122%        1-Month LIBOR        3.750%        7/02/25        B3        2,232,972  
  899    

Vyaire Medical, Inc., Term Loan B

    7.035%        3-Month LIBOR        4.750%        4/30/25        Caa1        665,839  
  24,681    

Total Health Care Equipment & Supplies

                                                 23,476,783  
      Health Care Providers & Services – 12.3% (7.6% of Total Investments)                              
  1,208    

ADMI Corp., Term Loan B2

    5.747%        1-Month LIBOR        3.375%        12/23/27        B        1,119,369  
  2,977    

AHP Health Partners, Inc., Term Loan B

    5.872%        1-Month LIBOR        3.500%        8/23/28        B1        2,819,320  
  6,922    

Change Healthcare Holdings LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/01/24        B+        6,853,262  
  1,151    

DaVita, Inc. , Term Loan B, (DD1)

    4.122%        1-Month LIBOR        1.750%        8/12/26        BBB-        1,093,543  
  163    

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        156,804  
  352    

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        339,741  
  1,996    

Gainwell Acquisition Corp., Term Loan B

    6.250%        3-Month LIBOR        4.000%        10/01/27        BB-        1,942,462  
  397    

Global Medical Response, Inc., Term Loan

    6.622%        1-Month LIBOR        4.250%        3/14/25        B        380,292  
  3,784    

Global Medical Response, Inc., Term Loan B

    5.963%        1-Month LIBOR        4.250%        10/02/25        B        3,626,398  
  5,867    

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        5,774,596  
  430    

MED ParentCo LP, Term Loan, First Lien

    6.622%        1-Month LIBOR        4.250%        8/31/26        B2        383,018  
  1,641    

National Mentor Holdings, Inc., Term Loan

    6.065%        1 + 3-Month LIBOR        3.750%        3/02/28        B-        1,402,637  
  25    

National Mentor Holdings, Inc., Term Loan C

    6.010%        3-Month LIBOR        3.750%        3/02/28        B-        20,998  
  1,950    

Onex TSG Intermediate Corp., Term Loan B

    7.122%        1-Month LIBOR        4.750%        2/26/28        B        1,784,525  
  9,335    

Parexel International Corporation, Term Loan, First Lien, (DD1)

    4.916%        1-Month LIBOR        3.250%        11/15/28        B1        9,117,295  
  2,265    

Phoenix Guarantor Inc, Term Loan B

    5.622%        1-Month LIBOR        3.250%        3/05/26        B1        2,182,280  
  1,975    

Phoenix Guarantor Inc, Term Loan B3

    5.759%        1-Month LIBOR        3.500%        3/05/26        B1        1,907,386  
  233    

Quorum Health Corporation, Term Loan, (5)

    10.598%        3-Month LIBOR        8.250%        4/29/25        B-        152,364  
  8,055    

RegionalCare Hospital Partners Holdings, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/16/25        B1        7,629,343  
  4,343    

Select Medical Corporation, Term Loan B

    4.880%        1-Month LIBOR        2.500%        3/06/25        Ba2        4,255,745  
  8,171    

Surgery Center Holdings, Inc., Term Loan, (DD1)

    5.630%        1-Month LIBOR        3.750%        8/31/26        B1        7,869,454  
  1,891    

Team Health Holdings, Inc., Term Loan B

    7.577%        SOFR30A        5.250%        2/17/27        B        1,561,807  
  890    

Team Health Holdings, Inc., Term Loan, First Lien

    5.122%        1-Month LIBOR        2.750%        2/06/24        B        800,684  
  2,623    

US Radiology Specialists, Inc., Term Loan

    7.563%        3-Month LIBOR        5.250%        12/15/27        B-        2,469,502  
  68,644    

Total Health Care Providers & Services

                                                 65,642,825  
      Health Care Technology – 0.8% (0.5% of Total Investments)                              
  297    

Athenahealth, Inc., Term Loan (6)

    3.500%        1-Month LIBOR        3.500%        1/27/29        B+        284,041  
  1,538    

Athenahealth, Inc., Term Loan B

    5.653%        SOFR30A        3.500%        1/27/29        B+        1,470,292  
  2,859    

Carestream Health, Inc., Term Loan, Second Lien (cash 5.500%, PIK 8.000%)

    8.000%        3-Month LIBOR        8.000%        8/05/23        Caa1        2,498,091  
  4,694    

Total Health Care Technology

                                                 4,252,424  
      Hotels, Restaurants & Leisure – 21.4% (13.2% of Total Investments)                       
  611    

24 Hour Fitness Worldwide, Inc., Exit Term Loan (cash 0.220%, PIK 5.000%)

    7.232%        3-Month LIBOR        5.000%        12/29/25        CCC-        205,550  
  259    

24 Hour Fitness Worldwide, Inc., Exit Term Loan

    15.913%        3-Month LIBOR        14.000%        9/29/26        Caa3        253,653  
  2,013    

Alterra Mountain Company, Term Loan

    5.872%        1-Month LIBOR        3.500%        8/17/28        B        1,949,138  
  2,175    

Alterra Mountain Company, Term Loan B1

    5.122%        1-Month LIBOR        2.750%        7/31/24        B        2,120,775  
  931    

Aramark Services, Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        3/11/25        BB+        907,264  
  21,312    

B.C. Unlimited Liability Company, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        11/19/26        BB+        20,712,638  
  10,234    

Caesars Resort Collection, LLC, Term Loan B, First Lien

    5.122%        1-Month LIBOR        2.750%        12/22/24        B+        10,031,493  
  949    

Caesars Resort Collection, LLC, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        7/20/25        B+        932,332  
  2,399    

Carnival Corporation, Term Loan B, (DD1)

    5.877%        6-Month LIBOR        3.000%        6/30/25        Ba2        2,296,136  
  1,397    

Carnival Corporation, Term Loan B

    6.127%        6-Month LIBOR        3.250%        10/18/28        Ba2        1,300,886  
  2,842    

Churchill Downs Incorporated, Term Loan B1, (DD1)

    4.380%        1-Month LIBOR        2.000%        3/17/28        BBB-        2,739,282  
  5,851    

ClubCorp Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        9/18/24        B2        5,404,296  
  1,274    

Crown Finance US, Inc., Term Loan, (6), (DD1)

    4.970%        3-Month LIBOR        3.000%        5/31/23        CCC+        972,489  

 

42


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Hotels, Restaurants & Leisure (continued)                       
$ 800    

Crown Finance US, Inc., Term Loan B1 (cash 7.132%, PIK 8.250%)

    7.625%        3-Month LIBOR        8.250%        5/23/24        B-      $ 885,899  
  10,740    

Delta 2 (LUX) S.a.r.l., Term Loan

    4.872%        1-Month LIBOR        2.500%        2/01/24        BB-        10,656,925  
  4,601    

Equinox Holdings, Inc., Term Loan, First Lien

    5.250%        3-Month LIBOR        3.000%        3/08/24        CCC        3,337,367  
  9,209    

Fertitta Entertainment, LLC, Term Loan B

    6.327%        SOFR30A        4.000%        1/27/29        B        8,807,092  
  929    

Four Seasons Hotels Limited, Term Loan, First Lien

    4.372%        1-Month LIBOR        2.000%        11/30/23        BB+        924,097  
  2,729    

Hilton Grand Vacations Borrower LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        8/02/28        BB+        2,681,952  
  7,038    

Hilton Worldwide Finance, LLC, Term Loan B2

    3.964%        1-Month LIBOR        1.750%        6/21/26        BBB-        6,941,707  
  1,577    

Life Time Fitness Inc , Term Loan B

    6.325%        3-Month LIBOR        4.750%        12/15/24        B        1,559,622  
  1,491    

NASCAR Holdings, Inc, Term Loan B, (DD1)

    4.872%        1-Month LIBOR        2.500%        10/18/26        BBB-        1,471,953  
  1,170    

PCI Gaming Authority, Term Loan

    4.872%        1-Month LIBOR        2.500%        5/31/26        BBB-        1,140,296  
  1,080    

Penn National Gaming, Inc., Term Loan B

    5.177%        SOFR30A        2.750%        4/20/29        BB        1,059,075  
  1,021    

Scientific Games Holdings LP, Term Loan B

    5.617%        SOFR90A        3.500%        2/04/29        BB-        978,485  
  4,290    

Scientific Games International, Inc., Term Loan

    5.044%        SOFR30A        3.000%        4/07/29        BB        4,202,420  
  2,853    

SeaWorld Parks & Entertainment, Inc., Term Loan B

    5.375%        1-Month LIBOR        3.000%        8/25/28        BB-        2,729,484  
  7,999    

Stars Group Holdings B.V. (The), Term Loan, (DD1)

    4.500%        3-Month LIBOR        2.250%        7/10/25        BBB        7,860,802  
  2,883    

Station Casinos LLC, Term Loan B

    4.630%        1-Month LIBOR        2.250%        2/08/27        BB-        2,812,315  
  2,239    

Twin River Worldwide Holdings, Inc., Term Loan B

    5.048%        1-Month LIBOR        3.250%        10/01/28        BB+        2,128,917  
  2,951    

William Morris Endeavor Entertainment, LLC, Term Loan, First Lien

    5.130%        1-Month LIBOR        2.750%        5/16/25        B        2,839,878  
  1,430    

Wyndham Hotels & Resorts, Inc., Term Loan B

    4.122%        1-Month LIBOR        1.750%        5/30/25        BBB-        1,414,956  
  119,277    

Total Hotels, Restaurants & Leisure

                                                 114,259,174  
      Household Durables – 1.0% (0.6% of Total Investments)                              
  611    

AI Aqua Merger Sub Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        579,281  
  139    

AI Aqua Merger Sub Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        131,655  
  2,500    

AI Aqua Merger Sub, Inc., Term Loan B, First Lien

    5.436%        SOFR30A        3.750%        7/30/28        B3        2,366,875  
  1,909    

Serta Simmons Bedding, LLC, Term Loan, (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B-        1,270,411  
  98    

Serta Simmons Bedding, LLC, Term Loan, (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B        96,016  
  915    

Weber-Stephen Products LLC, Term Loan B, (DD1)

    5.622%        1-Month LIBOR        3.250%        10/30/27        CCC+        751,801  
  6,172    

Total Household Durables

                                                 5,196,039  
      Household Products – 0.9% (0.6% of Total Investments)                              
  1,773    

Energizer Holdings, Inc., Term Loan

    4.500%        1-Month LIBOR        2.250%        12/22/27        Ba1        1,708,729  
  241    

Illuminate Merger Sub Corp., Term Loan

    6.377%        6-Month LIBOR        3.500%        5/16/28        B1        213,187  
  1,654    

Reynolds Consumer Products LLC, Term Loan

    4.122%        1-Month LIBOR        1.750%        2/04/27        BBB-        1,620,392  
  1,481    

Spectrum Brands, Inc., Term Loan

    4.380%        1-Month LIBOR        2.000%        3/03/28        BBB-        1,427,555  
  5,149    

Total Household Products

                                                 4,969,863  
      Independent Power And Renewable Electricity Prod – 0.2% (0.1% of Total Investments)                       
  1,252    

Vistra Operations Company LLC, Term Loan B3, First Lien

    4.014%        1-Month LIBOR        1.750%        12/31/25        BBB-        1,231,769  
      Insurance – 4.8% (2.9% of Total Investments)                              
  4,915    

Acrisure, LLC, Term Loan B

    5.872%        1-Month LIBOR        3.500%        2/15/27        B        4,688,472  
  4,013    

Alliant Holdings Intermediate, LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        5/10/25        B        3,891,227  
  744    

Alliant Holdings Intermediate, LLC, Term Loan B4

    5.656%        1-Month LIBOR        3.500%        11/12/27        B        720,764  
  2,914    

Asurion LLC, Term Loan B4, Second Lien

    7.622%        1-Month LIBOR        5.250%        1/15/29        B        2,512,597  
  1,384    

Asurion LLC, Term Loan B6

    5.497%        1-Month LIBOR        3.125%        11/03/23        Ba3        1,364,894  
  5,634    

Asurion LLC, Term Loan B8

    5.622%        1-Month LIBOR        3.250%        12/23/26        Ba3        5,312,849  
  953    

Asurion LLC, Term Loan B9

    5.622%        1-Month LIBOR        3.250%        7/31/27        Ba3        898,767  
  992    

Broadstreet Partners, Inc., Term Loan B2

    5.622%        1-Month LIBOR        3.250%        1/27/27        B1        955,281  
  1,438    

Hub International Limited, Term Loan B

    4.991%        2-Month LIBOR        3.250%        4/25/25        B        1,410,943  
  3,234    

Hub International Limited, Term Loan B

    5.657%        3-Month LIBOR        3.000%        4/25/25        B        3,161,506  
  688    

Ryan Specialty Group, LLC, Term Loan

    5.427%        SOFR30A        3.000%        9/01/27        BB-        671,127  
  26,909    

Total Insurance

                                                 25,588,427  
      Interactive Media & Services – 1.0% (0.6% of Total Investments)                              
  5,543    

Rackspace Technology Global, Inc., Term Loan B

    4.160%        3-Month LIBOR        2.750%        2/09/28        B+        5,109,592  
  5,543    

Total Interactive Media & Services

                                                 5,109,592  

 

43


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Internet & Direct Marketing Retail – 0.6% (0.4% of Total Investments)  
$ 2,469    

CNT Holdings I Corp, Term Loan

    5.372%        1-Month LIBOR        3.500%        11/08/27        B      $ 2,399,502  
  160    

Medical Solutions Holdings, Inc., Term Loan (6)

    5.543%        3-Month LIBOR        3.500%        11/01/23        B1        154,600  
  860    

Medical Solutions Holdings, Inc., Term Loan, First Lien

    6.377%        3-Month LIBOR        3.500%        11/01/28        B1        830,878  
  3,489    

Total Internet & Direct Marketing Retail

                                                 3,384,980  
      IT Services – 4.0% (2.5% of Total Investments)  
  1,957    

Ahead DB Holdings, LLC, Term Loan B

    6.010%        3-Month LIBOR        3.750%        10/16/27        B+        1,904,101  
  311    

iQor US Inc., Exit Term Loan

    9.872%        1-Month LIBOR        7.500%        9/15/27        B1        310,702  
  1,454    

Peraton Corp., Term Loan B

    6.122%        1-Month LIBOR        3.750%        2/01/28        BB-        1,417,156  
  1,653    

Perforce Software, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        7/01/26        B2        1,509,101  
  4,034    

Sabre GLBL Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        2/22/24        Ba3        3,937,329  
  4,688    

Syniverse Holdings, Inc., Term Loan

    8.286%       
CME Term SOFR
3 Month
 
 
     7.000%        5/10/29        B-        4,209,961  
  2,092    

Tempo Acquisition LLC, Term Loan B

    5.327%        SOFR30A        3.000%        8/31/28        BB-        2,055,600  
  4,860    

Travelport Finance (Luxembourg) S.a.r.l., Term Loan (cash 3.500%, PIK 6.500%)

    3.750%        3-Month LIBOR        1.500%        2/28/25        B-        4,739,907  
  1,445    

WEX Inc., Term Loan

    4.622%        1-Month LIBOR        2.250%        4/01/28        Ba2        1,419,793  
  22,494    

Total IT Services

                                                 21,503,650  
      Leisure Products – 0.3% (0.2% of Total Investments)  
  673    

Hayward Industries, Inc., Term Loan

    4.872%        1-Month LIBOR        2.500%        5/28/28        BB        645,394  
  1,040    

SRAM, LLC , Term Loan B

    5.519%        1 + 3-Month LIBOR        2.750%        5/18/28        BB-        1,002,518  
  1,713    

Total Leisure Products

                                                 1,647,912  
      Life Sciences Tools & Services – 0.6% (0.4% of Total Investments)  
  860    

Avantor Funding, Inc., Term Loan B5

    4.622%        1-Month LIBOR        2.250%        11/06/27        BB+        846,046  
  928    

Curia Global, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        8/30/26        B        898,992  
  1,462    

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        1,438,771  
  3,250    

Total Life Sciences Tools & Services

                                                 3,183,809  
      Machinery – 2.2% (1.3% of Total Investments)  
  4,200    

Ali Group North America Corp., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        Baa3        4,124,757  
  1,461    

Alliance Laundry Systems LLC, Term Loan B

    5.955%        3-Month LIBOR        3.500%        10/08/27        B        1,422,336  
  1,999    

Gardner Denver, Inc., Term Loan B2

    4.177%        1-Month LIBOR        1.750%        2/28/27        BB+        1,966,813  
  2,081    

Gates Global LLC, Term Loan B3

    4.872%        1-Month LIBOR        2.500%        3/31/27        Ba3        2,011,949  
  1,102    

Grinding Media Inc., Term Loan B

    4.796%        3-Month LIBOR        4.000%        10/12/28        B        1,032,820  
  990    

Madison IAQ LLC, Term Loan

    4.524%        6-Month LIBOR        3.250%        6/21/28        B1        944,391  
  11,833    

Total Machinery

                                                 11,503,066  
      Marine – 0.6% (0.3% of Total Investments)  
  3,141    

HGIM Corp., Exit Term Loan

    9.750%        Prime        6.000%        7/02/23        CCC+        2,979,685  
      Media – 12.4% (7.6% of Total Investments)                              
  2,335    

ABG Intermediate Holdings 2 LLC, Term Loan B1

    5.927%        SOFR30A        3.500%        12/21/28        B1        2,257,653  
  400    

ABG Intermediate Holdings 2 LLC, Term Loan, Second Lien

    8.427%        SOFR30A        6.000%        12/20/29        CCC+        368,500  
  580    

Altice Financing SA, Term Loan, First Lien

    5.262%        3-Month LIBOR        2.750%        1/31/26        B        549,715  
  1,485    

Cable One, Inc., Term Loan B4

    4.372%        1-Month LIBOR        2.000%        5/03/28        BB+        1,432,654  
  3,652    

Cengage Learning, Inc., Term Loan B

    7.814%        3-Month LIBOR        4.750%        7/14/26        B        3,358,418  
  2,805    

Charter Communications Operating, LLC, Term Loan B2

    4.130%        1-Month LIBOR        1.750%        2/01/27        BBB-        2,721,590  
  664    

Checkout Holding Corp., Term Loan

    9.872%        1-Month LIBOR        7.500%        2/15/23        N/R        559,398  
  1,264    

Checkout Holding Corp., Term Loan (cash 2.000%, PIK 9.500%)

    6.436%        1-Month LIBOR        9.500%        8/15/23        N/R        444,418  
  11,502    

Clear Channel Outdoor Holdings, Inc., Term Loan B

    6.089%        1 + 3-Month LIBOR        3.500%        8/21/26        B1        10,524,242  
  6,766    

CSC Holdings, LLC, Term Loan

    4.249%        1-Month LIBOR        2.250%        1/15/26        BB        6,556,736  
  3,381    

CSC Holdings, LLC, Term Loan B1

    4.249%        1-Month LIBOR        2.250%        7/17/25        BB        3,277,799  
  3,934    

CSC Holdings, LLC, Term Loan B5

    4.499%        1-Month LIBOR        2.500%        4/15/27        BB        3,787,906  
  502    

Cumulus Media New Holdings Inc., Term Loan B

    4.750%        6-Month LIBOR        3.750%        3/31/26        B        482,454  
  6,763    

DirecTV Financing, LLC, Term Loan

    7.372%        1-Month LIBOR        5.000%        8/02/27        BBB-        6,410,101  
  2,680    

Dotdash Meredith Inc, Term Loan B

    5.699%        1-Month LIBOR        4.000%        12/01/28        BB-        2,432,475  
  968    

E.W. Scripps Company (The), Term Loan B2

    4.935%        1-Month LIBOR        2.563%        5/01/26        BB        942,552  
  850    

Gray Television, Inc., Term Loan C

    4.213%        1-Month LIBOR        2.500%        1/02/26        BB+        829,727  

 

44


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)                              
$ 6,122    

iHeartCommunications, Inc., Term Loan

    5.372%        1-Month LIBOR        3.000%        5/01/26        BB-      $ 5,810,387  
  597    

LCPR Loan Financing LLC, Term Loan B

    5.749%        1-Month LIBOR        3.750%        10/15/28        BB+        584,464  
  2,382    

McGraw-Hill Global Education Holdings, LLC, Term Loan

    5.554%        6-Month LIBOR        4.750%        7/30/28        BB+        2,265,878  
  721    

Mission Broadcasting, Inc., Term Loan B

    4.213%        1-Month LIBOR        2.500%        6/03/28        BBB-        702,403  
  841    

Nexstar Broadcasting, Inc., Term Loan B4

    4.872%        1-Month LIBOR        2.500%        9/19/26        BBB-        833,637  
  460    

Outfront Media Capital LLC, Term Loan B

    4.122%        1-Month LIBOR        1.750%        11/18/26        Ba1        444,475  
  408    

Radiate Holdco, LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        9/25/26        B1        387,135  
  227    

Red Ventures, LLC, Term Loan B2

    4.872%        1-Month LIBOR        2.500%        11/08/24        BB+        221,761  
  1,216    

Sinclair Television Group Inc., Term Loan B2B

    4.880%        1-Month LIBOR        2.500%        9/30/26        Ba2        1,135,090  
  510    

Virgin Media Bristol LLC, Term Loan N

    4.499%        1-Month LIBOR        2.500%        1/31/28        BB+        498,418  
  1,423    

WideOpenWest Finance LLC, Term Loan B

    5.153%        SOFR30A        3.000%        12/20/28        BB        1,400,874  
  4,939    

Ziggo Financing Partnership, Term Loan I

    4.499%        1-Month LIBOR        2.500%        4/30/28        BB        4,821,746  
  70,377    

Total Media

                                                 66,042,606  
      Multiline Retail – 0.2% (0.1% of Total Investments)  
  2,153    

Belk, Inc., Term Loan (cash 5.000%, PIK 8.000%)

    13.000%        3-Month LIBOR        13.000%        7/31/25        CCC-        817,176  
  459    

Belk, Inc., Term Loan

    9.006%        3-Month LIBOR        7.500%        7/31/25        B-        413,806  
  2,612    

Total Multiline Retail

                                                 1,230,982  
      Oil, Gas & Consumable Fuels – 2.9% (1.8% of Total Investments)  
  854    

BCP Renaissance Parent LLC, Term Loan B3

    5.554%        SOFR30A        3.500%        11/01/24        B+        833,597  
  2,282    

Buckeye Partners, L.P., Term Loan B

    3.916%        1-Month LIBOR        2.250%        11/01/26        BBB-        2,244,133  
  483    

EG America LLC, Term Loan

    6.250%        3-Month LIBOR        4.000%        2/05/25        B-        459,439  
  2,836    

Freeport LNG Investments, LLLP, Term Loan, (DD1)

    4.000%        3-Month LIBOR        3.500%        12/21/28        N/R        2,679,924  
  3,684    

Gulf Finance, LLC, Term Loan

    8.835%        1-Month LIBOR        6.750%        8/25/26        B        2,820,486  
  3,258    

QuarterNorth Energy Holding Inc., Exit Term Loan, Second Lien

    10.372%        1-Month LIBOR        8.000%        8/27/26        B        3,246,993  
  1,826    

TransMontaigne Operating Company L.P., Term Loan B

    5.659%        1-Month LIBOR        3.500%        11/05/28        BB        1,758,982  
  1,503    

Traverse Midstream Partners LLC, Term Loan

    5.950%        SOFR90A        4.250%        9/27/24        B+        1,484,067  
  16,726    

Total Oil, Gas & Consumable Fuels

                                                 15,527,621  
      Personal Products – 0.9% (0.5% of Total Investments)  
  1,241    

Conair Holdings, LLC, Term Loan B

    6.000%        3-Month LIBOR        3.750%        5/17/28        B-        1,059,184  
  145    

Coty Inc., Term Loan B

    4.057%        1-Month LIBOR        2.250%        4/05/25        BB-        140,001  
  1    

Kronos Acquisition Holdings Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        12/22/26        B2        857  
  5,083    

Revlon Consumer Products Corporation, Term Loan B, (DD1) (5), (7)

    5.576%        6-Month LIBOR        3.500%        9/07/23        N/R        3,485,408  
  6,470    

Total Personal Products

                                                 4,685,450  
      Pharmaceuticals – 4.1% (2.5% of Total Investments)  
  1,934    

Amneal Pharmaceuticals LLC, Term Loan B

    5.813%        1 + 3-Month LIBOR        3.500%        5/04/25        B        1,807,085  
  2,588    

Bausch Health Companies Inc., Term Loan B, (DD1)

    7.174%        SOFR30A        5.250%        1/27/27        BB        2,185,645  
  758    

Catalent Pharma Solutions Inc., Term Loan B3

    4.250%        1-Month LIBOR        2.000%        2/22/28        BBB-        748,396  
  1,149    

Elanco Animal Health Incorporated, Term Loan B

    3.463%        1-Month LIBOR        1.750%        8/01/27        BBB-        1,115,062  
  8,256    

Jazz Financing Lux S.a.r.l., Term Loan

    5.872%        1-Month LIBOR        3.500%        5/05/28        BB+        8,084,176  
  3,345    

Mallinckrodt International Finance S.A., Term Loan B, (DD1) (5)

    6.246%        3-Month LIBOR        5.250%        9/24/24        B        2,858,527  
  1,850    

Mallinckrodt International Finance S.A., Term Loan B, (5)

    6.911%        3-Month LIBOR        5.500%        2/24/25        B        1,531,083  
  2,793    

Organon & Co, Term Loan

    4.625%        3-Month LIBOR        3.000%        6/02/28        BB        2,753,237  
  977    

Perrigo Investments, LLC, Term Loan B

    4.199%        SOFR30A        2.500%        4/05/29        Baa3        964,788  
  23,650    

Total Pharmaceuticals

                                                 22,047,999  
      Professional Services – 1.9% (1.2% of Total Investments)  
  759    

CHG Healthcare Services Inc., Term Loan

    4.916%        3-Month LIBOR        3.250%        9/30/28        B1        738,720  
  1,097    

Creative Artists Agency, LLC , Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/26/26        B        1,078,563  
  3,022    

Dun & Bradstreet Corporation (The), Term Loan

    4.874%        3-Month LIBOR        3.250%        2/08/26        BB+        2,948,954  
  1,448    

EAB Global, Inc., Term Loan

    6.089%        1 + 3-Month LIBOR        3.500%        8/16/28        B2        1,385,161  
  898    

Physician Partners LLC, Term Loan

    6.427%        SOFR30A        4.000%        2/01/29        B        849,119  
  440    

R1 RCM Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        BBB-        435,600  
  2,979    

Verscend Holding Corp., Term Loan B

    6.372%        1-Month LIBOR        4.000%        8/27/25        BB-        2,908,545  
  10,643    

Total Professional Services

                                                 10,344,662  

 

45


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Real Estate Management & Development – 0.2% (0.1% of Total Investments)  
$ 960    

Cushman & Wakefield PLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB      $ 931,714  
      Road & Rail – 2.2% (1.3% of Total Investments)  
  1,679    

First Student Bidco Inc, Term Loan B

    5.232%        3-Month LIBOR        3.000%        7/21/28        BB+        1,567,167  
  623    

First Student Bidco Inc, Term Loan C

    5.232%        3-Month LIBOR        3.000%        7/21/28        BB+        581,204  
  2,444    

Genesee & Wyoming Inc. (New), Term Loan

    4.250%        3-Month LIBOR        2.000%        12/30/26        BB+        2,406,715  
  1,315    

Hertz Corporation, (The), Term Loan B

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        1,266,542  
  251    

Hertz Corporation, (The), Term Loan C

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        241,770  
  553    

Uber Technologies, Inc., Term Loan B

    5.075%        3-Month LIBOR        3.500%        2/25/27        Ba3        544,408  
  2,876    

Uber Technologies, Inc., Term Loan B, First Lien

    5.075%        3-Month LIBOR        3.500%        4/04/25        Ba3        2,834,303  
  2,166    

XPO Logistics, Inc., Term Loan B

    3.548%        1-Month LIBOR        1.750%        2/24/25        Baa3        2,120,714  
  11,907    

Total Road & Rail

                                                 11,562,823  
      Semiconductors & Semiconductor Equipment – 0.6% (0.4% of Total Investments)  
  6,468    

Bright Bidco B.V., Term Loan B, (DD1)

    4.774%        3-Month LIBOR        3.500%        6/30/24        CCC        2,548,860  
  733    

Entegris, Inc., Term Loan B

    5.597%        3-Month LIBOR        3.000%        7/06/29        Baa3        725,516  
  7,201    

Total Semiconductors & Semiconductor Equipment

                                                 3,274,376  
      Software – 15.7% (9.6% of Total Investments)  
  1,308    

Apttus Corporation, Term Loan

    5.621%        3-Month LIBOR        4.250%        5/06/28        BB        1,269,197  
  1,177    

Avaya, Inc., Term Loan

    12.481%        SOFR90A        10.000%        12/15/27        BB-        747,395  
  3,599    

Banff Merger Sub Inc, Term Loan

    6.122%        1-Month LIBOR        3.750%        10/02/25        B2        3,474,805  
  917    

Camelot U.S. Acquisition LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        10/31/26        B1        896,594  
  662    

CCC Intelligent Solutions Inc., Term Loan B

    4.500%        3-Month LIBOR        2.250%        9/21/28        B1        645,342  
  2,740    

CDK Global, Inc., Term Loan B

    6.610%        SOFR90A        4.500%        6/09/29        B+        2,668,774  
  2,172    

Ceridian HCM Holding Inc., Term Loan B

    4.166%        1-Month LIBOR        2.500%        4/30/25        B+        2,105,295  
  3,000    

DTI Holdco, Inc., Term Loan

    7.327%        SOFR90A        4.750%        4/21/29        B2        2,821,875  
  526    

Dynatrace LLC, Term Loan, First Lien

    4.622%        1-Month LIBOR        2.250%        8/23/25        BB+        522,465  
  7,339    

Epicor Software Corporation, Term Loan

    5.622%        1-Month LIBOR        3.250%        7/31/27        B2        7,016,132  
  4,812    

Finastra USA, Inc., Term Loan, First Lien, (DD1)

    6.871%        3-Month LIBOR        3.500%        6/13/24        B+        4,508,799  
  4,582    

Greeneden U.S. Holdings II, LLC, Term Loan B4

    6.372%        1-Month LIBOR        4.000%        12/01/27        B2        4,483,443  
  672    

Greenway Health, LLC, Term Loan, First Lien

    5.250%        3-Month LIBOR        3.750%        2/16/24        B-        610,282  
  5,486    

Informatica LLC, Term Loan B

    5.125%        1-Month LIBOR        2.750%        10/14/28        BB-        5,359,408  
  860    

iQor US Inc., Second Out Term Loan

    9.872%        1-Month LIBOR        7.500%        11/19/25        CCC+        702,033  
  2,097    

MA FinanceCo., LLC, Term Loan B

    5.915%        3-Month LIBOR        4.250%        6/05/25        BB+        1,850,424  
  1,266    

Magenta Buyer LLC, Term Loan, First Lien

    7.050%        3-Month LIBOR        4.750%        7/27/28        BB-        1,206,998  
  2,816    

McAfee, LLC, Term Loan B

    5.699%       

1-Month LIBOR +
CME Term SOFR
1 Week
 
 
 
     4.000%        2/03/29        BB+        2,699,012  
  6,000    

Nortonlifelock Inc, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BBB-        5,855,640  
  1,986    

Polaris Newco LLC, Term Loan B

    6.372%        1-Month LIBOR        4.000%        6/04/28        B2        1,892,171  
  494    

Project Ruby Ultimate Parent Corp., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/10/28        B        473,126  
  2,330    

Proofpoint, Inc., Term Loan, First Lien

    4.825%        3-Month LIBOR        3.250%        8/31/28        BB-        2,243,221  
  633    

RealPage, Inc, Term Loan, First Lien

    5.372%        1-Month LIBOR        3.000%        4/22/28        B+        610,807  
  5,870    

Seattle Spinco, Inc., Term Loan B3

    5.122%        1-Month LIBOR        2.750%        6/21/24        BB+        5,474,205  
  4,700    

Seattle Spinco, Inc., Term Loan B5

    6.253%        SOFR30A        4.000%        1/14/27        BB+        4,124,645  
  2,883    

Sophia, L.P., Term Loan B

    5.500%        3-Month LIBOR        3.250%        10/07/27        B2        2,785,692  
  1,209    

SS&C European Holdings Sarl, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        1,183,764  
  1,489    

SS&C Technologies Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        1,458,219  
  353    

SS&C Technologies Inc., Term Loan B6

    4.677%        SOFR30A        2.250%        3/22/29        BB+        344,628  
  505    

SS&C Technologies Inc., Term Loan B7

    4.677%        SOFR30A        2.250%        3/22/29        BB+        493,507  
  1,627    

Tibco Software Inc., Term Loan B3

    6.130%        1-Month LIBOR        3.750%        7/03/26        B+        1,618,595  
  1,921    

Ultimate Software Group Inc (The), Term Loan

    5.535%        3-Month LIBOR        3.250%        5/03/26        B1        1,867,040  
  973    

Ultimate Software Group Inc (The), Term Loan B

    6.122%        1-Month LIBOR        3.750%        5/03/26        B1        948,188  
  1,489    

Vision Solutions, Inc., Term Loan

    6.783%        3-Month LIBOR        4.000%        5/28/28        B2        1,383,049  
  4,463    

Zelis Healthcare Corporation, Term Loan

    5.213%        1-Month LIBOR        3.500%        9/30/26        B        4,359,619  
  3,071    

ZoomInfo LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        2/01/26        BB+        3,044,960  
  88,027    

Total Software

                                                 83,749,349  
      Specialty Retail – 4.2% (2.6% of Total Investments)  
  1,185    

Academy, Ltd., Term Loan

    5.463%        1-Month LIBOR        3.750%        11/06/27        BB-        1,146,488  
  1,838    

Avis Budget Car Rental, LLC, Term Loan B, (DD1)

    4.130%        1-Month LIBOR        1.750%        8/06/27        BB+        1,737,260  
  1,547    

Avis Budget Car Rental, LLC, Term Loan C, (DD1)

    5.927%        SOFR30A        3.500%        3/15/29        BB+        1,519,805  
  509    

Driven Holdings, LLC, Term Loan B

    3.517%        3-Month LIBOR        3.000%        12/17/28        B2        493,463  

 

46


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Specialty Retail (continued)  
$ 1,748    

Jo-Ann Stores, Inc., Term Loan B1

    7.516%        3-Month LIBOR        4.750%        6/30/28        B-      $ 1,190,670  
  2,192    

LBM Acquisition LLC, Term Loan B

    5.416%        1-Week LIBOR        3.750%        12/18/27        B+        1,890,630  
  755    

Les Schwab Tire Centers, Term Loan B

    4.000%        3-Month LIBOR        3.250%        11/02/27        B        730,221  
  9,316    

PetSmart, Inc., Term Loan B

    6.120%        1-Month LIBOR        3.750%        2/12/28        BB-        9,003,398  
  2,977    

Restoration Hardware, Inc., Term Loan B

    4.872%        1-Month LIBOR        2.500%        10/15/28        BB        2,705,431  
  532    

SRS Distribution Inc., Term Loan

    6.177%        SOFR90A        3.500%        6/04/28        B2        508,815  
  766    

Staples, Inc., Term Loan

    6.286%        3-Month LIBOR        5.000%        4/12/26        B        667,053  
  1,025    

Wand NewCo 3, Inc., Term Loan

    5.372%        1-Month LIBOR        3.000%        2/05/26        B2        986,601  
  24,390    

Total Specialty Retail

                                                 22,579,835  
      Technology Hardware, Storage & Peripherals – 0.1% (0.1% of Total Investments)                
  778    

NCR Corporation, Term Loan

    5.310%        3-Month LIBOR        2.500%        8/28/26        BB+        761,794  
      Textiles, Apparel & Luxury Goods – 0.5% (0.3% of Total Investments)  
  1,930    

Birkenstock GmbH & Co. KG, Term Loan B

    5.098%        6-Month LIBOR        3.250%        4/28/28        BB-        1,811,327  
  380    

New Trojan Parent, Inc., Term Loan, First Lien

    5.386%        1-Month LIBOR        3.250%        1/06/28        B        339,384  
  274    

Samsonite International S.A., Term Loan B2

    5.372%        1-Month LIBOR        3.000%        4/25/25        N/R        267,400  
  2,584    

Total Textiles, Apparel & Luxury Goods

                                                 2,418,111  
      Trading Companies & Distributors – 0.8% (0.5% of Total Investments)                
  2,254    

Core & Main LP, Term Loan B

    4.800%        3-Month LIBOR        2.500%        6/10/28        Ba3        2,182,735  
  1,461    

Resideo Funding Inc., Term Loan

    4.175%        1 + 3-Month LIBOR        2.250%        2/12/28        BBB-        1,429,829  
  935    

Univar Solutions USA Inc., Term Loan B6

    4.122%        1-Month LIBOR        1.750%        6/03/28        BBB-        919,509  
  4,650    

Total Trading Companies & Distributors

                                                 4,532,073  
      Transportation Infrastructure – 0.8% (0.5% of Total Investments)                
  2,086    

Brown Group Holding, LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        4/22/28        B+        2,012,492  
  1,050    

Brown Group Holding, LLC, Term Loan B2

    6.327%        SOFR30A        3.750%        6/09/29        B+        1,030,859  
  1,343    

KKR Apple Bidco, LLC, Term Loan

    5.122%        1-Month LIBOR        2.750%        9/23/28        B+        1,297,915  
  4,479    

Total Transportation Infrastructure

                                                 4,341,266  
      Wireless Telecommunication Services – 1.3% (0.8% of Total Investments)                
  1,188    

GOGO Intermediate Holdings LLC, Term Loan B

    6.556%        3-Month LIBOR        3.750%        4/30/28        B+        1,161,567  
  4,820    

Intelsat Jackson Holdings S.A., Term Loan B, (DD1) (5)

    4.920%        SOFR180A        4.250%        1/27/29        BB-        4,569,229  
  993    

MetroNet Systems Holdings, LLC, Term Loan, First Lien

    5.694%       
1-Month LIBOR +
SOFR30A
 
 
     3.750%        6/02/28        B        950,570  
  7,001    

Total Wireless Telecommunication Services

                                                 6,681,366  
$ 779,448    

Total Variable Rate Senior Loan Interests (cost $765,897,813)

 

              727,604,181  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 17.8% (10.9% of Total Investments)

 

     
      Airlines – 0.3% (0.2% of Total Investments)                       
$ 762    

United Airlines Inc, 144A

 

        4.375%        4/15/26        Ba1      $ 731,520  
  1,006    

United Airlines Inc, 144A

 

              4.625%        4/15/29        Ba1        926,778  
  1,768    

Total Airlines

                                                 1,658,298  
      Auto Components – 0.9% (0.5% of Total Investments)         
  2,740    

Adient Global Holdings Ltd, 144A

 

        4.875%        8/15/26        BB-        2,562,421  
  2,025    

Adient US LLC, 144A

 

              9.000%        4/15/25        BB+        2,085,750  
  4,765    

Total Auto Components

                                                 4,648,171  
      Chemicals – 0.2% (0.2% of Total Investments)         
  1,425    

Rayonier AM Products Inc, 144A

 

              7.625%        1/15/26        B+        1,275,375  
      Commercial Services & Supplies – 1.0% (0.6% of Total Investments)         
  2,000    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

        6.250%        1/15/28        B-        1,833,360  
  1,453    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

        5.750%        4/15/26        BB-        1,476,640  
  2,000    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

              3.375%        8/31/27        BB-        1,824,040  
  5,453    

Total Commercial Services & Supplies

                                                 5,134,040  

 

47


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Communications Equipment – 1.2% (0.7% of Total Investments)         
$ 9,150    

Avaya Inc, 144A

          6.125%        9/15/28        BB-      $ 4,298,030  
  1,500    

Commscope Inc, 144A

 

     8.250%        3/01/27        CCC+        1,305,000  
  1,000    

CommScope Technologies LLC, 144A

                      5.000%        3/15/27        CCC+        822,185  
  11,650    

Total Communications Equipment

                                                 6,425,215  
      Diversified Telecommunication Services – 1.0% (0.6% of Total Investments)         
  845    

Frontier Communications Holdings LLC, 144A

          5.000%        5/01/28        BB+        794,080  
  1,000    

Frontier Communications Holdings LLC

 

     5.875%        11/01/29        CCC+        840,000  
  3,905    

Frontier Communications Holdings LLC, 144A

                      5.875%        10/15/27        BB+        3,846,972  
  5,750    

Total Diversified Telecommunication Services

                                                 5,481,052  
      Electric Utilities – 0.0% (0.0% of Total Investments)         
  4,250    

Bruce Mansfield Unit 1 2007 Pass Through Trust (5)

                      6.850%        6/01/34        N/R        5,313  
      Electronic Equipment, Instruments & Components – 0.4% (0.3% of Total Investments)         
  2,557    

Imola Merger Corp, 144A

                      4.750%        5/15/29        BB+        2,390,795  
      Energy Equipment & Services – 0.2% (0.1% of Total Investments)         
  1,000    

Weatherford International Ltd, 144A

                      8.625%        4/30/30        B-        904,300  
      Entertainment – 1.1% (0.7% of Total Investments)         
  6,257    

AMC Entertainment Holdings Inc, 144A (cash 10.000%, PIK 12.000%)

 

        10.000%        6/15/26        CCC-        4,949,975  
  2,625    

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

 

     5.375%        8/15/26        CCC+        577,500  
  3,950    

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

 

              6.625%        8/15/27        CCC-        365,375  
  12,832    

Total Entertainment

                                                 5,892,850  
      Health Care Providers & Services – 2.4% (1.5% of Total Investments)         
  720    

CHS/Community Health Systems Inc, 144A

          8.000%        3/15/26        BB-        687,600  
  375    

CHS/Community Health Systems Inc, 144A

 

     8.000%        12/15/27        BB-        356,250  
  165    

HCA Inc

 

     5.375%        2/01/25        BBB-        168,304  
  5,350    

Legacy LifePoint Health LLC, 144A

 

     4.375%        2/15/27        B1        4,748,125  
  4,035    

LifePoint Health Inc, 144A

 

     5.375%        1/15/29        CCC+        3,113,406  
  1,750    

Team Health Holdings Inc, 144A

 

     6.375%        2/01/25        CCC        1,192,832  
  762    

Tenet Healthcare Corp, 144A

 

     4.875%        1/01/26        BB-        750,494  
  1,365    

Tenet Healthcare Corp, 144A

 

     6.250%        2/01/27        B1        1,380,930  
  171    

Tenet Healthcare Corp

 

     4.625%        7/15/24        BB-        170,868  
  14,693    

Total Health Care Providers & Services

                                                 12,568,809  
      Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)  
  764    

1011778 BC ULC / New Red Finance Inc, 144A

          3.500%        2/15/29        BB+        695,989  
  1,261    

1011778 BC ULC / New Red Finance Inc, 144A

 

     4.000%        10/15/30        B+        1,097,070  
  1,006    

Caesars Entertainment Inc, 144A

 

     6.250%        7/01/25        B1        1,003,485  
  762    

Life Time Inc, 144A

                      5.750%        1/15/26        B        716,295  
  3,793    

Total Hotels, Restaurants & Leisure

                                                 3,512,839  
      Independent Power Producers & Energy Traders – 0.5% (0.3% of Total Investments)  
  2,492    

Talen Energy Supply LLC, 144A (5)

                      7.625%        6/01/28        N/R        2,470,253  
      Insurance – 0.1% (0.0% of Total Investments)  
  395    

Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A

 

     4.250%        10/15/27        B        368,168  
      Interactive Media & Services – 0.4% (0.3% of Total Investments)  
  2,796    

Rackspace Technology Global Inc, 144A

                      3.500%        2/15/28        B+        2,310,816  
      IT Services – 0.3% (0.2% of Total Investments)  
  1,490    

Ahead DB Holdings LLC, 144A

                      6.625%        5/01/28        CCC+        1,375,404  
      Media – 2.3% (1.4% of Total Investments)  
  625    

Clear Channel Outdoor Holdings Inc, 144A

          7.500%        6/01/29        CCC        503,125  
  1,250    

Clear Channel Outdoor Holdings Inc, 144A

          7.750%        4/15/28        CCC        1,005,400  
  3,554    

CSC Holdings LLC, 144A

          3.375%        2/15/31        BB        2,843,200  
  3,080    

iHeartCommunications Inc, 144A

          5.250%        8/15/27        BB-        2,815,736  

 

48


  
  

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Media (continued)  
$ 1,481    

iHeartCommunications Inc

          8.375%        5/01/27        B-      $ 1,337,429  
  7    

iHeartCommunications Inc

          6.375%        5/01/26        BB-        6,741  
  1,751    

McGraw-Hill Education Inc, 144A

          5.750%        8/01/28        BB+        1,570,489  
  2,535    

VZ Secured Financing BV, 144A

                      5.000%        1/15/32        BB        2,260,738  
  14,283    

Total Media

                                                 12,342,858  
      Metals & Mining – 0.2% (0.1% of Total Investments)  
  1,220    

First Quantum Minerals Ltd, 144A

                      6.875%        10/15/27        B+        1,162,050  
      Oil, Gas & Consumable Fuels – 3.4% (2.1% of Total Investments)         
  1,000    

Calumet Specialty Products Partners LP / Calumet Finance Corp, 144A

 

     8.125%        1/15/27        B-        861,330  
  4,200    

Citgo Holding Inc, 144A

          9.250%        8/01/24        B+        4,179,000  
  1,480    

Citgo Petroleum Corp, 144A

          7.000%        6/15/25        BB        1,457,726  
  900    

Gulfport Energy Corp, 144A

          8.000%        5/17/26        BB-        904,347  
  762    

Hilcorp Energy I LP / Hilcorp Finance Co, 144A

          6.250%        11/01/28        BB+        737,955  
  1,275    

Laredo Petroleum Inc

          9.500%        1/15/25        B        1,306,314  
  1,050    

Matador Resources Co

          5.875%        9/15/26        BB-        1,068,375  
  762    

MEG Energy Corp, 144A

          5.875%        2/01/29        BB-        723,900  
  3,970    

NGL Energy Operating LLC / NGL Energy Finance Corp, 144A

 

        7.500%        2/01/26        BB-        3,626,873  
  350    

NGL Energy Partners LP / NGL Energy Finance Corp

          6.125%        3/01/25        CCC+        274,648  
  350    

NGL Energy Partners LP / NGL Energy Finance Corp

          7.500%        11/01/23        CCC+        327,092  
  350    

NGL Energy Partners LP / NGL Energy Finance Corp

          7.500%        4/15/26        CCC+        264,211  
  2,625    

PBF Holding Co LLC / PBF Finance Corp

          6.000%        2/15/28        BB-        2,382,188  
  242    

PBF Holding Co LLC / PBF Finance Corp

                      7.250%        6/15/25        BB-        238,714  
  19,316    

Total Oil, Gas & Consumable Fuels

                                                 18,352,673  
      Pharmaceuticals – 0.1% (0.0% of Total Investments)  
  831    

Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A

          6.000%        6/30/28        C        54,015  
  329    

Par Pharmaceutical Inc, 144A

                      7.500%        4/01/27        Caa2        265,118  
  1,160    

Total Pharmaceuticals

                                                 319,133  
      Software – 0.2% (0.1% of Total Investments)         
  1,200    

Condor Merger Sub Inc, 144A

                      7.375%        2/15/30        CCC+        1,053,570  
      Specialty Retail – 0.6% (0.3% of Total Investments)         
  2,245    

Hertz Corp/The, 144A

          4.625%        12/01/26        B+        1,998,050  
  750    

PetSmart Inc / PetSmart Finance Corp, 144A

          4.750%        2/15/28        BB-        711,735  
  300    

PetSmart Inc / PetSmart Finance Corp, 144A

                      7.750%        2/15/29        B3        288,816  
  3,295    

Total Specialty Retail

                                                 2,998,601  
      Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)         
  2,545    

Vmed O2 UK Financing I PLC, 144A

                      4.250%        1/31/31        BB+        2,229,140  
$ 120,128    

Total Corporate Bonds (cost $106,531,704)

                                                 94,879,723  
Shares     Description (1)                                           Value  
      COMMON STOCKS – 3.7% (2.3% of Total Investments)         
      Banks – 0.0% (0.0% of Total Investments)         
  30,335    

iQor US Inc (8), (9)

                                               $ 121,340  
      Construction & Engineering – 0.0% (0.0% of Total Investments)         
  3,055    

TNT Crane & Rigging Inc (8), (9)

                   764  
  1,723    

TNT Crane & Rigging Inc (8), (9)

                                                 24,122  
 

Total Construction & Engineering

                                                 24,886  
      Diversified Consumer Services – 0.1% (0.0% of Total Investments)         
  18,448    

Cengage Learning Holdings II Inc (8), (9)

                                                 257,350  

 

49


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

    
Shares
    Description (1)                                         Value  
      Diversified Telecommunication Services – 0.1% (0.1% of Total Investments)         
  24,553    

Windstream Services PE LLC (8), (9)

                 $ 374,434  
  18,781    

Windstream Services PE LLC (8), (9)

                                             286,410  
 

Total Diversified Telecommunication Services

                                             660,844  
      Energy Equipment & Services – 1.7% (1.1% of Total Investments)  
  79,375    

Quarternorth Energy Holding Inc (8), (9)

                   8,579,088  
  83,230    

Transocean Ltd (9)

                   281,317  
  7,777    

Vantage Drilling International (8), (9)

                                             115,683  
 

Total Energy Equipment & Services

                                             8,976,088  
      Entertainment – 0.0% (0.0% of Total Investments)  
  26,045    

Metro-Goldwyn-Mayer Inc (8), (9)

                                             110,483  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  64,762    

Millennium Health LLC (7), (9)

                   2,977  
  68,990    

Millennium Health LLC (7), (9)

                                             10,076  
 

Total Health Care Providers & Services

                                             13,053  
      Hotels, Restaurants & Leisure – 0.0% (0.0% of Total Investments)                              
  138,556    

24 Hour Fitness Worldwide Inc (8), (9)

                 103,917  
  291,314    

24 Hour Fitness Worldwide Inc (8), (9)

                                         85,355  
 

Total Hotels, Restaurants & Leisure

                                         189,272  
      Independent Power and Renewable Electricity Producers – 1.2% (0.7% of Total Investments)                
  91,757    

Energy Harbor Corp (8), (9), (10)

                                             6,322,057  
      Internet & Direct Marketing Retail – 0.0% (0.0% of Total Investments)                              
  17,539    

Catalina Marketing Corp (8), (9)

                                             3,718  
      Marine – 0.0% (0.0% of Total Investments)                              
  860    

ACBL HLDG CORP (8), (9)

                                             16,340  
      Media – 0.0% (0.0% of Total Investments)                              
  8    

Cumulus Media Inc, Class A (9)

                   63  
  1,973,746    

Hibu plc (8), (9)

                                         9,869  
 

Total Media

                                         9,932  
      Multiline Retail – 0.0% (0.0% of Total Investments)                              
  274    

PEABODYENERGY WTS (8), (9)

                                             2,398  
      Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments)                              
  9,955    

California Resources Corp

                   446,581  
  17,975    

Chord Energy Corp

                                         2,305,114  
 

Total Oil, Gas & Consumable Fuels

                                         2,751,695  
      Professional Services – 0.1% (0.1% of Total Investments)                              
  103,578    

Skillsoft Corp (9)

                                         397,740  
 

Total Common Stocks (cost $30,674,692)

                                         19,857,196  
Principal
Amount (000)
    Description (1)                 Coupon      Maturity      Ratings (4)      Value  
      ASSET-BACKED SECURITIES – 2.2% (1.4% of Total Investments)                              
$ 500    

Battalion CLO XI Ltd (3-Month LIBOR reference rate + 6.850% spread), (11)

 

     8.034%        4/24/34        Ba3      $ 444,506  
  1,000    

CIFC Funding 2019-I Ltd (3-Month LIBOR reference rate + 6.830% spread), (11)

 

     7.893%        4/20/32        Ba3        897,135  
  1,200    

Dryden 50 Senior Loan Fund (3-Month LIBOR reference rate + 6.260% spread), (11)

 

     8.772%        7/15/30        Ba3        1,062,638  
  2,000    

Flatiron CLO 19 Ltd (3-Month LIBOR reference rate + 6.100% spread), (11)

 

     9.022%        11/16/34        BB-        1,740,658  
  1,250    

Gilbert Park CLO Ltd (3-Month LIBOR reference rate + 6.400% spread), (11)

 

     8.912%        10/15/30        Ba3        1,115,829  
  500    

Goldentree Loan Opportunities IX Ltd (3-Month LIBOR reference rate + 5.660% spread), (11)

 

     8.466%        10/29/29        BB-        443,986  
  1,000    

KKR CLO 30 Ltd (3-Month LIBOR reference rate + 6.400% spread), (11)

 

     9.140%        10/17/31        Ba3        864,074  

 

50


  
  

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      ASSET-BACKED SECURITIES (continued)                              
$ 500    

Magnetite XXVII Ltd (3-Month LIBOR reference rate + 6.000% spread), (11)

 

     8.710%        10/20/34        Ba3      $ 447,376  
  600    

Neuberger Berman Loan Advisers CLO 28 Ltd (3-Month LIBOR reference rate + 5.600% spread), (11)

 

     8.310%        4/20/30        BB-        523,153  
  1,500    

Neuberger Berman Loan Advisers CLO 48 Ltd (CME Term SOFR 3 Month reference rate + 3.200% spread), (11)

 

     0.000%        4/25/36        BBB-        1,386,380  
  1,667    

Rockford Tower CLO 2017-3 Ltd (3-Month LIBOR reference rate + 5.750% spread), (11)

 

     6.813%        10/20/30        Ba3        1,444,755  
  1,700    

TICP CLO I-2 LTD (3-Month LIBOR reference rate + 5.770% spread), (11)

 

     6.984%        4/26/28        B1        1,568,111  
$ 13,417    

Total Asset-Backed and Mortgage-Backed Securities (cost $13,066,841)

 

                                11,938,601  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.8% (0.5% of Total Investments)

 

  
      Energy Equipment & Services – 0.8% (0.5% of Total Investments)                              
  35,665    

Quarternorth Energy Holding Inc (8)

                 $ 3,854,780  
  26,231    

Quarternorth Energy Holding Inc (8)

                   196,732  
  50,519    

Quarternorth Energy Holding Inc (8)

 

                                         227,336  
 

Total Energy Equipment & Services

 

                                         4,278,848  
      Entertainment – 0.0% (0.0% of Total Investments)                              
  224,650    

Cineworld Warrant (8)

                                                 23,139  
      Industrial Conglomerates – 0.0% (0.0% of Total Investments)                              
  20,464    

American Commercial Barge Line LLC (8)

                                                 7,429  
      Marine – 0.0% (0.0% of Total Investments)                              
  3,363    

ACBL HLDG CORP (8)

                   81,274  
  2,558    

ACBL HLDG CORP (8)

                   108,715  
  904    

ACBL HLDG CORP (8)

                   17,176  
  26,904    

American Commercial Barge Line LLC (8)

 

                                         8,071  
 

Total Marine

 

                                         215,236  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                              
  439    

California Resources Corp

                                                 6,409  
      Software – 0.0% (0.0% of Total Investments)                              
  21,002    

Avaya Holdings Corp (8)

                                                 588  
      Wireless Telecommunication Services – 0.0% (0.0% of Total Investments)                              
  3    

Intelsat SA/Luxembourg (8)

 

                                         2  
 

Total Warrants (cost $2,903,491)

 

                                         4,531,651  
Shares     Description (1)                   Coupon              Ratings (4)      Value  
 

CONVERTIBLE PREFERRED SECURITIES – 0.1% (0.1% of Total Investments)

 

  
      Communications Equipment – 0.0% (0.0% of Total Investments)                              
  21,483    

Riverbed Technology Inc (8)

                      0.000%                 N/R      $ 85,932  
      Marine – 0.1% (0.1% of Total Investments)                              
  3,642    

ACBL HLDG CORP (8)

          0.000%           N/R        154,785  
  3,200    

ACBL HLDG CORP (8)

                      0.000%                 N/R        77,334  
 

Total Marine

                                                 232,119  
 

Total Convertible Preferred Securities (cost $568,614)

 

                                318,051  
 

Total Long-Term Investments (cost $919,643,155)

                                                 859,129,403  

 

51


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

    
Shares
    Description (1)                   Coupon                      Value  
 

SHORT-TERM INVESTMENTS – 1.6%(1.0% of Total Investments)

 

  
      INVESTMENT COMPANIES – 1.6% (1.0% of Total Investments)                              
  8,891,025    

BlackRock Liquidity Funds T-Fund Portfolio

                      1.953% (12)                        $ 8,891,025  
 

Total Short-Term Investments (cost $8,891,025)

 

                                8,891,025  
 

Total Investments (cost $928,534,180) – 162.4%

 

                                868,020,428  
 

Borrowings – (43.7)% (13), (14)

                                                 (233,400,000
 

Taxable Fund Preferred Shares, net of deferred offering costs – (18.6)% (15)

 

              (99,384,451
 

Other Assets Less Liabilities – (0.1)%

 

                                (843,540
 

Net Assets Applicable to Common Shares – 100%

 

                              $ 534,392,437  

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

 

(1)

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy.

 

(6)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment.

 

(7)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

 

(8)

For fair value measurement disclosure purposes, investment classified as Level 2.

 

(9)

Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

 

(10)

Common Stock received as part of the bankruptcy settlements during February 2020 for Bruce Mansfield Unit 1 2007 Pass-Through Trust.

 

(11)

Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

(12)

The rate shown is the annualized seven-day subsidized yield as of end of the reporting period.

 

(13)

Borrowings as a percentage of Total Investments is 26.9%.

 

(14)

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

 

(15)

Taxable Fund Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.4%.

 

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.

 

CME

Chicago Mercantile Exchange

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

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

 

SOFR 180A

180 Day Average Secured Overnight Financing Rate

 

SOFR 30A

30 Day Average Secured Overnight Financing Rate

 

SOFR 90A

90 Day Average Secured Overnight Financing Rate

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

52


JRO   

Nuveen Floating Rate Income
Opportunity Fund

 

Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
 

LONG-TERM INVESTMENTS – 160.3% (98.4% of Total Investments)

 

           
 

VARIABLE RATE SENIOR LOAN INTERESTS – 135.7% (83.3% of Total Investments) (2)

 

        
      Aerospace & Defense – 1.6% (1.0% of Total Investments)                              
$ 2,084    

Sequa Mezzanine Holdings L.L.C., Term Loan, (cash 6.750%, PIK 1.000%)

    8.303%        3-Month LIBOR        6.750%        7/31/23        B–      $ 2,080,604  
  1,856    

TransDigm, Inc., Term Loan E, (DD1)

    4.622%        1-Month LIBOR        2.250%        5/30/25        Ba3        1,808,477  
  1,247    

TransDigm, Inc., Term Loan F

    4.622%        1-Month LIBOR        2.250%        12/09/25        Ba3        1,213,536  
  1,040    

TransDigm, Inc., Term Loan G

    4.622%        1-Month LIBOR        2.250%        8/22/24        Ba3        1,021,471  
  6,227    

Total Aerospace & Defense

                                                 6,124,088  
      Airlines – 2.7% (1.7% of Total Investments)  
  1,967    

AAdvantage Loyalty IP Ltd., Term Loan, (DD1)

    7.460%        3-Month LIBOR        4.750%        4/20/28        Ba2        1,942,696  
  257    

American Airlines, Inc., Term Loan

    2.840%        6-Month LIBOR        2.000%        12/14/23        Ba3        252,928  
  930    

American Airlines, Inc., Term Loan, First Lien

    4.122%        1-Month LIBOR        1.750%        1/29/27        Ba3        852,075  
  2,465    

Kestrel Bidco Inc., Term Loan B, (DD1)

    5.030%        3-Month LIBOR        3.000%        12/11/26        BB–        2,175,201  
  1,035    

Mileage Plus Holdings LLC, Term Loan B, (DD1)

    7.313%        3-Month LIBOR        5.250%        6/20/27        Baa3        1,045,350  
  1,900    

SkyMiles IP Ltd., Term Loan B

    6.460%        3-Month LIBOR        3.750%        10/20/27        Baa1        1,924,225  
  2,222    

United Airlines, Inc., Term Loan B

    6.533%        1-Month LIBOR        3.750%        4/21/28        Ba1        2,147,720  
  10,776    

Total Airlines

                                                 10,340,195  
      Auto Components – 1.2% (0.7% of Total Investments)  
  613    

Adient US LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/08/28        BB+        595,674  
  2,028    

Clarios Global LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/30/26        B1        1,959,134  
  85    

DexKo Global Inc., Term Loan

    5.402%        1-Month LIBOR        3.750%        10/04/28        B1        76,658  
  444    

DexKo Global Inc., Term Loan B

    5.982%        3-Month LIBOR        3.750%        10/04/28        B1        402,454  
  1,347    

Superior Industries International, Inc., Term Loan B, First Lien

    6.372%        1-Month LIBOR        4.000%        5/23/24        Ba3        1,310,739  
  4,517    

Total Auto Components

                                                 4,344,659  
      Beverages – 2.0% (1.2% of Total Investments)  
  1,074    

Arterra Wines Canada, Inc., Term Loan

    5.750%        3-Month LIBOR        3.500%        11/25/27        B1        1,013,257  
  824    

City Brewing Company, LLC, Term Loan

    5.298%        3-Month LIBOR        3.500%        4/05/28        B        720,803  
  1,750    

Naked Juice LLC, Term Loan

    5.541%        SOFR30A        3.250%        1/20/29        Ba3        1,676,719  
  404    

Naked Juice LLC, Term Loan, Second Lien

    8.154%        3-Month LIBOR        6.000%        1/20/30        B3        373,365  
  2,000    

Pegasus Bidco BV, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        1,930,000  
  2,076    

Triton Water Holdings, Inc, Term Loan

    5.750%        3-Month LIBOR        3.500%        3/31/28        B1        1,849,958  
  8,128    

Total Beverages

                                                 7,564,102  
      Biotechnology – 0.8% (0.5% of Total Investments)  
  3,122    

Grifols Worldwide Operations USA, Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        11/15/27        BB+        2,993,518  
      Building Products – 2.0% (1.3% of Total Investments)  
  2,681    

Chamberlain Group Inc, Term Loan B

    5.872%        1-Month LIBOR        3.500%        10/22/28        B+        2,504,652  
  1,777    

Cornerstone Building Brands, Inc., Term Loan B

    5.249%        1-Month LIBOR        3.250%        4/12/28        B        1,523,562  
  73    

Griffon Corporation, Term Loan B

    5.107%        SOFR30A        2.750%        1/19/29        BB        71,777  
  2,782    

Quikrete Holdings, Inc., Term Loan, First Lien

    4.997%        1-Month LIBOR        2.625%        1/31/27        Ba2        2,636,472  
  667    

Standard Industries Inc., Term Loan B

    3.788%        6-Month LIBOR        2.500%        9/22/28        BBB–        656,817  
  318    

Zurn Holdings, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        10/04/28        Ba3        314,276  
  8,298    

Total Building Products

                                                 7,707,556  
      Capital Markets – 0.7% (0.5% of Total Investments)  
  877    

Advisor Group, Inc., Term Loan

    6.872%        1-Month LIBOR        4.500%        7/31/26        B2        848,709  
  2,307    

Astra Acquisition Corp., Term Loan, First Lien

    7.622%        1-Month LIBOR        5.250%        10/22/28        BB–        1,964,580  
  3,184    

Total Capital Markets

                                                 2,813,289  
      Chemicals – 1.4% (0.9% of Total Investments)                              
  560    

ASP Unifrax Holdings Inc, Term Loan B

    6.000%        3-Month LIBOR        3.750%        12/12/25        BB        513,660  
  1,458    

Atotech B.V., Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/18/28        B+        1,448,094  
  782    

Diamond (BC) B.V., Term Loan B

    5.339%        1 + 3-Month LIBOR        2.750%        9/29/28        Ba3        748,637  

 

53


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Chemicals (continued)                              
$ 709    

INEOS Styrolution US Holding LLC, Term Loan B

    5.122%        1-Month LIBOR        2.750%        1/29/26        BB+      $ 675,026  
  857    

Ineos US Finance LLC, Term Loan B

    4.593%        2-Month LIBOR        2.000%        3/31/24        BBB–        837,031  
  164    

Kraton Corporation, Term Loan

    5.109%       
CME Term SOFR
3 Month
 
     3.250%        3/15/29        BB        161,758  
  796    

PMHC II, Inc., Term Loan B

    6.977%        SOFR90A        4.250%        2/03/29        B–        691,272  
  340    

Trinseo Materials Operating SCA, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Ba2        321,650  
  5,666    

Total Chemicals

                                                 5,397,128  
      Commercial Services & Supplies – 3.0% (1.8% of Total Investments)                              
  1,170    

Amentum Government Services Holdings LLC, Term Loan

    5.19%        SOFR180A        4.000%        2/07/29        B1        1,138,919  
  497    

Anticimex International AB, Term Loan B1

    5.098%        3-Month LIBOR        3.500%        11/16/28        B        481,122  
  998    

Covanta Holding Corporation, Term Loan B

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        977,989  
  75    

Covanta Holding Corporation, Term Loan C

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        73,441  
  721    

Garda World Security Corporation, Term Loan B

    6.470%        1-Month LIBOR        4.250%        10/30/26        BB+        684,446  
  2,659    

GFL Environmental Inc., Term Loan

    5.806%        3-Month LIBOR        3.000%        5/30/25        N/R        2,641,569  
  744    

Herman Miller, Inc, Term Loan B

    3.688%        1-Month LIBOR        2.000%        7/19/28        BBB–        705,481  
  2,722    

Intrado Corporation, Term Loan

    6.372%        1-Month LIBOR        4.000%        10/10/24        B2        2,282,808  
  549    

Prime Security Services Borrower, LLC, Term Loan

    5.165%        6-Month LIBOR        2.750%        9/23/26        BB–        535,322  
  403    

Vertical US Newco Inc, Term Loan B

    6.871%        6-Month LIBOR        0.035%        7/31/27        B+        390,281  
  590    

West Corporation, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        10/10/24        B2        496,620  
  858    

WIN Waste Innovations Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        3/25/28        B+        835,692  
  11,986    

Total Commercial Services & Supplies

                                                 11,243,690  
      Communications Equipment – 2.6% (1.6% of Total Investments)                              
  1,647    

CommScope, Inc., Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/04/26        B1        1,554,081  
  1,975    

Delta TopCo, Inc., Term Loan B

    5.836%        3-Month LIBOR        0.038%        12/01/27        B2        1,869,900  
  3,440    

Maxar Technologies Ltd., Term Loan B

    6.677%        SOFR30A        4.250%        6/09/29        B        3,303,484  
  2,686    

MLN US HoldCo LLC, Term Loan, First Lien

    6.307%        1-Month LIBOR        0.045%        11/30/25        B3        1,746,887  
  1,725    

Riverbed Technology, Inc., Exit Term Loan (5)

    4.815%        3-Month LIBOR        6.000%        12/07/26        Caa1        822,226  
  500    

ViaSat, Inc., Term Loan

    6.941%        SOFR30A        4.500%        3/04/29        BB+        468,750  
  11,973    

Total Communications Equipment

                                                 9,765,328  
      Construction & Engineering – 0.9% (0.6% of Total Investments)                              
  814    

Aegion Corporation, Term Loan

    6.906%        1-Month LIBOR        4.750%        5/17/28        B        735,517  
  512    

Brand Energy & Infrastructure Services, Inc., Term Loan

    6.79%        3-Month LIBOR        4.250%        6/21/24        B–        469,089  
  994    

Centuri Group, Inc, Term Loan B

    3.560%        3-Month LIBOR        0.025%        8/27/28        Ba2        960,704  
  1,010    

Osmose Utilities Services, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        6/22/28        B        943,046  
  380    

Pike Corporation, Term Loan B

    5.380%        1-Month LIBOR        3.000%        1/21/28        Ba3        370,297  
  3,710    

Total Construction & Engineering

                                                 3,478,653  
      Consumer Finance – 0.7% (0.4% of Total Investments)                              
  2,727    

Fleetcor Technologies Operating Company, LLC, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/30/28        BB+        2,667,212  
      Containers & Packaging – 1.9% (1.1% of Total Investments)                              
  1,761    

Berry Global, Inc., Term Loan Z

    4.178%        1-Month LIBOR        1.750%        7/01/26        BBB–        1,733,994  
  1,084    

Charter NEX US, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        12/01/27        B        1,043,801  
  715    

Clydesdale Acquisition Holdings Inc, Term Loan B

    6.602%        SOFR30A        4.250%        3/30/29        B        688,838  
  89    

Klockner-Pentaplast of America, Inc., Term Loan B

    5.554%        6-Month LIBOR        4.750%        2/09/26        B        79,490  
  893    

Reynolds Group Holdings Inc. , Term Loan B

    5.872%        1-Month LIBOR        3.500%        9/24/28        B+        866,774  
  524    

Reynolds Group Holdings Inc. , Term Loan B2

    5.622%        1-Month LIBOR        3.250%        2/05/26        B+        509,974  
  2,246    

TricorBraun Holdings, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/03/28        B2        2,134,589  
  7,312    

Total Containers & Packaging

                                                 7,057,460  
      Diversified Consumer Services – 0.4% (0.2% of Total Investments)                              
  588    

GT Polaris, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        9/24/27        BB–        560,155  
  987    

Spin Holdco Inc., Term Loan

    5.611%        3-Month LIBOR        4.000%        3/04/28        B–        914,519  
  1,575    

Total Diversified Consumer Services

                                                 1,474,674  

 

54


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Financial Services – 1.6% (1.0% of Total Investments)                              
$ 247    

Avaya, Inc., Term Loan B2

    5.999%        1-Month LIBOR        4.000%        12/15/27        BB–      $ 127,486  
  1,708    

Avolon TLB Borrower 1 (US) LLC, Term Loan B3

    3.876%        1-Month LIBOR        1.750%        1/15/25        Baa2        1,676,860  
  3,234    

Avolon TLB Borrower 1 (US) LLC, Term Loan B4

    3.626%        1-Month LIBOR        1.500%        2/12/27        Baa2        3,122,751  
  1,483    

Ditech Holding Corp, Term Loan (5)

    0.000%        N/A        N/A        12/19/22        N/R        177,936  
  800    

Trans Union, LLC, Term Loan B6

    4.622%        1-Month LIBOR        2.250%        12/01/28        BBB–        782,946  
  7,472    

Total Diversified Financial Services

                                                 5,887,979  
      Diversified Telecommunication Services – 3.9% (2.4% of Total Investments)                              
  1,224    

Altice France S.A., Term Loan B12

    6.200%        3-Month LIBOR        3.688%        1/31/26        B        1,158,434  
  3,756    

Altice France S.A., Term Loan B13

    5.411%        3-Month LIBOR        4.000%        8/14/26        B        3,581,524  
  4,847    

CenturyLink, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/15/27        BBB–        4,629,346  
  776    

Cincinnati Bell, Inc., Term Loan B2

    5.677%        SOFR30A        3.250%        11/23/28        B+        758,032  
  1,066    

Connect Finco Sarl, Term Loan B

    5.880%        1-Month LIBOR        3.500%        12/12/26        B+        1,029,596  
  755    

Cyxtera DC Holdings, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B        729,691  
  2,839    

Frontier Communications Corp., Term Loan B

    6.063%        3-Month LIBOR        3.750%        10/08/27        BB+        2,721,114  
  15,263    

Total Diversified Telecommunication Services

                                                 14,607,737  
      Electric Utilities – 0.4% (0.3% of Total Investments)                              
  853    

ExGen Renewables IV, LLC, Term Loan

    4.080%        3-Month LIBOR        2.500%        12/15/27        BB–        837,998  
  735    

Pacific Gas & Electric Company, Term Loan

    5.375%        1-Month LIBOR        3.000%        6/23/25        BB        711,800  
  1,588    

Total Electric Utilities

                                                 1,549,798  
      Electronic Equipment, Instruments & Components – 1.3% (0.8% of Total Investments)                              
  1,375    

II-VI Incorporated, Term Loan B

    4.463%        3-Month LIBOR        2.750%        7/01/29        BBB–        1,341,766  
  1,941    

Ingram Micro Inc., Term Loan B

    5.750%        3-Month LIBOR        3.500%        7/02/28        BB+        1,908,869  
  1,322    

TTM Technologies, Inc., Term Loan

    4.213%        1-Month LIBOR        2.500%        9/28/24        BB+        1,320,389  
  299    

Vertiv Group Corporation, Term Loan B

    4.548%        1-Month LIBOR        2.750%        3/02/27        BB–        285,719  
  4,937    

Total Electronic Equipment, Instruments & Components

 

                                         4,856,743  
      Energy Equipment & Services – 0.0% (0.0% of Total Investments)                              
  118    

Petroleum Geo-Services ASA, Term Loan

    9.794%        1 + 3-Month LIBOR        7.500%        3/19/24        N/R        111,034  
      Entertainment – 2.1% (1.3% of Total Investments)                              
  1,556    

AMC Entertainment Holdings, Inc. , Term Loan B, (DD1)

    4.872%        1-Month LIBOR        3.000%        4/22/26        B–        1,354,638  
  3,667    

Crown Finance US, Inc., Term Loan

    4.000%        3-Month LIBOR        2.500%        2/28/25        CCC        2,372,867  
  383    

Crown Finance US, Inc., Term Loan

    4.250%        3-Month LIBOR        2.750%        9/20/26        CCC        235,998  
  301    

Crown Finance US, Inc., Term Loan B1

    7.625%        6-Month LIBOR        7.625%        5/23/24        B–        314,789  
  430    

Diamond Sports Group, LLC, Term Loan

    9.786%        1-Month LIBOR        8.000%        5/19/26        B        409,434  
  1,079    

Diamond Sports Group, LLC, Term Loan, Second Lien

    5.036%        SOFR30A        3.250%        8/24/26        CCC+        219,704  
  490    

Lions Gate Capital Holdings LLC, Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/24/25        Ba2        476,039  
  733    

Springer Nature Deutschland GmbH, Term Loan B18

    3.804%        3-Month LIBOR        3.250%        8/14/26        BB+        717,131  
  757    

Univision Communications Inc., Term Loan C5

    5.122%        1-Month LIBOR        2.750%        3/15/24        B+        751,135  
  1,105    

Virgin Media Bristol LLC, Term Loan Q

    5.249%        1-Month LIBOR        3.250%        1/31/29        BB+        1,092,768  
  10,501    

Total Entertainment

                                                 7,944,503  
      Food & Staples Retailing – 0.7% (0.4% of Total Investments)                              
  769    

American Seafoods Group LLC, Term Loan, First Lien

    4.310%        3-Month LIBOR        2.750%        8/21/23        BB–        755,032  
  1,214    

US Foods, Inc., Term Loan B

    4.325%        3-Month LIBOR        0.028%        11/22/28        BB        1,190,763  
  598    

US Foods, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        584,009  
  2,581    

Total Food & Staples Retailing

                                                 2,529,804  
      Food Products – 1.0% (0.6% of Total Investments)                              
  748    

CHG PPC Parent LLC, Term Loan

    5.375%        1-Month LIBOR        3.000%        12/08/28        B1        722,876  
  765    

Froneri International Ltd., Term Loan

    4.622%        1-Month LIBOR        2.250%        1/31/27        B+        735,559  
  471    

H Food Holdings LLC, Term Loan B

    5.354%        1-Month LIBOR        3.688%        5/31/25        B2        426,281  
  44    

H Food Holdings LLC, Term Loan B3

    6.666%        1-Month LIBOR        5.000%        5/31/25        B2        40,661  
  1,000    

Sycamore Buyer LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        976,880  

 

55


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Food Products (continued)                              
$ 773    

UTZ Quality Foods, LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        1/20/28        B1      $ 752,126  
  3,801    

Total Food Products

                                                 3,654,383  
      Health Care Equipment & Supplies – 4.4% (2.7% of Total Investments)                              
  3,690    

Bausch & Lomb, Inc., Term Loan, (DD1)

    4.549%        SOFR30A        3.250%        5/05/27        BB+        3,508,581  
  2,013    

Carestream Health, Inc., Term Loan

    9.500%        3-Month LIBOR        6.750%        5/08/23        B1        2,003,071  
  412    

Embecta Corp, Term Loan B

    5.054%        SOFR90A        3.000%        1/27/29        Ba3        402,483  
  663    

ICU Medical, Inc., Term Loan B

    4.604%        SOFR90A        2.650%        12/14/28        BBB–        644,101  
  495    

Insulet Corporation, Term Loan B

    5.622%        1-Month LIBOR        3.250%        5/04/28        Ba3        485,927  
  7,966    

Medline Borrower, LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        10/21/28        BB–        7,627,478  
  1,670    

Viant Medical Holdings, Inc., Term Loan, First Lien

    6.122%        1-Month LIBOR        3.750%        7/02/25        B3        1,551,547  
  674    

Vyaire Medical, Inc., Term Loan B

    7.035%        3-Month LIBOR        4.750%        4/30/25        Caa1        499,380  
  17,583    

Total Health Care Equipment & Supplies

                                                 16,722,568  
      Health Care Providers & Services – 12.0% (7.4% of Total Investments)                              
  460    

ADMI Corp., Term Loan B2

    5.747%        1-Month LIBOR        3.375%        12/23/27        B        426,466  
  2,233    

AHP Health Partners, Inc., Term Loan B

    5.872%        1-Month LIBOR        3.500%        8/23/28        B1        2,114,490  
  4,942    

Change Healthcare Holdings LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/01/24        B+        4,892,968  
  840    

DaVita, Inc. , Term Loan B, (DD1)

    4.122%        1-Month LIBOR        1.750%        8/12/26        BBB–        797,601  
  239    

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        230,892  
  110    

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        106,566  
  1,198    

Gainwell Acquisition Corp., Term Loan B

    6.250%        3-Month LIBOR        4.000%        10/01/27        BB–        1,165,477  
  298    

Global Medical Response, Inc., Term Loan

    6.622%        1-Month LIBOR        4.250%        3/14/25        B        285,219  
  2,697    

Global Medical Response, Inc., Term Loan B

    5.963%        3-Month LIBOR        4.250%        10/02/25        B        2,584,822  
  3,707    

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        3,648,433  
  303    

MED ParentCo LP, Term Loan, First Lien

    6.622%        1-Month LIBOR        4.250%        8/31/26        B2        269,854  
  1,078    

National Mentor Holdings, Inc., Term Loan (DD1)

    6.070%        1 + 3-Month LIBOR        3.750%        3/02/28        B–        921,169  
  18    

National Mentor Holdings, Inc., Term Loan C

    6.010%        3-Month LIBOR        3.750%        3/02/28        B–        15,740  
  1,302    

Onex TSG Intermediate Corp., Term Loan B

    7.122%        1-Month LIBOR        4.750%        2/26/28        B        1,191,193  
  6,493    

Parexel International Corporation, Term Loan, First Lien, (DD1)

    4.916%        1-Month LIBOR        3.250%        11/15/28        B1        6,341,577  
  1,750    

Phoenix Guarantor Inc, Term Loan B

    5.622%        1-Month LIBOR        3.250%        3/05/26        B1        1,686,135  
  1,481    

Phoenix Guarantor Inc, Term Loan B3

    5.759%        1-Month LIBOR        3.500%        3/05/26        B1        1,430,540  
  178    

Quorum Health Corporation, Term Loan (5)

    10.598%        3-Month LIBOR        6.500%        4/29/25        B–        115,875  
  5,416    

RegionalCare Hospital Partners Holdings, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/16/25        B1        5,129,411  
  3,474    

Select Medical Corporation, Term Loan B

    4.880%        1-Month LIBOR        2.500%        3/06/25        Ba2        3,404,956  
  5,054    

Surgery Center Holdings, Inc., Term Loan, (DD1)

    5.630%        1-Month LIBOR        3.750%        8/31/26        B1        4,867,080  
  1,472    

Team Health Holdings, Inc., Term Loan B

    7.577%        SOFR30A        5.250%        2/17/27        B        1,215,766  
  692    

Team Health Holdings, Inc., Term Loan, First Lien

    5.122%        1-Month LIBOR        2.750%        2/06/24        B        623,171  
  1,881    

US Radiology Specialists, Inc., Term Loan

    7.563%        3-Month LIBOR        5.250%        12/15/27        B–        1,770,772  
  47,316    

Total Health Care Providers & Services

                                                 45,236,173  
      Health Care Technology – 1.0% (0.6% of Total Investments)                              
  217    

Athenahealth, Inc., Term Loan (6)

    3.500%        1-Month LIBOR        3.500%        1/27/29        B+        207,835  
  1,128    

Athenahealth, Inc., Term Loan B

    5.653%        SOFR30A        3.500%        1/27/29        B+        1,078,039  
  2,751    

Carestream Health, Inc., Term Loan, Second Lien, (cash 5.500%, PIK 8.000%)

    7.375%        3-Month LIBOR        8.000%        8/05/23        Caa1        2,403,915  
  4,096    

Total Health Care Technology

                                                 3,689,789  
      Hotels, Restaurants & Leisure – 21.7% (13.3% of Total Investments)                              
  367    

24 Hour Fitness Worldwide, Inc., Exit Term Loan, (cash 0.220%, PIK 5.000%)

    7.232%        3-Month LIBOR        5.000%        12/29/25        CCC–        123,330  
  155    

24 Hour Fitness Worldwide, Inc., Exit Term Loan

    15.912%        3-Month LIBOR        14.000%        9/29/26        Caa3        152,183  
  1,399    

Alterra Mountain Company, Term Loan

    5.872%        1-Month LIBOR        3.500%        8/17/28        B        1,354,906  
  1,740    

Alterra Mountain Company, Term Loan B1

    5.122%        1-Month LIBOR        2.750%        7/31/24        B        1,696,620  
  743    

Aramark Services, Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        3/11/25        BB+        723,862  
  15,013    

B.C. Unlimited Liability Company, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        11/19/26        BB+        14,590,639  
  7,554    

Caesars Resort Collection, LLC, Term Loan B, First Lien

    5.122%        1-Month LIBOR        2.750%        12/22/24        B+        7,404,276  
  712    

Caesars Resort Collection, LLC, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        7/20/25        B+        699,249  
  1,685    

Carnival Corporation, Term Loan B, (DD1)

    5.877%        6-Month LIBOR        3.000%        6/30/25        Ba2        1,613,178  

 

56


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Hotels, Restaurants & Leisure (continued)                              
$ 989    

Carnival Corporation, Term Loan B

    6.127%        6-Month LIBOR        3.250%        10/18/28        Ba2      $ 920,348  
  2,019    

Churchill Downs Incorporated, Term Loan B1, (DD1)

    4.380%        1-Month LIBOR        2.000%        3/17/28        BBB–        1,946,070  
  4,325    

ClubCorp Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        9/18/24        B2        3,994,497  
  868    

Crown Finance US, Inc., Term Loan, (6), (DD1)

    4.838%        3-Month LIBOR        2.750%        5/31/23        CCC+        662,575  
  555    

Crown Finance US, Inc., Term Loan B1, (cash 7.132%, PIK 8.250%)

    7.000%        3-Month LIBOR        7.000%        5/23/24        B–        615,239  
  7,579    

Delta 2 (LUX) S.a.r.l., Term Loan

    4.872%        1-Month LIBOR        2.500%        2/01/24        BB–        7,519,886  
  3,311    

Equinox Holdings, Inc., Term Loan, First Lien

    5.250%        3-Month LIBOR        3.000%        3/08/24        CCC        2,401,653  
  5,039    

Fertitta Entertainment, LLC, Term Loan B

    6.327%        SOFR30A        4.000%        1/27/29        B        4,819,183  
  929    

Four Seasons Hotels Limited, Term Loan, First Lien

    4.372%        1-Month LIBOR        2.000%        11/30/23        BB+        924,946  
  1,985    

Hilton Grand Vacations Borrower LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        8/02/28        BB+        1,950,511  
  3,720    

Hilton Worldwide Finance, LLC, Term Loan B2

    3.964%        1-Month LIBOR        1.750%        6/21/26        BBB–        3,669,634  
  3,053    

IRB Holding Corp, Term Loan B

    4.874%        SOFR30A        3.150%        12/15/27        B+        2,936,704  
  1,111    

Life Time Fitness Inc , Term Loan B

    6.325%        3-Month LIBOR        4.750%        12/15/24        B        1,098,101  
  1,047    

NASCAR Holdings, Inc, Term Loan B, (DD1)

    4.872%        1-Month LIBOR        2.500%        10/18/26        BBB–        1,033,252  
  861    

PCI Gaming Authority, Term Loan

    4.872%        1-Month LIBOR        2.500%        5/31/26        BBB–        838,898  
  776    

Penn National Gaming, Inc., Term Loan B

    5.177%        SOFR30A        2.750%        4/20/29        BB        761,210  
  875    

Scientific Games Holdings LP, Term Loan B

    5.617%        3-Month LIBOR        3.500%        2/04/29        BB–        838,565  
  2,922    

Scientific Games International, Inc., Term Loan

    5.044%        SOFR30A        3.000%        4/07/29        BB        2,862,347  
  1,489    

SeaWorld Parks & Entertainment, Inc., Term Loan B

    5.375%        1-Month LIBOR        3.000%        8/25/28        BB–        1,424,079  
  5,781    

Stars Group Holdings B.V. (The), Term Loan, (DD1)

    4.500%        3-Month LIBOR        2.250%        7/10/25        BBB        5,680,601  
  2,162    

Station Casinos LLC, Term Loan B

    4.630%        1-Month LIBOR        2.250%        2/08/27        BB–        2,109,236  
  1,492    

Twin River Worldwide Holdings, Inc., Term Loan B

    5.048%        1-Month LIBOR        3.250%        10/01/28        BB+        1,419,278  
  1,976    

William Morris Endeavor Entertainment, LLC, Term Loan, First Lien

    5.130%        1-Month LIBOR        2.750%        5/16/25        B        1,901,271  
  1,072    

Wyndham Hotels & Resorts, Inc., Term Loan B

    4.122%        1-Month LIBOR        1.750%        5/30/25        BBB–        1,061,217  
  85,304    

Total Hotels, Restaurants & Leisure

                                                 81,747,544  
      Household Durables – 0.9% (0.6% of Total Investments)                              
  306    

AI Aqua Merger Sub Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        289,641  
  69    

AI Aqua Merger Sub Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        65,827  
  1,800    

AI Aqua Merger Sub, Inc., Term Loan B, First Lien

    5.436%        1-Month LIBOR        4.000%        7/30/28        B3        1,704,150  
  1,346    

Serta Simmons Bedding, LLC, Term Loan (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B–        896,150  
  57    

Serta Simmons Bedding, LLC, Term Loan (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B        55,733  
  653    

Weber-Stephen Products LLC, Term Loan B, (DD1)

    5.622%        1-Month LIBOR        3.250%        10/30/27        CCC+        535,925  
  4,231    

Total Household Durables

                                                 3,547,426  
      Household Products – 0.2% (0.1% of Total Investments)                              
  168    

Illuminate Merger Sub Corp., Term Loan

    6.377%        6-Month LIBOR        3.500%        5/16/28        B1        149,045  
  430    

Reynolds Consumer Products LLC, Term Loan

    4.122%        1-Month LIBOR        1.750%        2/04/27        BBB–        420,750  
  598    

Total Household Products

                                                 569,795  
      Independent Power And Renewable Electricity Prod – 0.2% (0.1% of Total Investments)                       
  884    

Vistra Operations Company LLC, Term Loan B3, First Lien

    4.014%        1-Month LIBOR        1.750%        12/31/25        BBB–        869,803  
      Insurance – 4.3% (2.6% of Total Investments)                              
  3,486    

Acrisure, LLC, Term Loan B

    5.872%        1-Month LIBOR        3.500%        2/15/27        B        3,324,955  
  2,503    

Alliant Holdings Intermediate, LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        5/10/25        B        2,426,825  
  496    

Alliant Holdings Intermediate, LLC, Term Loan B4

    5.656%        1-Month LIBOR        3.500%        11/12/27        B        480,509  
  2,097    

Asurion LLC, Term Loan B4, Second Lien

    7.622%        1-Month LIBOR        5.250%        1/15/29        B        1,808,138  
  627    

Asurion LLC, Term Loan B6

    5.497%        1-Month LIBOR        3.125%        11/03/23        Ba3        618,464  
  2,888    

Asurion LLC, Term Loan B8

    5.622%        1-Month LIBOR        3.250%        12/23/26        Ba3        2,723,143  
  686    

Asurion LLC, Term Loan B9

    5.622%        1-Month LIBOR        3.250%        7/31/27        Ba3        647,489  
  744    

Broadstreet Partners, Inc., Term Loan B2

    5.622%        1-Month LIBOR        3.250%        1/27/27        B1        716,461  
  2,136    

Hub International Limited, Term Loan B

    5.657%        3-Month LIBOR        3.000%        4/25/25        B        2,088,134  
  991    

Hub International Limited, Term Loan B

    5.255%        2 + 3-Month LIBOR        3.250%        4/25/25        B        972,762  

 

57


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Insurance (continued)                              
$ 491    

Ryan Specialty Group, LLC, Term Loan

    5.427%        SOFR30A        3.000%        9/01/27        BB–      $ 479,376  
  17,145    

Total Insurance

                                                 16,286,256  
      Interactive Media & Services – 0.9% (0.5% of Total Investments)                              
  3,645    

Rackspace Technology Global, Inc., Term Loan B

    3.500%        3-Month LIBOR        2.750%        2/09/28        B+        3,359,232  
      Internet & Direct Marketing Retail – 0.7% (0.4% of Total Investments)                              
  1,975    

CNT Holdings I Corp, Term Loan

    5.372%        1-Month LIBOR        3.500%        11/08/27        B        1,919,601  
  120    

Medical Solutions Holdings, Inc., Term Loan (6)

    5.543%        3-Month LIBOR        3.500%        11/01/23        B1        115,950  
  645    

Medical Solutions Holdings, Inc., Term Loan, First Lien

    6.377%        3-Month LIBOR        3.500%        11/01/28        B1        623,159  
  2,740    

Total Internet & Direct Marketing Retail

                                                 2,658,710  
      IT Services – 4.4% (2.7% of Total Investments)                              
  1,598    

Ahead DB Holdings, LLC, Term Loan B

    6.010%        3-Month LIBOR        3.750%        10/16/27        B+        1,554,486  
  218    

iQor US Inc., Exit Term Loan

    9.872%        1-Month LIBOR        7.500%        9/15/27        B1        217,491  
  970    

Peraton Corp., Term Loan B

    6.122%        1-Month LIBOR        3.750%        2/01/28        BB–        944,771  
  1,167    

Perforce Software, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        7/01/26        B2        1,065,248  
  3,810    

Sabre GLBL Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        2/22/24        Ba3        3,719,248  
  3,281    

Syniverse Holdings, Inc., Term Loan

    8.286%       
CME Term SOFR
3 Month
 
 
     7.000%        5/10/29        B–        2,946,973  
  1,465    

Tempo Acquisition LLC, Term Loan B

    5.327%        SOFR30A        3.000%        8/31/28        BB–        1,438,920  
  3,925    

Travelport Finance (Luxembourg) S.a.r.l., Term Loan, (cash 3.500%, PIK 6.500%)

    3.750%        3-Month LIBOR        1.500%        2/28/25        B–        3,828,301  
  963    

WEX Inc., Term Loan

    4.622%        1-Month LIBOR        2.250%        4/01/28        Ba2        946,528  
  17,397    

Total IT Services

                                                 16,661,966  
      Leisure Products – 0.3% (0.2% of Total Investments)                              
  475    

Hayward Industries, Inc., Term Loan

    4.872%        1-Month LIBOR        2.500%        5/28/28        BB        455,572  
  624    

SRAM, LLC , Term Loan B

    5.363%        1 + 3-Month LIBOR        2.750%        5/18/28        BB–        601,511  
  1,099    

Total Leisure Products

                                                 1,057,083  
      Life Sciences Tools & Services – 0.6% (0.4% of Total Investments)                              
  612    

Avantor Funding, Inc., Term Loan B5

    4.622%        1-Month LIBOR        2.250%        11/06/27        BB+        601,733  
  655    

Curia Global, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        8/30/26        B        634,026  
  923    

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        908,699  
  2,190    

Total Life Sciences Tools & Services

                                                 2,144,458  
      Machinery – 2.6% (1.6% of Total Investments)                              
  1,930    

AI Alpine AT Bidco GmbH, Term Loan B

    5.306%        3-Month LIBOR        2.750%        11/06/25        B        1,804,550  
  2,750    

Ali Group North America Corp., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        Baa3        2,700,734  
  974    

Alliance Laundry Systems LLC, Term Loan B

    5.955%        1-Month LIBOR        3.500%        10/08/27        B        948,224  
  1,698    

Gardner Denver, Inc., Term Loan B2

    4.177%        1-Month LIBOR        1.750%        2/28/27        BB+        1,671,071  
  1,475    

Gates Global LLC, Term Loan B3

    4.872%        1-Month LIBOR        2.500%        3/31/27        Ba3        1,425,866  
  625    

Grinding Media Inc., Term Loan B

    4.796%        3-Month LIBOR        4.000%        10/12/28        B        586,195  
  743    

Madison IAQ LLC, Term Loan

    4.524%        6-Month LIBOR        3.250%        6/21/28        B1        708,293  
  10,195    

Total Machinery

                                                 9,844,933  
      Marine – 0.5% (0.3% of Total Investments)                              
  2,028    

HGIM Corp., Exit Term Loan, (DD1)

    9.750%        Prime        6.000%        7/02/23        CCC+        1,924,129  
      Media – 12.7% (7.8% of Total Investments)                              
  1,665    

ABG Intermediate Holdings 2 LLC, Term Loan B1

    5.927%        SOFR30A        3.750%        12/21/28        B1        1,609,847  
  320    

ABG Intermediate Holdings 2 LLC, Term Loan, Second Lien

    8.427%        SOFR30A        6.000%        12/20/29        CCC+        294,800  
  408    

Altice Financing SA, Term Loan, First Lien

    5.262%        3-Month LIBOR        2.750%        1/31/26        B        386,387  
  1,238    

Cable One, Inc., Term Loan B4

    4.372%        1-Month LIBOR        2.000%        5/03/28        BB+        1,193,878  
  2,571    

Cengage Learning, Inc., Term Loan B

    7.814%        3-Month LIBOR        4.750%        7/14/26        B        2,363,669  
  2,687    

Charter Communications Operating, LLC, Term Loan B2

    4.130%        1-Month LIBOR        1.750%        2/01/27        BBB–        2,607,261  

 

58


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)                              
$ 452    

Checkout Holding Corp., Term Loan

    9.872%        1-Month LIBOR        7.500%        2/15/23        N/R      $ 380,812  
  861    

Checkout Holding Corp., Term Loan, (cash 2.000, PIK 9.500%)

    6.436%        1-Month LIBOR        1.000%        8/15/23        N/R        302,521  
  8,016    

Clear Channel Outdoor Holdings, Inc., Term Loan B

    6.089%        1 + 3-Month LIBOR        3.500%        8/21/26        B1        7,335,074  
  4,961    

CSC Holdings, LLC, Term Loan

    4.249%        1-Month LIBOR        2.250%        1/15/26        BB        4,807,935  
  2,899    

CSC Holdings, LLC, Term Loan B1

    4.249%        1-Month LIBOR        2.250%        7/17/25        BB        2,810,617  
  2,781    

CSC Holdings, LLC, Term Loan B5

    4.499%        1-Month LIBOR        2.500%        4/15/27        BB        2,678,359  
  357    

Cumulus Media New Holdings Inc., Term Loan B

    4.750%        6-Month LIBOR        3.750%        3/31/26        B        342,914  
  5,257    

DirecTV Financing, LLC, Term Loan

    7.372%        1-Month LIBOR        5.000%        8/02/27        BBB–        4,982,787  
  626    

Dotdash Meredith Inc, Term Loan B

    5.699%        1-Month LIBOR        4.000%        12/01/28        BB–        568,487  
  726    

E.W. Scripps Company (The), Term Loan B2

    4.935%        1-Month LIBOR        2.563%        5/01/26        BB        706,914  
  637    

Gray Television, Inc., Term Loan C

    4.213%        1-Month LIBOR        2.500%        1/02/26        BB+        622,295  
  4,703    

iHeartCommunications, Inc., Term Loan

    5.372%        1-Month LIBOR        3.000%        5/01/26        BB–        4,464,094  
  418    

LCPR Loan Financing LLC, Term Loan B

    5.749%        1-Month LIBOR        3.750%        10/15/28        BB+        409,125  
  1,747    

McGraw-Hill Global Education Holdings, LLC, Term Loan

    5.554%        6-Month LIBOR        4.750%        7/30/28        BB+        1,661,644  
  411    

Mission Broadcasting, Inc., Term Loan B

    4.213%        1-Month LIBOR        2.500%        6/03/28        BBB–        400,408  
  617    

Nexstar Broadcasting, Inc., Term Loan B4

    4.872%        1-Month LIBOR        2.750%        9/19/26        BBB–        611,333  
  323    

Outfront Media Capital LLC, Term Loan B

    4.122%        1-Month LIBOR        1.750%        11/18/26        Ba1        312,099  
  286    

Radiate Holdco, LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        9/25/26        B1        271,276  
  171    

Red Ventures, LLC, Term Loan B2

    4.872%        1-Month LIBOR        2.500%        11/08/24        BB+        166,321  
  875    

Sinclair Television Group Inc., Term Loan B2B

    4.880%        1-Month LIBOR        2.500%        9/30/26        Ba2        817,265  
  162    

Virgin Media Bristol LLC, Term Loan N

    4.499%        1-Month LIBOR        2.500%        1/31/28        BB+        158,321  
  891    

WideOpenWest Finance LLC, Term Loan B

    5.153%        SOFR30A        3.000%        12/20/28        BB        876,771  
  3,728    

Ziggo Financing Partnership, Term Loan I

    4.499%        1-Month LIBOR        2.500%        4/30/28        BB        3,639,616  
  50,794    

Total Media

                                                 47,782,830  
      Multiline Retail – 0.2% (0.1% of Total Investments)                              
  1,467    

Belk, Inc., Term Loan, (cash 5.000%, PIK 8.000%)

    13.000%        3-Month LIBOR        13.000%        7/31/25        CCC–        556,820  
  313    

Belk, Inc., Term Loan

    9.006%        3-Month LIBOR        7.500%        7/31/25        B–        281,966  
  1,780    

Total Multiline Retail

                                                 838,786  
      Oil, Gas & Consumable Fuels – 2.8% (1.7% of Total Investments)                              
  854    

BCP Renaissance Parent LLC, Term Loan B3

    5.554%        SOFR30A        3.500%        11/01/24        B+        833,597  
  621    

Buckeye Partners, L.P., Term Loan B

    3.916%        1-Month LIBOR        2.250%        11/01/26        BBB–        610,271  
  370    

EG America LLC, Term Loan

    6.250%        3-Month LIBOR        4.000%        2/05/25        B–        351,483  
  2,049    

Freeport LNG Investments, LLLP, Term Loan A, (DD1)

    4.000%        3-Month LIBOR        3.500%        12/21/28        N/R        1,936,701  
  (7)   

Freeport LNG Investments, LLLP, Term Loan B

    6.210%        3-Month LIBOR        3.500%        12/21/28        B+        274  
  2,561    

Gulf Finance, LLC, Term Loan

    8.835%        1-Month LIBOR        6.750%        8/25/26        B        1,960,488  
  2,323    

QuarterNorth Energy Holding Inc., Exit Term Loan, Second Lien

    10.372%        1-Month LIBOR        8.000%        8/27/26        B        2,314,733  
  1,159    

TransMontaigne Operating Company L.P., Term Loan B

    5.659%        1-Month LIBOR        3.500%        11/05/28        BB        1,116,738  
  1,503    

Traverse Midstream Partners LLC, Term Loan

    5.950%        SOFR90A        4.250%        9/27/24        B+        1,484,067  
  11,440    

Total Oil, Gas & Consumable Fuels

                                                 10,608,352  
      Personal Products – 0.8% (0.5% of Total Investments)                              
  744    

Conair Holdings, LLC, Term Loan B

    6.000%        3-Month LIBOR        3.750%        5/17/28        B–        635,510  
  31    

Coty Inc., Term Loan B

    4.057%        1-Month LIBOR        2.250%        4/05/25        BB–        29,620  
  1    

Kronos Acquisition Holdings Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        12/22/26        B2        599  
  3,670    

Revlon Consumer Products Corporation, Term Loan B, (DD1) (5), (8)

    5.576%        6-Month LIBOR        3.500%        9/07/23        N/R        2,516,630  
  4,446    

Total Personal Products

                                                 3,182,359  
      Pharmaceuticals – 3.6% (2.2% of Total Investments)                              
  1,576    

Bausch Health Companies Inc., Term Loan B

    7.174%        SOFR30A        5.250%        1/27/27        BB        1,331,219  
  605    

Catalent Pharma Solutions Inc., Term Loan B3

    4.250%        1-Month LIBOR        2.000%        2/22/28        BBB–        597,729  
  801    

Elanco Animal Health Incorporated, Term Loan B

    3.463%        1-Month LIBOR        1.750%        8/01/27        BBB–        776,888  
  6,422    

Jazz Financing Lux S.a.r.l., Term Loan

    5.872%        1-Month LIBOR        3.500%        5/05/28        BB+        6,288,140  
  2,037    

Mallinckrodt International Finance S.A., Term Loan B, (DD1) (5)

    6.246%        3-Month LIBOR        5.250%        9/24/24        B        1,741,460  

 

59


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Pharmaceuticals (continued)                              
$ 612    

Mallinckrodt International Finance S.A., Term Loan B (5)

    6.911%        3-Month LIBOR        5.500%        2/24/25        B      $ 506,103  
  1,862    

Organon & Co, Term Loan

    4.625%        3-Month LIBOR        3.000%        6/02/28        BB        1,835,492  
  664    

Perrigo Investments, LLC, Term Loan B

    2.835%       
SOFR90A + CME
Term SOFR 3 Month
 
 
     2.500%        4/05/29        Baa3        655,700  
  14,579    

Total Pharmaceuticals

                                                 13,732,731  
      Professional Services – 2.0% (1.2% of Total Investments)                              
  471    

CHG Healthcare Services Inc., Term Loan

    4.916%        6-Month LIBOR        3.250%        9/30/28        B1        458,683  
  780    

Creative Artists Agency, LLC , Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/26/26        B        766,978  
  2,149    

Dun & Bradstreet Corporation (The), Term Loan

    4.874%        1-Month LIBOR        3.250%        2/08/26        BB+        2,096,732  
  965    

EAB Global, Inc., Term Loan

    6.089%        1 + 3-Month LIBOR        3.500%        8/16/28        B2        923,441  
  748    

Physician Partners LLC, Term Loan

    6.427%        SOFR30A        4.000%        2/01/29        B        707,599  
  315    

R1 RCM Inc, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        311,850  
  2,235    

Verscend Holding Corp., Term Loan B

    6.372%        1-Month LIBOR        4.000%        8/27/25        BB–        2,181,408  
  7,663    

Total Professional Services

                                                 7,446,691  
      Real Estate Management & Development – 0.2% (0.1% of Total Investments)                              
  675    

Cushman & Wakefield PLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        655,111  
      Road & Rail – 2.1% (1.3% of Total Investments)                              
  1,259    

First Student Bidco Inc, Term Loan B

    5.232%        3-Month LIBOR        3.000%        7/21/28        BB+        1,175,180  
  468    

First Student Bidco Inc, Term Loan C

    5.232%        3-Month LIBOR        3.000%        7/21/28        BB+        436,566  
  1,459    

Genesee & Wyoming Inc. (New), Term Loan

    4.250%        3-Month LIBOR        0.020%        12/30/26        BB+        1,436,699  
  886    

Hertz Corporation, (The), Term Loan B

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        853,602  
  169    

Hertz Corporation, (The), Term Loan C

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        162,921  
  553    

Uber Technologies, Inc., Term Loan B, First Lien

    5.075%        3-Month LIBOR        3.500%        2/25/27        Ba3        544,408  
  2,013    

Uber Technologies, Inc., Term Loan B, First Lien

    5.075%        3-Month LIBOR        3.500%        4/04/25        Ba3        1,983,870  
  1,444    

XPO Logistics, Inc., Term Loan B

    3.548%        1-Month LIBOR        1.750%        2/24/25        Baa3        1,413,809  
  8,251    

Total Road & Rail

                                                 8,007,055  
      Semiconductors & Semiconductor Equipment – 0.6% (0.4% of Total Investments)                              
  4,689    

Bright Bidco B.V., Term Loan B, (DD1)

    4.774%        3-Month LIBOR        3.500%        6/30/24        CCC        1,847,855  
  371    

Entegris, Inc., Term Loan B

    5.597%        3-Month LIBOR        3.000%        7/06/29        Baa3        367,212  
  5,060    

Total Semiconductors & Semiconductor Equipment

 

     2,215,067  
      Software – 15.6% (9.6% of Total Investments)                              
  981    

Apttus Corporation, Term Loan

    5.621%        3-Month LIBOR        4.250%        5/06/28        BB        951,897  
  787    

Avaya, Inc., Term Loan

    12.481%        TBD        10.000%        12/15/27        BB–        499,745  
  2,760    

Banff Merger Sub Inc, Term Loan

    6.122%        1-Month LIBOR        3.750%        10/02/25        B2        2,665,079  
  643    

Camelot U.S. Acquisition LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        10/31/26        B1        629,523  
  492    

Camelot U.S. Acquisition LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        10/31/26        B1        481,419  
  413    

CCC Intelligent Solutions Inc., Term Loan B

    4.500%        3-Month LIBOR        2.250%        9/21/28        B1        402,732  
  1,930    

CDK Global, Inc., Term Loan B

    6.610%        SOFR90A        4.500%        6/09/29        B+        1,879,830  
  1,026    

Ceridian HCM Holding Inc., Term Loan B

    4.166%        1-Month LIBOR        2.500%        4/30/25        B+        995,056  
  2,000    

DTI Holdco, Inc., Term Loan

    7.327%        SOFR30A        4.750%        4/21/29        B2        1,881,250  
  412    

Dynatrace LLC, Term Loan, First Lien

    4.622%        1-Month LIBOR        2.250%        8/23/25        BB+        409,450  
  4,235    

Epicor Software Corporation, Term Loan

    5.622%        1-Month LIBOR        3.250%        7/31/27        B2        4,048,759  
  3,322    

Finastra USA, Inc., Term Loan, First Lien, (DD1)

    6.871%        3-Month LIBOR        3.500%        6/13/24        B+        3,112,093  
  3,086    

Greeneden U.S. Holdings II, LLC, Term Loan B4

    6.372%        1-Month LIBOR        4.000%        12/01/27        B2        3,019,752  
  425    

Greenway Health, LLC, Term Loan, First Lien

    5.250%        3-Month LIBOR        3.750%        2/16/24        B–        385,674  
  3,741    

Informatica LLC, Term Loan B

    5.125%        1-Month LIBOR        2.750%        10/14/28        BB–        3,654,142  
  602    

iQor US Inc., Second Out Term Loan

    9.872%        1-Month LIBOR        7.500%        11/19/25        CCC+        491,423  
  1,251    

MA FinanceCo., LLC, Term Loan B

    5.915%        3-Month LIBOR        4.250%        6/05/25        BB+        1,104,361  
  950    

Magenta Buyer LLC, Term Loan, First Lien

    6.230%        3-Month LIBOR        5.000%        7/27/28        BB–        905,487  
  2,095    

McAfee, LLC, Term Loan B

    5.699%       
1-Month LIBOR + CME
Term SOFR 1 Week
 
 
     4.000%        2/03/29        BB+        2,007,724  
  4,300    

Nortonlifelock Inc, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        4,196,542  
  1,192    

Polaris Newco LLC, Term Loan B

    6.372%        1-Month LIBOR        4.000%        6/04/28        B2        1,135,303  
  395    

Project Ruby Ultimate Parent Corp., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/10/28        B        378,501  
  1,473    

Proofpoint, Inc., Term Loan, First Lien

    4.825%        3-Month LIBOR        3.250%        8/31/28        BB–        1,418,018  
  444    

RealPage, Inc, Term Loan, First Lien

    5.372%        1-Month LIBOR        3.250%        4/22/28        B+        428,153  
  4,255    

Seattle Spinco, Inc., Term Loan B3

    5.122%        1-Month LIBOR        2.750%        6/21/24        BB+        3,967,806  

 

60


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)                              
$ 3,407    

Seattle Spinco, Inc., Term Loan B5

    6.253%        SOFR30A        4.000%        1/14/27        BB+      $ 2,989,620  
  1,716    

Sophia, L.P., Term Loan B

    5.500%        3-Month LIBOR        3.250%        10/07/27        B2        1,657,955  
  1,030    

SS&C European Holdings Sarl, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        1,008,897  
  1,269    

SS&C Technologies Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        1,242,810  
  257    

SS&C Technologies Inc., Term Loan B6

    4.677%        SOFR30A        2.250%        3/22/29        BB+        250,639  
  368    

SS&C Technologies Inc., Term Loan B7

    4.677%        SOFR30A        2.250%        3/22/29        BB+        358,914  
  1,000    

Tibco Software Inc., Term Loan B3

    9.622%        1-Month LIBOR        7.250%        3/04/28        CCC+        995,000  
  1,147    

Tibco Software Inc., Term Loan B3

    6.130%        1-Month LIBOR        3.750%        7/03/26        B+        1,140,860  
  1,496    

Ultimate Software Group Inc (The), Term Loan

    5.535%        3-Month LIBOR        3.250%        5/03/26        B1        1,453,767  
  729    

Ultimate Software Group Inc (The), Term Loan B

    6.122%        1-Month LIBOR        3.750%        5/03/26        B1        711,141  
  993    

Vision Solutions, Inc., Term Loan

    6.783%        3-Month LIBOR        4.000%        5/28/28        B2        922,033  
  3,211    

Zelis Healthcare Corporation, Term Loan

    5.213%        1-Month LIBOR        3.500%        9/30/26        B        3,136,249  
  2,151    

ZoomInfo LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        2/01/26        BB+        2,133,352  
  61,984    

Total Software

                                                 59,050,956  
      Specialty Retail – 4.1% (2.5% of Total Investments)                              
  852    

Academy, Ltd., Term Loan

    5.463%        1-Month LIBOR        3.750%        11/06/27        BB–        824,038  
  1,308    

Avis Budget Car Rental, LLC, Term Loan B, (DD1)

    4.130%        1-Month LIBOR        1.750%        8/06/27        BB+        1,236,818  
  1,083    

Avis Budget Car Rental, LLC, Term Loan C, (DD1)

    5.927%        1-Month LIBOR        3.500%        3/15/29        BB+        1,063,863  
  339    

Driven Holdings, LLC, Term Loan B

    3.517%        3-Month LIBOR        3.000%        12/17/28        B2        328,975  
  1,227    

Jo-Ann Stores, Inc., Term Loan B1

    7.516%        3-Month LIBOR        4.750%        6/30/28        B–        835,557  
  1,547    

LBM Acquisition LLC, Term Loan B

    5.416%        1-Month LIBOR        3.750%        12/18/27        B+        1,334,360  
  431    

Les Schwab Tire Centers, Term Loan B

    4.000%        3-Month LIBOR        3.250%        11/02/27        B        416,993  
  6,504    

PetSmart, Inc., Term Loan B

    6.120%        3-Month LIBOR        3.750%        2/12/28        BB–        6,286,113  
  1,861    

Restoration Hardware, Inc., Term Loan B

    4.872%        1-Month LIBOR        2.500%        10/15/28        BB        1,690,894  
  353    

SRS Distribution Inc., Term Loan

    6.177%        SOFR90A        3.500%        6/04/28        B2        337,625  
  540    

Staples, Inc., Term Loan

    6.286%        3-Month LIBOR        5.000%        4/12/26        B        470,358  
  769    

Wand NewCo 3, Inc., Term Loan

    5.372%        1-Month LIBOR        3.000%        2/05/26        B2        739,951  
  16,814    

Total Specialty Retail

                                                 15,565,545  
      Technology Hardware, Storage & Peripherals – 0.2% (0.1% of Total Investments)                              
  583    

NCR Corporation, Term Loan

    5.310%        3-Month LIBOR        0.025%        8/28/26        BB+        571,346  
      Textiles, Apparel & Luxury Goods – 0.4% (0.3% of Total Investments)                              
  1,358    

Birkenstock GmbH & Co. KG, Term Loan B

    5.098%        6-Month LIBOR        3.250%        4/28/28        BB–        1,275,085  
  266    

New Trojan Parent, Inc., Term Loan, First Lien

    5.386%        1-Month LIBOR        3.250%        1/06/28        B        237,655  
  192    

Samsonite International S.A., Term Loan B2

    5.372%        1-Month LIBOR        4.500%        4/25/25        N/R        187,362  
  1,816    

Total Textiles, Apparel & Luxury Goods

                                                 1,700,102  
      Trading Companies & Distributors – 0.5% (0.3% of Total Investments)                              
  992    

Core & Main LP, Term Loan B

    4.800%        1-Month LIBOR        2.500%        6/10/28        Ba3        961,177  
  1,027    

Resideo Funding Inc., Term Loan

    4.000%        1 + 3-Month LIBOR        0.000%        2/12/28        BBB–        1,004,745  
  2,019    

Total Trading Companies & Distributors

                                                 1,965,922  
      Transportation Infrastructure – 0.9% (0.5% of Total Investments)                              
  750    

Brown Group Holding, LLC, Term Loan B2

    6.327%        SOFR30A        3.750%        6/09/29        B+        736,327  
  1,622    

Brown Group Holding, LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        4/22/28        B+        1,565,272  
  1,095    

KKR Apple Bidco, LLC, Term Loan

    5.122%        1-Month LIBOR        3.000%        9/23/28        B+        1,057,561  
  3,467    

Total Transportation Infrastructure

                                                 3,359,160  
      Wireless Telecommunication Services – 1.4% (0.9% of Total Investments)                              
  990    

GOGO Intermediate Holdings LLC, Term Loan B

    6.556%        3-Month LIBOR        3.750%        4/30/28        B+        967,972  
  3,781    

Intelsat Jackson Holdings S.A., Term Loan B, (DD1)

    4.920%        SOFR180A        4.250%        1/27/29        BB–        3,584,222  
  742    

MetroNet Systems Holdings, LLC, Term Loan, First Lien

    5.695%        SOFR30A        3.750%        6/02/28        B        710,377  
  5,513    

Total Wireless Telecommunication Services

                                                 5,262,571  
$ 548,797    

Total Variable Rate Senior Loan Interests (cost $539,477,198)

 

                                         512,377,982  

 

61


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)                 Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 18.1% (11.1% of Total Investments)

 

      Airlines – 0.3% (0.2% of Total Investments)                              
$ 534    

United Airlines Inc, 144A

          4.375%        4/15/26        Ba1      $ 512,640  
  706    

United Airlines Inc, 144A

                  4.625%        4/15/29        Ba1        650,403  
  1,240    

Total Airlines

                                             1,163,043  
      Auto Components – 0.9% (0.5% of Total Investments)                              
  1,925    

Adient Global Holdings Ltd, 144A

          4.875%        8/15/26        BB–        1,800,241  
  1,425    

Adient US LLC, 144A

                  9.000%        4/15/25        BB+        1,467,750  
  3,350    

Total Auto Components

                                             3,267,991  
      Chemicals – 0.2% (0.1% of Total Investments)                              
  950    

Rayonier AM Products Inc, 144A

                  7.625%        1/15/26        B+        850,250  
      Commercial Services & Supplies – 1.0% (0.6% of Total Investments)                              
  1,019    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

          5.750%        4/15/26        BB–        1,035,579  
  1,500    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

          3.375%        8/31/27        BB–        1,368,030  
  1,363    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

                  6.250%        1/15/28        B–        1,249,435  
  3,882    

Total Commercial Services & Supplies

                                             3,653,044  
      Communications Equipment – 1.2% (0.7% of Total Investments)                              
  6,413    

Avaya Inc, 144A

          6.125%        9/15/28        BB–        3,012,379  
  1,125    

Commscope Inc, 144A

          8.250%        3/01/27        CCC+        978,750  
  600    

CommScope Technologies LLC, 144A

                  5.000%        3/15/27        CCC+        493,311  
  8,138    

Total Communications Equipment

                                             4,484,440  
      Diversified Telecommunication Services – 1.0% (0.6% of Total Investments)                              
  595    

Frontier Communications Holdings LLC, 144A

          5.000%        5/01/28        BB+        559,145  
  700    

Frontier Communications Holdings LLC

          5.875%        11/01/29        CCC+        588,000  
  2,734    

Frontier Communications Holdings LLC, 144A

                  5.875%        10/15/27        BB+        2,693,373  
  4,029    

Total Diversified Telecommunication Services

                                             3,840,518  
      Electric Utilities – 0.0% (0.0% of Total Investments)                              
  2,980    

Bruce Mansfield Unit 1 2007 Pass Through Trust (5)

          6.850%        6/01/34        N/R        3,725  
  (7)   

Pacific Gas and Electric Co

                  4.500%        7/01/40        BBB–        1  
  2,980    

Total Electric Utilities

                                             3,726  
      Electronic Equipment, Instruments & Components – 0.4% (0.3% of Total Investments)                              
  1,739    

Imola Merger Corp, 144A

                  4.750%        5/15/29        BB+        1,625,965  
      Energy Equipment & Services – 0.2% (0.1% of Total Investments)                              
  700    

Weatherford International Ltd, 144A

                  8.625%        4/30/30        B–        633,010  
      Entertainment – 1.1% (0.7% of Total Investments)                              
  4,457    

AMC Entertainment Holdings Inc, (cash 10.000%, PIK 12.000%), 144A

          10.000%        6/15/26        CCC–        3,525,977  
  1,880    

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

          5.375%        8/15/26        CCC+        413,600  
  2,750    

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

                  6.625%        8/15/27        CCC–        254,375  
  9,087    

Total Entertainment

                                             4,193,952  
      Health Care Providers & Services – 2.8% (1.7% of Total Investments)                              
  505    

CHS/Community Health Systems Inc, 144A

          8.000%        3/15/26        BB–        482,275  
  225    

CHS/Community Health Systems Inc, 144A

          8.000%        12/15/27        BB–        213,750  
  120    

HCA Inc

          5.375%        2/01/25        BBB–        122,403  
  3,600    

Legacy LifePoint Health LLC, 144A

          4.375%        2/15/27        B1        3,195,000  
  2,894    

LifePoint Health Inc, 144A

          5.375%        1/15/29        CCC+        2,233,010  
  1,225    

Team Health Holdings Inc, 144A

          6.375%        2/01/25        CCC        834,983  
  534    

Tenet Healthcare Corp, 144A

          4.875%        1/01/26        BB–        525,937  
  1,940    

Tenet Healthcare Corp, 144A

          6.125%        10/01/28        B+        1,891,500  
  1,060    

Tenet Healthcare Corp, 144A

          6.250%        2/01/27        B1        1,072,370  
  121    

Tenet Healthcare Corp

                  4.625%        7/15/24        BB–        120,907  
  12,224    

Total Health Care Providers & Services

                                             10,692,135  

 

62


  
  

 

Principal
Amount (000)
    Description (1)                 Coupon      Maturity      Ratings (4)      Value  
      Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)                              
$ 536    

1011778 BC ULC / New Red Finance Inc, 144A

          3.500%        2/15/29        BB+      $ 488,285  
  858    

1011778 BC ULC / New Red Finance Inc, 144A

          4.000%        10/15/30        B+        746,460  
  706    

Caesars Entertainment Inc, 144A

          6.250%        7/01/25        B1        704,235  
  534    

Life Time Inc, 144A

                  5.750%        1/15/26        B        501,971  
  2,634    

Total Hotels, Restaurants & Leisure

                                             2,440,951  
      Independent Power Producers & Energy Traders – 0.5% (0.3% of Total Investments)                              
  1,746    

Talen Energy Supply LLC, 144A (5)

                  7.625%        6/01/28        N/R        1,730,763  
      Insurance – 0.1% (0.1% of Total Investments)                              
  280    

Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A

                  4.250%        10/15/27        B        260,980  
      Interactive Media & Services – 0.4% (0.3% of Total Investments)                              
  1,960    

Rackspace Technology Global Inc, 144A

                  3.500%        2/15/28        B+        1,619,885  
      IT Services – 0.2% (0.2% of Total Investments)                              
  1,005    

Ahead DB Holdings LLC, 144A

                  6.625%        5/01/28        CCC+        927,705  
      Media – 2.4% (1.5% of Total Investments)                              
  950    

Clear Channel Outdoor Holdings Inc, 144A

          7.750%        4/15/28        CCC        764,104  
  450    

Clear Channel Outdoor Holdings Inc, 144A

          7.500%        6/01/29        CCC        362,250  
  2,539    

CSC Holdings LLC, 144A

          3.375%        2/15/31        BB        2,031,200  
  1,127    

iHeartCommunications Inc

          8.375%        5/01/27        B–        1,017,004  
  2,465    

iHeartCommunications Inc, 144A

          5.250%        8/15/27        BB–        2,253,503  
  6    

iHeartCommunications Inc

          6.375%        5/01/26        BB–        6,127  
  1,225    

McGraw-Hill Education Inc, 144A

          5.750%        8/01/28        BB+        1,098,715  
  1,790    

VZ Secured Financing BV, 144A

                  5.000%        1/15/32        BB        1,596,340  
  10,552    

Total Media

                                             9,129,243  
      Metals & Mining – 0.2% (0.1% of Total Investments)                              
  855    

First Quantum Minerals Ltd, 144A

                  6.875%        10/15/27        B+        814,388  
      Oil, Gas & Consumable Fuels – 3.3% (2.0% of Total Investments)                              
  700    

Calumet Specialty Products Partners LP / Calumet Finance Corp, 144A

          8.125%        1/15/27        B–        602,931  
  2,935    

Citgo Holding Inc, 144A

          9.250%        8/01/24        B+        2,920,325  
  1,040    

Citgo Petroleum Corp, 144A

          7.000%        6/15/25        BB        1,024,348  
  600    

Gulfport Energy Corp, 144A

          8.000%        5/17/26        BB–        602,898  
  534    

Hilcorp Energy I LP / Hilcorp Finance Co, 144A

          6.250%        11/01/28        BB+        517,150  
  850    

Laredo Petroleum Inc

          9.500%        1/15/25        B        870,876  
  650    

Matador Resources Co

          5.875%        9/15/26        BB–        661,375  
  534    

MEG Energy Corp, 144A

          5.875%        2/01/29        BB–        507,300  
  2,768    

NGL Energy Operating LLC / NGL Energy Finance Corp, 144A

          7.500%        2/01/26        BB–        2,528,762  
  250    

NGL Energy Partners LP / NGL Energy Finance Corp

          7.500%        11/01/23        CCC+        233,637  
  250    

NGL Energy Partners LP / NGL Energy Finance Corp

          7.500%        4/15/26        CCC+        188,722  
  250    

NGL Energy Partners LP / NGL Energy Finance Corp

          6.125%        3/01/25        CCC+        196,178  
  1,500    

PBF Holding Co LLC / PBF Finance Corp

          6.000%        2/15/28        BB–        1,361,250  
  182    

PBF Holding Co LLC / PBF Finance Corp

                  7.250%        6/15/25        BB–        179,528  
  13,043    

Total Oil, Gas & Consumable Fuels

                                             12,395,280  
      Pharmaceuticals – 0.1% (0.0% of Total Investments)                              
  582    

Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A

          6.000%        6/30/28        C        37,830  
  230    

Par Pharmaceutical Inc, 144A

                  7.500%        4/01/27        Caa2        185,341  
  812    

Total Pharmaceuticals

                                             223,171  
      Software – 0.2% (0.1% of Total Investments)                              
  950    

Condor Merger Sub Inc, 144A

                  7.375%        2/15/30        CCC+        834,076  
      Specialty Retail – 0.6% (0.3% of Total Investments)                              
  1,570    

Hertz Corp/The, 144A

          4.625%        12/01/26        B+        1,397,300  
  522    

PetSmart Inc / PetSmart Finance Corp, 144A

          4.750%        2/15/28        BB–        495,368  
  200    

PetSmart Inc / PetSmart Finance Corp, 144A

                  7.750%        2/15/29        B3        192,544  
  2,292    

Total Specialty Retail

                                             2,085,212  

 

63


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)                              
$ 1,780    

Vmed O2 UK Financing I PLC, 144A

                      4.250%        1/31/31        BB+      $ 1,559,084  
$ 86,228    

Total Corporate Bonds (cost $76,892,554)

 

                                         68,428,812  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 3.7% (2.3% of Total Investments)

 

           
      Banks – 0.0% (0.0% of Total Investments)                                         
  21,193    

iQor US Inc (9), (10)

                                               $ 84,772  
      Construction & Engineering – 0.0% (0.0% of Total Investments)                              
  2,336    

TNT Crane & Rigging Inc (9), (10)

                   584  
  1,318    

TNT Crane & Rigging Inc (9), (10)

                                                 18,452  
 

Total Construction & Engineering

 

                                         19,036  
      Diversified Consumer Services – 0.1% (0.0% of Total Investments)                              
  16,910    

Cengage Learning Holdings II Inc (9), (10)

 

                                         235,895  
      Diversified Telecommunication Services – 0.1% (0.1% of Total Investments)                              
  16,271    

Windstream Services PE LLC (9), (10)

 

                 248,133  
  5,616    

Windstream Services PE LLC (9), (10)

 

                                         85,644  
 

Total Diversified Telecommunication Services

 

                                         333,777  
      Energy Equipment & Services – 1.7% (1.1% of Total Investments)                              
  56,185    

Quarternorth Energy Holding Inc (9), (10)

 

                 6,072,643  
  63,862    

Transocean Ltd (10)

                   215,854  
  7,266    

Vantage Drilling International (9), (10)

 

                                         108,082  
 

Total Energy Equipment & Services

 

                                         6,396,579  
      Entertainment – 0.0% (0.0% of Total Investments)                              
  23,363    

Metro-Goldwyn-Mayer Inc (9), (10)

                                                 99,106  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                              
  50,560    

Millennium Health LLC (8), (10)

                   7,384  
  47,462    

Millennium Health LLC (8), (10)

 

                                         2,182  
 

Total Health Care Providers & Services

 

                                         9,566  
      Hotels, Restaurants & Leisure – 0.0% (0.0% of Total Investments)                              
  83,129    

24 Hour Fitness Worldwide Inc (9), (10)

 

                 62,347  
  174,788    

24 Hour Fitness Worldwide Inc (9), (10)

 

                                         51,213  
 

Total Hotels, Restaurants & Leisure

 

                                         113,560  
      Independent Power and Renewable Electricity Producers – 1.2% (0.7% of Total Investments)                
  64,338    

Energy Harbor Corp (9), (10), (11)

                                                 4,432,888  
      Internet & Direct Marketing Retail – 0.0% (0.0% of Total Investments)                              
  12,030    

Catalina Marketing Corp (9), (10)

                                                 2,550  
      Marine – 0.0% (0.0% of Total Investments)                              
  573    

ACBL HLDG CORP (9), (10)

                                                 10,887  
      Media – 0.0% (0.0% of Total Investments)                              
  7    

Cumulus Media Inc, Class A (10)

                   55  
  1,318,561    

Hibu plc (9), (10)

 

                                         6,593  
 

Total Media

 

                                         6,648  
      Multiline Retail – 0.0% (0.0% of Total Investments)                              
  187    

PEABODYENERGY WTS (9), (10)

                                                 1,636  

 

64


  
  

 

Shares     Description (1)                                         Value  
      Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments)                              
  6,825    

California Resources Corp

                 $ 306,169  
  12,582    

Chord Energy Corp

                                         1,613,516  
 

Total Oil, Gas & Consumable Fuels

                                         1,919,685  
      Professional Services – 0.1% (0.1% of Total Investments)                              
  70,690    

Skillsoft Corp (10)

                                         271,450  
 

Total Common Stocks (cost $21,777,624)

                                         13,938,035  
Principal
Amount (000)
    Description (1)                 Coupon      Maturity      Ratings (4)      Value  
      ASSET-BACKED SECURITIES – 1.9% (1.2% of Total Investments)                              
$ 250    

Battalion CLO XI Ltd (3-Month LIBOR reference rate + 6.850% spread) (12)

          8.034%        4/24/34        Ba3      $ 222,253  
  500    

CIFC Funding 2019-I Ltd (3-Month LIBOR reference rate + 6.830% spread) (12)

          7.893%        4/20/32        Ba3        448,568  
  800    

Dryden 50 Senior Loan Fund (3-Month LIBOR reference rate + 6.260% spread) (12)

          8.772%        7/15/30        Ba3        708,426  
  1,000    

Flatiron CLO 19 Ltd (3-Month LIBOR reference rate + 6.100% spread) (12)

          9.022%        11/16/34        BB–        870,329  
  750    

Gilbert Park CLO Ltd (3-Month LIBOR reference rate + 6.400% spread) (12)

          8.912%        10/15/30        Ba3        669,497  
  500    

Goldentree Loan Opportunities IX Ltd (3-Month LIBOR reference rate + 5.660% spread) (12)

          8.466%        10/29/29        BB–        443,986  
  500    

KKR CLO 30 Ltd (3-Month LIBOR reference rate + 6.400% spread) (12)

          9.140%        10/17/31        Ba3        432,037  
  250    

Magnetite XXVII Ltd (3-Month LIBOR reference rate + 6.000% spread) (12)

          8.710%        10/20/34        Ba3        223,688  
  400    

Neuberger Berman Loan Advisers CLO 28 Ltd (3-Month LIBOR reference rate + 5.600% spread) (12)

          8.310%        4/20/30        BB–        348,769  
  1,375    

Neuberger Berman Loan Advisers CLO 48 Ltd (CME Term SOFR 3 Month reference rate + 3.200% spread) (12)

          0.000%        4/25/36        BBB–        1,270,848  
  833    

Rockford Tower CLO 2017-3 Ltd (3-Month LIBOR reference rate + 5.750% spread) (12)

          6.813%        10/20/30        Ba3        721,944  
  850    

TICP CLO I-2 LTD (3-Month LIBOR reference rate + 5.770% spread) (12)

                  6.984%        4/26/28        B1        784,055  
$ 8,008    

Total Asset-Backed and Mortgage-Backed Securities (cost $7,829,378)

                                         7,144,400  
Shares     Description (1)                                         Value  
      WARRANTS – 0.8% (0.5% of Total Investments)                              
      Energy Equipment & Services – 0.8% (0.5% of Total Investments)                              
  25,425    

Quarternorth Energy Holding Inc (9)

                 $ 2,748,010  
  17,255    

Quarternorth Energy Holding Inc (9)

                   129,412  
  33,231    

Quarternorth Energy Holding Inc (9)

                                         149,540  
 

Total Energy Equipment & Services

                                         3,026,962  
      Entertainment – 0.0% (0.0% of Total Investments)                              
  138,768    

Cineworld Warrant (9)

                                             14,293  
      Industrial Conglomerates – 0.0% (0.0% of Total Investments)                              
  13,648    

American Commercial Barge Line LLC (9)

                                             4,954  
      Marine – 0.0% (0.0% of Total Investments)                              
  2,243    

ACBL HLDG CORP (9)

                   54,207  
  1,706    

ACBL HLDG CORP (9)

                   72,505  
  603    

ACBL HLDG CORP (9)

                   11,457  
  17,944    

American Commercial Barge Line LLC (9)

                                         5,383  
 

Total Marine

                                         143,552  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                              
  314    

California Resources Corp

                                             4,584  
      Software – 0.0% (0.0% of Total Investments)                              
  15,619    

Avaya Holdings Corp (9)

                                             437  
      Wireless Telecommunication Services – 0.0% (0.0% of Total Investments)                              
  2    

Intelsat SA/Luxembourg (9)

                                         2  
 

Total Warrants (cost $2,115,748)

                                         3,194,784  

 

65


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Shares     Description (1)                   Coupon              Ratings (4)      Value  
 

CONVERTIBLE PREFERRED SECURITIES – 0.1% (0.0% of Total Investments)

 

      Communications Equipment – 0.0% (0.0% of Total Investments)                              
  15,089    

Riverbed Technology Inc, cash 7.000%, PIK 2.000%, (9)

                      0.000%                 N/R      $ 60,356  
      Marine – 0.1% (0.0% of Total Investments)                              
  2,428    

ACBL HLDG CORP (9)

          0.000%           N/R        103,190  
  2,133    

ACBL HLDG CORP (9)

                      0.000%                 N/R        51,548  
 

Total Marine

                                                 154,738  
 

Total Convertible Preferred Securities (cost $378,983)

 

                                215,094  
 

Total Long-Term Investments (cost $648,471,485)

                                                 605,299,107  
Shares     Description (1)                   Coupon                      Value  
 

SHORT-TERM INVESTMENTS – 2.7%(1.6% of Total Investments)

 

      INVESTMENT COMPANIES – 2.7% (1.6% of Total Investments)                              
  10,093,889    

BlackRock Liquidity Funds T-Fund Portfolio

                      1.953% (13)                        $ 10,093,889  
 

Total Short-Term Investments (cost $10,093,889)

 

                                10,093,889  
 

Total Investments (cost $658,565,374) – 163.0%

 

                                615,392,996  
 

Borrowings – (42.9)% (14), (15)

                                                 (162,100,000
 

Taxable Fund Preferred Shares, net of deferred offering costs – (19.8)% (16)

 

              (74,709,275
 

Other Assets Less Liabilities – (0.3)%

 

                                (1,113,998
 

Net Assets Applicable to Common Shares – 100%

 

                              $ 377,469,723  

 

66


  
  

 

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

 

(1)

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy.

 

(6)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment.

 

(7)

Principal Amount (000) rounds to less than $1,000.

 

(8)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

 

(9)

For fair value measurement disclosure purposes, investment classified as Level 2.

 

(10)

Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

 

(11)

Common Stock received as part of the bankruptcy settlements during February 2020 for Bruce Mansfield Unit 1 2007 Pass-Through Trust.

 

(12)

Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

(13)

The rate shown is the annualized seven-day subsidized yield as of end of the reporting period.

 

(14)

Borrowings as a percentage of Total Investments is 26.3%.

 

(15)

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

 

(16)

Taxable Fund Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 12.1%.

 

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.

 

CME

Chicago Mercantile Exchange

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

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

 

SOFR 30A

30 Day Average Secured Overnight Financing Rate

 

SOFR 90A

90 Day Average Secured Overnight Financing Rate

 

SOFR 180A

180 Day Average Secured Overnight Financing Rate

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

67


JSD   

Nuveen Short Duration
Credit Opportunities Fund

 

Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
   

LONG-TERM INVESTMENTS – 160.9% (97.8% of Total Investments)

 

   

VARIABLE RATE SENIOR LOAN INTERESTS – 136.7% (83.1% of Total Investments) (2)

 

          Aerospace & Defense – 2.3% (1.4% of Total Investments)  
$ 1,190      

Sequa Mezzanine Holdings L.L.C., Term Loan, (cash 6.750%, PIK 1.000%)

    8.303%        3-Month LIBOR        6.750%        7/31/23        B–      $ 1,187,223  
  80      

TransDigm, Inc., Term Loan E, (WI/DD)

    TBD        TBD        TBD        TBD        Ba3        77,942  
  1,807      

TransDigm, Inc., Term Loan F

    4.622%        1-Month LIBOR        2.250%        12/09/25        Ba3        1,758,839  
  245        

TransDigm, Inc., Term Loan G

    4.622%        1-Month LIBOR        2.250%        8/22/24        Ba3        240,716  
  3,322        

Total Aerospace & Defense

                                                 3,264,720  
          Airlines – 3.2% (2.0% of Total Investments)  
  742      

AAdvantage Loyalty IP Ltd., Term Loan, (DD1)

    7.460%        3-Month LIBOR        4.750%        4/20/28        Ba2        732,576  
  155      

American Airlines, Inc., Term Loan

    2.840%        6-Month LIBOR        2.000%        12/14/23        Ba3        152,832  
  762      

American Airlines, Inc., Term Loan, First Lien

    4.122%        1-Month LIBOR        1.750%        1/29/27        Ba3        698,689  
  1,260      

Kestrel Bidco Inc., Term Loan B, (DD1)

    5.030%        3-Month LIBOR        3.000%        12/11/26        BB–        1,111,483  
  395      

Mileage Plus Holdings LLC, Term Loan B, (DD1)

    7.313%        3-Month LIBOR        5.250%        6/20/27        Baa3        398,950  
  700      

SkyMiles IP Ltd., Term Loan B

    6.460%        3-Month LIBOR        3.750%        10/20/27        Baa1        708,925  
  741        

United Airlines, Inc., Term Loan B

    6.533%        1-Month LIBOR        3.750%        4/21/28        Ba1        715,907  
  4,755        

Total Airlines

                                                 4,519,362  
          Auto Components – 1.1% (0.7% of Total Investments)  
  82      

Adient US LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/08/28        BB+        79,423  
  845      

Clarios Global LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/30/26        B1        816,306  
  33      

DexKo Global Inc., Term Loan

    5.402%        1-Month LIBOR        3.750%        10/04/28        B1        30,374  
  176      

DexKo Global Inc., Term Loan B

    5.982%        3-Month LIBOR        3.750%        10/04/28        B1        159,463  
  449        

Superior Industries International, Inc., Term Loan B, First Lien

    6.372%        1-Month LIBOR        4.000%        5/23/24        Ba3        436,913  
  1,585        

Total Auto Components

                                                 1,522,479  
          Beverages – 2.2% (1.3% of Total Investments)  
  404      

Arterra Wines Canada, Inc., Term Loan

    5.750%        3-Month LIBOR        3.500%        11/25/27        B1        381,133  
  309      

City Brewing Company, LLC, Term Loan

    5.298%        1-Month LIBOR        3.500%        4/05/28        B        270,953  
  750      

Naked Juice LLC, Term Loan

    5.541%        SOFR90A        3.250%        1/20/29        Ba3        718,594  
  135      

Naked Juice LLC, Term Loan, Second Lien

    8.154%        3-Month LIBOR        6.000%        1/20/30        B3        124,763  
  750      

Pegasus Bidco BV, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        723,750  
  1,005        

Triton Water Holdings, Inc, Term Loan, (DD1)

    5.750%        3-Month LIBOR        3.500%        3/31/28        B1        895,131  
  3,353        

Total Beverages

                                                 3,114,324  
          Biotechnology – 0.7% (0.5% of Total Investments)  
  1,096        

Grifols Worldwide Operations USA, Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        11/15/27        BB+        1,051,275  
          Building Products – 2.0% (1.2% of Total Investments)  
  1,143      

Chamberlain Group Inc, Term Loan B

    5.872%        1-Month LIBOR        3.500%        10/22/28        B+        1,067,846  
  748      

Cornerstone Building Brands, Inc., Term Loan B

    5.249%        1-Month LIBOR        3.250%        4/12/28        B        641,115  
  156      

Griffon Corporation, Term Loan B

    5.804%        Prime        2.250%        1/19/29        BB        151,978  
  565      

Quikrete Holdings, Inc., Term Loan, First Lien

    4.997%        1-Month LIBOR        2.625%        1/31/27        Ba2        535,327  
  333      

Standard Industries Inc., Term Loan B

    3.788%        6-Month LIBOR        2.500%        9/22/28        BBB–        328,408  
  124        

Zurn Holdings, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        10/04/28        Ba3        122,771  
  3,069        

Total Building Products

                                                 2,847,445  

 

68


  
  

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Capital Markets – 0.6% (0.3% of Total Investments)  
$ 921        

Astra Acquisition Corp., Term Loan, First Lien

    7.622%        1-Month LIBOR        5.250%        10/22/28        BB–      $ 783,979  
          Chemicals – 1.6% (0.9% of Total Investments)  
  211      

ASP Unifrax Holdings Inc, Term Loan B

    6.000%        3-Month LIBOR        3.750%        12/12/25        BB        193,749  
  550      

Atotech B.V., Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/18/28        B+        546,382  
  391      

Diamond (BC) B.V., Term Loan B

    5.339%        1 + 3-Month LIBOR        2.750%        9/29/28        Ba3        374,318  
  256      

INEOS Styrolution US Holding LLC, Term Loan B

    5.122%        1-Month LIBOR        2.750%        1/29/26        BB+        243,838  
  409      

Ineos US Finance LLC, Term Loan B

    4.593%        2-Month LIBOR        2.000%        3/31/24        BBB–        399,012  
  40      

Kraton Corporation, Term Loan

    5.109%       
CME Term SOFR
3 Month

 
     3.250%        3/15/29        BB        39,214  
  318      

PMHC II, Inc., Term Loan B

    6.977%        SOFR90A        4.250%        2/03/29        B–        276,509  
  130        

Trinseo Materials Operating SCA, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Ba2        123,500  
  2,305        

Total Chemicals

                                                 2,196,522  
          Commercial Services & Supplies – 2.8% (1.7% of Total Investments)  
  480      

Amentum Government Services Holdings LLC, Term Loan

    5.187%        SOFR90A        4.000%        2/07/29        B1        467,249  
  199      

Anticimex International AB, Term Loan B1

    5.098%        3-Month LIBOR        3.500%        11/16/28        B        192,449  
  376      

Covanta Holding Corporation, Term Loan B

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        368,452  
  28      

Covanta Holding Corporation, Term Loan C

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        27,669  
  289      

Garda World Security Corporation, Term Loan B

    6.470%        1-Month LIBOR        4.250%        10/30/26        BB+        273,778  
  642      

GFL Environmental Inc., Term Loan

    5.806%        3-Month LIBOR        3.000%        5/30/25        N/R        638,115  
  1,157      

Intrado Corporation, Term Loan

    6.372%        1-Month LIBOR        4.000%        10/10/24        B2        970,610  
  187      

Prime Security Services Borrower, LLC, Term Loan

    5.697%        6-Month LIBOR        2.750%        9/23/26        BB–        182,166  
  220      

Vertical US Newco Inc, Term Loan B

    6.871%        6-Month LIBOR        3.500%        7/31/27        B+        212,598  
  284      

West Corporation, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        10/10/24        B2        238,857  
  322        

WIN Waste Innovations Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        3/25/28        B+        313,978  
  4,184        

Total Commercial Services & Supplies

                                                 3,885,921  
          Communications Equipment – 3.0% (1.8% of Total Investments)  
  323      

CommScope, Inc., Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/04/26        B1        304,481  
  1,234      

Delta TopCo, Inc., Term Loan B

    5.836%        3-Month LIBOR        3.750%        12/01/27        B2        1,168,688  
  1,355      

Maxar Technologies Ltd., Term Loan B

    6.677%        SOFR30A        4.250%        6/09/29        B        1,301,227  
  1,415      

MLN US HoldCo LLC, Term Loan, First Lien

    6.307%        1-Month LIBOR        4.500%        11/30/25        B3        920,146  
  583      

Riverbed Technology, Inc., Exit Term Loan (5)

    4.815%        3-Month LIBOR        2.000%        12/07/26        Caa1        277,897  
  250        

ViaSat, Inc., Term Loan

    6.941%        SOFR30A        4.500%        3/04/29        BB+        234,375  
  5,160        

Total Communications Equipment

                                                 4,206,814  
          Construction & Engineering – 0.9% (0.6% of Total Investments)  
  308      

Aegion Corporation, Term Loan

    6.906%        1-Month LIBOR        4.750%        5/17/28        B        278,061  
  263      

Brand Energy & Infrastructure Services, Inc., Term Loan

    6.791%        3-Month LIBOR        4.250%        6/21/24        B–        241,043  
  353      

Centuri Group, Inc, Term Loan B

    3.560%        3-Month LIBOR        2.500%        8/27/28        Ba2        341,584  
  361      

Osmose Utilities Services, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        6/22/28        B        336,935  
  142        

Pike Corporation, Term Loan B

    5.380%        1-Month LIBOR        3.000%        1/21/28        Ba3        138,738  
  1,427        

Total Construction & Engineering

                                                 1,336,361  
          Consumer Finance – 1.0% (0.6% of Total Investments)  
  1,463        

Fleetcor Technologies Operating Company, LLC, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/30/28        BB+        1,431,291  
          Containers & Packaging – 1.9% (1.2% of Total Investments)  
  660      

Berry Global, Inc., Term Loan Z

    4.178%        3-Month LIBOR        1.750%        7/01/26        BBB–        650,248  

 

69


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Containers & Packaging (continued)  
$ 419      

Charter NEX US, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        12/01/27        B      $ 403,286  
  285      

Clydesdale Acquisition Holdings Inc, Term Loan B

    6.602%        SOFR30A        4.175%        3/30/29        B        274,572  
  27      

Klockner-Pentaplast of America, Inc., Term Loan B

    5.554%        6-Month LIBOR        4.750%        2/09/26        B        24,003  
  347      

Reynolds Group Holdings Inc. , Term Loan B

    5.872%        1-Month LIBOR        3.500%        9/24/28        B+        337,079  
  194      

Reynolds Group Holdings Inc. , Term Loan B2

    5.622%        1-Month LIBOR        3.250%        2/05/26        B+        188,216  
  837        

TricorBraun Holdings, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/03/28        B2        795,647  
  2,769        

Total Containers & Packaging

                                                 2,673,051  
          Diversified Consumer Services – 0.5% (0.3% of Total Investments)  
  216      

GT Polaris, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        9/24/27        BB–        206,593  
  494        

Spin Holdco Inc., Term Loan

    5.611%        3-Month LIBOR        4.000%        3/04/28        B–        457,260  
  710        

Total Diversified Consumer Services

                                                 663,853  
          Diversified Financial Services – 1.0% (0.6% of Total Investments)  
  110      

Avaya, Inc., Term Loan B2

    5.999%        1-Month LIBOR        4.000%        12/15/27        BB–        57,029  
  373      

Avolon TLB Borrower 1 (US) LLC, Term Loan B3

    3.876%        1-Month LIBOR        1.750%        1/15/25        Baa2        366,677  
  710      

Avolon TLB Borrower 1 (US) LLC, Term Loan B4

    3.626%        1-Month LIBOR        1.500%        2/12/27        Baa2        685,365  
  746      

Ditech Holding Corporation, Term Loan (5)

    0.000%        N/A        N/A        12/19/22        N/R        89,474  
  290        

Trans Union, LLC, Term Loan B6

    4.622%        1-Month LIBOR        2.250%        12/01/28        BBB–        283,530  
  2,229        

Total Diversified Financial Services

 

                                         1,482,075  
          Diversified Telecommunication Services – 4.5% (2.7% of Total Investments)  
  371      

Altice France S.A., Term Loan B12

    6.200%        3-Month LIBOR        3.688%        1/31/26        B        351,690  
  1,340      

Altice France S.A., Term Loan B13

    5.411%        3-Month LIBOR        4.000%        8/14/26        B        1,277,871  
  2,563      

CenturyLink, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/15/27        BBB–        2,447,599  
  333      

Cincinnati Bell, Inc., Term Loan B2

    5.677%        SOFR30A        3.250%        11/23/28        B+        325,565  
  427      

Connect Finco Sarl, Term Loan B

    5.880%        1-Month LIBOR        3.500%        12/12/26        B+        412,030  
  285      

Cyxtera DC Holdings, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B        275,585  
  1,298        

Frontier Communications Corp., Term Loan B

    6.063%        3-Month LIBOR        3.750%        10/08/27        BB+        1,244,045  
  6,617        

Total Diversified Telecommunication Services

 

                                6,334,385  
          Electric Utilities – 0.4% (0.3% of Total Investments)  
  346      

ExGen Renewables IV, LLC, Term Loan

    4.080%        3-Month LIBOR        2.500%        12/15/27        BB–        339,729  
  245        

Pacific Gas & Electric Company, Term Loan

    5.375%        1-Month LIBOR        3.000%        6/23/25        BB        237,266  
  591        

Total Electric Utilities

                                                 576,995  
          Electronic Equipment, Instruments & Components – 1.6% (0.9% of Total Investments)  
  550      

II-VI Incorporated, Term Loan B

    4.463%        3-Month LIBOR        2.750%        7/01/29        BBB–        536,707  
  1,109      

Ingram Micro Inc., Term Loan B

    5.750%        3-Month LIBOR        3.500%        7/02/28        BB+        1,090,782  
  405      

TTM Technologies, Inc., Term Loan

    4.213%        1-Month LIBOR        2.500%        9/28/24        BB+        404,437  
  170        

Vertiv Group Corporation, Term Loan B

    4.548%        1-Month LIBOR        2.750%        3/02/27        BB–        162,280  
  2,234        

Total Electronic Equipment, Instruments & Components

 

                       2,194,206  
          Entertainment – 2.2% (1.3% of Total Investments)  
  642      

AMC Entertainment Holdings, Inc. , Term Loan B, (DD1)

    4.872%        1-Month LIBOR        3.000%        4/22/26        B–        558,510  
  1,265      

Crown Finance US, Inc., Term Loan

    4.000%        3-Month LIBOR        2.500%        2/28/25        CCC        818,661  
  114      

Crown Finance US, Inc., Term Loan

    4.250%        3-Month LIBOR        2.750%        9/20/26        CCC        70,288  
  101      

Crown Finance US, Inc., Term Loan B1, (cash 7.132%, PIK 8.250%)

    10.076%        6-Month LIBOR        8.250%        5/23/24        B–        105,946  
  220      

Diamond Sports Group, LLC, Term Loan

    9.786%        1-Month LIBOR        8.000%        5/19/26        B        209,256  
  483      

Diamond Sports Group, LLC, Term Loan, Second Lien

    5.036%        SOFR30A        3.250%        8/24/26        CCC+        98,279  

 

70


  
  

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Entertainment (continued)  
$ 326      

Lions Gate Capital Holdings LLC, Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/24/25        Ba2      $ 317,359  
  456      

Springer Nature Deutschland GmbH, Term Loan B18

    3.804%        3-Month LIBOR        3.000%        8/14/26        BB+        446,041  
  27      

Univision Communications Inc., Term Loan C5

    5.122%        1-Month LIBOR        2.750%        3/15/24        B+        26,434  
  405        

Virgin Media Bristol LLC, Term Loan Q

    5.249%        1-Month LIBOR        3.250%        1/31/29        BB+        400,517  
  4,039        

Total Entertainment

                                                 3,051,291  
          Food & Staples Retailing – 0.7% (0.4% of Total Investments)  
  480      

American Seafoods Group LLC, Term Loan, First Lien

    4.300%        3-Month LIBOR        2.750%        8/21/23        BB–        471,895  
  304      

US Foods, Inc., Term Loan B

    4.325%        3-Month LIBOR        2.750%        11/22/28        BB        297,691  
  239        

US Foods, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        233,603  
  1,023        

Total Food & Staples Retailing

                                                 1,003,189  
          Food Products – 0.7% (0.5% of Total Investments)  
  249      

CHG PPC Parent LLC, Term Loan

    5.375%        1-Month LIBOR        3.000%        12/08/28        B1        240,958  
  147      

Froneri International Ltd., Term Loan

    4.622%        1-Month LIBOR        2.250%        1/31/27        B+        141,454  
  400      

Sycamore Buyer LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        390,752  
  292        

UTZ Quality Foods, LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        1/20/28        B1        283,410  
  1,088        

Total Food Products

                                                 1,056,574  
          Health Care Equipment & Supplies – 5.0% (3.0% of Total Investments)  
  1,390      

Bausch & Lomb, Inc., Term Loan, (DD1)

    4.549%        SOFR30A        3.250%        5/05/27        BB+        1,321,661  
  1,268      

Carestream Health, Inc., Term Loan

    9.500%        3-Month LIBOR        7.250%        5/08/23        B1        1,262,128  
  206      

Embecta Corp, Term Loan B

    5.054%        SOFR90A        3.000%        1/27/29        Ba3        201,241  
  264      

ICU Medical, Inc., Term Loan B

    4.604%        SOFR90A        2.650%        12/14/28        BBB–        256,672  
  3,141      

Medline Borrower, LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        10/21/28        BB–        3,007,630  
  640      

Viant Medical Holdings, Inc., Term Loan, First Lien

    6.122%        1-Month LIBOR        3.750%        7/02/25        B3        594,259  
  450        

Vyaire Medical, Inc., Term Loan B

    7.035%        3-Month LIBOR        4.750%        4/30/25        Caa1        332,920  
  7,359        

Total Health Care Equipment & Supplies

 

                                6,976,511  
          Health Care Providers & Services – 12.3% (7.5% of Total Investments)  
  408      

ADMI Corp., Term Loan B2

    5.747%        1-Month LIBOR        3.375%        12/23/27        B        378,024  
  744      

AHP Health Partners, Inc., Term Loan B

    5.872%        1-Month LIBOR        3.500%        8/23/28        B1        704,830  
  1,299      

Change Healthcare Holdings LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/01/24        B+        1,285,674  
  327      

DaVita, Inc. , Term Loan B, (DD1)

    4.122%        1-Month LIBOR        1.750%        8/12/26        BBB–        310,286  
  92      

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        89,058  
  43      

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        41,104  
  798      

Gainwell Acquisition Corp., Term Loan B

    6.250%        3-Month LIBOR        4.000%        10/01/27        BB–        776,985  
  99      

Global Medical Response, Inc., Term Loan

    6.622%        1-Month LIBOR        4.250%        3/14/25        B        95,073  
  1,075      

Global Medical Response, Inc., Term Loan B

    5.963%        1-Month LIBOR        4.250%        10/02/25        B        1,030,105  
  1,475      

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        1,451,470  
  441      

National Mentor Holdings, Inc., Term Loan

    6.130%        1-Month LIBOR        3.750%        3/02/28        B–        377,088  
  6      

National Mentor Holdings, Inc., Term Loan C

    6.070%        3-Month LIBOR        3.750%        3/02/28        B–        5,247  
  648      

Onex TSG Intermediate Corp., Term Loan B

    7.122%        1-Month LIBOR        4.750%        2/26/28        B        593,332  
  2,466      

Parexel International Corporation, Term Loan, First Lien, (DD1)

    4.916%        1-Month LIBOR        3.250%        11/15/28        B1        2,408,416  
  914      

Phoenix Guarantor Inc, Term Loan B

    5.622%        1-Month LIBOR        3.250%        3/05/26        B1        880,808  
  494      

Phoenix Guarantor Inc, Term Loan B3

    5.759%        1-Month LIBOR        3.500%        3/05/26        B1        476,846  
  103      

Quorum Health Corporation, Term Loan (5)

    10.598%        3-Month LIBOR        8.250%        4/29/25        B–        67,060  

 

71


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Health Care Providers & Services (continued)  
$ 2,227      

RegionalCare Hospital Partners Holdings, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/16/25        B1      $ 2,108,948  
  1,488      

Select Medical Corporation, Term Loan B

    4.880%        1-Month LIBOR        2.500%        3/06/25        Ba2        1,458,505  
  1,557      

Surgery Center Holdings, Inc., Term Loan, (DD1)

    5.630%        1-Month LIBOR        3.750%        8/31/26        B1        1,499,966  
  670      

Team Health Holdings, Inc., Term Loan B

    7.577%        SOFR30A        5.250%        2/17/27        B        553,220  
  315      

Team Health Holdings, Inc., Term Loan, First Lien

    5.122%        1-Month LIBOR        2.750%        2/06/24        B        283,503  
  494        

US Radiology Specialists, Inc., Term Loan

    7.563%        3-Month LIBOR        5.250%        12/15/27        B–        464,883  
  18,183        

Total Health Care Providers & Services

 

                                17,340,431  
          Health Care Technology – 0.9% (0.6% of Total Investments)  
  72      

Athenahealth, Inc., Term Loan (6)

    3.500%        1-Month LIBOR        3.500%        1/27/29        B+        69,278  
  378      

Athenahealth, Inc., Term Loan B

    5.653%        SOFR30A        3.500%        1/27/29        B+        360,940  
  1,033        

Carestream Health, Inc., Term Loan, Second Lien, (cash 5.500%, PIK 8.000%)

    7.375%        3-Month LIBOR        8.000%        8/05/23        Caa1        902,324  
  1,483        

Total Health Care Technology

                                                 1,332,542  
          Hotels, Restaurants & Leisure – 18.9% (11.5% of Total Investments)  
  245      

24 Hour Fitness Worldwide, Inc., Exit Term Loan, (cash 0.220%, PIK 5.000%)

    7.232%        3-Month LIBOR        5.000%        12/29/25        CCC–        82,220  
  104      

24 Hour Fitness Worldwide, Inc., Exit Term Loan

    15.913%        3-Month LIBOR        14.000%        9/29/26        Caa3        101,468  
  197      

Alterra Mountain Company, Term Loan

    5.872%        1-Month LIBOR        3.500%        8/17/28        B        190,765  
  2,177      

B.C. Unlimited Liability Company, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        11/19/26        BB+        2,115,647  
  3,775      

Caesars Resort Collection, LLC, Term Loan B, First Lien

    5.122%        1-Month LIBOR        2.750%        12/22/24        B+        3,700,121  
  237      

Caesars Resort Collection, LLC, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        7/20/25        B+        233,083  
  369      

Carnival Corporation, Term Loan B

    6.127%        6-Month LIBOR        3.250%        10/18/28        Ba2        343,505  
  633      

Carnival Corporation, Term Loan B, (DD1)

    5.877%        6-Month LIBOR        3.000%        6/30/25        Ba2        606,301  
  776      

Churchill Downs Incorporated, Term Loan B1, (DD1)

    4.380%        1-Month LIBOR        2.000%        3/17/28        BBB–        747,906  
  1,908      

ClubCorp Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        9/18/24        B2        1,762,617  
  293      

Crown Finance US, Inc., Term Loan, (6), (DD1)

    5.090%        3-Month LIBOR        3.000%        5/31/23        CCC+        223,657  
  187      

Crown Finance US, Inc., Term Loan B1

    8.250%        3-Month LIBOR        8.250%        5/23/24        B–        206,908  
  3,208      

Delta 2 (LUX) S.a.r.l., Term Loan

    4.872%        1-Month LIBOR        2.500%        2/01/24        BB–        3,182,958  
  1,999      

Equinox Holdings, Inc., Term Loan, First Lien

    5.250%        3-Month LIBOR        3.000%        3/08/24        CCC        1,450,268  
  2,001      

Fertitta Entertainment, LLC, Term Loan B

    6.327%        SOFR30A        4.000%        1/27/29        B        1,914,027  
  1,157      

IRB Holding Corp, Term Loan B

    4.874%        SOFR30A        3.150%        12/15/27        B+        1,113,106  
  418      

Life Time Fitness Inc , Term Loan B

    6.325%        3-Month LIBOR        4.750%        12/15/24        B        413,777  
  393      

NASCAR Holdings, Inc, Term Loan B, (DD1)

    4.872%        1-Month LIBOR        2.500%        10/18/26        BBB–        388,038  
  501      

PCI Gaming Authority, Term Loan

    4.872%        1-Month LIBOR        2.500%        5/31/26        BBB–        487,796  
  311      

Penn National Gaming, Inc., Term Loan B

    5.177%        SOFR30A        2.750%        4/20/29        BB        304,484  
  350      

Scientific Games Holdings LP, Term Loan B

    5.617%        SOFR90A        3.500%        2/04/29        BB–        335,426  
  1,196      

Scientific Games International, Inc., Term Loan

    5.044%        SOFR30A        3.000%        4/07/29        BB        1,171,584  
  496      

SeaWorld Parks & Entertainment, Inc., Term Loan B

    5.375%        1-Month LIBOR        3.000%        8/25/28        BB–        474,693  
  2,081      

Stars Group Holdings B.V. (The), Term Loan, (DD1)

    4.500%        3-Month LIBOR        2.250%        7/10/25        BBB        2,044,627  
  1,441      

Station Casinos LLC, Term Loan B

    4.630%        1-Month LIBOR        2.250%        2/08/27        BB–        1,406,157  
  908      

Twin River Worldwide Holdings, Inc., Term Loan B, (DD1)

    5.048%        1-Month LIBOR        3.250%        10/01/28        BB+        863,305  
  744        

William Morris Endeavor Entertainment, LLC, Term Loan, First Lien

    5.130%        1-Month LIBOR        2.750%        5/16/25        B        715,984  
  28,105        

Total Hotels, Restaurants & Leisure

                                                 26,580,428  

 

72


  
  

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Household Durables – 1.5% (0.9% of Total Investments)  
$ 509      

AI Aqua Merger Sub Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3      $ 482,735  
  116      

AI Aqua Merger Sub Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        109,712  
  1,050      

AI Aqua Merger Sub, Inc., Term Loan B, First Lien

    5.436%        SOFR30A        3.750%        7/30/28        B3        994,088  
  487      

Serta Simmons Bedding, LLC, Term Loan (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B–        324,058  
  47      

Serta Simmons Bedding, LLC, Term Loan (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B        45,611  
  250        

Weber-Stephen Products LLC, Term Loan B, (DD1)

    5.622%        1-Month LIBOR        3.250%        10/30/27        CCC+        205,451  
  2,459        

Total Household Durables

                                                 2,161,655  
          Household Products – 0.5% (0.3% of Total Investments)  
  8      

Illuminate Merger Sub Corp., Term Loan

    6.377%        6-Month LIBOR        3.500%        5/16/28        B1        7,247  
  714        

Reynolds Consumer Products LLC, Term Loan

    4.122%        1-Month LIBOR        1.750%        2/04/27        BBB–        698,745  
  722        

Total Household Products

                                                 705,992  
          Independent Power And Renewable Electricity Producers – 0.4% (0.2% of Total Investments)  
  561        

Vistra Operations Company LLC, Term Loan B3, First Lien

    4.014%        1-Month LIBOR        1.750%        12/31/25        BBB–        552,375  
          Insurance – 3.6% (2.2% of Total Investments)  
  1,495      

Acrisure, LLC, Term Loan B

    5.872%        1-Month LIBOR        3.500%        2/15/27        B        1,425,899  
  496      

Alliant Holdings Intermediate, LLC, Term Loan B4

    5.656%        1-Month LIBOR        3.500%        11/12/27        B        480,509  
  499      

AssuredPartners, Inc., Term Loan

    5.827%        SOFR30A        3.500%        2/13/27        B        476,306  
  864      

Asurion LLC, Term Loan B4, Second Lien

    7.622%        1-Month LIBOR        5.250%        1/15/29        B        744,984  
  347      

Asurion LLC, Term Loan B8

    5.622%        1-Month LIBOR        3.250%        12/23/26        Ba3        326,917  
  282      

Asurion LLC, Term Loan B9

    5.622%        1-Month LIBOR        3.250%        7/31/27        Ba3        266,336  
  298      

Broadstreet Partners, Inc., Term Loan B2

    5.622%        1-Month LIBOR        3.250%        1/27/27        B1        286,584  
  628      

Hub International Limited, Term Loan B

    5.657%        3-Month LIBOR        3.000%        4/25/25        B        613,875  
  327      

Hub International Limited, Term Loan B

    4.000%        2-Month LIBOR        3.250%        4/25/25        B        321,333  
  172        

Ryan Specialty Group, LLC, Term Loan

    5.427%        SOFR30A        3.000%        9/01/27        BB–        167,782  
  5,408        

Total Insurance

                                                 5,110,525  
          Interactive Media & Services – 0.3% (0.2% of Total Investments)  
  440        

Rackspace Technology Global, Inc., Term Loan B

    4.160%        3-Month LIBOR        2.750%        2/09/28        B+        405,614  
  440        

Total Interactive Media & Services

                                                 405,614  
          Internet & Direct Marketing Retail – 0.7% (0.4% of Total Investments)  
  741      

CNT Holdings I Corp, Term Loan

    5.372%        1-Month LIBOR        3.500%        11/08/27        B        719,850  
  40      

Medical Solutions Holdings, Inc., Term Loan (6)

    5.543%        3-Month LIBOR        3.500%        11/01/23        B1        38,650  
  215        

Medical Solutions Holdings, Inc., Term Loan, First Lien

    6.377%        3-Month LIBOR        3.500%        11/01/28        B1        207,720  
  996        

Total Internet & Direct Marketing Retail

                                                 966,220  
          IT Services – 5.2% (3.1% of Total Investments)  
  920      

Ahead DB Holdings, LLC, Term Loan B

    6.010%        3-Month LIBOR        3.750%        10/16/27        B+        894,744  
  124      

iQor US Inc., Exit Term Loan

    9.872%        1-Month LIBOR        7.500%        9/15/27        B1        124,281  
  485      

Peraton Corp., Term Loan B

    6.122%        1-Month LIBOR        3.750%        2/01/28        BB–        472,386  
  438      

Perforce Software, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        7/01/26        B2        399,468  
  1,321      

Sabre GLBL Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        2/22/24        Ba3        1,289,273  
  1,250      

Syniverse Holdings, Inc., Term Loan

    8.286%       
CME Term SOFR
3 Month
 
 
     7.000%        5/10/29        B–        1,122,656  
  837      

Tempo Acquisition LLC, Term Loan B

    5.327%        SOFR30A        3.000%        8/31/28        BB–        822,241  
  1,482      

Travelport Finance (Luxembourg) S.a.r.l., Term Loan, (cash 3.500%, PIK 6.500%)

    5.500%        3-Month LIBOR        1.500%        2/28/25        B–        1,446,006  
  722        

WEX Inc., Term Loan

    4.622%        1-Month LIBOR        2.250%        4/01/28        Ba2        709,896  
  7,579        

Total IT Services

                                                 7,280,951  

 

73


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Leisure Products – 0.4% (0.2% of Total Investments)  
$ 158      

Hayward Industries, Inc., Term Loan

    4.872%        1-Month LIBOR        2.500%        5/28/28        BB      $ 151,858  
  416        

SRAM, LLC , Term Loan B

    5.363%        1 + 3-Month LIBOR        2.750%        5/18/28        BB–        401,007  
  574        

Total Leisure Products

                                                 552,865  
          Life Sciences Tools & Services – 0.4% (0.3% of Total Investments)  
  221      

Avantor Funding, Inc., Term Loan B5

    4.622%        1-Month LIBOR        2.250%        11/06/27        BB+        217,167  
  367        

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        361,339  
  588        

Total Life Sciences Tools & Services

 

                                         578,506  
          Machinery – 2.7% (1.7% of Total Investments)  
  1,100      

Ali Group North America Corp., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        Baa3        1,080,293  
  731      

Alliance Laundry Systems LLC, Term Loan B

    5.955%        3-Month LIBOR        3.500%        10/08/27        B        711,168  
  678      

Gardner Denver, Inc., Term Loan B2

    4.177%        1-Month LIBOR        1.750%        2/28/27        BB+        666,780  
  741      

Gates Global LLC, Term Loan B3

    4.872%        1-Month LIBOR        2.500%        3/31/27        Ba3        716,967  
  218      

Grinding Media Inc., Term Loan B

    4.796%        3-Month LIBOR        4.000%        10/12/28        B        204,703  
  495        

Madison IAQ LLC, Term Loan

    4.524%        6-Month LIBOR        3.250%        6/21/28        B1        472,195  
  3,963        

Total Machinery

                                                 3,852,106  
          Marine – 0.7% (0.4% of Total Investments)  
  970        

HGIM Corp., Exit Term Loan

    9.750%        Prime        6.000%        7/02/23        CCC+        920,289  
          Media – 8.2% (5.0% of Total Investments)  
  665      

ABG Intermediate Holdings 2 LLC, Term Loan B1

    5.927%        SOFR30A        3.500%        12/21/28        B1        642,972  
  80      

ABG Intermediate Holdings 2 LLC, Term Loan, Second Lien

    8.427%        SOFR30A        6.000%        12/20/29        CCC+        73,700  
  963      

Cengage Learning, Inc., Term Loan B

    7.814%        3-Month LIBOR        4.750%        7/14/26        B        885,235  
  65      

Checkout Holding Corp., Term Loan

    9.872%        1-Month LIBOR        7.500%        2/15/23        N/R        54,402  
  123      

Checkout Holding Corp., Term Loan, (cash 2.000, PIK 9.500%)

    6.436%        1-Month LIBOR        9.500%        8/15/23        N/R        43,220  
  2,238      

Clear Channel Outdoor Holdings, Inc., Term Loan B

    6.089%        1 + 3-Month LIBOR        3.500%        8/21/26        B1        2,047,685  
  216      

CSC Holdings, LLC, Term Loan

    4.249%        1-Month LIBOR        2.250%        1/15/26        BB        208,865  
  704      

CSC Holdings, LLC, Term Loan B1

    4.249%        1-Month LIBOR        2.250%        7/17/25        BB        683,007  
  811      

CSC Holdings, LLC, Term Loan B5

    4.499%        1-Month LIBOR        2.500%        4/15/27        BB        781,377  
  108      

Cumulus Media New Holdings Inc., Term Loan B

    4.750%        6-Month LIBOR        3.750%        3/31/26        B        104,383  
  1,976      

DirecTV Financing, LLC, Term Loan

    7.372%        1-Month LIBOR        5.000%        8/02/27        BBB–        1,872,743  
  238      

Dotdash Meredith Inc, Term Loan B

    5.699%        1-Month LIBOR        4.000%        12/01/28        BB–        215,664  
  484      

E.W. Scripps Company (The), Term Loan B2

    4.935%        1-Month LIBOR        2.563%        5/01/26        BB        471,276  
  1,293      

iHeartCommunications, Inc., Term Loan

    5.372%        1-Month LIBOR        3.000%        5/01/26        BB–        1,227,338  
  149      

LCPR Loan Financing LLC, Term Loan B

    5.749%        1-Month LIBOR        3.750%        10/15/28        BB+        146,116  
  754      

McGraw-Hill Global Education Holdings, LLC, Term Loan

    5.554%        6-Month LIBOR        4.750%        7/30/28        BB+        717,338  
  337      

Nexstar Broadcasting, Inc., Term Loan B4

    4.872%        1-Month LIBOR        2.500%        9/19/26        BBB–        333,455  
  122      

Outfront Media Capital LLC, Term Loan B

    4.122%        1-Month LIBOR        1.750%        11/18/26        Ba1        117,883  
  108      

Radiate Holdco, LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        9/25/26        B1        102,671  
  57      

Red Ventures, LLC, Term Loan B2

    4.872%        1-Month LIBOR        2.500%        11/08/24        BB+        55,440  
  340      

Sinclair Television Group Inc., Term Loan B2B

    4.880%        1-Month LIBOR        2.500%        9/30/26        Ba2        317,825  
  417        

Ziggo Financing Partnership, Term Loan I

    4.499%        1-Month LIBOR        2.500%        4/30/28        BB        407,051  
  12,248        

Total Media

                                                 11,509,646  
          Multiline Retail – 0.4% (0.3% of Total Investments)  
  1,096      

Belk, Inc., Term Loan, (cash 5.000%, PIK 8.000%)

    13.000%        3-Month LIBOR        13.000%        7/31/25        CCC–        415,798  
  233        

Belk, Inc., Term Loan

    9.006%        3-Month LIBOR        7.500%        7/31/25        B–        210,554  
  1,329        

Total Multiline Retail

                                                 626,352  

 

74


  
  

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Oil, Gas & Consumable Fuels – 3.7% (2.2% of Total Investments)  
$ 640      

BCP Renaissance Parent LLC, Term Loan B3

    5.554%        SOFR30A        3.500%        11/01/24        B+      $ 625,198  
  631      

Buckeye Partners, L.P., Term Loan B

    3.916%        1-Month LIBOR        2.250%        11/01/26        BBB–        620,871  
  159      

EG America LLC, Term Loan

    6.250%        3-Month LIBOR        4.000%        2/05/25        B–        151,223  
  731      

Freeport LNG Investments, LLLP, Term Loan A, (DD1)

    4.000%        3-Month LIBOR        3.500%        12/21/28        N/R        690,567  
  911      

Gulf Finance, LLC, Term Loan

    8.835%        1-Month LIBOR        6.750%        8/25/26        B        697,733  
  864      

QuarterNorth Energy Holding Inc., Exit Term Loan, Second Lien

    10.372%        1-Month LIBOR        8.000%        8/27/26        B        861,150  
  433      

TransMontaigne Operating Company L.P., Term Loan B

    5.659%        1-Month LIBOR        3.500%        11/05/28        BB        416,979  
  1,136        

Traverse Midstream Partners LLC, Term Loan

    5.950%        SOFR90A        4.250%        9/27/24        B+        1,121,197  
  5,505        

Total Oil, Gas & Consumable Fuels

                                                 5,184,918  
          Personal Products – 1.2% (0.8% of Total Investments)  
  248      

Conair Holdings, LLC, Term Loan B

    6.000%        3-Month LIBOR        3.750%        5/17/28        B–        211,837  
  72      

Coty Inc., Term Loan B

    4.057%        1-Month LIBOR        2.250%        4/05/25        BB–        70,001  
  (7)     

Kronos Acquisition Holdings Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        12/22/26        B2        77  
  2,141        

Revlon Consumer Products Corporation, Term Loan B, (DD1) (5), (8)

    5.576%        6-Month LIBOR        3.500%        9/07/23        N/R        1,467,592  
  2,461        

Total Personal Products

                                                 1,749,507  
          Pharmaceuticals – 4.0% (2.4% of Total Investments)  
  657      

Bausch Health Companies Inc., Term Loan B

    7.174%        SOFR30A        5.250%        1/27/27        BB        554,675  
  305      

Catalent Pharma Solutions Inc., Term Loan B3

    4.250%        1-Month LIBOR        2.000%        2/22/28        BBB–        301,334  
  311      

Elanco Animal Health Incorporated, Term Loan B

    3.463%        1-Month LIBOR        1.750%        8/01/27        BBB–        301,615  
  2,069      

Jazz Financing Lux S.a.r.l., Term Loan

    5.872%        1-Month LIBOR        3.500%        5/05/28        BB+        2,026,660  
  486      

Mallinckrodt International Finance S.A., Term Loan B (5)

    6.911%        3-Month LIBOR        5.500%        2/24/25        B        402,144  
  941      

Mallinckrodt International Finance S.A., Term Loan B, (DD1) (5)

    6.246%        3-Month LIBOR        5.250%        9/24/24        B        804,175  
  931      

Organon & Co, Term Loan

    4.625%        3-Month LIBOR        3.000%        6/02/28        BB        917,746  
  273        

Perrigo Investments, LLC, Term Loan B

    4.199%        SOFR30A        2.500%        4/05/29        Baa3        269,587  
  5,973        

Total Pharmaceuticals

                                                 5,577,936  
          Professional Services – 2.0% (1.2% of Total Investments)  
  189      

CHG Healthcare Services Inc., Term Loan

    4.916%        3-Month LIBOR        3.250%        9/30/28        B1        183,473  
  317      

Creative Artists Agency, LLC , Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/26/26        B        311,585  
  413      

Dun & Bradstreet Corporation (The), Term Loan

    4.874%        3-Month LIBOR        3.250%        2/08/26        BB+        403,487  
  724      

EAB Global, Inc., Term Loan

    6.089%        1 + 3-Month LIBOR        3.500%        8/16/28        B2        692,581  
  299      

Physician Partners LLC, Term Loan

    6.427%        SOFR30A        4.000%        2/01/29        B        283,039  
  150      

R1 RCM Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        148,500  
  745        

Verscend Holding Corp., Term Loan B

    6.372%        1-Month LIBOR        4.000%        8/27/25        BB–        727,136  
  2,837        

Total Professional Services

                                                 2,749,801  
          Real Estate Management & Development – 0.2% (0.1% of Total Investments)  
  255        

Cushman & Wakefield PLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        247,486  
          Road & Rail – 2.0% (1.2% of Total Investments)  
  431      

First Student Bidco Inc, Term Loan B

    5.232%        3-Month LIBOR        3.000%        7/21/28        BB+        401,876  
  159      

First Student Bidco Inc, Term Loan C

    5.232%        3-Month LIBOR        3.000%        7/21/28        BB+        148,701  
  977      

Genesee & Wyoming Inc. (New), Term Loan

    4.250%        3-Month LIBOR        2.000%        12/30/26        BB+        962,686  
  539      

Hertz Corporation, (The), Term Loan B, (DD1)

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        518,954  

 

75


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Road & Rail (continued)  
$ 103      

Hertz Corporation, (The), Term Loan C, (DD1)

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+      $ 99,000  
  722        

XPO Logistics, Inc., Term Loan B

    3.548%        1-Month LIBOR        1.750%        2/24/25        Baa3        706,905  
  2,931        

Total Road & Rail

                                                 2,838,122  
          Semiconductors & Semiconductor Equipment – 0.7% (0.4% of Total Investments)  
  1,977      

Bright Bidco B.V., Term Loan B, (DD1)

    4.774%        3-Month LIBOR        3.500%        6/30/24        CCC        779,253  
  220        

Entegris, Inc., Term Loan B

    5.597%        3-Month LIBOR        3.000%        7/06/29        Baa3        217,754  
  2,197        

Total Semiconductors & Semiconductor Equipment

 

                                997,007  
          Software – 17.5% (10.6% of Total Investments)  
  654      

Apttus Corporation, Term Loan

    5.621%        3-Month LIBOR        4.250%        5/06/28        BB        634,598  
  198      

Avaya, Inc., Term Loan

    12.481%        SOFR90A        10.000%        12/15/27        BB–        125,730  
  641      

Banff Merger Sub Inc, Term Loan

    6.122%        1-Month LIBOR        3.750%        10/02/25        B2        618,463  
  253      

Camelot U.S. Acquisition LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        10/31/26        B1        247,994  
  164      

CCC Intelligent Solutions Inc., Term Loan B

    4.500%        3-Month LIBOR        2.250%        9/21/28        B1        160,122  
  710      

CDK Global, Inc., Term Loan B

    6.610%        SOFR90A        4.500%        6/09/29        B+        691,544  
  953      

Ceridian HCM Holding Inc., Term Loan B

    4.166%        1-Month LIBOR        2.500%        4/30/25        B+        924,084  
  1,000      

DTI Holdco, Inc., Term Loan

    7.327%        SOFR90A        4.750%        4/21/29        B2        940,625  
  157      

Dynatrace LLC, Term Loan, First Lien

    4.622%        1-Month LIBOR        2.250%        8/23/25        BB+        156,146  
  1,747      

Epicor Software Corporation, Term Loan

    5.622%        1-Month LIBOR        3.250%        7/31/27        B2        1,670,267  
  757      

Finastra USA, Inc., Term Loan, First Lien, (DD1)

    6.871%        3-Month LIBOR        3.500%        6/13/24        B+        708,802  
  1,828      

Greeneden U.S. Holdings II, LLC, Term Loan B4

    6.372%        1-Month LIBOR        4.000%        12/01/27        B2        1,788,268  
  156      

Greenway Health, LLC, Term Loan, First Lien

    5.250%        3-Month LIBOR        3.750%        2/16/24        B–        141,183  
  1,397      

Informatica LLC, Term Loan B

    5.125%        1-Month LIBOR        2.750%        10/14/28        BB–        1,364,213  
  344      

iQor US Inc., Second Out Term Loan

    9.872%        1-Month LIBOR        7.500%        11/19/25        CCC+        280,813  
  435      

MA FinanceCo., LLC, Term Loan B

    5.915%        3-Month LIBOR        4.250%        6/05/25        BB+        384,090  
  474      

Magenta Buyer LLC, Term Loan, First Lien

    7.050%        3-Month LIBOR        4.750%        7/27/28        BB–        452,267  
  868      

McAfee, LLC, Term Loan B

    5.699%       
1-Month LIBOR +
CME Term SOFR 1 Week
 
 
     4.000%        2/03/29        BB+        832,194  
  1,750      

Nortonlifelock Inc, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        1,707,895  
  596      

Polaris Newco LLC, Term Loan B

    6.372%        1-Month LIBOR        4.000%        6/04/28        B2        568,128  
  247      

Project Ruby Ultimate Parent Corp., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/10/28        B        236,563  
  490      

Proofpoint, Inc., Term Loan, First Lien

    4.825%        3-Month LIBOR        3.250%        8/31/28        BB–        471,395  
  169      

RealPage, Inc, Term Loan, First Lien

    5.372%        1-Month LIBOR        3.000%        4/22/28        B+        162,871  
  1,510      

Seattle Spinco, Inc., Term Loan B3

    5.122%        1-Month LIBOR        2.750%        6/21/24        BB+        1,408,134  
  1,209      

Seattle Spinco, Inc., Term Loan B5

    6.253%        SOFR30A        4.000%        1/14/27        BB+        1,060,986  
  540      

Sophia, L.P., Term Loan B

    5.500%        3-Month LIBOR        3.250%        10/07/27        B2        521,399  
  414      

SS&C European Holdings Sarl, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        405,340  
  510      

SS&C Technologies Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        499,318  
  950      

SS&C Technologies Inc., Term Loan B5

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        930,516  
  128      

SS&C Technologies Inc., Term Loan B6

    4.677%        SOFR30A        2.250%        3/22/29        BB+        125,319  
  184      

SS&C Technologies Inc., Term Loan B7

    4.677%        SOFR30A        2.250%        3/22/29        BB+        179,457  
  438      

Tibco Software Inc., Term Loan B3

    6.130%        1-Month LIBOR        3.750%        7/03/26        B+        435,765  
  866      

Ultimate Software Group Inc (The), Term Loan

    5.535%        3-Month LIBOR        3.250%        5/03/26        B1        841,740  
  486      

Ultimate Software Group Inc (The), Term Loan B

    6.122%        1-Month LIBOR        3.750%        5/03/26        B1        474,094  
  496      

Vision Solutions, Inc., Term Loan

    6.783%        3-Month LIBOR        4.000%        5/28/28        B2        461,016  
  1,193      

Zelis Healthcare Corporation, Term Loan

    5.213%        1-Month LIBOR        3.500%        9/30/26        B        1,165,059  
  829        

ZoomInfo LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        2/01/26        BB+        822,443  
  25,741        

Total Software

                                                 24,598,841  
          Specialty Retail – 4.2% (2.6% of Total Investments)  
  370      

Academy, Ltd., Term Loan

    5.463%        1-Month LIBOR        3.750%        11/06/27        BB–        358,277  

 

76


  
  

 

Principal
Amount (000)
         Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
          Specialty Retail (continued)  
$ 507      

Avis Budget Car Rental, LLC, Term Loan B, (DD1)

    4.130%        1-Month LIBOR        1.750%        8/06/27        BB+      $ 479,603  
  454      

Avis Budget Car Rental, LLC, Term Loan C, (DD1)

    5.927%        SOFR30A        3.500%        3/15/29        BB+        446,117  
  85      

Driven Holdings, LLC, Term Loan B

    3.517%        3-Month LIBOR        3.000%        12/17/28        B2        82,244  
  462      

Jo-Ann Stores, Inc., Term Loan B1

    7.516%        3-Month LIBOR        4.750%        6/30/28        B–        314,681  
  580      

LBM Acquisition LLC, Term Loan B

    5.416%        1-Week LIBOR        3.750%        12/18/27        B+        499,954  
  216      

Les Schwab Tire Centers, Term Loan B

    4.000%        3-Month LIBOR        3.250%        11/02/27        B        208,496  
  2,723      

PetSmart, Inc., Term Loan B

    6.120%        1-Month LIBOR        3.750%        2/12/28        BB–        2,631,174  
  645      

Restoration Hardware, Inc., Term Loan B

    4.872%        1-Month LIBOR        2.500%        10/15/28        BB        586,177  
  144      

SRS Distribution Inc., Term Loan

    6.177%        SOFR90A        3.500%        6/04/28        B2        137,903  
  201        

Staples, Inc., Term Loan

    6.286%        3-Month LIBOR        5.000%        4/12/26        B        175,315  
  6,387        

Total Specialty Retail

                                                 5,919,941  
          Technology Hardware, Storage & Peripherals – 0.3% (0.2% of Total Investments)  
  389        

NCR Corporation, Term Loan

    5.310%        3-Month LIBOR        2.500%        8/28/26        BB+        380,897  
          Textiles, Apparel & Luxury Goods – 0.4% (0.2% of Total Investments)  
  512      

Birkenstock GmbH & Co. KG, Term Loan B

    5.098%        6-Month LIBOR        3.250%        4/28/28        BB–        480,480  
  99        

New Trojan Parent, Inc., Term Loan, First Lien

    5.386%        1-Month LIBOR        3.250%        1/06/28        B        88,574  
  611        

Total Textiles, Apparel & Luxury Goods

                                                 569,054  
          Trading Companies & Distributors – 0.8% (0.5% of Total Investments)  
  495      

Core & Main LP, Term Loan B

    4.800%        3-Month LIBOR        2.500%        6/10/28        Ba3        479,378  
  385      

Resideo Funding Inc., Term Loan

    4.000%        1 + 3-Month LIBOR        2.250%        2/12/28        BBB–        376,779  
  257        

Univar Solutions USA Inc., Term Loan B6

    4.122%        1-Month LIBOR        1.750%        6/03/28        BBB–        252,283  
  1,137        

Total Trading Companies & Distributors

                                                 1,108,440  
          Transportation Infrastructure – 1.1% (0.7% of Total Investments)  
  927      

Brown Group Holding, LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        4/22/28        B+        894,441  
  300      

Brown Group Holding, LLC, Term Loan B2

    6.327%        SOFR30A        3.750%        6/09/29        B+        294,531  
  398        

KKR Apple Bidco, LLC, Term Loan

    5.122%        1-Month LIBOR        2.750%        9/23/28        B+        384,567  
  1,625        

Total Transportation Infrastructure

                                                 1,573,539  
          Wireless Telecommunication Services – 1.6% (1.0% of Total Investments)  
  495      

GOGO Intermediate Holdings LLC, Term Loan B

    6.556%        3-Month LIBOR        3.750%        4/30/28        B+        483,986  
  1,687      

Intelsat Jackson Holdings S.A., Term Loan B, (DD1)

    4.920%        SOFR180A        4.250%        1/27/29        BB–        1,599,547  
  248        

MetroNet Systems Holdings, LLC, Term Loan, First Lien

    5.694%        SOFR30A        3.750%        6/02/28        B        236,990  
  2,430        

Total Wireless Telecommunication Services

 

                                         2,320,523  
  207,386        

Total Variable Rate Senior Loan Interests (cost $203,469,980)

 

                                192,465,132  
Principal
Amount (000)
         Description (1)                   Coupon      Maturity      Ratings (4)      Value  
   

CORPORATE BONDS – 19.2% (11.7% of Total Investments)

 

          Airlines – 0.3% (0.2% of Total Investments)  
$ 201      

United Airlines Inc, 144A

          4.375%        4/15/26        Ba1      $ 192,960  
  267        

United Airlines Inc, 144A

                      4.625%        4/15/29        Ba1        245,974  
  468        

Total Airlines

                                                 438,934  
          Auto Components – 1.0% (0.6% of Total Investments)  
  730      

Adient Global Holdings Ltd, 144A

 

     4.875%        8/15/26        BB–        682,689  
  530      

Adient US LLC, 144A

          9.000%        4/15/25        BB+        545,900  
  250        

Hertz Corp/The, 144A

                      5.000%        12/01/29        B+        213,761  
  1,510        

Total Auto Components

                                                 1,442,350  

 

77


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
         Description (1)                   Coupon      Maturity      Ratings (4)      Value  
          Chemicals – 0.2% (0.1% of Total Investments)  
$ 380        

Rayonier AM Products Inc, 144A

                      7.625%        1/15/26        B+      $ 340,100  
          Commercial Services & Supplies – 0.9% (0.6% of Total Investments)  
  507      

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

     6.250%        1/15/28        B–        464,757  
  384      

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

     5.750%        4/15/26        BB–        390,247  
  500        

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

 

     3.375%        8/31/27        BB–        456,010  
  1,391        

Total Commercial Services & Supplies

                                                 1,311,014  
          Communications Equipment – 1.1% (0.7% of Total Investments)  
  2,574      

Avaya Inc, 144A

          6.125%        9/15/28        BB–        1,209,085  
  375        

Commscope Inc, 144A

                      8.250%        3/01/27        CCC+        326,250  
  2,949        

Total Communications Equipment

                                                 1,535,335  
          Diversified Telecommunication Services – 1.1% (0.6% of Total Investments)  
  300      

Frontier Communications Holdings LLC

 

     5.875%        11/01/29        CCC+        252,000  
  220      

Frontier Communications Holdings LLC, 144A

 

     5.000%        5/01/28        BB+        206,743  
  1,037        

Frontier Communications Holdings LLC, 144A

 

     5.875%        10/15/27        BB+        1,021,590  
  1,557        

Total Diversified Telecommunication Services

 

                                1,480,333  
          Electric Utilities – 0.0% (0.0% of Total Investments)  
  1,175        

Bruce Mansfield Unit 1 2007 Pass Through Trust (5)

 

     6.850%        6/01/34        N/R        1,469  
          Electronic Equipment, Instruments & Components – 0.5% (0.3% of Total Investments)  
  681        

Imola Merger Corp, 144A

                      4.750%        5/15/29        BB+        636,735  
          Energy Equipment & Services – 0.2% (0.1% of Total Investments)  
  300        

Weatherford International Ltd, 144A

 

              8.625%        4/30/30        B–        271,290  
          Entertainment – 1.4% (0.8% of Total Investments)  
  1,915      

AMC Entertainment Holdings Inc, (cash 10.000%, PIK 12.000%), 144A

 

     10.000%        6/15/26        CCC–        1,514,976  
  1,030      

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

 

     5.375%        8/15/26        CCC+        226,600  
  1,775        

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

 

     6.625%        8/15/27        CCC–        164,187  
  4,720        

Total Entertainment

                                                 1,905,763  
          Health Care Providers & Services – 2.7% (1.7% of Total Investments)  
  190      

CHS/Community Health Systems Inc, 144A

 

     8.000%        3/15/26        BB–        181,450  
  100      

CHS/Community Health Systems Inc, 144A

 

     8.000%        12/15/27        BB–        95,000  
  50      

HCA Inc

          5.375%        2/01/25        BBB–        51,001  
  1,000      

Legacy LifePoint Health LLC, 144A

 

     4.375%        2/15/27        B1        887,500  
  1,071      

LifePoint Health Inc, 144A

          5.375%        1/15/29        CCC+        826,384  
  550      

Team Health Holdings Inc, 144A

 

     6.375%        2/01/25        CCC        374,890  
  201      

Tenet Healthcare Corp, 144A

          4.875%        1/01/26        BB–        197,965  
  725      

Tenet Healthcare Corp, 144A

          6.125%        10/01/28        B+        706,875  
  485      

Tenet Healthcare Corp, 144A

          6.250%        2/01/27        B1        490,660  
  51        

Tenet Healthcare Corp

                      4.625%        7/15/24        BB–        50,961  
  4,423        

Total Health Care Providers & Services

 

                                3,862,686  
          Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)  
  205      

1011778 BC ULC / New Red Finance Inc, 144A

 

     3.500%        2/15/29        BB+        186,751  
  337      

1011778 BC ULC / New Red Finance Inc, 144A

 

     4.000%        10/15/30        B+        293,190  
  267      

Caesars Entertainment Inc, 144A

 

     6.250%        7/01/25        B1        266,333  
  201        

Life Time Inc, 144A

 

     5.750%        1/15/26        B        188,944  
  1,010        

Total Hotels, Restaurants & Leisure

 

                                935,218  
          Independent Power Producers & Energy Traders – 0.5% (0.3% of Total Investments)  
  668        

Talen Energy Supply LLC, 144A (5)

 

     7.625%        6/01/28        N/R        662,171  
          Insurance – 0.1% (0.0% of Total Investments)  
  105        

Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A

 

     4.250%        10/15/27        B        97,867  

 

78


  
  

 

Principal
Amount (000)
         Description (1)               Coupon      Maturity      Ratings (4)      Value  
          Interactive Media & Services – 0.4% (0.3% of Total Investments)  
$ 746        

Rackspace Technology Global Inc, 144A

     3.500%        2/15/28        B+      $ 616,548  
          IT Services – 0.3% (0.2% of Total Investments)  
  500        

Ahead DB Holdings LLC, 144A

     6.625%        5/01/28        CCC+        461,545  
          Media – 2.5% (1.5% of Total Investments)  
  175      

Clear Channel Outdoor Holdings Inc, 144A

     7.500%        6/01/29        CCC        140,875  
  300      

Clear Channel Outdoor Holdings Inc, 144A

     7.750%        4/15/28        CCC        241,296  
  933      

CSC Holdings LLC, 144A

     3.375%        2/15/31        BB        746,400  
  396      

iHeartCommunications Inc

     8.375%        5/01/27        B–        357,400  
  1,075      

iHeartCommunications Inc, 144A

     5.250%        8/15/27        BB–        982,765  
  2      

iHeartCommunications Inc

     6.375%        5/01/26        BB–        2,476  
  465      

McGraw-Hill Education Inc, 144A

     5.750%        8/01/28        BB+        417,063  
  680        

VZ Secured Financing BV, 144A

     5.000%        1/15/32        BB        606,431  
  4,026        

Total Media

                                3,494,706  
          Metals & Mining – 0.2% (0.1% of Total Investments)  
  320        

First Quantum Minerals Ltd, 144A

     6.875%        10/15/27        B+        304,800  
          Oil, Gas & Consumable Fuels – 3.7% (2.3% of Total Investments)  
  500      

Calumet Specialty Products Partners LP / Calumet Finance Corp, 144A

     8.125%        1/15/27        B–        430,665  
  1,150      

Citgo Holding Inc, 144A

     9.250%        8/01/24        B+        1,144,250  
  385      

Citgo Petroleum Corp, 144A

     7.000%        6/15/25        BB        379,206  
  225      

Gulfport Energy Corp, 144A

     8.000%        5/17/26        BB–        226,087  
  201      

Hilcorp Energy I LP / Hilcorp Finance Co, 144A

     6.250%        11/01/28        BB+        194,657  
  340      

Laredo Petroleum Inc

     9.500%        1/15/25        B        348,350  
  250      

Matador Resources Co

     5.875%        9/15/26        BB–        254,375  
  201      

MEG Energy Corp, 144A

     5.875%        2/01/29        BB–        190,950  
  1,012      

NGL Energy Operating LLC / NGL Energy Finance Corp, 144A

     7.500%        2/01/26        BB–        924,533  
  150      

NGL Energy Partners LP / NGL Energy Finance Corp

     7.500%        11/01/23        CCC+        140,182  
  150      

NGL Energy Partners LP / NGL Energy Finance Corp

     7.500%        4/15/26        CCC+        113,233  
  150      

NGL Energy Partners LP / NGL Energy Finance Corp

     6.125%        3/01/25        CCC+        117,707  
  121      

PBF Holding Co LLC / PBF Finance Corp

     7.250%        6/15/25        BB–        119,357  
  750        

PBF Holding Co LLC / PBF Finance Corp

     6.000%        2/15/28        BB–        680,625  
  5,585        

Total Oil, Gas & Consumable Fuels

                                5,264,177  
          Pharmaceuticals – 0.1% (0.0% of Total Investments)  
  228      

Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A

     6.000%        6/30/28        C        14,820  
  90        

Par Pharmaceutical Inc, 144A

     7.500%        4/01/27        Caa2        72,525  
  318        

Total Pharmaceuticals

                                87,345  
          Software – 0.4% (0.2% of Total Investments)  
  550        

Condor Merger Sub Inc, 144A

     7.375%        2/15/30        CCC+        482,886  
          Specialty Retail – 0.6% (0.4% of Total Investments)  
  600      

Hertz Corp/The, 144A

     4.625%        12/01/26        B+        534,000  
  250      

PetSmart Inc / PetSmart Finance Corp, 144A

     4.750%        2/15/28        BB–        237,245  
  100        

PetSmart Inc / PetSmart Finance Corp, 144A

     7.750%        2/15/29        B3        96,272  
  950        

Total Specialty Retail

                                867,517  
          Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)  
  680        

Vmed O2 UK Financing I PLC, 144A

     4.250%        1/31/31        BB+        595,605  
  35,012        

Total Corporate Bonds (cost $30,774,836)

                                27,096,394  
Shares          Description (1)                                       Value  
   

COMMON STOCKS – 4.0% (2.4% of Total Investments)

 

          Banks – 0.0% (0.0% of Total Investments)  
  12,051        

iQor US Inc (9), (10)

                              $ 48,204  

 

79


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Shares          Description (1)                                           Value  
          Construction & Engineering – 0.0% (0.0% of Total Investments)  
  811      

TNT Crane & Rigging Inc (9), (10)

 

            $ 11,354  
  1,438        

TNT Crane & Rigging Inc (9), (10)

 

                                359  
   

Total Construction & Engineering

 

                                11,713  
          Diversified Consumer Services – 0.1% (0.1% of Total Investments)  
  9,343        

Cengage Learning Holdings II Inc (9), (10)

 

                                130,335  
          Diversified Telecommunication Services – 0.1% (0.1% of Total Investments)  
  5,845      

Windstream Services PE LLC (9), (10)

 

              89,136  
  3,347        

Windstream Services PE LLC (9), (10)

 

                                51,042  
   

Total Diversified Telecommunication Services

 

                                140,178  
          Energy Equipment & Services – 1.8% (1.1% of Total Investments)  
  22,321      

Quarternorth Energy Holding Inc (9), (10)

 

              2,412,521  
  28,730      

Transocean Ltd (10)

 

              97,107  
  3,779        

Vantage Drilling International (9), (10)

 

                                56,213  
   

Total Energy Equipment & Services

 

                                2,565,841  
          Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  12,290      

Millennium Health LLC (8), (10)

 

              1,795  
  11,533        

Millennium Health LLC (8), (10)

 

                                530  
   

Total Health Care Providers & Services

 

                                2,325  
          Hotels, Restaurants & Leisure – 0.1% (0.0% of Total Investments)  
  116,526      

24 Hour Fitness Worldwide Inc (9), (10)

 

              34,142  
  55,426        

24 Hour Fitness Worldwide Inc (9), (10)

 

                                41,570  
   

Total Hotels, Restaurants & Leisure

 

                                75,712  
          Independent Power and Renewable Electricity Producers – 1.3% (0.7% of Total Investments)  
  25,367        

Energy Harbor Corp (9), (10), (11)

 

                                1,747,786  
          Internet & Direct Marketing Retail – 0.0% (0.0% of Total Investments)  
  1,905        

Catalina Marketing Corp (9), (10)

 

                                404  
          Marine – 0.0% (0.0% of Total Investments)  
  430        

ACBL HLDG CORP (9), (10)

 

                                8,170  
          Media – 0.0% (0.0% of Total Investments)  
  2        

Cumulus Media Inc, Class A (10)

 

                                16  
          Multiline Retail – 0.0% (0.0% of Total Investments)  
  140        

PEABODYENERGY WTS (9), (10)

 

                                1,225  
          Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments)  
  2,748      

California Resources Corp

                   123,275  
  4,943        

Chord Energy Corp

                                                 633,891  
   

Total Oil, Gas & Consumable Fuels

                                                 757,166  
          Professional Services – 0.1% (0.1% of Total Investments)  
  32,859        

Skillsoft Corp (10)

                                                 126,178  
   

Total Common Stocks (cost $8,077,852)

 

                                5,615,253  
Shares          Description (1)                                           Value  
   

WARRANTS – 0.9% (0.6% of Total Investments)

 

          Energy Equipment & Services – 0.8% (0.5% of Total Investments)  
  9,459      

Quarternorth Energy Holding Inc (9)

                 $ 1,022,357  
  9,732      

Quarternorth Energy Holding Inc (9)

                   72,990  
  18,744        

Quarternorth Energy Holding Inc (9)

                                                 84,348  
   

Total Energy Equipment & Services

                                                 1,179,695  

 

80


  
  

 

Shares          Description (1)                                           Value  
          Entertainment – 0.0% (0.0% of Total Investments)  
  45,953        

Cineworld Warrant (9)

                                               $ 4,733  
          Industrial Conglomerates – 0.0% (0.0% of Total Investments)  
  10,232        

American Commercial Barge Line LLC (9)

 

                                3,714  
          Marine – 0.1% (0.1% of Total Investments)  
  1,279      

ACBL HLDG CORP (9)

 

              54,357  
  1,682      

ACBL HLDG CORP (9)

                   40,649  
  452      

ACBL HLDG CORP (9)

                   8,588  
  13,456        

American Commercial Barge Line LLC (9)

 

                                4,037  
   

Total Marine

 

                                107,631  
          Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  188        

California Resources Corp

                                                 2,745  
          Software – 0.0% (0.0% of Total Investments)  
  8,503        

Avaya Holdings Corp (9)

                                                 238  
          Wireless Telecommunication Services – 0.0% (0.0% of Total Investments)  
  1        

Intelsat SA/Luxembourg (9)

                                                 1  
   

Total Warrants (cost $947,180)

                                                 1,298,757  
Shares          Description (1)                   Coupon              Ratings (4)      Value  
   

CONVERTIBLE PREFERRED SECURITIES – 0.1% (0.0% of Total Investments)

 

  
          Communications Equipment – 0.0% (0.0% of Total Investments)  
  5,100        

Riverbed Technology Inc, cash 7.000%, PIK 2.000%, (9)

 

     0.000%                 N/R      $ 20,400  
          Marine – 0.1% (0.0% of Total Investments)  
  1,821      

ACBL HLDG CORP (9)

          0.000%           N/R        77,393  
  1,600        

ACBL HLDG CORP (9)

                      0.000%                            N/R        38,667  
   

Total Marine

                                                 116,060  
   

Total Convertible Preferred Securities (cost $188,458)

 

                                136,460  
   

Total Long-Term Investments (cost $243,458,306)

 

                                226,611,996  
Shares          Description (1)                   Coupon                      Value  
   

SHORT-TERM INVESTMENTS – 3.6% (2.2% of Total Investments)

 

          INVESTMENT COMPANIES – 3.6% (2.2% of Total Investments)  
  5,060,888        

BlackRock Liquidity Funds T-Fund

 

     1.953% (12)                        $ 5,060,888  
   

Total Short-Term Investments (cost $5,060,888)

 

     5,060,888  
   

Total Investments (cost $248,519,194) – 164.5%

 

     231,672,884  
   

Borrowings – (12.8)% (13), (14)

 

     (18,000,000
   

Taxable Fund Preferred Shares, net of deferred offering costs – (49.4)% (15)

 

     (69,631,527
   

Other Assets Less Liabilities – (2.3)%

 

     (3,189,112
   

Net Assets Applicable to Common Shares – 100%

 

   $ 140,852,245  

 

81


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2022

 

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

 

(1)

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy.

 

(6)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment.

 

(7)

Principal Amount (000) rounds to less than $1,000.

 

(8)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

 

(9)

For fair value measurement disclosure purposes, investment classified as Level 2.

 

(10)

Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

 

(11)

Common Stock received as part of the bankruptcy settlements during February 2020 for Bruce Mansfield Unit 1 2007 Pass-Through Trust.

 

(12)

The rate shown is the annualized seven-day subsidized yield as of end of the reporting period.

 

(13)

Borrowings as a percentage of Total Investments is 7.8%.

 

(14)

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

 

(15)

Taxable Fund Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 30.1%.

 

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.

 

CME

Chicago Mercantile Exchange

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

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

 

SOFR 180A

180 Day Average Secured Overnight Financing Rate

 

SOFR 30A

30 Day Average Secured Overnight Financing Rate

 

SOFR 90A

90 Day Average Secured Overnight Financing Rate

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

82


JQC   

Nuveen Credit Strategies Income Fund

 

Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
 

LONG-TERM INVESTMENTS – 162.1% (99.0% of Total Investments)

 

           
 

VARIABLE RATE SENIOR LOAN INTERESTS – 137.4% (83.9% of Total Investments) (2)

 

        
      Aerospace & Defense – 1.6% (1.0% of Total Investments)                              
$ 11,970    

TransDigm, Inc., Term Loan E, (DD1)

    4.622%        1-Month LIBOR        2.250%        5/30/25        Ba3      $ 11,662,255  
  1,965    

TransDigm, Inc., Term Loan G

    4.622%        1-Month LIBOR        2.250%        8/22/24        Ba3        1,930,579  
  13,935    

Total Aerospace & Defense

                                                 13,592,834  
      Airlines – 5.4% (3.3% of Total Investments)  
  3,895    

AAdvantage Loyalty IP Ltd., Term Loan

    7.460%        3-Month LIBOR        4.750%        4/20/28        Ba2        3,846,842  
  2,730    

Air Canada, Term Loan B

    4.250%        3-Month LIBOR        3.500%        8/11/28        Ba2        2,637,371  
  1,056    

American Airlines, Inc., Term Loan

    2.840%        6-Month LIBOR        2.000%        12/14/23        Ba3        1,039,648  
  10,274    

American Airlines, Inc., Term Loan B

    4.050%        3-Month LIBOR        1.750%        6/27/25        Ba3        9,436,186  
  3,201    

American Airlines, Inc., Term Loan, First Lien

    4.122%        1-Month LIBOR        1.750%        1/29/27        Ba3        2,933,271  
  9,295    

Kestrel Bidco Inc., Term Loan B, (DD1)

    5.030%        3-Month LIBOR        3.000%        12/11/26        BB–        8,201,583  
  12,660    

Mileage Plus Holdings LLC, Term Loan B, (DD1)

    7.313%        3-Month LIBOR        5.250%        6/20/27        Baa3        12,786,600  
  3,950    

United Airlines, Inc., Term Loan B

    6.533%        1-Month LIBOR        3.750%        4/21/28        Ba1        3,818,169  
  47,061    

Total Airlines

                                                 44,699,670  
      Auto Components – 1.0% (0.6% of Total Investments)  
  7,607    

Clarios Global LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/30/26        B1        7,346,754  
  169    

DexKo Global Inc., Term Loan

    5.402%        1-Month LIBOR        3.750%        10/04/28        B1        153,316  
  888    

DexKo Global Inc., Term Loan B

    5.982%        3-Month LIBOR        3.750%        10/04/28        B1        804,908  
  8,664    

Total Auto Components

                                                 8,304,978  
      Beverages – 1.3% (0.8% of Total Investments)  
  1,719    

Arterra Wines Canada, Inc., Term Loan

    5.750%        3-Month LIBOR        3.500%        11/25/27        B1        1,622,141  
  1,961    

City Brewing Company, LLC, Term Loan

    5.298%        1-Month LIBOR        3.500%        4/05/28        B        1,716,033  
  4,875    

Pegasus Bidco BV, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        4,704,375  
  3,298    

Triton Water Holdings, Inc, Term Loan, (DD1)

    5.750%        3-Month LIBOR        3.500%        3/31/28        B1        2,938,322  
  11,853    

Total Beverages

                                                 10,980,871  
      Building Products – 2.1% (1.3% of Total Investments)  
  5,239    

Chamberlain Group Inc, Term Loan B

    5.872%        1-Month LIBOR        3.500%        10/22/28        B+        4,893,132  
  2,740    

Cornerstone Building Brands, Inc., Term Loan B

    5.249%        1-Month LIBOR        3.250%        4/12/28        B        2,349,818  
  8,768    

Quikrete Holdings, Inc., Term Loan, First Lien

    4.997%        1-Month LIBOR        2.625%        1/31/27        Ba2        8,310,622  
  1,000    

Standard Industries Inc., Term Loan B

    3.788%        6-Month LIBOR        2.500%        9/22/28        BBB–        985,226  
  710    

Zurn Holdings, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        10/04/28        Ba3        702,234  
  18,457    

Total Building Products

                                                 17,241,032  
      Capital Markets – 0.6% (0.4% of Total Investments)  
  5,690    

Astra Acquisition Corp., Term Loan, First Lien

    7.622%        1-Month LIBOR        5.250%        10/22/28        BB–        4,845,837  
      Chemicals – 2.4% (1.4% of Total Investments)  
  894    

ASP Unifrax Holdings Inc, Term Loan B

    6.000%        3-Month LIBOR        3.750%        12/12/25        BB        820,054  
  3,440    

Atotech B.V., Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/18/28        B+        3,416,492  
  6,684    

Axalta Coating Systems US Holdings Inc., Term Loan B3

    4.000%        3-Month LIBOR        1.750%        6/01/24        BBB–        6,649,230  
  1,664    

Diamond (BC) B.V., Term Loan B

    5.122%        1 + 3-Month LIBOR        2.750%        9/29/28        Ba3        1,592,519  
  1,711    

INEOS Styrolution US Holding LLC, Term Loan B

    5.122%        1-Month LIBOR        2.750%        1/29/26        BB+        1,629,655  
  2,873    

Ineos US Finance LLC, Term Loan B

    4.593%        2-Month LIBOR        2.000%        3/31/24        BBB–        2,807,539  
  459    

Kraton Corporation, Term Loan

    5.109%       
CME Term SOFR
3 Month
 
 
     3.250%        3/15/29        BB        450,962  
  1,782    

PMHC II, Inc., Term Loan B

    6.977%        SOFR90A        4.250%        2/03/29        B–        1,548,450  
  760    

Trinseo Materials Operating SCA, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Ba2        718,983  
  20,267    

Total Chemicals

                                                 19,633,884  
      Commercial Services & Supplies – 2.7% (1.6% of Total Investments)  
  2,525    

Amentum Government Services Holdings LLC, Term Loan

    5.597%        SOFR90A        4.000%        2/07/29        B1        2,457,923  
  995    

Anticimex International AB, Term Loan B1

    5.098%        3-Month LIBOR        3.500%        11/16/28        B        962,245  

 

83


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)  
$ 2,227    

Covanta Holding Corporation, Term Loan B

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1      $ 2,183,418  
  167    

Covanta Holding Corporation, Term Loan C

    4.872%        1-Month LIBOR        2.500%        11/30/28        Ba1        163,962  
  8,712    

Garda World Security Corporation, Term Loan B

    6.470%        1-Month LIBOR        4.250%        10/30/26        BB+        8,265,499  
  3,627    

GFL Environmental Inc., Term Loan

    5.806%        3-Month LIBOR        3.000%        5/30/25        N/R        3,603,811  
  2,118    

Intrado Corporation, Term Loan

    6.372%        1-Month LIBOR        4.000%        10/10/24        B2        1,776,411  
  1,447    

Vertical US Newco Inc, Term Loan B

    6.871%        6-Month LIBOR        3.500%        7/31/27        B+        1,400,405  
  1,485    

WIN Waste Innovations Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        3/25/28        B+        1,446,019  
  23,303    

Total Commercial Services & Supplies

 

                       22,259,693  
      Communications Equipment – 2.2% (1.4% of Total Investments)  
  4,777    

Avaya, Inc., Term Loan B

    6.249%        1-Month LIBOR        4.250%        12/15/27        BB–        2,448,497  
  563    

CommScope, Inc., Term Loan B

    5.622%        1-Month LIBOR        3.250%        4/04/26        B1        530,994  
  3,950    

Delta TopCo, Inc., Term Loan B

    5.836%        3-Month LIBOR        3.750%        12/01/27        B2        3,739,801  
  8,440    

Maxar Technologies Ltd., Term Loan B

    6.677%        SOFR30A        4.250%        6/09/29        B        8,105,059  
  1,018    

MLN US HoldCo LLC, Term Loan, First Lien

    6.307%        1-Month LIBOR        4.500%        11/30/25        B3        662,127  
  3,931    

Riverbed Technology, Inc., Exit Term Loan, (cash 7.000%, PIK 2.000%)

    2.000%        3-Month LIBOR        2.000%        12/07/26        Caa1        1,873,306  
  1,250    

ViaSat, Inc., Term Loan

    6.941%        SOFR30A        4.500%        3/04/29        BB+        1,171,875  
  23,929    

Total Communications Equipment

                                                 18,531,659  
      Construction & Engineering – 0.6% (0.4% of Total Investments)  
  1,792    

Aegion Corporation, Term Loan

    6.906%        1-Month LIBOR        4.750%        5/17/28        B        1,619,034  
  2,173    

Centuri Group, Inc, Term Loan B

    3.560%        3-Month LIBOR        2.500%        8/27/28        Ba2        2,100,739  
  1,442    

Osmose Utilities Services, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        6/22/28        B        1,346,810  
  5,407    

Total Construction & Engineering

                                                 5,066,583  
      Consumer Finance – 0.6% (0.4% of Total Investments)  
  5,181    

Fleetcor Technologies Operating Company, LLC, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/30/28        BB+        5,068,128  
      Containers & Packaging – 1.9% (1.1% of Total Investments)  
  4,354    

Berry Global, Inc., Term Loan Z

    4.178%        3-Month LIBOR        1.750%        7/01/26        BBB–        4,288,774  
  1,285    

Clydesdale Acquisition Holdings Inc, Term Loan B

    6.602%        SOFR30A        4.175%        3/30/29        B        1,237,982  
  778    

Klockner-Pentaplast of America, Inc., Term Loan B

    5.554%        6-Month LIBOR        4.750%        2/09/26        B        693,229  
  2,109    

Reynolds Group Holdings Inc. , Term Loan B

    5.872%        1-Month LIBOR        3.500%        9/24/28        B+        2,046,550  
  3,409    

Reynolds Group Holdings Inc. , Term Loan B2

    5.622%        1-Month LIBOR        3.250%        2/05/26        B+        3,315,315  
  4,093    

TricorBraun Holdings, Inc., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/03/28        B2        3,890,664  
  16,028    

Total Containers & Packaging

                                                 15,472,514  
      Diversified Consumer Services – 0.3% (0.2% of Total Investments)  
  2,345    

Spin Holdco Inc., Term Loan

    5.611%        3-Month LIBOR        4.000%        3/04/28        B–        2,171,982  
      Diversified Financial Services – 1.2% (0.7% of Total Investments)  
  2,067    

Avaya, Inc., Term Loan B2

    5.999%        1-Month LIBOR        4.000%        12/15/27        BB–        1,066,647  
  4,883    

Avolon TLB Borrower 1 (US) LLC, Term Loan B3

    3.876%        1-Month LIBOR        1.750%        1/15/25        Baa2        4,795,610  
  2,136    

Avolon TLB Borrower 1 (US) LLC, Term Loan B4

    3.626%        1-Month LIBOR        1.500%        2/12/27        Baa2        2,061,798  
  3,519    

Ditech Holding Corporation, Term Loan (5)

    0.000%        N/A        N/A        12/19/22        N/R        422,284  
  1,906    

Trans Union, LLC, Term Loan B6

    4.622%        1-Month LIBOR        2.250%        12/01/28        BBB–        1,864,186  
  14,511    

Total Diversified Financial Services

                                                 10,210,525  
      Diversified Telecommunication Services – 3.1% (1.9% of Total Investments)  
  1,301    

Altice France S.A., Term Loan B12

    6.200%        3-Month LIBOR        3.688%        1/31/26        B        1,231,020  
  11,594    

Altice France S.A., Term Loan B13

    5.411%        3-Month LIBOR        4.000%        8/14/26        B        11,054,852  
  190    

CenturyLink, Inc., Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/15/27        BBB–        181,239  
  2,144    

Cincinnati Bell, Inc., Term Loan B2

    5.677%        SOFR30A        3.250%        11/23/28        B+        2,094,308  
  1,685    

Cyxtera DC Holdings, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B        1,629,336  
  3,534    

Eagle Broadband Investments LLC, Term Loan

    5.313%        3-Month LIBOR        3.000%        11/12/27        B+        3,409,287  
  5,603    

Frontier Communications Corp., Term Loan B

    6.063%        3-Month LIBOR        3.750%        10/08/27        BB+        5,371,566  
  984    

Numericable Group SA, Term Loan B11

    5.519%        3-Month LIBOR        2.750%        7/31/25        B        923,628  
  27,035    

Total Diversified Telecommunication Services

 

              25,895,236  

 

84


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Electric Utilities – 0.1% (0.1% of Total Investments)  
$ 980    

Pacific Gas & Electric Company, Term Loan

    5.375%        1-Month LIBOR        3.000%        6/23/25        BB      $ 949,066  
      Electronic Equipment, Instruments & Components – 0.9% (0.5% of Total Investments)  
  2,375    

II-VI Incorporated, Term Loan B

    4.463%        3-Month LIBOR        2.750%        7/01/29        BBB–        2,317,596  
  4,435    

Ingram Micro Inc., Term Loan B

    5.750%        3-Month LIBOR        3.500%        7/02/28        BB+        4,363,128  
  316    

Vertiv Group Corporation, Term Loan B

    4.548%        1-Month LIBOR        2.750%        3/02/27        BB–        301,151  
  7,126    

Total Electronic Equipment, Instruments & Components

 

              6,981,875  
      Entertainment – 1.6% (1.0% of Total Investments)  
  1,916    

AMC Entertainment Holdings, Inc. , Term Loan B, (cash 10.000%, PIK 12.000%), (DD1)

    4.872%        1-Month LIBOR        3.000%        4/22/26        B–        1,667,356  
  7,729    

Crown Finance US, Inc., Term Loan

    4.000%        3-Month LIBOR        2.500%        2/28/25        CCC        5,000,782  
  562    

Crown Finance US, Inc., Term Loan B1

    10.076%        6-Month LIBOR        8.250%        5/23/24        B–        588,813  
  960    

Diamond Sports Group, LLC, Term Loan

    9.786%        1-Month LIBOR        8.000%        5/19/26        B        914,013  
  2,565    

Diamond Sports Group, LLC, Term Loan, Second Lien

    5.036%        SOFR30A        3.250%        8/24/26        CCC+        522,238  
  979    

Lions Gate Capital Holdings LLC, Term Loan B

    4.622%        1-Month LIBOR        2.250%        3/24/25        Ba2        952,078  
  3,809    

Springer Nature Deutschland GmbH, Term Loan B18

    3.804%        3-Month LIBOR        3.000%        8/14/26        BB+        3,725,952  
  55    

Univision Communications Inc., Term Loan C5

    5.122%        1-Month LIBOR        2.750%        3/15/24        B+        55,016  
  18,575    

Total Entertainment

                                                 13,426,248  
      Food & Staples Retailing – 0.3% (0.2% of Total Investments)  
  2,433    

US Foods, Inc., Term Loan B

    4.325%        3-Month LIBOR        2.750%        11/22/28        BB        2,386,406  
      Food Products – 1.2% (0.8% of Total Investments)  
  1,746    

CHG PPC Parent LLC, Term Loan

    5.375%        1-Month LIBOR        3.000%        12/08/28        B1        1,686,710  
  1,960    

Froneri International Ltd., Term Loan

    4.622%        1-Month LIBOR        2.250%        1/31/27        B+        1,886,049  
  4,564    

H Food Holdings LLC, Term Loan B

    5.354%        1-Month LIBOR        3.688%        5/31/25        B2        4,130,296  
  660    

H Food Holdings LLC, Term Loan B3

    6.666%        1-Month LIBOR        5.000%        5/31/25        B2        608,250  
  2,000    

Sycamore Buyer LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        1,953,760  
  10,930    

Total Food Products

                                                 10,265,065  
      Health Care Equipment & Supplies – 4.8% (2.9% of Total Investments)  
  8,745    

Bausch & Lomb, Inc., Term Loan, (DD1)

    4.549%        SOFR30A        3.250%        5/05/27        BB+        8,315,052  
  4,766    

Carestream Health, Inc., Term Loan

    9.500%        3-Month LIBOR        7.250%        5/08/23        B1        4,743,228  
  1,236    

Embecta Corp, Term Loan B

    5.054%        SOFR90A        3.000%        1/27/29        Ba3        1,207,450  
  1,332    

ICU Medical, Inc., Term Loan B

    4.604%        SOFR90A        2.650%        12/14/28        BBB–        1,293,044  
  18,208    

Medline Borrower, LP, Term Loan B

    5.622%        1-Month LIBOR        3.250%        10/21/28        BB–        17,434,510  
  7,473    

Viant Medical Holdings, Inc., Term Loan, First Lien

    6.122%        1-Month LIBOR        3.750%        7/02/25        B3        6,943,850  
  41,760    

Total Health Care Equipment & Supplies

 

              39,937,134  
      Health Care Providers & Services – 12.0% (7.3% of Total Investments)  
  1,660    

ADMI Corp., Term Loan B2

    5.747%        1-Month LIBOR        3.375%        12/23/27        B        1,538,463  
  4,963    

AHP Health Partners, Inc., Term Loan B

    5.872%        1-Month LIBOR        3.500%        8/23/28        B1        4,698,867  
  3,071    

Change Healthcare Holdings LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        3/01/24        B+        3,040,703  
  760    

DaVita, Inc. , Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        721,802  
  582    

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        560,738  
  268    

Element Materials Technology Group US Holdings Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        258,802  
  2,401    

Gainwell Acquisition Corp., Term Loan B

    6.250%        3-Month LIBOR        4.000%        10/01/27        BB–        2,335,758  
  2,507    

Global Medical Response, Inc., Term Loan

    6.622%        1-Month LIBOR        4.250%        3/14/25        B        2,402,404  
  10,908    

Global Medical Response, Inc., Term Loan B

    5.963%        1-Month LIBOR        4.250%        10/02/25        B        10,454,510  
  855    

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        841,367  
  6,178    

National Mentor Holdings, Inc., Term Loan

    6.130%        1 + 3-Month LIBOR        3.750%        3/02/28        B–        5,280,969  
  196    

National Mentor Holdings, Inc., Term Loan C

    6.010%        3-Month LIBOR        3.750%        3/02/28        B–        167,963  
  3,351    

Onex TSG Intermediate Corp., Term Loan B

    7.122%        1-Month LIBOR        4.750%        2/26/28        B        3,066,302  
  15,195    

Parexel International Corporation, Term Loan, First Lien, (DD1)

    4.916%        1-Month LIBOR        3.250%        11/15/28        B1        14,841,180  
  6,065    

Phoenix Guarantor Inc, Term Loan B

    5.622%        1-Month LIBOR        3.250%        3/05/26        B1        5,843,845  

 

85


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services (continued)  
$ 4,066    

Phoenix Guarantor Inc, Term Loan B3

    5.759%        1-Month LIBOR        3.500%        3/05/26        B1      $ 3,926,533  
  140    

Quorum Health Corporation, Term Loan, (5)

    10.598%        3-Month LIBOR        8.250%        4/29/25        B–        91,223  
  16,220    

RegionalCare Hospital Partners Holdings, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/16/25        B1        15,362,268  
  9,709    

Select Medical Corporation, Term Loan B

    4.880%        1-Month LIBOR        2.500%        3/06/25        Ba2        9,514,553  
  12,892    

Surgery Center Holdings, Inc., Term Loan, (DD1)

    5.630%        1-Month LIBOR        3.750%        8/31/26        B1        12,416,055  
  1,410    

Team Health Holdings, Inc., Term Loan B

    7.577%        SOFR30A        5.250%        2/17/27        B        1,164,763  
  663    

Team Health Holdings, Inc., Term Loan, First Lien

    5.122%        1-Month LIBOR        2.750%        2/06/24        B        597,079  
  104,060    

Total Health Care Providers & Services

 

              99,126,147  
      Health Care Technology – 1.4% (0.8% of Total Investments)  
  454    

Athenahealth, Inc., Term Loan (6)

    3.500%        1-Month LIBOR        3.500%        1/27/29        B+        434,375  
  2,681    

Athenahealth, Inc., Term Loan B

    5.653%        SOFR30A        3.500%        1/27/29        B+        2,562,810  
  9,673    

Carestream Health, Inc., Term Loan, Second Lien, (cash 5.500%, PIK 8.000%)

    8.000%        3-Month LIBOR        8.000%        8/05/23        Caa1        8,451,459  
  12,808    

Total Health Care Technology

                                                 11,448,644  
      Hotels, Restaurants & Leisure – 17.6% (10.7% of Total Investments)  
  345    

Alterra Mountain Company, Term Loan

    5.872%        1-Month LIBOR        3.500%        8/17/28        B        333,838  
  2,805    

Aramark Services, Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        3/11/25        BB+        2,733,991  
  13,031    

B.C. Unlimited Liability Company, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        11/19/26        BB+        12,664,100  
  14,744    

Caesars Resort Collection, LLC, Term Loan B, First Lien

    5.122%        1-Month LIBOR        2.750%        12/22/24        B+        14,451,656  
  949    

Caesars Resort Collection, LLC, Term Loan B1

    5.872%        1-Month LIBOR        3.500%        7/20/25        B+        932,332  
  2,167    

Carnival Corporation, Term Loan B, (DD1)

    5.877%        6-Month LIBOR        3.000%        6/30/25        Ba2        2,074,219  
  2,226    

Carnival Corporation, Term Loan B

    6.127%        6-Month LIBOR        3.250%        10/18/28        Ba2        2,072,177  
  3,349    

Churchill Downs Incorporated, Term Loan B1, (DD1)

    4.380%        1-Month LIBOR        2.000%        3/17/28        BBB–        3,227,200  
  2,916    

ClubCorp Holdings, Inc., Term Loan B

    5.000%        3-Month LIBOR        2.750%        9/18/24        B2        2,693,327  
  1,848    

Crown Finance US, Inc., Term Loan, (6), (DD1)

    4.371%        3-Month LIBOR        3.000%        5/31/23        CCC+        1,410,643  
  1,040    

Crown Finance US, Inc., Term Loan B1, (cash 7.132%, PIK 8.250%)

    8.250%        3-Month LIBOR        8.250%        5/23/24        B–        1,152,353  
  10,537    

Delta 2 (LUX) S.a.r.l., Term Loan

    4.872%        1-Month LIBOR        2.500%        2/01/24        BB–        10,455,201  
  12,085    

Equinox Holdings, Inc., Term Loan, First Lien

    5.250%        3-Month LIBOR        3.000%        3/08/24        CCC        8,766,346  
  14,933    

Fertitta Entertainment, LLC, Term Loan B

    6.327%        SOFR30A        4.000%        1/27/29        B        14,281,180  
  2,977    

Hilton Grand Vacations Borrower LLC, Term Loan B

    5.372%        1-Month LIBOR        3.000%        8/02/28        BB+        2,925,766  
  3,231    

Hilton Worldwide Finance, LLC, Term Loan B2

    3.964%        1-Month LIBOR        1.750%        6/21/26        BBB–        3,187,384  
  4,876    

IRB Holding Corp, Term Loan B

    4.874%        SOFR30A        3.150%        12/15/27        B+        4,689,253  
  4,893    

IRB Holding Corp, Term Loan B

    6.121%        1-Month LIBOR        2.750%        2/05/25        B+        4,783,911  
  5,633    

Life Time Fitness Inc , Term Loan B

    6.325%        3-Month LIBOR        4.750%        12/15/24        B        5,570,080  
  4,302    

Marriott Ownership Resorts, Inc., Term Loan B

    4.122%        1-Month LIBOR        1.750%        8/31/25        BB+        4,173,347  
  3,168    

NASCAR Holdings, Inc, Term Loan B, (DD1)

    4.872%        1-Month LIBOR        2.500%        10/18/26        BBB–        3,127,526  
  581    

PCI Gaming Authority, Term Loan

    4.872%        1-Month LIBOR        2.500%        5/31/26        BBB–        566,231  
  1,856    

Penn National Gaming, Inc., Term Loan B

    5.177%        SOFR30A        2.750%        4/20/29        BB        1,820,285  
  1,531    

Scientific Games Holdings LP, Term Loan B

    5.617%        SOFR90A        3.500%        2/04/29        BB–        1,467,249  
  4,750    

Scientific Games International, Inc., Term Loan

    5.044%        SOFR30A        3.000%        4/07/29        BB        4,653,029  
  3,970    

SeaWorld Parks & Entertainment, Inc., Term Loan B

    5.375%        1-Month LIBOR        3.000%        8/25/28        BB–        3,797,543  
  11,462    

Stars Group Holdings B.V. (The), Term Loan, (DD1)

    4.500%        3-Month LIBOR        2.250%        7/10/25        BBB        11,263,729  
  12,126    

Station Casinos LLC, Term Loan B

    4.630%        1-Month LIBOR        2.250%        2/08/27        BB–        11,830,253  
  2,239    

Twin River Worldwide Holdings, Inc., Term Loan B

    5.048%        1-Month LIBOR        3.250%        10/01/28        BB+        2,128,917  
  460    

William Morris Endeavor Entertainment, LLC, Term Loan, First Lien

    5.130%        1-Month LIBOR        2.750%        5/16/25        B        442,656  
  1,787    

Wyndham Hotels & Resorts, Inc., Term Loan B

    4.122%        1-Month LIBOR        1.750%        5/30/25        BBB–        1,768,696  
  152,817    

Total Hotels, Restaurants & Leisure

                                                 145,444,418  
      Household Durables – 1.1% (0.6% of Total Investments)  
  1,678    

AI Aqua Merger Sub Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        1,591,093  
  381    

AI Aqua Merger Sub Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        361,612  
  3,200    

AI Aqua Merger Sub, Inc., Term Loan B, First Lien

    5.436%        SOFR30A        3.750%        7/30/28        B3        3,029,600  

 

86


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Household Durables (continued)  
$ 2,694    

Serta Simmons Bedding, LLC, Term Loan, (5)

    9.499%        1-Month LIBOR        7.500%        8/10/23        B–      $ 1,792,996  
  2,276    

Weber-Stephen Products LLC, Term Loan B, (DD1)

    5.622%        1-Month LIBOR        3.250%        10/30/27        CCC+        1,869,006  
  10,229    

Total Household Durables

                                                 8,644,307  
      Household Products – 0.0% (0.0% of Total Investments)  
  174    

Illuminate Merger Sub Corp., Term Loan

    6.377%        6-Month LIBOR        3.500%        5/16/28        B1        153,814  
      Independent Power And Renewable Electricity Prod – 0.2% (0.1% of Total Investments)  
  1,322    

Vistra Operations Company LLC, Term Loan B3, First Lien

    3.906%        1-Month LIBOR        1.750%        12/31/25        BBB–        1,300,725  
      Insurance – 7.0% (4.3% of Total Investments)  
  16,605    

Acrisure, LLC, Term Loan B

    5.872%        1-Month LIBOR        3.500%        2/15/27        B        15,840,129  
  6,094    

Alliant Holdings Intermediate, LLC, Term Loan B4

    5.656%        1-Month LIBOR        3.500%        11/12/27        B        5,900,722  
  4,979    

Asurion LLC, Term Loan B4, Second Lien

    7.622%        1-Month LIBOR        5.250%        1/15/29        B        4,293,143  
  1,449    

Asurion LLC, Term Loan B8

    5.622%        1-Month LIBOR        3.250%        12/23/26        Ba3        1,365,929  
  4,098    

Asurion LLC, Term Loan B9

    5.622%        1-Month LIBOR        3.250%        7/31/27        Ba3        3,866,110  
  1,985    

Broadstreet Partners, Inc., Term Loan B2

    5.622%        1-Month LIBOR        3.250%        1/27/27        B1        1,910,563  
  903    

Hub International Limited, Term Loan B

    4.000%        2-Month LIBOR        3.250%        4/25/25        B        886,100  
  14,240    

Hub International Limited, Term Loan B

    5.766%        3-Month LIBOR        3.000%        4/25/25        B        13,921,953  
  246    

Ryan Specialty Group, LLC, Term Loan

    5.427%        SOFR30A        3.000%        9/01/27        BB–        239,688  
  7,775    

USI, Inc., Term Loan

    5.250%        3-Month LIBOR        3.000%        5/16/24        B        7,661,288  
  1,950    

USI, Inc., Term Loan B

    5.500%        3-Month LIBOR        3.250%        12/02/26        B        1,905,197  
  60,324    

Total Insurance

                                                 57,790,822  
      Interactive Media & Services – 0.6% (0.3% of Total Investments)  
  1,337    

Adevinta ASA, Term Loan B

    5.250%        3-Month LIBOR        3.000%        6/25/28        BB+        1,288,887  
  3,711    

Rackspace Technology Global, Inc., Term Loan B

    4.160%        3-Month LIBOR        2.750%        2/09/28        B+        3,420,837  
  5,048    

Total Interactive Media & Services

                                                 4,709,724  
      Internet & Direct Marketing Retail – 0.7% (0.4% of Total Investments)  
  3,950    

CNT Holdings I Corp, Term Loan

    5.372%        1-Month LIBOR        3.500%        11/08/27        B        3,839,203  
  280    

Medical Solutions Holdings, Inc., Term Loan (6)

    0.05543        3-Month LIBOR        3.500%        11/01/23        B1        270,550  
  1,505    

Medical Solutions Holdings, Inc., Term Loan, First Lien

    6.377%        3-Month LIBOR        3.500%        11/01/28        B1        1,454,037  
  5,735    

Total Internet & Direct Marketing Retail

 

                                         5,563,790  
      IT Services – 5.6% (3.4% of Total Investments)  
  2,135    

Ahead DB Holdings, LLC, Term Loan B

    6.010%        3-Month LIBOR        3.750%        10/16/27        B+        2,076,501  
  2,497    

Peraton Corp., Term Loan B

    6.122%        1-Month LIBOR        3.750%        2/01/28        BB–        2,432,785  
  16,180    

Sabre GLBL Inc., Term Loan B

    4.372%        1-Month LIBOR        2.000%        2/22/24        Ba3        15,792,680  
  8,125    

Syniverse Holdings, Inc., Term Loan

    8.286%       
CME Term SOFR
3 Month
 
 
     7.000%        5/10/29        B–        7,297,266  
  10,884    

Tempo Acquisition LLC, Term Loan B

    5.327%        SOFR30A        3.000%        8/31/28        BB–        10,693,243  
  7,844    

Travelport Finance (Luxembourg) S.a.r.l., Term Loan, (cash 3.500%, PIK 6.500%)

    3.750%        3-Month LIBOR        1.500%        2/28/25        B–        7,651,240  
  47,665    

Total IT Services

                                                 45,943,715  
      Leisure Products – 1.6% (1.0% of Total Investments)  
  12,425    

Hayward Industries, Inc., Term Loan

    4.872%        1-Month LIBOR        2.500%        5/28/28        BB        11,919,149  
  1,456    

SRAM, LLC , Term Loan B

    5.050%        1 + 3-Month LIBOR        2.750%        5/18/28        BB–        1,403,525  
  13,881    

Total Leisure Products

                                                 13,322,674  
      Life Sciences Tools & Services – 1.6% (1.0% of Total Investments)  
  1,348    

Avantor Funding, Inc., Term Loan B5

    4.622%        1-Month LIBOR        2.250%        11/06/27        BB+        1,325,623  
  12,228    

Curia Global, Inc., Term Loan

    6.556%        3-Month LIBOR        3.750%        8/30/26        B        11,840,503  
  213    

ICON Luxembourg S.A.R.L., Term Loan

    4.563%        3-Month LIBOR        2.250%        7/01/28        BB+        209,930  
  13,789    

Total Life Sciences Tools & Services

                                                 13,376,056  

 

87


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Machinery – 2.7% (1.7% of Total Investments)  
$ 6,000    

Ali Group North America Corp., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        Baa3      $ 5,892,510  
  1,948    

Alliance Laundry Systems LLC, Term Loan B

    5.955%        3-Month LIBOR        3.500%        10/08/27        B        1,896,447  
  12,256    

Gardner Denver, Inc., Term Loan B2

    4.177%        1-Month LIBOR        1.750%        2/28/27        BB+        12,058,083  
  1,325    

Grinding Media Inc., Term Loan B

    4.796%        3-Month LIBOR        4.000%        10/12/28        B        1,242,176  
  1,485    

Madison IAQ LLC, Term Loan

    4.524%        6-Month LIBOR        3.250%        6/21/28        B1        1,416,586  
  23,014    

Total Machinery

                                                 22,505,802  
      Marine – 0.3% (0.2% of Total Investments)  
  2,782    

HGIM Corp., Exit Term Loan

    9.750%        Prime        6.000%        7/02/23        CCC+        2,639,947  
      Media – 12.6% (7.7% of Total Investments)  
  3,665    

ABG Intermediate Holdings 2 LLC, Term Loan B1

    5.927%        SOFR30A        3.500%        12/21/28        B1        3,543,597  
  720    

ABG Intermediate Holdings 2 LLC, Term Loan, Second Lien

    8.427%        SOFR30A        6.000%        12/20/29        CCC+        663,300  
  976    

Altice Financing SA, Term Loan, First Lien

    5.262%        3-Month LIBOR        2.750%        1/31/26        B        924,903  
  1,980    

Cable One, Inc., Term Loan B4

    4.372%        1-Month LIBOR        2.000%        5/03/28        BB+        1,910,205  
  4,863    

Cengage Learning, Inc., Term Loan B

    7.814%        3-Month LIBOR        4.750%        7/14/26        B        4,471,807  
  7,566    

Charter Communications Operating, LLC, Term Loan B2

    4.130%        1-Month LIBOR        1.750%        2/01/27        BBB–        7,341,053  
  401    

Checkout Holding Corp., First Out Term Loan

    9.872%        1-Month LIBOR        7.500%        2/15/23        N/R        337,549  
  763    

Checkout Holding Corp., Last Out Term Loan, (cash 2.000, PIK 9.500%)

    9.500%        1-Month LIBOR        9.500%        8/15/23        N/R        268,168  
  10,139    

Clear Channel Outdoor Holdings, Inc., Term Loan B

    6.306%        1 + 3-Month LIBOR        3.500%        8/21/26        B1        9,277,599  
  6,814    

Cogeco Communications Finance (USA), LP, Term Loan B

    4.372%        1-Month LIBOR        2.000%        1/04/25        BB        6,643,921  
  9,699    

CSC Holdings, LLC, Term Loan

    4.249%        1-Month LIBOR        2.250%        1/15/26        BB        9,398,627  
  976    

CSC Holdings, LLC, Term Loan B1

    4.249%        1-Month LIBOR        2.250%        7/17/25        BB        945,879  
  7,756    

CSC Holdings, LLC, Term Loan B5

    4.499%        1-Month LIBOR        2.500%        4/15/27        BB        7,468,495  
  8,833    

DirecTV Financing, LLC, Term Loan

    7.372%        1-Month LIBOR        5.000%        8/02/27        BBB–        8,371,223  
  2,917    

Fleet U.S. Bidco Inc., Term Loan B

    5.372%        1-Month LIBOR        3.000%        10/07/26        B+        2,873,738  
  4,122    

Gray Television, Inc., Term Loan B

    4.213%        1-Month LIBOR        2.500%        2/07/24        BB+        4,079,554  
  4,280    

Gray Television, Inc., Term Loan C

    4.213%        1-Month LIBOR        2.500%        1/02/26        BB+        4,179,986  
  3,406    

iHeartCommunications, Inc., Term Loan

    5.372%        1-Month LIBOR        3.000%        5/01/26        BB–        3,233,027  
  3,970    

McGraw-Hill Global Education Holdings, LLC, Term Loan

    5.554%        6-Month LIBOR        4.750%        7/30/28        BB+        3,776,463  
  411    

Mission Broadcasting, Inc., Term Loan B

    4.213%        1-Month LIBOR        2.500%        6/03/28        BBB–        400,408  
  1,122    

Nexstar Broadcasting, Inc., Term Loan B4

    4.872%        1-Month LIBOR        2.500%        9/19/26        BBB–        1,111,515  
  740    

Outfront Media Capital LLC, Term Loan B

    4.122%        1-Month LIBOR        1.750%        11/18/26        Ba1        715,025  
  677    

Radiate Holdco, LLC, Term Loan B

    5.622%        1-Month LIBOR        3.250%        9/25/26        B1        642,402  
  8,798    

Virgin Media Bristol LLC, Term Loan N

    4.499%        1-Month LIBOR        2.500%        1/31/28        BB+        8,598,197  
  12,926    

Ziggo Financing Partnership, Term Loan I

    4.499%        1-Month LIBOR        2.500%        4/30/28        BB        12,617,945  
  108,520    

Total Media

                                                 103,794,586  
      Multiline Retail – 0.1% (0.1% of Total Investments)  
  1,539    

Belk, Inc., Term Loan

    13.000%        3-Month LIBOR        13.000%        7/31/25        CCC–        584,267  
  328    

Belk, Inc., Term Loan, (cash 5.000%, PIK 8.000%)

    9.006%        3-Month LIBOR        7.500%        7/31/25        B–        295,865  
  1,867    

Total Multiline Retail

                                                 880,132  
      Oil, Gas & Consumable Fuels – 3.1% (1.9% of Total Investments)  
  13,382    

Buckeye Partners, L.P., Term Loan B

    3.916%        1-Month LIBOR        2.250%        11/01/26        BBB–        13,160,355  
  323    

EG America LLC, Term Loan

    6.250%        3-Month LIBOR        4.000%        2/05/25        B–        306,997  
  3,908    

EG Group Limited, Term Loan B

    6.250%        3-Month LIBOR        4.000%        2/05/25        B–        3,714,162  
  2,526    

Freeport LNG Investments, LLLP, Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        2,386,571  
  2,527    

Gulf Finance, LLC, Term Loan

    8.540%        1-Month LIBOR        6.750%        8/25/26        B        1,935,035  
  1,608    

QuarterNorth Energy Holding Inc., Exit Term Loan, Second Lien

    10.372%        1-Month LIBOR        8.000%        8/27/26        B        1,602,526  
  2,985    

TransMontaigne Operating Company L.P., Term Loan B

    5.656%        1-Month LIBOR        3.500%        11/05/28        BB        2,875,719  
  27,259    

Total Oil, Gas & Consumable Fuels

                                                 25,981,365  

 

88


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Personal Products – 2.2% (1.3% of Total Investments)  
$ 1,737    

Conair Holdings, LLC, Term Loan B

    6.000%        3-Month LIBOR        3.750%        5/17/28        B–      $ 1,482,857  
  6,538    

Coty Inc., Term Loan B

    4.057%        1-Month LIBOR        2.250%        4/05/25        BB–        6,323,783  
  4    

kdc/one Development Corporation, Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        12/21/25        N/R        4,112  
  —  (7)   

Kronos Acquisition Holdings Inc., Term Loan B

    6.122%        1-Month LIBOR        3.750%        12/22/26        B2        26  
  14,782    

Revlon Consumer Products Corporation, Term Loan B, (5), (8)

    5.576%        6-Month LIBOR        3.500%        9/07/23        N/R        10,134,946  
  23,061    

Total Personal Products

                                                 17,945,724  
      Pharmaceuticals – 2.1% (1.3% of Total Investments)  
  3,902    

Bausch Health Companies Inc., Term Loan B

    7.174%        SOFR30A        5.250%        1/27/27        BB        3,294,768  
  247    

Catalent Pharma Solutions Inc., Term Loan B3

    4.250%        1-Month LIBOR        2.000%        2/22/28        BBB–        243,951  
  5,470    

Jazz Financing Lux S.a.r.l., Term Loan

    5.872%        1-Month LIBOR        3.500%        5/05/28        BB+        5,355,815  
  4,566    

Mallinckrodt International Finance S.A., Term Loan B, (5) (DD1)

    6.246%        3-Month LIBOR        5.250%        9/24/24        B        3,902,739  
  2,792    

Organon & Co, Term Loan

    4.625%        3-Month LIBOR        3.000%        6/02/28        BB        2,753,237  
  1,641    

Perrigo Investments, LLC, Term Loan B

    4.199%        SOFR30A        2.500%        4/05/29        Baa3        1,620,488  
  18,618    

Total Pharmaceuticals

                                                 17,170,998  
      Professional Services – 2.4% (1.5% of Total Investments)  
  908    

CHG Healthcare Services Inc., Term Loan

    4.916%        3-Month LIBOR        3.250%        9/30/28        B1        883,568  
  2,925    

Creative Artists Agency, LLC , Term Loan B

    6.122%        1-Month LIBOR        3.750%        11/26/26        B        2,876,167  
  177    

Dun & Bradstreet Corporation (The), Term Loan

    4.874%        3-Month LIBOR        3.250%        2/08/26        BB+        172,148  
  1,436    

Physician Partners LLC, Term Loan

    6.427%        SOFR30A        4.000%        2/01/29        B        1,358,590  
  750    

R1 RCM Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        742,500  
  13,089    

Trans Union, LLC, Term Loan B5

    4.122%        1-Month LIBOR        1.750%        11/13/26        BBB–        12,678,888  
  1,485    

Verscend Holding Corp., Term Loan B

    6.372%        1-Month LIBOR        4.000%        8/27/25        BB–        1,449,615  
  20,770    

Total Professional Services

                                                 20,161,476  
      Real Estate Management & Development – 0.8% (0.5% of Total Investments)  
  5,543    

Brookfield Property REIT Inc., Term Loan B, First Lien

    4.927%        SOFR30A        2.500%        8/24/25        BB+        5,378,032  
  1,500    

Cushman & Wakefield PLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        1,455,803  
  7,043    

Total Real Estate Management & Development

                                                 6,833,835  
      Road & Rail – 0.3% (0.2% of Total Investments)  
  2,128    

Hertz Corporation, (The), Term Loan B

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        2,049,596  
  405    

Hertz Corporation, (The), Term Loan C

    5.630%        1-Month LIBOR        3.250%        6/30/28        BB+        389,776  
  2,533    

Total Road & Rail

                                                 2,439,372  
      Semiconductors & Semiconductor Equipment – 0.6% (0.4% of Total Investments)  
  10,335    

Bright Bidco B.V., Term Loan B, (DD1)

    4.774%        3-Month LIBOR        3.500%        6/30/24        CCC        4,072,839  
  1,026    

Entegris, Inc., Term Loan B

    5.597%        3-Month LIBOR        3.000%        7/06/29        Baa3        1,015,525  
  11,361    

Total Semiconductors & Semiconductor Equipment

 

                       5,088,364  
      Software – 17.1% (10.4% of Total Investments)  
  2,617    

Apttus Corporation, Term Loan

    5.621%        3-Month LIBOR        4.250%        5/06/28        BB        2,538,393  
  1,963    

Avaya, Inc., Term Loan

    12.481%        SOFR90A        10.000%        12/15/27        BB–        1,246,505  
  5,324    

Banff Merger Sub Inc, Term Loan

    6.122%        1-Month LIBOR        3.750%        10/02/25        B2        5,140,126  
  1,010    

CCC Intelligent Solutions Inc., Term Loan B

    4.500%        3-Month LIBOR        2.250%        9/21/28        B1        984,995  
  4,670    

CDK Global, Inc., Term Loan B

    6.610%        SOFR90A        4.500%        6/09/29        B+        4,548,603  
  2,877    

Ceridian HCM Holding Inc., Term Loan B

    4.166%        1-Month LIBOR        2.500%        4/30/25        B+        2,789,223  
  4,000    

DTI Holdco, Inc., Term Loan

    7.327%        SOFR90A        4.750%        4/21/29        B2        3,762,500  
  3,500    

Dynatrace LLC, Term Loan, First Lien

    4.622%        1-Month LIBOR        2.250%        8/23/25        BB+        3,476,106  
  12,643    

Emerald TopCo Inc, Term Loan

    5.872%        1-Month LIBOR        3.500%        7/25/26        B2        11,891,852  
  9,899    

Epicor Software Corporation, Term Loan

    5.622%        1-Month LIBOR        3.250%        7/31/27        B2        9,463,991  
  6,007    

Finastra USA, Inc., Term Loan, First Lien, (DD1)

    6.871%        3-Month LIBOR        3.500%        6/13/24        B+        5,628,644  
  5,327    

Greeneden U.S. Holdings II, LLC, Term Loan B4

    6.372%        1-Month LIBOR        4.000%        12/01/27        B2        5,212,337  
  6,983    

Informatica LLC, Term Loan B

    5.125%        1-Month LIBOR        2.750%        10/14/28        BB–        6,821,065  
  2,922    

MA FinanceCo., LLC, Term Loan B

    5.915%        3-Month LIBOR        4.250%        6/05/25        BB+        2,578,835  
  1,740    

Magenta Buyer LLC, Term Loan, First Lien

    7.050%        3-Month LIBOR        4.750%        7/27/28        BB–        1,659,265  

 

89


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)  
$ 4,355    

McAfee, LLC, Term Loan B

    5.699%       

1-Month LIBOR +
CME Term SOFR
1 Week
 
 
 
     4.000%        2/03/29        BB+      $ 4,174,744  
  9,000    

Nortonlifelock Inc, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        8,783,460  
  2,484    

Polaris Newco LLC, Term Loan B

    6.372%        1-Month LIBOR        4.000%        6/04/28        B2        2,365,929  
  741    

Project Ruby Ultimate Parent Corp., Term Loan

    5.622%        1-Month LIBOR        3.250%        3/10/28        B        709,689  
  2,237    

Proofpoint, Inc., Term Loan, First Lien

    4.825%        3-Month LIBOR        3.250%        8/31/28        BB–        2,154,277  
  1,074    

RealPage, Inc, Term Loan, First Lien

    5.372%        1-Month LIBOR        3.000%        4/22/28        B+        1,036,176  
  5,343    

Seattle Spinco, Inc., Term Loan B3

    5.122%        1-Month LIBOR        2.750%        6/21/24        BB+        4,982,243  
  4,278    

Seattle Spinco, Inc., Term Loan B5

    6.253%        SOFR30A        4.000%        1/14/27        BB+        3,753,967  
  9,962    

Sophia, L.P., Term Loan B

    5.500%        3-Month LIBOR        3.250%        10/07/27        B2        9,626,059  
  2,774    

SS&C European Holdings Sarl, Term Loan B4

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        2,716,507  
  3,418    

SS&C Technologies Inc., Term Loan B3

    4.122%        1-Month LIBOR        1.750%        4/16/25        BB+        3,346,329  
  7,676    

Ultimate Software Group Inc (The), Term Loan

    5.535%        3-Month LIBOR        3.250%        5/03/26        B1        7,461,443  
  14,588    

Ultimate Software Group Inc (The), Term Loan B

    6.122%        1-Month LIBOR        3.750%        5/03/26        B1        14,222,812  
  2,233    

Vision Solutions, Inc., Term Loan

    6.783%        3-Month LIBOR        4.000%        5/28/28        B2        2,074,567  
  6,444    

Zelis Healthcare Corporation, Term Loan

    5.213%        1-Month LIBOR        3.500%        9/30/26        B        6,294,114  
  148,089    

Total Software

                                                 141,444,756  
      Specialty Retail – 3.9% (2.4% of Total Investments)  
  1,296    

Academy, Ltd., Term Loan

    5.463%        1-Month LIBOR        3.750%        11/06/27        BB–        1,253,971  
  1,540    

Avis Budget Car Rental, LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        1,455,731  
  2,553    

Avis Budget Car Rental, LLC, Term Loan C, (DD1)

    5.927%        SOFR30A        3.500%        3/15/29        BB+        2,508,119  
  763    

Driven Holdings, LLC, Term Loan B

    3.517%        3-Month LIBOR        3.000%        12/17/28        B2        740,195  
  2,882    

Jo-Ann Stores, Inc., Term Loan B1

    7.516%        3-Month LIBOR        4.750%        6/30/28        B–        1,963,562  
  2,841    

LBM Acquisition LLC, Term Loan B

    5.416%        1-Week LIBOR        3.750%        12/18/27        B+        2,450,982  
  1,078    

Les Schwab Tire Centers, Term Loan B

    4.000%        3-Month LIBOR        3.250%        11/02/27        B        1,042,474  
  988    

Park River Holdings Inc, Term Loan

    5.527%        3-Month LIBOR        3.250%        12/28/27        B+        882,325  
  16,196    

PetSmart, Inc., Term Loan B

    6.120%        1-Month LIBOR        3.750%        2/12/28        BB–        15,653,092  
  3,970    

Restoration Hardware, Inc., Term Loan B

    4.872%        1-Month LIBOR        2.500%        10/15/28        BB        3,607,241  
  761    

SRS Distribution Inc., Term Loan

    6.177%        SOFR90A        3.500%        6/04/28        B2        727,558  
  34,868    

Total Specialty Retail

                                                 32,285,250  
      Textiles, Apparel & Luxury Goods – 0.4% (0.3% of Total Investments)  
  3,217    

Birkenstock GmbH & Co. KG, Term Loan B

    5.098%        6-Month LIBOR        3.250%        4/28/28        BB–        3,020,428  
  641    

New Trojan Parent, Inc., Term Loan, First Lien

    5.150%        1-Month LIBOR        3.250%        1/06/28        B        572,661  
  3,858    

Total Textiles, Apparel & Luxury Goods

                                                 3,593,089  
      Trading Companies & Distributors – 1.8% (1.1% of Total Investments)  
  13,689    

Core & Main LP, Term Loan B

    4.800%        3-Month LIBOR        2.500%        6/10/28        Ba3        13,256,765  
  1,481    

Resideo Funding Inc., Term Loan

    4.220%        1 + 3-Month LIBOR        2.250%        2/12/28        BBB–        1,449,151  
  9    

Univar Solutions USA Inc., Term Loan B6

    4.122%        1-Month LIBOR        1.750%        6/03/28        BBB–        8,403  
  15,179    

Total Trading Companies & Distributors

                                                 14,714,319  
      Transportation Infrastructure – 0.5% (0.3% of Total Investments)  
  2,213    

Brown Group Holding, LLC, Term Loan B

    4.872%        1-Month LIBOR        2.500%        4/22/28        B+        2,135,478  
  1,800    

Brown Group Holding, LLC, Term Loan B2

    6.327%        SOFR30A        3.750%        6/09/29        B+        1,767,186  
  4,013    

Total Transportation Infrastructure

                                                 3,902,664  
      Wireless Telecommunication Services – 1.2% (0.7% of Total Investments)  
  1,485    

GOGO Intermediate Holdings LLC, Term Loan B

    6.556%        3-Month LIBOR        3.750%        4/30/28        B+        1,451,959  
  7,602    

Intelsat Jackson Holdings S.A., Term Loan B

    4.920%        SOFR180A        4.250%        1/27/29        BB–        7,205,943  
  1,485    

MetroNet Systems Holdings, LLC, Term Loan, First Lien

    5.694%        SOFR30A        3.750%        6/02/28        B        1,421,941  
  10,572    

Total Wireless Telecommunication Services

                                                 10,079,843  
  1,216,729    

Total Variable Rate Senior Loan Interests (cost $1,201,220,429)

 

                                         1,136,207,578  

 

90


  
  

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 22.9% (14.0% of Total Investments)

 

      Airlines – 0.9% (0.6% of Total Investments)  
$ 5,000    

Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd, 144A (9)

 

     6.500%        6/20/27        Baa3      $ 5,049,950  
  1,623    

United Airlines Inc, 144A (9)

          4.625%        4/15/29        Ba1        1,495,189  
  1,201    

United Airlines Inc, 144A (9)

                      4.375%        4/15/26        Ba1        1,152,960  
  7,824    

Total Airlines

                                                 7,698,099  
      Auto Components – 0.4% (0.3% of Total Investments)  
  2,699    

Clarios Global LP / Clarios US Finance Co, 144A (9)

          6.250%        5/15/26        B1        2,715,599  
  1,000    

Hertz Corp/The, 144A

                      5.000%        12/01/29        B+        855,045  
  3,699    

Total Auto Components

                                                 3,570,644  
      Capital Markets – 0.1% (0.1% of Total Investments)  
  1,000    

LPL Holdings Inc, 144A (9)

                      4.625%        11/15/27        BB        969,190  
      Chemicals – 0.2% (0.1% of Total Investments)  
  2,138    

Rayonier AM Products Inc, 144A (9)

                      7.625%        1/15/26        B+        1,913,510  
      Commercial Services & Supplies – 1.0% (0.6% of Total Investments)  
  1,200    

GFL Environmental Inc, 144A (9)

          5.125%        12/15/26        BB–        1,207,812  
  2,650    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A (9)

 

     6.250%        1/15/28        B–        2,429,202  
  2,500    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A (9)

 

     3.375%        8/31/27        BB–        2,280,050  
  2,316    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A (9)

 

     5.750%        4/15/26        BB–        2,353,681  
  8,666    

Total Commercial Services & Supplies

                                                 8,270,745  
      Communications Equipment – 1.9% (1.1% of Total Investments)  
  16,759    

Avaya Inc, 144A (9)

          6.125%        9/15/28        BB–        7,872,205  
  2,250    

Commscope Inc, 144A (9)

          8.250%        3/01/27        CCC+        1,957,500  
  6,750    

CommScope Technologies LLC, 144A (9)

                      5.000%        3/15/27        CCC+        5,549,749  
  25,759    

Total Communications Equipment

                                                 15,379,454  
      Diversified Telecommunication Services – 1.0% (0.6% of Total Investments)  
  2,000    

Frontier Communications Holdings LLC

          5.875%        11/01/29        CCC+        1,680,000  
  6,313    

Frontier Communications Holdings LLC, 144A (9)

                      5.875%        10/15/27        BB+        6,219,189  
  8,313    

Total Diversified Telecommunication Services

                                                 7,899,189  
      Electric Utilities – 0.0% (0.0% of Total Investments)  
  3,750    

Bruce Mansfield Unit 1 2007 Pass Through Trust (5)

                      6.850%        6/01/34        N/R        4,687  
      Electronic Equipment, Instruments & Components – 0.4% (0.2% of Total Investments)  
  3,206    

Imola Merger Corp, 144A (9)

                      4.750%        5/15/29        BB+        2,997,610  
      Entertainment – 1.2% (0.7% of Total Investments)  
  10,390    

AMC Entertainment Holdings Inc, 144A (9)

          10.000%        6/15/26        CCC–        8,219,633  
  4,040    

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

 

     5.375%        8/15/26        CCC+        888,800  
  5,750    

Diamond Sports Group LLC / Diamond Sports Finance Co, 144A

                      6.625%        8/15/27        CCC–        531,875  
  20,180    

Total Entertainment

                                                 9,640,308  
      Food & Staples Retailing – 0.5% (0.3% of Total Investments)  
  4,000    

Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC, 144A (9)

 

     4.625%        1/15/27        BB        3,778,764  
      Food Products – 0.2% (0.1% of Total Investments)  
  2,000    

H-Food Holdings LLC / Hearthside Finance Co Inc, 144A (9)

 

              8.500%        6/01/26        CCC        1,325,142  
      Health Care Providers & Services – 2.8% (1.7% of Total Investments)  
  725    

CHS/Community Health Systems Inc, 144A (9)

          8.000%        12/15/27        BB–        688,750  
  1,215    

CHS/Community Health Systems Inc, 144A (9)

          8.000%        3/15/26        BB–        1,160,325  
  2,000    

CHS/Community Health Systems Inc, 144A (9)

          6.875%        4/15/29        CCC        1,110,000  
  4,750    

Legacy LifePoint Health LLC, 144A (9)

          4.375%        2/15/27        B1        4,215,625  
  6,871    

LifePoint Health Inc, 144A (9)

          5.375%        1/15/29        CCC+        5,301,664  
  2,225    

Team Health Holdings Inc, 144A (9)

          6.375%        2/01/25        CCC        1,516,601  
  1,201    

Tenet Healthcare Corp, 144A

          4.875%        1/01/26        BB–        1,182,865  

 

91


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Health Care Providers & Services (continued)  
$ 8,500    

Tenet Healthcare Corp, 144A (9)

                      6.125%        10/01/28        B+      $ 8,287,500  
  27,487    

Total Health Care Providers & Services

                                                 23,463,330  
      Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)  
  1,193    

1011778 BC ULC / New Red Finance Inc, 144A (9)

 

     3.500%        2/15/29        BB+        1,086,799  
  1,918    

1011778 BC ULC / New Red Finance Inc, 144A (9)

          4.000%        10/15/30        B+        1,668,660  
  1,623    

Caesars Entertainment Inc, 144A (9)

          6.250%        7/01/25        B1        1,618,943  
  1,201    

Life Time Inc, 144A (9)

                      5.750%        1/15/26        B        1,128,964  
  5,935    

Total Hotels, Restaurants & Leisure

                                                 5,503,366  
      Independent Power Producers & Energy Traders – 0.5% (0.3% of Total Investments)  
  3,890    

Talen Energy Supply LLC, 144A (5)

                      7.625%        6/01/28        N/R        3,856,053  
      Insurance – 0.1% (0.0% of Total Investments)  
  625    

Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A (9)

 

              4.250%        10/15/27        B        582,544  
      Interactive Media & Services – 0.4% (0.3% of Total Investments)  
  4,391    

Rackspace Technology Global Inc, 144A (9)

                      3.500%        2/15/28        B+        3,629,039  
      IT Services – 0.3% (0.2% of Total Investments)                              
  2,988    

Ahead DB Holdings LLC, 144A (9)

                      6.625%        5/01/28        CCC+        2,758,193  
      Media – 2.8% (1.7% of Total Investments)                              
  3,000    

Clear Channel Outdoor Holdings Inc, 144A (9)

          5.125%        8/15/27        B1        2,774,460  
  2,400    

Clear Channel Outdoor Holdings Inc, 144A (9)

          7.500%        6/01/29        CCC        1,932,000  
  3,675    

Clear Channel Outdoor Holdings Inc, 144A (9)

          7.750%        4/15/28        CCC        2,955,876  
  5,466    

CSC Holdings LLC, 144A (9)

          3.375%        2/15/31        BB        4,372,800  
  5,000    

Directv Financing LLC / Directv Financing Co-Obligor Inc, 144A (9)

          5.875%        8/15/27        BBB–        4,657,950  
  18    

iHeartCommunications Inc

          6.375%        5/01/26        BB–        17,309  
  2,799    

McGraw-Hill Education Inc, 144A (9)

          5.750%        8/01/28        BB+        2,510,451  
  3,990    

VZ Secured Financing BV, 144A

                      5.000%        1/15/32        BB        3,558,322  
  26,348    

Total Media

                                                 22,779,168  
      Metals & Mining – 0.5% (0.3% of Total Investments)                              
  2,120    

First Quantum Minerals Ltd, 144A (9)

          6.875%        10/15/27        B+        2,019,300  
  2,000    

First Quantum Minerals Ltd, 144A (9)

                      6.500%        3/01/24        B+        1,985,000  
  4,120    

Total Metals & Mining

                                                 4,004,300  
      Oil, Gas & Consumable Fuels – 2.7% (1.7% of Total Investments)                              
  2,000    

Calumet Specialty Products Partners LP / Calumet Finance Corp, 144A (9)

          8.125%        1/15/27        B–        1,722,660  
  2,000    

Citgo Petroleum Corp, 144A (9)

          7.000%        6/15/25        BB        1,969,900  
  1,450    

Gulfport Energy Corp, 144A (9)

          8.000%        5/17/26        BB–        1,457,003  
  3,201    

Hilcorp Energy I LP / Hilcorp Finance Co, 144A (9)

          6.250%        11/01/28        BB+        3,099,992  
  1,535    

Laredo Petroleum Inc (9)

          9.500%        1/15/25        B        1,572,700  
  3,700    

Matador Resources Co (9)

          5.875%        9/15/26        BB–        3,764,750  
  1,201    

MEG Energy Corp, 144A (9)

          5.875%        2/01/29        BB–        1,140,950  
  6,503    

NGL Energy Operating LLC / NGL Energy Finance Corp, 144A (9)

          7.500%        2/01/26        BB–        5,940,946  
  750    

NGL Energy Partners LP / NGL Energy Finance Corp (9)

          7.500%        4/15/26        CCC+        566,167  
  500    

NGL Energy Partners LP / NGL Energy Finance Corp (9)

          6.125%        3/01/25        CCC+        392,355  
  500    

NGL Energy Partners LP / NGL Energy Finance Corp (9)

          7.500%        11/01/23        CCC+        467,275  
  485    

PBF Holding Co LLC / PBF Finance Corp

                      7.250%        6/15/25        BB–        478,414  
  23,825    

Total Oil, Gas & Consumable Fuels

 

                                         22,573,112  
      Pharmaceuticals – 1.0% (0.6% of Total Investments)                              
  1,000    

Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A

          5.875%        10/15/24        Caa2        810,000  
  913    

Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A

          6.000%        6/30/28        C        59,345  
  7,000    

Horizon Therapeutics USA Inc, 144A (9)

          5.500%        8/01/27        Ba2        6,943,300  
  362    

Par Pharmaceutical Inc, 144A (9)

                      7.500%        4/01/27        Caa2        291,710  
  9,275    

Total Pharmaceuticals

                                                 8,104,355  

 

92


  
  

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Professional Services – 0.2% (0.1% of Total Investments)                              
$ 2,000    

Verscend Escrow Corp, 144A (9)

                      9.750%        8/15/26        CCC+      $ 2,008,910  
      Software – 0.6% (0.3% of Total Investments)                              
  1,702    

Change Healthcare Holdings LLC / Change Healthcare Finance Inc, 144A (9)

          5.750%        3/01/25        B–        1,693,780  
  1,750    

Condor Merger Sub Inc, 144A

          7.375%        2/15/30        CCC+        1,536,456  
  1,500    

SS&C Technologies Inc, 144A (9)

                      5.500%        9/30/27        B+        1,477,530  
  4,952    

Total Software

                                                 4,707,766  
      Specialty Retail – 1.1% (0.7% of Total Investments)                              
  3,900    

Academy Ltd, 144A (9)

          6.000%        11/15/27        BB–        3,615,378  
  3,525    

Hertz Corp/The, 144A

          4.625%        12/01/26        B+        3,137,250  
  1,188    

PetSmart Inc / PetSmart Finance Corp, 144A (9)

          4.750%        2/15/28        BB–        1,127,388  
  675    

PetSmart Inc / PetSmart Finance Corp, 144A (9)

          7.750%        2/15/29        B3        649,836  
  545    

Staples Inc, 144A (9)

                      7.500%        4/15/26        B        482,325  
  9,833    

Total Specialty Retail

                                                 9,012,177  
      Trading Companies & Distributors – 0.6% (0.4% of Total Investments)                              
  6,000    

Air Lease Corp (9)

                      3.000%        2/01/30        BBB        5,054,775  
      Wireless Telecommunication Services – 0.9% (0.6% of Total Investments)                       
  4,000    

Hughes Satellite Systems Corp (9)

          5.250%        8/01/26        BBB–        4,058,800  
  3,990    

Vmed O2 UK Financing I PLC, 144A (9)

                      4.250%        1/31/31        BB+        3,494,801  
  7,990    

Total Wireless Telecommunication Services

 

                                7,553,601  
  230,194    

Total Corporate Bonds (cost $213,390,634)

 

                                189,038,031  
Shares     Description (1)                                           Value  
      COMMON STOCKS – 1.3% (0.8% of Total Investments)                              
      Diversified Consumer Services – 0.1% (0.0% of Total Investments)                              
  41,905    

Cengage Learning Holdings II Inc (10), (11)

                                               $ 584,575  
      Energy Equipment & Services – 0.4% (0.3% of Total Investments)                              
  31,033    

Quarternorth Energy Holding Inc (10), (11)

                   3,354,140  
  31,358    

Vantage Drilling International (10), (11)

 

                                         466,450  
 

Total Energy Equipment & Services

 

                                         3,820,590  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                              
  198,883    

Millennium Health LLC (8), (11)

                   9,144  
  211,860    

Millennium Health LLC (8), (11)

 

                                         30,942  
 

Total Health Care Providers & Services

 

                                         40,086  
      Independent Power and Renewable Electricity Producers – 0.7% (0.4% of Total Investments)                
  80,962    

Energy Harbor Corp (10), (11), (12)

                                                 5,578,282  
      Internet & Direct Marketing Retail – 0.0% (0.0% of Total Investments)                
  9,796    

Catalina Marketing Corp (10), (11)

                                                 2,077  
      Media – 0.0% (0.0% of Total Investments)                              
  8    

Cumulus Media Inc, Class A (11)

                                                 63  
      Multiline Retail – 0.0% (0.0% of Total Investments)                              
  196    

PEABODYENERGY WTS (10), (11)

                                                 1,715  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                
  5,773    

California Resources Corp

                                                 258,977  
      Professional Services – 0.1% (0.1% of Total Investments)                              
  164,471    

Skillsoft Corp (11)

                                                 631,568  
 

Total Common Stocks (cost $16,781,542)

 

                                         10,917,933  

 

93


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2022

 

Shares     Description (1)                                           Value  
      WARRANTS – 0.3% (0.2% of Total Investments)                              
      Energy Equipment & Services – 0.3% (0.2% of Total Investments)                              
  17,602    

Quarternorth Energy Holding Inc (10)

                 $ 1,902,477  
  72,802    

Quarternorth Energy Holding Inc (10)

                   327,609  
  37,801    

Quarternorth Energy Holding Inc (10)

                                                 283,508  
       

Total Energy Equipment & Services

 

                                         2,513,594  
      Entertainment – 0.0% (0.0% of Total Investments)                              
  266,347    

Cineworld Warrant (10)

                                                 27,434  
      Media – 0.0% (0.0% of Total Investments)                              
  4,644    

Tenerity Inc (8)

                                                 5  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                              
  629    

California Resources Corp

                                                 9,183  
      Software – 0.0% (0.0% of Total Investments)                              
  37,723    

Avaya Holdings Corp (10)

 

                                         1,056  
 

Total Warrants (cost $6,752,229)

 

                                         2,551,272  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      CONVERTIBLE BONDS – 0.2% (0.1% of Total Investments)                              
      Media – 0.2% (0.1% of Total Investments)                              
$ 2,000    

DISH Network Corp

                      3.375%        8/15/26        B2      $ 1,423,089  
  2,000    

Total Convertible Bonds (cost $2,047,171)

 

                                         1,423,089  
Shares     Description (1)                   Coupon              Ratings (4)      Value  
      CONVERTIBLE PREFERRED SECURITIES – 0.0% (0.0% of Total Investments)                       
      Communications Equipment – 0.0% (0.0% of Total Investments)                              
  34,377    

Riverbed Technology Inc (10), (11)

                      0.000%                 N/R      $ 137,507  
 

Total Convertible Preferred Securities (cost $784,092)

 

              137,507  
 

Total Long-Term Investments (cost $1,440,976,097)

 

              1,340,275,410  
Shares     Description (1)                   Coupon                      Value  
      SHORT-TERM INVESTMENTS – 1.6% (1.0% of Total Investments)                              
      INVESTMENT COMPANIES – 1.6% (1.0% of Total Investments)                              
  13,347,241    

BlackRock Liquidity Funds T-Fund

                      1.953% (13)                        $ 13,347,241  
 

Total Short-Term Investments (cost $13,347,241)

 

                                13,347,241  
 

Total Investments (cost $1,454,323,338) – 163.7%

 

                                1,353,622,651  
 

Borrowings – (29.8)% (14), (15)

 

                                (246,000,000
 

Reverse Repurchase Agreements, including accrued interest – (17.2)% (16)

 

              (142,216,236
 

Taxable Fund Preferred Shares, net of deferred offering costs – (16.8)% (17)

 

              (139,290,577
 

Other Assets Less Liabilities – 0.1%

 

                                914,733  
 

Net Assets Applicable to Common Shares – 100%

 

                              $ 827,030,571  

 

94


  
  

 

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

 

(1)

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy.

 

(6)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment.

 

(7)

Principal Amount (000) rounds to less than $1,000.

 

(8)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

 

(9)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. As of the end of the reporting period, investments with a value of $168,971,216 have been pledged as collateral for reverse repurchase agreements.

 

(10)

For fair value measurement disclosure purposes, investment classified as Level 2.

 

(11)

Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

 

(12)

Common Stock received as part of the bankruptcy settlements during February 2020 for Bruce Mansfield Unit 1 2007 Pass-Through Trust.

 

(13)

The rate shown is the annualized seven-day subsidized yield as of end of the reporting period.

 

(14)

Borrowings as a percentage of Total Investments is 18.2%.

 

(15)

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

 

(16)

Reverse Repurchase Agreements, including accrued interest as a percentage of Total investments is 10.5%.

 

(17)

Taxable Fund Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 10.3%.

 

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.

 

CME

Chicago Mercantile Exchange

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable.

 

PIK

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

 

REIT

Real Estate Investment Trust

 

SOFR  180A

180 Day Average Secured Overnight Financing Rate

 

SOFR  30A

30 Day Average Secured Overnight Financing Rate

 

SOFR  90A

90 Day Average Secured Overnight Financing Rate

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

95


Statement of Assets and Liabilities

July 31, 2022

 

     NSL     JFR     JRO     JSD     JQC  

Assets

         

Long-term investments, at value (cost $362,199,757, $919,643,155, $648,471,485, $243,458,306 and $1,440,976,097, respectively)

  $ 337,082,212     $ 859,129,403     $ 605,299,107     $ 226,611,996     $ 1,340,275,410  

Short-term investments, at value (cost approximates value)

          8,891,025       10,093,889       5,060,888       13,347,241  

Cash

    10,855,455       2,449,166       4,304,723       353,805       2,077,920  

Cash denominated in foreign currencies (cost $—,$—,$—,$— and $17, respectively)

                            15  

Receivable for:

         

Interest

    2,756,231       5,793,572       4,538,640       1,672,319       9,635,849  

Investments sold

    14,149,790       33,227,627       21,665,158       6,539,140       43,718,919  

Reclaims

                            16,645  

Other assets

    110,268       274,782       132,762       92,093       582,500  

Total assets

    364,953,956       909,765,575       646,034,279       240,330,241       1,409,654,499  

Liabilities

         

Borrowings

    92,800,000       233,400,000       162,100,000       18,000,000       246,000,000  

Reverse repurchase agreements, including accrued interest

                            142,216,236  

Payable for:

         

Dividends

    1,451,369       3,732,594       2,627,658       971,555       5,604,579  

Investments purchased – regular settlement

    5,155,507       4,934,284       6,204,632       598,918       433,894  

Investments purchased – when-issued/delayed-delivery settlement

    12,448,941       31,468,796       21,977,526       9,627,222       45,709,141  

Offering costs

                            298,479  

Unfunded senior loans

    168,382       1,189,306       354,118       351,317       763,143  

Taxable Fund Preferred (“TFP”) Shares, net of deferred offering costs (liquidation preference $40,000,000, $100,000,000, $75,000,000, $70,000,000 and $140,000,000, respectively)

    39,615,370       99,384,451       74,709,275       69,631,527       139,290,577  

Accrued expenses:

         

Interest

    19,098       50,705             45,302       470,940  

Management fees

    234,346       580,438       413,918       155,245       929,097  

Trustees fees

    96,262       183,020       116,457       22,612       463,622  

Other

    96,298       449,544       60,972       74,298       444,220  

Total liabilities

    152,085,573       375,373,138       268,564,556       99,477,996       582,623,928  

Commitments and contingencies (as disclosed in Note 8)

                                       

Net assets applicable to common shares

  $ 212,868,383     $ 534,392,437     $ 377,469,723     $ 140,852,245     $ 827,030,571  

Common shares outstanding

    38,611,472       56,918,468       40,541,218       10,085,648       135,609,290  

Net asset value (“NAV”) per common share outstanding

  $ 5.51     $ 9.39     $ 9.31     $ 13.97     $ 6.10  

Net assets applicable to common shares consist of:

                                       

Common shares, $0.01 par value per share

  $ 386,115     $ 569,185     $ 405,412     $ 100,856     $ 1,356,093  

Paid-in-surplus

    284,412,722       702,273,610       498,026,492       189,983,844       1,151,113,520  

Total distributable earnings (loss)

    (71,930,454     (168,450,358     (120,962,181     (49,232,455     (325,439,042

Net assets applicable to common shares

  $ 212,868,383     $ 534,392,437     $ 377,469,723     $ 140,852,245     $ 827,030,571  

Authorized shares:

         

Common

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  

Preferred

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  

 

See accompanying notes to financial statements.

 

96


Statement of Operations

Year Ended July 31, 2022

 

      NSL        JFR        JRO        JSD        JQC  

Investment Income

                      

Interest and dividends

   $ 17,369,277        $ 42,810,889        $ 30,776,249        $ 11,998,438        $ 67,019,669  

Fees

     480,781          1,463,645          740,509          263,695          1,270,114  

Total investment income

     17,850,058          44,274,534          31,516,758          12,262,133          68,289,783  

Expenses

                      

Management fees

     2,933,281          7,263,725          5,170,255          1,951,266          11,726,736  

Interest expense and amortization of offering costs

     1,884,399          3,617,204          3,245,939          729,964          8,060,011  

Liquidity fees

              877,749                   599,966          171,108  

Remarketing fees

              101,390                   70,971          21,000  

Custodian fees

     106,686          194,011          152,729          87,122          270,164  

Trustees fees

     11,258          28,266          19,960          7,492          45,023  

Professional fees

     97,585          141,460          109,743          100,876          334,982  

Shareholder reporting expenses

     48,684          89,085          73,458          19,662          212,800  

Shareholder servicing agent fees

     1,577          4,197          5,532          703          3,484  

Stock exchange listing fees

     11,358          16,744          11,926          7,175          39,894  

Investor relations expenses

     77,589          153,562          120,458          31,489          309,512  

Other

     54,818          39,762          35,120          49,716          34,913  

Total expenses

     5,227,235          12,527,155          8,945,120          3,656,402          21,229,627  

Net investment income (loss)

     12,622,823          31,747,379          22,571,638          8,605,731          47,060,156  

Realized and Unrealized Gain (Loss)

                      

Net realized gain (loss) from investments and foreign currency

     (3,252,535        (6,113,575        (3,846,944        (3,095,456        (15,170,323

Change in net unrealized appreciation (depreciation) of

                      

investments and foreign currency

     (15,788,743        (40,639,786        (29,259,629        (10,560,146        (77,831,207

Net realized and unrealized gain (loss)

     (19,041,278        (46,753,361        (33,106,573        (13,655,602        (93,001,530

Net increase (decrease) in net assets applicable to common shares from operations

   $ (6,418,455      $ (15,005,982      $ (10,534,935      $ (5,049,871      $ (45,941,374

 

See accompanying notes to financial statements.

 

97


Statement of Changes in Net Assets

 

    NSL     JFR  
    

Year
Ended
7/31/22

    Year
Ended
7/31/21
   

Year
Ended
7/31/22

       Year
Ended
7/31/21
 

Operations

          

Net investment income (loss)

  $ 12,622,823     $ 12,511,395     $ 31,747,379        $ 30,818,550  

Net realized gain (loss) from:

          

Investments and foreign currency

    (3,252,535     (6,289,690     (6,113,575        (13,015,328

Swaps

                         700,593  

Change in net unrealized appreciation (depreciation) of:

          

Investments and foreign currency

    (15,788,743     30,109,941       (40,639,786        72,362,728  

Swaps

                         (712,604

Net increase (decrease) in net assets applicable to common shares from operations

    (6,418,455     36,331,646       (15,005,982        90,153,939  

Distributions to Common Shareholders

          

Dividends

    (13,508,860     (14,807,499     (35,004,216        (35,545,583

Return of Capital

    (2,418,372           (5,066,385         

Decrease in net assets applicable to common shares from distributions to common shareholders

    (15,927,232     (14,807,499     (40,070,601        (35,545,583

Net increase (decrease) in net assets applicable to common shares

    (22,345,687     21,524,147       (55,076,583        54,608,356  

Net assets applicable to common shares at the beginning of period

    235,214,070       213,689,923       589,469,020          534,860,664  

Net assets applicable to common shares at the end of period

  $ 212,868,383     $ 235,214,070     $ 534,392,437        $ 589,469,020  

 

See accompanying notes to financial statements.

 

98


 

    JRO     JSD  
    

Year
Ended
7/31/22

    Year
Ended
7/31/21
   

Year
Ended
7/31/22

       Year
Ended
7/31/21
 

Operations

          

Net investment income (loss)

  $ 22,571,638     $ 21,709,499     $ 8,605,731        $ 8,086,949  

Net realized gain (loss) from:

          

Investments and foreign currency

    (3,846,944     (9,129,575     (3,095,456        (4,645,577

Swaps

          573,213                 

Change in net unrealized appreciation (depreciation) of:

          

Investments and foreign currency

    (29,259,629     51,259,397       (10,560,146        21,559,851  

Swaps

          (583,039               

Net increase (decrease) in net assets applicable to common shares from operations

    (10,534,935     63,829,495       (5,049,871        25,001,223  

Distributions to Common Shareholders

          

Dividends

    (24,262,762     (24,932,849     (9,578,145        (9,490,595

Return of Capital

    (4,035,008           (1,011,785         

Decrease in net assets applicable to common shares from distributions to common shareholders

    (28,297,770     (24,932,849     (10,589,930        (9,490,595

Net increase (decrease) in net assets applicable to common shares

    (38,832,705     38,896,646       (15,639,801        15,510,628  

Net assets applicable to common shares at the beginning of period

    416,302,428       377,405,782       156,492,046          140,981,418  

Net assets applicable to common shares at the end of period

  $ 377,469,723     $ 416,302,428     $ 140,852,245        $ 156,492,046  

 

See accompanying notes to financial statements.

 

99


Statement of Changes in Net Assets (continued)

 

     JQC  
     

Year
Ended
7/31/22

     Year
Ended
7/31/21
 

Operations

     

Net investment income (loss)

   $ 47,060,156      $ 43,882,774  

Net realized gain (loss) from:

     

Investments and foreign currency

     (15,170,323      (6,889,132

Swaps

             

Change in net unrealized appreciation (depreciation) of:

     

Investments and foreign currency

     (77,831,207      83,403,124  

Swaps

             

Net increase (decrease) in net assets applicable to common shares from operations

     (45,941,374      120,396,766  

Distributions to Common Shareholders

     

Dividends

     (47,176,021      (40,633,984

Return of Capital

     (17,563,855      (74,850,888

Decrease in net assets applicable to common shares from distributions to common shareholders

     (64,739,876      (115,484,872

Net increase (decrease) in net assets applicable to common shares

     (110,681,250      4,911,894  

Net assets applicable to common shares at the beginning of period

     937,711,821        932,799,927  

Net assets applicable to common shares at the end of period

   $ 827,030,571      $ 937,711,821  

 

See accompanying notes to financial statements.

 

100


Statement of Cash Flows

Year Ended July 31, 2022

 

     NSL        JFR        JRO        JSD        JQC  

Cash Flows from Operating Activities:

                     

Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations

  $ (6,418,455      $ (15,005,982      $ (10,534,935      $ (5,049,871      $ (45,941,374

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

    (133,252,519        (348,025,497        (237,083,253        (93,979,052        (489,716,676

Proceeds from sales and maturities of investments

    140,653,369          364,006,642          244,330,115          97,197,763          567,977,816  

Proceeds from (Purchase of) short-term investments, net

    10,416,772          31,366,860          16,266,315          5,638,480          48,836  

Payment-in-kind distributions

    (242,857        (3,070,139        (336,330        (1,035,678        (1,353,526

Proceeds from litigation settlement

                                        47,336  

Amortization (Accretion) of premiums and discounts, net

    (1,470,420        (3,166,251        (2,498,493        (1,071,951        (3,755,858

Amortization of deferred offering costs

    46,577          73,066          34,861          50,771          10,577  

(Increase) Decrease in:

                     

Receivable for interest

    (530,662        (988,335        (742,098        (294,130        (1,174,459

Receivable for investments sold

    5,360,055          709,457          10,164,240          2,452,551          5,398,233  

Other assets

    6,221          56,551          4,709          (4,825        (46,598

Increase (Decrease) in:

                     

Payable for investments purchased – regular settlement

    4,322,284          2,768,397          4,819,416          31,409          (8,367,517

Payable for investments purchased – when-issued/delayed

    (8,849,614        (27,996,445        (20,931,124        (5,222,546        (34,250,915

Payable for unfunded senior loans

    (1,528,542        (885,252        (2,755,662        (197,695        (1,078,619

Payable for offering costs

                                        298,479  

Accrued management fees

    (18,677        (45,827        (31,738        (13,233        (92,782

Accrued interest

    (56,182        (135,471        (127,620        29,905          136,587  

Accrued Trustees fees

    (16,171        (28,313        (17,651        (2,616        (78,460

Accrued other expenses

    (65,650        (105,766        (121,983        (48,187        (148,055

Net realized (gain) loss from investments and foreign currency

    3,252,535          6,113,575          3,846,944          3,095,456          15,170,323  

Change in net unrealized (appreciation) depreciation of investments and foreign currency

    15,788,743          40,639,786          29,259,629          10,560,146          77,831,207  

Net cash provided by (used in) operating activities

    27,396,807          46,281,056          33,545,342          12,136,697          80,914,555  

Cash Flow from Financing Activities:

                     

(Payments for) deferred offering costs

                                        (720,000

(Repayments of) borrowings

    (1,500,000        (5,000,000        (2,400,000        (1,500,000        (156,000,000

Proceeds from TFP Shares issued, at liquidation preference

                                        140,000,000  

Increase (Decrease) in cash overdraft

                               (53        (186

Cash distributions paid to common shareholders

    (15,761,120        (39,619,025        (27,973,545        (10,456,817        (65,906,843

Net cash provided by (used in) financing activities

    (17,261,120        (44,619,025        (30,373,545        (11,956,870        (82,627,029

Net Increase (Decrease) in Cash and cash denominated in foreign currencies

    10,135,687          1,662,031          3,171,797          179,827          (1,712,474

Cash and cash denominated in foreign currencies at the beginning of period

    719,768          787,135          1,132,926          173,978          3,790,409  

Cash and cash denominated in foreign currencies at the end of period

  $ 10,855,455        $ 2,449,166          4,304,723          353,805        $ 2,077,935  

The following table provides a reconciliation of cash and cash denominated in foreign currencies to the statement of assets and liabilities:

 

Cash

  $ 10,855,455        $ 2,449,166        $ 4,304,723        $ 353,805        $ 2,077,920  

Cash denominated in foreign currencies

                                        15  

Total cash and cash denominated in foreign currencies

  $ 10,855,455        $ 2,449,166        $ 4,304,723        $ 353,805        $ 2,077,935  
Supplemental Disclosure of Cash Flow Information                                               

Cash paid for interest (excluding borrowing and amortization of offering costs)

  $ 1,864,945        $ 3,634,291        $ 3,338,461        $ 615,352        $ 7,895,217  

 

See accompanying notes to financial statements.

 

101


Financial Highlights

 

Selected data for a share outstanding throughout each period:

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Invest
ment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
    Return
of
Capital
    Total     Discount
Per
Share
Repurchased
and Retired
    Premium
Per
Share
Sold
through
Shelf
Offering
    Ending
NAV
    Ending
Share
Price
 

NSL

 

Year Ended 7/31:

 

2022

  $ 6.09     $ 0.33      $ (0.50    $ (0.17   $ (0.35   $     $ (0.06   $ (0.41   $     $     $ 5.51     $ 5.02  

2021

    5.53       0.32        0.62        0.94       (0.38                 (0.38                 6.09       5.74  

2020

    6.59       0.38        (1.02      (0.64     (0.42                 (0.42                 5.53       4.78  

2019

    6.91       0.45        (0.33      0.12       (0.44       —         —       (0.44       —       —       6.59       5.90  

2018

    6.97       0.43        (0.04      0.39       (0.45                 (0.45                 6.91       6.13  

JFR

 

Year Ended 7/31:

 

2022

    10.36       0.56        (0.83      (0.27     (0.61           (0.09     (0.70                 9.39       8.84  

2021

    9.40       0.54        1.04        1.58       (0.62                 (0.62                 10.36       9.76  

2020

    11.04       0.60        (1.54      (0.94     (0.70                 (0.70                 9.40       8.03  

2019

    11.55       0.70        (0.48      0.22       (0.73                 (0.73                 11.04       9.76  

2018

    11.76       0.66        (0.10      0.56       (0.77                 (0.77               11.55       10.30  

 

102


 

 

            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  (3.03 )%      (5.84 )%    $ 212,868       2.27     5.48     37
  17.48       28.97       235,214       2.20       5.49       43  
  (9.89     (12.19     213,690       3.05       6.28       43  
  1.81       3.60       254,487       3.26       6.77       31  
  5.91       (3.78     266,752       2.90       6.24       29  
                                             
         
  (2.84     (2.59     534,392       2.17       5.49       38  
  17.36       30.14       589,469       2.20       5.39       43  
  (8.82     (10.98     534,861       3.01       5.93       44  
  2.03       1.98       628,218       3.43       6.25       32  
  5.01       (6.64     657,157       2.99       5.68       29  

 

(a)

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

(b)

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

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

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 5 – Fund Shares) and/or borrowings (as described in Note 9 – Borrowing Arrangements and Reverse Repurchase Agreements), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

NSL

 

Year Ended 7/31:

 

2022

    0.82

2021

    0.73  

2020

    1.60  

2019

    1.84  

2018

    1.46  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JFR

 

Year Ended 7/31:

 

2022

    0.80

2021

    0.82  

2020

    1.64  

2019

    2.07  

2018

    1.61  
 

 

(d)

Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period.

*

Value rounded to zero.

 

See accompanying notes to financial statements.

 

103


Financial Highlights (continued)

 

Selected data for a share outstanding throughout each period:

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Investment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
    Return
of
Capital
     Total    

Discount

Per
Share
Repurchased
and Retired

    Premium
Per
Share
Sold
through
Shelf
Offering
    Ending
NAV
    Ending
Share
Price
 

JRO

 

Year Ended 7/31:

                        

2022

  $ 10.27     $ 0.56     $ (0.82   $ (0.26   $ (0.60   $     $ (0.10    $ (0.70   $     $     $ 9.31     $ 8.67  

2021

    9.31       0.54       1.04       1.58       (0.62       —         —        (0.62                 10.27       9.69  

2020

    10.94       0.59       (1.53     (0.94     (0.69                  (0.69                 9.31       7.97  

2019

    11.47       0.70       (0.49     0.21       (0.74                  (0.74       —       —       10.94       9.70  

2018

    11.70       0.66       (0.09     0.57       (0.80                  (0.80               11.47       10.23  

JSD

 

Year Ended 7/31:

                        

2022

    15.52       0.85       (1.35     (0.50     (0.95           (0.10      (1.05                 13.97       12.63  

2021

    13.98       0.80       1.68       2.48       (0.94                  (0.94                 15.52       14.40  

2020

    16.89       0.96       (2.79     (1.83     (1.08                  (1.08               13.98       11.64  

2019

    17.92       1.19       (0.98     0.21       (1.24                  (1.24                 16.89       15.36  

2018

    18.07       1.19       (0.04     1.15       (1.30                  (1.30                 17.92       16.67  

 

 

104


 

 

            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  (2.82 )%      (3.76 )%    $ 377,470       2.19     5.53     37
  17.42       30.14       416,302       2.19       5.39       41  
  (8.91     (11.13     377,406       3.07       5.85       43  
  1.94       2.19       443,700       3.31       6.37       34  
  5.06       (7.38     465,378       2.99       5.77       30  
                                             
         
  (3.52     (5.50     140,852       2.39       5.62       39  
  18.24       32.61       156,492       2.37       5.35       45  
  (11.19     (17.88     140,981       3.31       6.27       40  
  1.30       (0.30     170,487       3.45       6.89       33  
  6.66       1.33       180,884       2.96       6.69       29  

 

(a)

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

(b)

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

 

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

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 5 – Fund Shares) and/or borrowings (as described in Note 9 – Borrowing Arrangements and Reverse Repurchase Agreements), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JRO

 

Year Ended 7/31:

 

2022

    0.80

2021

    0.79  

2020

    1.68  

2019

    1.94  

2018

    1.59  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JSD

 

Year Ended 7/31:

 

2022

    0.91

2021

    0.70  

2020

    1.70  

2019

    2.00  

2018

    1.44  
 

 

(d)

Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period.

*

Value rounded to zero.

 

See accompanying notes to financial statements.

 

105


Financial Highlights (continued)

 

Selected data for a share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Investment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From
Net
Investment
Income
    From
Accumulated
Net
Realized
Gains
    Return
of
Capital
    Total     Discount
Per
Share
Repurchased
and Retired
    Ending
NAV
    Ending
Share
Price
 

JQC

 

Year Ended 7/31:

 

2022

  $ 6.91     $ 0.35     $ (0.68   $ (0.33   $ (0.35   $     $ (0.13   $ (0.48   $     $ 6.10     $ 5.50  

2021

    6.88       0.32       0.56       0.88       (0.30           (0.55     (0.85           6.91       6.53  

2020

    8.49       0.39       (0.87     (0.48     (0.39           (0.74     (1.13           6.88       5.88  

2019

    9.11       0.46       (0.17     0.29       (0.60       —       (0.31     (0.91       —     8.49       7.68  

2018

    9.32       0.44       (0.12     0.32       (0.53                 (0.53           9.11       7.89  

 

 

106


 

 

            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
        
Based
on
Share
Price(b)
    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  (5.15 )%      (8.93 )%    $ 827,031       2.35     5.20     33
  13.42       26.98       937,712       2.22       4.64       43  
  (5.91     (9.54     932,800       3.11       5.11       52  
  3.43       9.33       1,151,777       3.42       5.25       59  
  3.64       (3.09     1,237,262       3.01       4.84       45  

 

(a)

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

(b)

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

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

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 5 - Fund Shares) and/or reverse repurchase agreements and borrowings (as described in Note 9 – Borrowing Arrangements and Reverse Repurchase Agreements), where applicable.
    Each ratio includes the effect of all interest expense and other costs related to reverse repurchase agreements and borrowings, where applicable, as follows:

 

JQC   Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

Year Ended 7/31:

 

2022

    0.91

2021

    0.80  

2020

    1.72  

2019

    2.08  

2018

    1.67  

 

(d)

Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period.

*

Value rounded to zero.

 

See accompanying notes to financial statements.

 

107


Financial Highlights (continued)

 

The following table sets forth information regarding each Fund’s outstanding senior securities as of the end of each of the Fund’s last five fiscal periods, as applicable.

 

    Borrowings     TFP Shares     Term Preferred     Borrowings,
TFP Shares, and/or
Term Preferred
 
     Aggregate
Amount
Outstanding
(000)(a)
    Asset
Coverage
Per $1,000
Share(b)
    Aggregate
Amount
Outstanding
(000)(a)
    Asset
Coverage
Per $1,000
Share(b)
    Aggregate
Amount
Outstanding
(000)(a)
    Asset
Coverage
Per $1,000
Share(b)
    Asset
Coverage
Per $1
Liquidation
Preference
 

NSL

 

                                       

Year Ended 7/31:

             

2022

  $ 92,800     $ 3,725     $ 40,000     $ 2,603     $     $     $ 2.60  

2021

    94,300       3,918       40,000       2,751                   2.75  

2020

    86,200       3,862                   33,000       2,793       2.79  

2019

    114,000       3,610                   43,000       2,621       2.62  

2018

    114,000       3,717                   43,000       2,699       2.70  

JFR

 

                                       

Year Ended 7/31:

             

2022

    233,400       3,718       100,000       2,603                   2.60  

2021

    238,400       3,892       100,000       2,742                   2.74  

2020

    208,100       4,003                   90,000       2,794       2.79  

2019

    264,500       3,810                   115,000       2,655       2.66  

2018

    254,300       4,077                   125,200       2,732       2.73  

JRO

 

                                       

Year Ended 7/31:

             

2022

    162,100       3,791       75,000       2,592                   2.59  

2021

    164,500       3,987       75,000       2,738                   2.74  

2020

    164,900       3,562                   45,000       2,798       2.80  

2019

    178,800       3,951                   84,000       2,688       2.69  

2018

    178,800       4,073                   84,000       2,771       2.77  

JSD

 

                                       

Year Ended 7/31:

             

2022

    18,000       12,714       70,000       2,601                   2.60  

2021

    19,500       12,615       70,000       2,749                   2.75  

2020

    8,500       25,821       70,000       2,796                   2.80  

2019

    72,000       3,854                   35,000       2,593       2.59  

2018

    72,000       3,998                   35,000       2,691       2.69  

JQC

 

                                       

Year Ended 7/31:

             

2022

    246,000       4,931       140,000       3,143                   3.14  

2021

    402,000       3,333                                

2020

    402,000       3,320                                

2019

    480,000       3,400                                

2018

    561,000       3,205                                

 

(a)

Aggregate Amount Outstanding: Aggregate amount outstanding represents the principal amount outstanding or liquidation preference as of the end of the relevant fiscal year.

(b)

Asset Coverage Per $1,000: Asset coverage per $1,000 is calculated by subtracting the Fund’s liabilities and indebtedness not represented by senior securities from the Fund’s total assets, dividing the result by the aggregate amount of the Fund’s senior securities representing indebtedness then outstanding (if applicable,) plus the aggregate of the involuntary liquidation preference of the outstanding preferred shares, if applicable, and multiplying the result by 1,000.

 

 

108


Notes to Financial Statements

 

1. General Information

Fund Information

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

 

   

Nuveen Senior Income Fund (NSL)

 

   

Nuveen Floating Rate Income Fund (JFR)

 

   

Nuveen Floating Rate Income Opportunity Fund (JRO)

 

   

Nuveen Short Duration Credit Opportunities Fund (JSD)

 

   

Nuveen Credit Strategies Income Fund (JQC)

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

Current Fiscal Period

The end of the reporting period for the Funds is July 31, 2022, and the period covered by these Notes to Financial Statements is the fiscal year ended July 31, 2022 (the “current fiscal period”).

Investment Adviser and Sub-Adviser

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

Developments Regarding NSL’s, JFR’s, JRO’s and JSD’s Control Share By-Law

On January 14, 2021, the Funds’ Board of Trustees (the “Board”) received a shareholder demand letter (the “Demand Letter”) from Saba Capital CEF Opportunities 1, Ltd. and Saba Capital Management, L.P. (collectively, “Saba”) demanding that the Funds (i) rescind the Funds’ by-law provisions pursuant to which, in summary, a shareholder who obtains beneficial ownership of common shares in a Control Share Acquisition (as defined in the by-laws) shall have the same voting rights as other common shareholders only to the extent authorized by the other disinterested shareholders (the “Control Share By-Law”) and (ii) commence judicial action against the Board to ensure that the Control Share By-Law is withdrawn. Following review of the Demand Letter, the Board determined that it would not be in the best interests of the Funds or the Funds’ shareholders to take the actions requested in the Demand Letter. Also on January 14, 2021, Saba filed a civil complaint in the U.S. District Court for the Southern District of New York (the “District Court”) against the Funds, certain other Nuveen funds and the Board, seeking a declaration that the Control Share By-Law violates the 1940 Act, rescission of the Control Share By-Law and a permanent injunction against applying the Control Share By-Law. On February 18, 2022, the District Court granted judgment in favor of Saba’s claim for rescission of the Control Share By-Law and Saba’s declaratory judgment claim, and declared that the Control Share By-Law violates Section 18(i) of the 1940 Act. Following review of the judgment of the District Court, on February 22, 2022, the Board amended the Funds’ by-laws to provide that the Control Share By-Law shall be of no force and effect for so long as the judgment of the District Court is effective and that if the judgment of the District Court is reversed, overturned, vacated, stayed, or otherwise nullified, the Control Share By-Law will be automatically reinstated and apply to any beneficial owner of common shares acquired in a Control Share Acquisition, regardless of whether such Control Share Acquisition occurs before or after such reinstatement, for the duration of the stay or upon issuance of the mandate reversing, overturning, vacating or otherwise nullifying the judgment of the District Court. On February 25, 2022, the Board and Funds appealed the District Court’s decision to the U.S. Court of Appeals for the Second Circuit.

Developments Regarding JQC’s Control Share By-Law

On October 5, 2020, the Fund and certain other closed-end funds in the Nuveen fund complex amended their by-laws. Among other things, the amended by-laws included provisions pursuant to which, in summary, a shareholder who obtains beneficial ownership of common shares in a Control Share Acquisition (as defined in the by-laws) shall have the same Control Share By-Law. On January 14, 2021, a shareholder of certain Nuveen closed-end funds filed a civil complaint in the District Court against certain Nuveen funds and their trustees, seeking a declaration that such funds’ Control Share

 

109


Notes to Financial Statements (continued)

 

By-Laws violate the 1940 Act, rescission of such fund’s Control Share By-Laws and a permanent injunction against such funds applying the Control Share By-Laws. On February 18, 2022, the District Court granted judgment in favor of the plaintiff’s claim for rescission of such funds’ Control Share By-Laws and the plaintiff’s declaratory judgment claim, and declared that such funds’ Control Share By-Laws violate Section 18(i) of the 1940 Act. Following review of the judgment of the District Court, on February 22, 2022, the Board amended the Fund’s by-laws to provide that the Fund’s Control Share By-Law shall be of no force and effect for so long as the judgment of the District Court is effective and that if the judgment of the District Court is reversed, overturned, vacated, stayed, or otherwise nullified, the Fund’s Control Share By-Law will be automatically reinstated and apply to any beneficial owner of common shares acquired in a Control Share Acquisition, regardless of whether such Control Share Acquisition occurs before or after such reinstatement, for the duration of the stay or upon issuance of the mandate reversing, overturning, vacating or otherwise nullifying the judgment of the District Court. On February 25, 2022, the Board and the Fund appealed the District Court’s decision to the U.S. Court of Appeals for the Second Circuit.

Other Matters

The outbreak of the novel coronavirus (“COVID-19”) and subsequent global pandemic began significantly impacting the U.S. and global financial markets and economies during the calendar quarter ended March 31, 2020. The worldwide spread of COVID-19 has created significant uncertainty in the global economy. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds’ normal course of business, results of operations, investments, and cash flows will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

2. Significant Accounting Policies

The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require the use of estimates made by management and the evaluation of subsequent events. Actual results may differ from those estimates. Each Fund is an investment company and follows the accounting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 946, Financial Services – Investment Companies. The net asset value (“NAV”) for financial reporting purposes may differ from the NAV for processing security and common share transactions. The NAV for financial reporting purposes includes security and common share transactions through the date of the report. Total return is computed based on the NAV used for processing security and common share transactions. The following is a summary of the significant accounting policies consistently followed by the Funds.

Compensation

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

Distributions to Common Shareholders

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

NSL, JFR, JRO and JSD have implemented a level distribution policy. Effective in conjunction with the declaration of JQC’s October 2021 distribution, the Fund implemented a level distribution policy. The level distribution policy is intended to provide shareholders with stable, but not guaranteed, cash flow, independent of the amount or timing of income earned or capital gains realized by the Funds. Each Fund intends to distribute all or substantially all of its net investment income through its regular monthly distribution, and to distribute realized capital gains at least annually. In addition, in any monthly period, in order to maintain its level distribution amount, each Fund may pay out more than its net investment income during the period. As a result, distribution sources may include net investment income, realized gains and return of capital. The amounts and sources of distributions are reported for financial reporting purposes and are not being provided for tax reporting purposes. The actual amounts and character of the distributions for tax reporting purposes will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year-end. More details about each Fund’s distributions and the basis for these estimates are available on www.nuveen.com/cef.

Foreign Currency Transactions and Translation

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

 

 

110


 

The books and records of the Funds are maintained in U.S. dollars. Assets, including investments, and liabilities denominated in foreign currencies are translated into U.S. dollars at the end of each day. Purchases and sales of securities, income and expenses are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

Net realized foreign currency gains and losses resulting from changes in exchange rates associated with (i) foreign currency, (ii) investments and (iii) derivatives include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.

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

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.

Investments and Investment Income

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

Netting Agreements

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

The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 4 – Portfolio Securities and Investments in Derivatives.

New Accounting Pronouncements and Rule Issuances

Reference Rate Reform

In March 2020, FASB issued Accounting Standards Update (“ASU”) 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates, when participating banks will no longer be required to submit London Interbank Offered Rate (LIBOR) quotes by the UK Financial Conduct Authority (FCA). The new guidance allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. For new and existing contracts, the Funds may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management has not yet elected to apply the amendments, is continuously evaluating the potential effect a discontinuation of LIBOR could have on the Funds’ investments and has currently determined that it is unlikely the ASU’s adoption will have a significant impact on the Funds’ financial statements and various filings.

 

111


Notes to Financial Statements (continued)

 

New Rules to Modernize Fund Valuation Framework Take Effect

A new rule adopted by the Securities and Exchange Commission (the “SEC”) governing fund valuation practices, Rule 2a-5 under the 1940 Act, has established requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of Section 2(a)(41) of the 1940 Act, which requires a fund to fair value a security when market quotations are not readily available. Separately, new SEC Rule 31a-4 under the 1940 Act sets forth the recordkeeping requirements associated with fair value determinations. The Funds adopted a valuation policy conforming to the new rules, effective September 1, 2022, and there was no material impact to the Funds.

FASB issues ASU 2022-03 – Fair Value Measurement (Topic 820), Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”)

In June 2022, the FASB issued ASU 2022-03 to clarify the guidance in Topic 820, Fair Value Measurement (“Topic 820”). The amendments in ASU 2022-03 affect all entities that have investments in equity securities measured at fair value that are subject to a contractual sale restriction. ASU 2022-03 (1) clarifies the guidance in Topic 820, when measuring the fair value of an equity security subject to contractual restrictions that prohibit the sale of an equity security, (2) amends a related illustrative example, and (3) introduces new disclosure requirements for equity securities subject to contractual sale restrictions that are measured at fair value in accordance with Topic 820. For public business entities, the amendments in ASU 2022-03 are effective for fiscal years beginning after December 15, 2023, and interim periods within those fiscal years. For all other entities, the amendments are effective for fiscal years beginning after December 15, 2024, and interim periods within those fiscal years. Early adoption is permitted for both interim and annual financial statements that have not yet been issued or made available for issuance. Management is currently assessing the impact of these provisions on the Funds’ financial statements.

3. Investment Valuation and Fair Value Measurements

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

 

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

A description of the valuation techniques applied to the Funds’ major classifications of assets and liabilities measured at fair value follows:

Equity securities and exchange-traded funds listed or traded on a national market or exchange are valued based on their sale price at the official close of business of such market or exchange on the valuation date. Foreign equity securities and registered investment companies that trade on a foreign exchange are valued at the last sale price or official closing price reported on the exchange where traded and converted to U.S. dollars at the prevailing rates of exchange on the date of valuation. To the extent these securities are actively traded and that valuation adjustments are not applied, they are generally classified as Level 1. If there is no official close of business, then the latest available sale price is utilized. If no sales are reported, then the mean of the latest available bid and ask prices is utilized and these securities are generally classified as Level 2.

Prices of fixed-income securities are generally provided by an independent pricing service (“pricing service”) approved by the Board. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. 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.

For events affecting the value of foreign securities between the time when the exchange on which they are traded closes and the time when the Funds’ net assets are calculated, such securities will be valued at fair value in accordance with procedures adopted by the Board. These foreign securities are generally classified as Level 2.

Investments in investment companies are valued at their respective NAVs on the valuation date and are generally classified as Level 1.

Any portfolio security or derivative for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued at fair value, as determined in good faith using procedures approved by the Board. 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

 

112


 

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. To the extent the inputs are observable and timely, the values would be classified as Level 2 of the fair value hierarchy; otherwise they would be classified as Level 3.

The following table summarizes the market value of the Funds’ investments as of the end of the reporting period, based on the inputs used to value them:

 

NSL    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $      $ 287,061,940      $ 1,732,607      $ 288,794,547  

Corporate Bonds

            37,916,588               37,916,588  

Common Stocks**

     1,433,779        6,887,045        6,764        8,327,588  

Warrants**

     2,745        1,890,044               1,892,789  

Convertible Preferred Securities**

            150,700               150,700  

Total

   $ 1,436,524      $ 333,906,317      $ 1,739,371      $ 337,082,212  
JFR    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $      $ 724,118,773      $ 3,485,408      $ 727,604,181  

Corporate Bonds

            94,879,723               94,879,723  

Common Stocks**

     3,430,815        16,413,328        13,053        19,857,196  

Asset-Backed Securities

            11,938,601               11,938,601  

Warrants**

     6,409        4,525,242               4,531,651  

Convertible Preferred Securities**

            318,051               318,051  

Short-Term Investments:

           

Investment Companies

     8,891,025                      8,891,025  

Total

   $ 12,328,249      $ 852,193,718      $ 3,498,461      $ 868,020,428  
JRO    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $      $ 509,861,352      $ 2,516,630      $ 512,377,982  

Corporate Bonds

            68,428,812               68,428,812  

Common Stocks**

     2,407,044        11,521,425        9,566        13,938,035  

Asset-Backed Securities

            7,144,400               7,144,400  

Warrants**

     4,584        3,190,200               3,194,784  

Convertible Preferred Securities**

            215,094               215,094  

Short-Term Investments:

           

Investment Companies

     10,093,889                      10,093,889  

Total

   $ 12,505,517      $ 600,361,283      $ 2,526,196      $ 615,392,996  
JSD    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $      $ 190,997,540      $ 1,467,592      $ 192,465,132  

Corporate Bonds

            27,096,394               27,096,394  

Common Stocks**

     980,467        4,632,461        2,325        5,615,253  

Warrants**

     2,745        1,296,012               1,298,757  

Convertible Preferred Securities**

            136,460               136,460  

Short-Term Investments:

           

Investment Companies

     5,060,888                      5,060,888  

Total

   $ 6,044,100      $ 224,158,867      $ 1,469,917      $ 231,672,884  
JQC    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $      $ 1,126,072,632      $ 10,134,946      $ 1,136,207,578  

Corporate Bonds

            189,038,031               189,038,031  

Common Stocks**

     890,608        9,987,239        40,086        10,917,933  

Warrants**

     9,183        2,542,084        5        2,551,272  

Convertible Bonds

            1,423,089               1,423,089  

Convertible Preferred Securities**

            137,507               137,507  

Short-Term Investments:

           

Investment Companies

     13,347,241                      13,347,241  

Total

   $ 14,247,032      $ 1,329,200,582      $ 10,175,037      $ 1,353,622,651  
*

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

**

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

 

113


Notes to Financial Statements (continued)

 

The Funds hold liabilities in preferred shares, where applicable, which are not reflected in the tables above. The fair values of the Funds’ liabilities for preferred shares approximate their liquidation preference. Preferred shares are generally classified as Level 2 and further described in Note 5 – Fund Shares.

The following is a reconciliation of the Funds’ Level 3 investments held at the beginning and end of the measurement period:

 

    NSL     JFR     JRO  
    Level 3     Level 3     Level 3  
     Variable Rate
Senior Loan
Interests
    Common
Stocks
    Warrant     Variable Rate
Senior Loan
Interests
    Common
Stocks
    Warrant     Variable Rate
Senior Loan
Interests
    Common
Stocks
    Warrant  

Balance at the beginning of period

  $ 2,005,844     $ 412,479     $ 4,378     $ 4,035,068     $ 869,850     $ 8,755     $ 2,913,510     $ 600,348     $ 5,839  

Gains (losses):

                 

Net realized gains (losses)

    26       (45,665           52       (77,572           38       (59,302      

Change in net unrealized appreciation (depreciation)

    (312,535     (174,144     3,373       (626,231     (380,722     6,745       (475,962     (259,446     4,498  

Purchases at cost

                                                     

Sales at proceeds

    (19,705                 (41,516                 (28,518            

Net discounts (premiums)

    58,977                   118,035                   107,562              

Transfers into

                                                     

Transfers (out of)

          (185,906     (7,751           (398,503     (15,500           (272,034     (10,337

Balance at the end of period

  $ 1,732,607     $ 6,764     $     $ 3,485,408     $ 13,053     $     $ 2,516,630     $ 9,566     $  

Change in net unrealized appreciation (depreciation) during the period of Level 3 securities held as of period end

  $ (312,535   $ (61,965)     $     $ (626,231   $ (119,572   $     $ (475,962   $ (87,630   $  

 

     JSD      JQC  
     Level 3      Level 3  
      Variable Rate
Senior Loan
Interests
     Common Stocks      Warrant      Variable Rate
Senior Loan
Interests
     Common Stocks      Warrant  

Balance at the beginning of period

   $ 1,699,036      $ 257,488      $ 4,378      $ 11,733,256      $ 1,577,863      $ 5  

Gains (losses):

                 

Net realized gains (losses)

     22        (36,408             158        (5       

Change in net unrealized appreciation (depreciation)

     (260,687      (92,217      3,373        (1,899,714      (906,203       

Purchases at cost

                                         

Sales at proceeds

     (16,832                    (117,318              

Net discounts (premiums)

     46,053                      418,564                

Transfers into

                                         

Transfers (out of)

            (126,538      (7,751             (631,569       

Balance at the end of period

   $ 1,467,592      $ 2,325      $      $ 10,134,946      $ 40,086      $ 5  

Change in net unrealized appreciation (depreciation) during the period of Level 3 securities held as of period end

   $ (260,687    $ (21,297)      $      $ (1,899,714    $ (367,199    $  

As of the measurement date, the Common Stocks categorized as Level 3 are priced based on updated financial statements which reflect the most recent net asset values. The Warrants categorized as Level 3 are priced at placeholder Value. The Variable Rate Senior Loan Interests categorized as Level 3 are utilizing a weighted probability model.

 

114


 

The table below presents the transfers in and out of the three valuation levels for the Funds as of the end of the reporting period when compared to the valuation levels at the end of the previous fiscal year. Changes in valuation inputs or methodologies may result in transfers into or out of an assigned level within the fair value hierarchy. Transfers in or out of levels are generally due to the availability of publicly available information and to the significance or extent the Adviser determines that the valuation inputs or methodologies may impact the valuation of those securities.

 

     Level 1      Level 2      Level 3  
      Transfers In      (Transfers Out)      Transfers In      (Transfers Out)      Transfers In      (Transfers Out)  
NSL                                                

Common Stocks

   $ 185,457      $      $ 449      $      $      $ (185,906

Warrants

                   7,751                      (7,751
JFR                                                

Common Stocks

   $ 397,739      $      $ 764      $      $      $ (398,503

Warrants

                   15,500                      (15,500
JRO                                                

Common Stocks

   $ 271,450      $      $ 584      $      $      $ (272,034

Warrants

                   10,337                      (10,337
JSD                                                

Common Stocks

   $ 126,179      $      $ 359      $      $      $ (126,538

Warrants

                   7,751                      (7,751
JQC                                                

Common Stocks

   $ 631,569      $      $      $      $      $ (631,569

4. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Unfunded Commitments

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

 

     NSL        JFR        JRO        JSD        JQC  

Outstanding unfunded senior loan commitments

  $ 168,382        $ 1,189,306        $ 354,118        $ 351,317        $ 763,143  

Participation Commitments

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

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.

Investment Transactions

Long-term purchases and sales (including maturities) during the current fiscal period were as follows:

 

     NSL        JFR        JRO        JSD        JQC  

Purchases

  $ 133,252,519        $ 348,025,497        $ 237,083,253        $ 93,979,052        $ 489,716,676  

Sales and maturities

    140,653,369          364,006,642          244,330,115          97,197,763          567,977,816  

The Funds may purchase securities on a when-issued or delayed-delivery basis. Securities purchased on a when-issued or delayed-delivery basis may have extended settlement periods; interest income is not accrued until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed-delivery

 

115


Notes to Financial Statements (continued)

 

purchase commitments. If a Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized on the Statement of Assets and Liabilities.

Investments in Derivatives

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

Although the Funds are authorized to invest in derivative instruments, and may do so in the future, they did not make any such investments during the current fiscal period.

Market and Counterparty Credit Risk

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

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

5. Fund Shares

Common Shares

Common Share Transactions

During the Funds’ current and prior fiscal period, there were no transactions in common shares.

Preferred Shares

Taxable Fund Preferred Shares

All the Funds have issued and have outstanding Taxable Fund Preferred (“TFP”) Shares, with a $1,000 liquidation preference per share. These TFP Shares were issued via private placement and are not publicly available.

Each Fund is obligated to redeem its TFP Shares by the date as specified in its offering documents (“Term Redemption Date”), unless earlier redeemed by the Fund. TFP Shares are initially issued in a pre-specified mode, however, TFP Shares can be subsequently designated as an alternative mode at a later date at the discretion of the Funds. The modes within TFP Shares detail the dividend mechanics and are described as follows. At a subsequent date, the Funds may establish additional mode structures with the TFP Share.

 

   

Variable Rate Mode (“VRM”) – Dividends for TFP Shares designated in this mode are based upon a short-term index plus an additional fixed “spread” amount established at the time of issuance or renewal / conversion of its mode. At the end of the period of the mode, the Funds will be required to either extend the term of the mode, designate an alternative mode or redeem the TFP Shares.

The fair value of TFP Shares while in VRM are expected to approximate their liquidation preference so long as the fixed “spread” on the shares remains roughly in line with the “spread’ being demanded by investors on instruments having similar terms in the current market. In current market conditions, the Adviser has determined that the fair value of the shares are approximately their liquidation preference, but their fair value could vary if market conditions change materially.

 

   

Variable Rate Demand Mode (“VRDM”) – Dividends for TFP Shares designated in this mode will be established by a remarketing agent; therefore, the market value of the TFP Shares is expected to approximate its liquidation preference. While in this mode, shares will have an unconditional liquidity feature that enable its shareholders to require a liquidity provider, which each Fund has entered into a contractual agreement, to purchase shares in the event that the shares are not able to be successfully remarketed. In the event that shares within this mode are unable to be successfully remarketed and are purchased by the liquidity provider, the dividend rate will be the maximum rate which is designed to escalate according to a specified schedule in order to enhance the remarketing agent’s ability to successfully remarket the shares. Each Fund is required to redeem any shares that are still owned by a liquidity provider after six months of continuous, unsuccessful remarketing.

Each Fund will pay a liquidity and remarketing fee on the aggregate principal amount of all TFP Shares while within VRDM. Payments made by the Funds to the liquidity provider and remarketing agent are recognized as “Liquidity fees” and “Remarketing fees”, respectively, on the Statement of Operations.

 

116


 

For financial reporting purposes, the liquidation preference of TFP Shares is recorded as a liability and is recognized as a component of “Taxable Fund Preferred (“TFP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities. Dividends on the TFP shares are treated as interest payments for financial reporting purposes. Unpaid dividends on TFP shares are recognized as a component on “Interest payable” on the Statement of Assets and Liabilities. Dividends accrued on TFP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Subject to certain conditions, TFP Shares may be redeemed, in whole or in part, at any time at the option of the Funds. Each Fund may also be required to redeem certain TFP shares if the Fund fails to maintain certain asset coverage requirements and such failures are not cured by the applicable cure date. The redemption price per share in all circumstances is equal to the liquidation preference per share plus any accumulated but unpaid dividends.

JQC incurred offering costs of $720,000 in connection with its offering of TFP Shares, which were recorded as a deferred charge and are being amortized over the life of the shares. These offering costs are recognized as a component of “Taxable Fund Preferred (“TFP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

As of the end of the reporting period, NSL, JFR, JRO,JSD and JQC had $39,615,370, $99,384,451, $74,709,275, $69,631,527 and $139,290,577 TFP Shares at liquidation preference, net of deferred offering costs, respectively. Further details of the Funds’ TFP Shares outstanding as of the end of the reporting period, were as follows:

 

Fund    Series    Shares
Outstanding
     Liquidation
Preference
     Term
Redemption
Date
     Mode  
NSL    A      40,000      $ 40,000,000        November 1, 2030        VRM  
JFR    A      100,000      $ 100,000,000        January 1, 2031        VRDM  
JRO    A      75,000      $ 75,000,000        December 1, 2030        VRM  
JSD    A      70,000      $ 70,000,000        November 1, 2029        VRDM  
JQC   

A

     140,000      $ 140,000,000        July 1, 2032        VRDM  

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

 

     NSL        JFR        JRO        JSD        JQC*  

Average liquidation preference of TFP Shares outstanding

  $ 40,000,000        $ 100,000,000        $ 75,000,000        $ 70,000,000        $ 140,000,000  

Annualized dividend rate

    1.63        0.59        1.63        0.59        1.87
*

For the period June 8, 2022 (first issuance date of shares) through July 31, 2022.

Preferred Share Transactions

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

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

 

    Year Ended
July 31, 2022
 
JQC   Series        Shares        Amount  

TFP Shares issued

    A          140,000        $ 140,000,000  
    Year Ended
July 31, 2021
 
NSL   Series        Shares        Amount  

TFP Shares issued

    A          40,000        $ 40,000,000  
    Year Ended
July 31, 2021
 
JFR   Series        Shares        Amount  

TFP Shares issued

    A          100,000        $ 100,000,000  
    Year Ended
July 31, 2021
 
JRO   Series        Shares        Amount  

TFP Shares issued

    A          75,000        $ 75,000,000  

 

117


Notes to Financial Statements (continued)

 

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

 

    Year Ended
July 31, 2021
 
NSL   Series        Shares        Amount  

Term Preferred redeemed

    2021          (33,000      $ (33,000,000
    Year Ended
July 31, 2021
 
JFR   Series        Shares        Amount  

Term Preferred redeemed

    2024          (35,000      $ (35,000,000
      2027          (55,000        (55,000,000

Total

               (90,000      $ (90,000,000
    Year Ended
July 31, 2021
 
JRO   Series        Shares        Amount  

Term Preferred redeemed

    2027          (45,000      $ (45,000,000

6. Income Tax Information

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and 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.

Each Fund files income tax returns in U.S. federal and applicable state and local jurisdictions. A Fund’s federal income tax returns are generally subject to examination for a period of three fiscal years after being filed. State and local tax returns may be subject to examination for an additional period of time depending on the jurisdiction. Management has analyzed each Fund’s tax positions taken for all open tax years and has concluded that no provision for income tax is required in the Fund’s financial statements.

Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing gains and losses on investment transactions. Temporary differences do not require reclassification. As of year end, permanent differences that resulted in reclassifications among the components of net assets relate primarily to bond premium amortization adjustments, foreign currency transactions, investments in partnerships, nondeductible offering costs, and treatment of notional principal contracts. Temporary and permanent differences have no impact on a Fund’s net assets.

As of year end, the aggregate cost and the net unrealized appreciation/(depreciation) of all investments for federal income tax purposes was as follows:

 

Fund    Tax Cost      Gross Unrealized
Appreciation
     Gross Unrealized
(Depreciation)
    Net Unrealized
Appreciation
(Depreciation)
 

NSL

   $ 362,574,567      $ 4,844,711      $ (30,337,066   $ (25,492,355

JFR

     929,489,205        11,861,318        (73,330,095     (61,468,777

JRO

     659,561,702        8,095,260        (52,263,966     (44,168,706

JSD

     248,950,776        3,210,379        (20,488,271     (17,277,892
JQC      1,456,891,309        8,621,692        (111,890,350     (103,268,658

For purposes of this disclosure, tax cost generally includes the cost of portfolio investments as well as up-front fees or premiums exchanged on derivatives and any amounts unrealized for income statement reporting but realized income and/or capital gains for tax reporting, if applicable.

 

118


 

As of year end, the components of accumulated earnings on a tax basis were as follows:

 

Fund    Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Unrealized
Appreciation
(Depreciation)
    Capital Loss
Carryforwards
   

Late-Year Loss

Deferrals

    

Other

Book-to-Tax

Differences

    Total  

NSL

   $     —      $     —      $ (25,492,355   $ (44,951,557   $      $ (1,486,542   $ (71,930,454

JFR

                   (61,468,777     (103,224,962            (3,756,619     (168,450,358

JRO

                   (44,168,706     (74,138,025            (2,655,450     (120,962,181

JSD

                   (17,277,892     (30,961,127            (993,436     (49,232,455
JQC                    (103,267,425     (216,476,027            (5,695,590     (325,439,042

The tax character of distributions paid were as follows:

 

       7/31/2022        7/31/2021  
Fund      Ordinary
Income
       Long-Term
Capital Gains
       Return of
Capital
       Ordinary
Income
       Long-Term
Capital Gains
       Return of
Capital
 

NSL

     $ 13,508,860        $     —        $ 2,418,372        $ 14,807,499        $     —        $  

JFR

       35,004,216                   5,066,385          35,545,583                    

JRO

       24,262,762                   4,035,008          24,932,849                    

JSD

       9,578,145                   1,011,785          9,490,595                    
JQC        47,176,021                   17,563,855          40,633,984                   74,850,888  

As of year end, the Funds had capital loss carryforwards, which will not expire:

 

Fund    Short-Term      Long-Term      Total  

NSL

   $ 3,053,867      $ 41,897,690      $ 44,951,557  

JFR

     6,507,557        96,717,405        103,224,962  

JRO

     4,606,728        69,531,297        74,138,025  

JSD

     3,100,613        27,860,514        30,961,127  
JQC      35,160,164        181,315,863        216,476,027  

 

  

 

 

    

 

 

    

 

 

 

7. Management Fees

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

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

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

 

Average Daily Managed Assets*  

NSL

JFR

JRO

JSD
Fund-Level Fee Rate

    JQC
Fund-Level Fee Rate
 

For the first $500 million

    0.6500     0.6800

For the next $500 million

    0.6250       0.6550  

For the next $500 million

    0.6000       0.6300  

For the next $500 million

    0.5750       0.6050  

For managed assets over $2 billion

    0.5500       0.5800  

 

119


Notes to Financial Statements (continued)

 

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

 

Complex-Level Eligible Asset Breakpoint Level*      Effective Complex-Level Fee Rate at Breakpoint Level  

$55 billion

       0.2000

$56 billion

       0.1996  

$57 billion

       0.1989  

$60 billion

       0.1961  

$63 billion

       0.1931  

$66 billion

       0.1900  

$71 billion

       0.1851  

$76 billion

       0.1806  

$80 billion

       0.1773  

$91 billion

       0.1691  

$125 billion

       0.1599  

$200 billion

       0.1505  

$250 billion

       0.1469  

$300 billion

       0.1445  
*

For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen open-end and closed-end funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011, but do not include certain assets of certain Nuveen funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019 calendar year. As of July 31, 2022, the complex-level fee for each Fund was 0.1562%.

8. Commitments and Contingencies

In the normal course of business, each Fund enters into a variety of agreements that may expose the Fund to some risk of loss. These could include certain agreements related to preferred shares, which are described elsewhere in these Notes to Financial Statements. The risk of future loss arising from such agreements, while not quantifiable, is expected to be remote. As of the end of the reporting period, the Funds did not have any unfunded commitments.

From time to time, the Funds may be a party to certain legal proceedings in the ordinary course of business, including proceedings relating to the enforcement of the Funds’ rights under contracts. As of the end of the reporting period, management has determined that any legal proceeding(s) the Funds are subject to, including those described within this report, are unlikely to have a material impact to any of the Funds’ financial statements.

9. Borrowing Arrangements and Reverse Repurchase Agreements

Borrowings

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

Borrowing Information for NSL, JFR and JRO

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

 

     NSL        JFR        JRO  

Maximum commitment amount

  $ 102,500,000        $ 260,000,000        $ 180,000,000  

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

 

     NSL        JFR        JRO  

Outstanding balance on Borrowings

  $ 92,800,000        $ 233,400,000        $ 162,100,000  

Interest is charged at a rate equal to 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.80%. JFR accrues 0.25% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 25% of the maximum commitment amount. NSL and JRO accrue 0.30% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 10% of the maximum commitment amount. NSL also accrued an upfront fee of 0.05% on the maximum commitment amount and which was paid in two installments, half at the closing of the agreement in October 2020 and the other half upon its 12-month anniversary in 2021.

 

120


 

On October 4, 2021, NSL renewed its Borrowing through October 3, 2022. On December 17, 2021, JFR renewed its Borrowings through December 16, 2022. On November 4, 2021, JRO renewed its Borrowings through November 3, 2022. All other items of the Borrowings remain unchanged.

During the Funds’ utilization period(s) during the current fiscal period, the average daily balance outstanding (which was for the entire current reporting period) and average annual interest rate on each Fund’s Borrowings were as follows:

 

     NSL        JFR        JRO  

Average daily balance outstanding

  $ 94,201,370        $ 238,057,534        $ 164,335,616  

Average annual interest rate

    1.23        1.22        1.21

Borrowings Information for JSD

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

 

     JSD  

Maximum commitment amount

  $ 30,000,000  

 

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

 

     JSD  

Outstanding balance on Borrowings

  $ 18,000,000  

Interest is charged on these Borrowings at a rate per annum equal to 1-Month LIBOR plus 0.80%. The Fund also accrued 0.15% per annum on the undrawn portion if it was less than 50% of the maximum commitment; however, if the undrawn portion of the Borrowings was greater than 50% of the maximum commitment amount the Fund accrued a 0.25% per annum on the undrawn portion of the Borrowings.

On October 27, 2021, JSD renewed its Borrowings through October 26, 2022. The Fund also accrued a 0.05% amendment fee based on the maximum commitment amount. All other items of the Borrowings remain unchanged.

During the Fund’s utilization period(s) during the current fiscal period, the average daily balance outstanding (which was for the entire current reporting period) and average annual interest rate on the Fund’s Borrowings were as follows:

 

     JSD  

Average daily balance outstanding

  $ 19,401,370  

Average annual interest rate

    1.29

Borrowings Information for JQC

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

 

     JQC  

Maximum commitment amount

  $ 265,000,000  

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

 

     JQC  

Outstanding balance on Borrowings

  $ 246,000,000  

Interest is charged on the Borrowings at a rate per annum equal to the daily SOFR plus 0.85% (3-Month LIBOR plus 1.10% prior to June 8, 2022) and the Fund accrues 1.10% per annum on any positive difference between 90% of the maximum commitment amount and the daily drawn amount. On June 8, 2022, JQC renewed its Borrowings through April 1, 2023. All other items remain unchanged.

During the Fund’s utilization period(s) during the current fiscal period, the average daily balance outstanding (which was for the entire current reporting period) and average annual interest rate on the Fund’s Borrowings were as follows:

 

     JQC  

Average daily balance outstanding

  $ 380,191,781  

Average annual interest rate

    1.54

 

121


Notes to Financial Statements (continued)

 

Other Borrowings Information for the Funds

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

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

Reverse Repurchase Agreements

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

The Fund may enter into a reverse repurchase agreement with brokers, dealers, banks or other financial institutions that have been determined by the Adviser to be creditworthy. In a reverse repurchase agreement, a Fund sells to the counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, reflecting the interest rate effective for the term of the agreement. It may also be viewed as the borrowing of money by the Fund. Cash received in exchange for securities delivered, plus accrued interest payments to be made by the Fund to a counterparty, are reflected as a liability on the Statement of Assets and Liabilities. Interest payments made by the Fund to counterparties are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

In a reverse repurchase agreement, the Fund retains the risk of loss associated with the sold security. In order to minimize risk, the Fund identifies for coverage securities and cash as collateral with a fair value at least equal to its purchase obligations under these agreements (including accrued interest). Reverse repurchase agreements also involve the risk that the purchaser fails to return the securities as agreed upon, files for bankruptcy or becomes insolvent. Upon a bankruptcy or insolvency of a counterparty, the Fund is considered to be an unsecured creditor with respect to excess collateral and as such the return of excess collateral may be delayed. The Fund will identify assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements.

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

 

Counterparty      Rate        Principal
Amount
       Maturity        Value        Value and
Accrued Interest
 

Societe Generale

       Daily SOFR plus 1.10      $ (142,000,000        N/A        $ (142,000,000      $ (142,216,236

N/A – Maturity is not applicable. The final repurchase date will be established following pre-specified advance notice by the Fund or the counterparty to the reverse repurchase agreement.

During the current fiscal period, the average daily balance outstanding (which was for the entire current reporting period) and average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

       JQC  

Average daily balance outstanding

       $142,000,000  

Average interest rate

       1.26

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

 

Counterparty    Reverse Repurchase
Agreements*
       Collateral Pledged
to Counterparty
 

Societe Generale

   $ (142,216,236      $ 168,971,216  
*

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

10. Inter-Fund Lending

Inter-Fund Borrowing and Leading

The SEC has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may directly lend to and borrow money from each other for temporary purposes (e.g., to satisfy redemption requests or when a sale of securities “fails,” resulting in an unanticipated cash shortfall) (the “Inter-Fund Program”). The closed-end Nuveen funds, including the Funds covered by this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources

 

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immediately after the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed 5% of the lending fund’s net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business day’s notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the fund’s investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.

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

During the current reporting period, none of the Funds covered by this shareholder report have entered into any inter-fund loan activity.

 

123


Shareholder Update

(Unaudited)

 

CURRENT INVESTMENT OBJECTIVES, INVESTMENT POLICIES AND PRINCIPAL RISKS OF THE FUNDS

NUVEEN SENIOR INCOME FUND (NSL)

Investment Objective

The Fund’s investment objective is to achieve a high level of current income, consistent with preservation of capital.

Investment Policies

The Fund invests at least 80% of its Assets (as defined below) in adjustable rate, U.S. dollar-denominated secured and unsecured senior loans (“Senior Loans”), which unsecured Senior Loans will be, at the time of investment, investment grade quality. Investment grade quality securities are those securities that, at the time of investment, are rated by at least one nationally recognized statistical rating organization (“NRSRO”) within the four highest grades unrated but judged to be of comparable quality.

With respect to the Fund’s Senior Loans included in the 80% policy, such instruments will at all times have a dollar-weighted average time until the next interest rate adjustment of 90 days or less.

The Fund invests primarily in adjustable rate U.S. dollar-denominated secured Senior Loans.

“Assets” mean the net assets of the Fund plus the amount of any borrowings for investment purposes. “Managed Assets” mean the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose of creating leverage). Total assets for this purpose shall include assets attributable to the Fund’s use of leverage (whether or not those assets are reflected in the Fund’s financial statements for purposes of generally accepted accounting principles), and derivatives will be valued at their market value.

Under normal circumstances:

 

   

No more than 30% of the Fund’s Managed Assets may be invested in Senior Loans and other debt securities that are, at the time of investment, rated CCC+ or Caa or below by Standard & Poor’s Corporation, a division of The McGraw-Hill Companies (“S&P”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch Ratings, part of the Fitch Group (“Fitch”) or that are unrated but judged to be of comparable quality.

 

   

The Fund will invest at least 65% of its Managed Assets in Senior Loans that are secured by specific collateral. Such collateral consists of assets and/or stock of the borrower.

 

   

The Fund may invest up to 20% of its Managed Assets in U.S. dollar-denominated Senior Loans of Borrowers that are organized or located in countries outside the United States.

 

   

The Fund may invest up to 20% of its Managed Assets, in the aggregate, in:

 

   

other income producing securities such as investment and non-investment grade corporate debt securities, of corporate or governmental issuers; and

 

   

equity securities and warrants acquired in connection with the Fund’s investments in Senior Loans.

 

   

The Fund will not invest more than 10% of its Managed Assets in Senior Loans with interest rates that adjust less often than semi-annually.

 

   

The Fund’s portfolio of Senior Loans will at all times have a dollar-weighted average time until the next interest rate adjustment of 90 days or less. The Fund may use interest rate swaps and other investment practices to shorten the effective interest rate adjustment period of Senior Loans. If the Fund does so, it considers the shortened period to be the adjustment period of the Senior Loans.

 

   

The Fund has no policy limiting the maturity of the Senior Loans that it purchases.

 

   

The Fund does not intend to invest more than 5% of its Managed Assets in Senior Loans or other securities of a single borrower. In addition, the Fund will not invest more than 25% of its Managed Assets in borrowers that conduct their principal businesses in the same industry.

 

   

The Fund will invest no more than 20% of its total assets in Senior Loans in which it acts as an agent or co-agent, and the size of any such individual Senior Loan will not exceed 5% of the Fund’s total assets.

 

   

The Fund does not currently intend to invest more than 20% of its Managed Assets in participations. Participations are when the Fund acquires from a lender a portion of a lender’s rights under a loan agreement.

 

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The Fund will only acquire participations if the lender selling the participation, and any other persons interpositioned between the Fund and the lender, (i) at the time of investment has outstanding debt or deposit obligations rated investment grade (BBB or A-3 or higher by S&P, Baa or P-3 or higher by Moody’s or BBB or F3 or higher by Fitch or has debt or obligations that are unrated by S&P, Moody’s and Fitch and determined by the Fund’s investment adviser to be of comparable quality and (ii) has entered into an agreement which provides for the holding of assets in safekeeping for, or the prompt disbursement of assets to, the Fund.

 

   

The Fund may invest up to 10% of its Managed Assets in securities of other open- or closed-end investment companies (including exchange-traded funds (“ETFs”)) that invest primarily in the types in which the Fund may invest directly.

 

   

The Fund may invest up to 5% of its Managed Assets in iBoxx Loan Total Return Swaps. Such swaps are standardized total return swaps on loan indices that are designed to provide exposure to the Senior Loan market.

The foregoing policies apply only at the time of any new investment.

Approving Changes in Investment Policies

The Board of Trustees of the Fund may change the policies described above without a shareholder vote. However, with respect to the Fund’s policy of investing at least 80% of its Assets in adjustable rate, U.S. dollar-denominated, secured and unsecured Senior Loans, which unsecured Senior Loans will be, at the time of investment, investment grade quality, such policy may not be changed without 60 days’ prior written notice.

Portfolio Contents

The Fund generally invests in Senior Loans. Senior Loans typically hold the most senior position in the capital structure of a business entity, are typically secured with specific collateral and have a claim on the assets and/or stock of the issuer that is senior to that held by subordinated debt holders and stockholders of the issuer.

Senior Loans generally include: (i) Senior Loans made by banks or other financial institutions to U.S. and non-U.S. corporations, partnerships and other business entities (each a “Borrower” and, collectively, “Borrowers”), (ii) assignments of such interests in Senior Loans, or (iii) participation interests in Senior Loans. Generally, an assignment is the actual sale of the loan, in whole or in part. A participation, on the other hand, means that the original lender maintains ownership over the loan and the participant has only a contract right against the original lender, not a credit relationship with the Borrower. Senior Loans typically hold the most senior position in the capital structure of a Borrower, are typically secured with specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. The capital structure of a Borrower may include Senior Loans, senior and junior subordinated debt, preferred stock and common stock issued by the Borrower, typically in descending order of seniority with respect to claims on the Borrower’s assets. The proceeds of Senior Loans primarily are used by Borrowers to finance leveraged buyouts, recapitalizations, mergers, acquisitions, stock repurchases, refinancings, internal growth and for other corporate purposes. A Senior Loan is typically originated, negotiated and structured by a U.S. or non-U.S. commercial bank, insurance company, finance company or other financial institution (“Agent”) for a lending syndicate of financial institutions which typically includes the Agent (“Lenders”). The Agent typically administers and enforces the Senior Loan on behalf of the other Lenders in the syndicate. In addition, an institution, typically but not always the Agent, holds any collateral on behalf of the Lenders. The Fund normally will rely primarily on the Agent to collect principal of and interest on a Senior Loan. Also, the Fund usually will rely on the Agent to monitor compliance by the Borrower with the restrictive covenants in a loan agreement.

Senior loans in which the Fund invests generally pay interest at rates that are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate plus a premium or credit spread. The interest rates on senior loans are generally based on a percentage above the London Inter-Bank Offered Rate (“LIBOR”, the Secured Overnight Financing Rate (“SOFR”), a U.S. bank’s prime or base rate, the overnight federal funds rate or another rate. The use of the LIBOR will begin to be phased out in the near future. While SOFR has been recommended as the replacement rate for LIBOR, and some product markets have adopted the use of SOFR, LIBOR may still be used as a reference rate until such time that private markets have fully transitioned to using SOFR or other alternative reference rates recommended by applicable market regulators. As adjustable rate loans, the frequency of how often a senior loan resets its interest rate will impact how closely such senior loans track current market interest rates. Senior loans typically have a stated term of between one and eight years.

The Fund may purchase participations in Senior Loans. By purchasing a participation interest in a loan, the Fund acquires some or all of the interest of a bank or other financial institution in a loan to a Borrower. Under a participation, the Fund generally will have rights that are more limited than the rights of lenders or of persons who acquire a Senior Loan by assignment. In a participation, the Fund typically has a contractual relationship with the lender selling the participation, but not with the Borrower. As a result, the Fund assumes the credit risk of the lender selling the participation in addition to the credit risk of the Borrower. In the event of insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not have a senior claim to the lenders’ interest in the Senior Loan. A lender selling a participation and other persons interpositioned between the lender and the Fund with respect to participations will likely conduct their principal business activities in the banking, finance and financial services industries.

 

125


Shareholder Update (continued)

(Unaudited)

 

The Fund may invest in U.S. dollar denominated Senior Loans of Borrowers that are organized or located in countries outside the United States, including Borrowers organized or located in emerging markets countries. Although the Senior Loans will require payment of interest and principal in U.S. dollars, these Borrowers may have significant non-U.S. dollar revenues. Investment in foreign Borrowers involves special risks and investors should understand and consider carefully the risks involved in investing in securities of non-U.S. issuers.

The Fund may invest in corporate debt securities, including corporate bonds. Corporate debt securities are fully taxable debt obligations issued by corporations. These securities fund capital improvements, expansions, debt refinancing or acquisitions that require more capital than would ordinarily be available from a single lender. Investors in corporate debt securities lend money to the issuing corporation in exchange for interest payments and repayment of the principal at a set maturity date. Rates on corporate debt securities are set according to prevailing interest rates at the time of the issue, the credit rating of the issuer, the length of the maturity and other terms of the security, such as a call feature.

The Fund may utilize structured notes and similar instruments for investment purposes and also for hedging purposes. Structured notes are privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a benchmark asset, market or interest rate (an “embedded index”), such as selected securities, an index of securities or specified interest rates, or the differential performance of two assets or markets.

The Fund may invest in debtor-in-possession financings (commonly called “DIP financings”). DIP financings are arranged when an entity seeks the protections of the bankruptcy court under chapter 11 of the U.S. Bankruptcy Code. These financings allow the entity to continue its business operations while reorganizing under chapter 11. Such financings are senior liens on unencumbered security (i.e., security not subject to other creditors claims).

The Fund may acquire equity securities and warrants issued by a Borrower or its affiliates as part of a package of investments in the Borrower or its affiliates issued in connection with a Senior Loan of the Borrower. The Fund also may convert a warrant so acquired into the underlying security. Investments in warrants and equity securities entail certain risks in addition to those associated with investments in Senior Loans. The value of these securities may be affected more rapidly, and to a greater extent, by company-specific developments and general market conditions. These risks may increase fluctuations in the Fund’s net asset value (“NAV”). The Fund may possess material non-public information about a Borrower as a result of its ownership of a Senior Loan of such Borrower. Because of prohibitions on trading in securities of issuers while in possession of such information the Fund might be unable to enter into a transaction in a security of such a Borrower when it would otherwise be advantageous to do so.

The Fund may invest in commercial paper. Commercial paper represents short-term unsecured promissory notes issued in bearer form by corporations such as banks or bank holding companies and finance companies. The rate of return on commercial paper may be linked or indexed to the level of exchange rates between the U.S. dollar and a foreign currency or currencies.

The Fund may invest in U.S. Government securities. U.S. Government securities include (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance: U.S. Treasury bills (maturities of one year or less), U.S. Treasury notes (maturities of one year to ten years) and U.S. Treasury bonds (generally maturities of greater than ten years) and (2) obligations issued or guaranteed by U.S. Government agencies and instrumentalities that are supported by any of the following: (i) the full faith and credit of the U.S. Treasury, (ii) the right of the issuer to borrow an amount limited to a specific line of credit from the U.S. Treasury, (iii) discretionary authority of the U.S. Government to purchase certain obligations of the U.S. Government agency or instrumentality or (iv) the credit of the agency or instrumentality.

The Fund may invest in zero coupon bonds. A zero coupon bond is a bond that typically does not pay interest for the entire life of the obligation or for an initial period after the issuance of the obligation.

The Fund may buy and sell securities on a when-issued or delayed delivery basis, making payment or taking delivery at a later date, normally within 15 to 45 days of the trade date.

The Fund may invest in illiquid securities (i.e., securities that are not readily marketable), including, but not limited to, restricted securities (securities the disposition of which is restricted under the federal securities laws), securities that may be resold only pursuant to Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and repurchase agreements with maturities in excess of seven days.

The Fund may enter into certain derivative instruments in pursuit of its investment objective, including to seek to enhance return, to hedge certain risks of its investments in Senior Loans or as a substitute for a position in the underlying asset. Such instruments include total return swaps; interest rate swaps; credit default swaps; interest rate caps; interest rate floors; interest rate collars; swaptions; credit-linked notes; securities indices; other indices or other financial instruments; stock and bond index futures; futures contracts on securities; options on securities; options on futures contracts; options on stock and bond indexes; interest rate futures; exchange-traded and over-the-counter options on securities or indices; index linked securities; currency exchange transactions; financial futures; options on financial futures; index futures; index options; index options on futures contracts; interest rate options; interest rate option on futures contracts; short sales; structured notes; options on U.S. Treasury security or U.S. Government Agency securities; U.S. Treasury security or U.S. Government Agency security futures contracts; and options on U.S. Treasury security or U.S. Government Agency security futures contracts.

 

126


 

The Fund may also invest in securities of other open- or closed-end investment companies (including ETFs) that invest primarily in the types in which the Fund may invest directly, to the extent permitted by the Investment Company Act of 1940, as amended (the “1940 Act”), the rules and regulations issued thereunder and applicable exemptive orders issued by the Securities and Exchange Commission (“SEC”).

Use of Leverage

The Fund uses leverage to pursue its investment objective. The Fund may use leverage to the extent permitted by the 1940 Act. The Fund may source leverage through a number of methods including through borrowings, issuing preferred shares of beneficial (“Preferred Shares”), the issuance of debt securities, and entering into reverse repurchase agreements (effectively a borrowing). In addition, the Fund may use derivatives that may have the economic effect of leverage, such as certain credit default swaps, total return swaps and bond futures. The amount and sources of leverage will vary depending on market conditions.

Temporary Defensive Periods

During temporary defensive periods (e.g., times when, in the Fund’s investment adviser’s and/or the Fund’s sub-adviser’s opinion, temporary imbalances of supply and demand or other temporary dislocations in the Senior Loan market adversely affect the price at which Senior Loans are available), the Fund may invest up to 100% of its assets in high quality, short-term securities, and in short-, intermediate-, or long-term U.S. Treasury securities. There can be no assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment objective.

 

127


Shareholder Update (continued)

(Unaudited)

 

NUVEEN FLOATING RATE INCOME FUND (JFR)

Investment Objective

The Fund’s investment objective is to achieve a high level of current income.

Investment Policies

The Fund invests at least 80% of its Assets (as defined below) in secured Senior Loans and unsecured Senior Loans, which unsecured Senior Loans will be, at the time of investment, investment grade quality.

With respect to the Fund’s Senior Loans included in the 80% policy, such instruments will at times have a dollar-weighted average time until the next interest rate adjustment of 90 days or less.

“Assets” mean the net assets of the Fund plus the amount of any borrowings for investment purposes. “Managed Assets” mean the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose of creating leverage). Total assets for this purpose shall include assets attributable to the Fund’s use of leverage (whether or not those assets are reflected in the Fund’s financial statements for purposes of generally accepted accounting principles), and derivatives will be valued at their market value.

Under normal circumstances:

 

   

The Fund invests at least 65% of its Managed Assets in Senior Loans that are secured by specific collateral.

 

   

The Fund may invest its Managed Assets without limit in Senior Loans and other debt instruments that are, at the time of investment, rated below investment grade or unrated but judged to be of comparable quality. Investment grade quality securities are those securities that, at the time of investment, are (i) rated by at least one nationally recognized statistical rating organization NRSRO within the four highest grades (BBB- or Baa3 or better by S&P, Moody’s or Fitch, or (ii) unrated but judged to be of comparable quality. However, no more than 30% of the Fund’s Managed Assets may be invested in Senior Loans and other debt securities that are, at the time of investment, rated CCC+ or Caa or below by S&P, Moody’s or Fitch or that are unrated but judged to be of comparable quality.

 

   

The Fund may invest up to 20% of its Managed Assets in (i) other debt securities such as investment and non-investment grade debt securities, convertible securities and structured notes (other than structured notes that are designed to provide returns and risks that emulate those of Senior Loans, which may be treated as an investment in Senior Loans for purposes of the 80% requirement set forth above), (ii) mortgage-related and other asset-backed securities (including collateralized loan obligations and collateralized debt obligations), and (iii) debt securities and other instruments issued by government, government-related or supranational issuers (commonly referred to as sovereign debt securities). No more than 5% of the Fund’s Managed Assets may be invested in each of convertible securities, mortgage-related and other asset-backed securities, and sovereign debt securities. The debt securities in which the Fund may invest may have short-term, intermediate-term or long-term maturities. The Fund also may receive warrants and equity securities issued by a borrower or its affiliates in connection with the Fund’s other investments in such entities.

 

   

The Fund maintains an average duration of one year or less for its portfolio investments in Senior Loans and other debt instruments.

 

   

The Fund will not invest in inverse floating rate securities.

 

   

The Fund may invest up to 20% of its Managed Assets in securities of non-U.S. issuers (which includes borrowers) that are U.S. dollar or non-U.S. dollar denominated. The Fund’s Managed Assets to be invested in Senior Loans and other debt instruments of non-U.S. issuers may include debt securities of issuers located, or conducting their business in, emerging markets countries.

 

   

The Fund may not invest more than 20% of its Managed Assets in securities from an industry which (for purposes of this policy) generally refers to the classification of companies in the same or similar lines of business such as the automotive, textiles and apparel, hotels, media production and consumer retailing industries. The Fund may invest more than 20% of its Managed Assets in sectors which (for purposes of this policy) generally refers to broader classifications of industries, such as the consumer discretionary sector which includes the automotive, textiles and apparel, hotels, media production and consumer retailing industries, provided the Fund’s investment in a particular industry within the sector does not exceed the industry limitation.

 

   

The Fund may invest up to 5% of its Managed Assets in iBoxx Loan Total Return Swaps. An iBoxx Loan Total Return Swap is a specific type of total return swap on an index that is designed to provide exposure to the Senior Loan market. The iBoxx Loan Total Return Swap’s underlying index is the Markit iBoxx USD Liquid Leveraged Loans Total Return Index, which is one of a subset of indices designed to track the broader, rules-based Markit iBoxx USD Liquid Leveraged Loan Index. “iBoxx Loan Total Return Swaps” means total return swaps written on the Markit iBoxx USD Liquid Leveraged Loans Total Return Index.

 

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The foregoing policies apply only at the time of any new investment.

Approving Changes in Investment Policies

The Board of Trustees of the Fund may change the policies described above without a shareholder vote. However, with respect to the Fund’s policy of investing at least 80% of its Assets in secured Senior Loans and unsecured Senior Loans, which unsecured Senior Loans will be, at the time of investment, investment grade quality, such policy may not be changed without 60 days’ prior written notice.

Portfolio Contents

The Fund generally invests in Senior Loans. Senior Loans typically hold the most senior position in the capital structure of a business entity, are typically secured with specific collateral and have a claim on the assets and/or stock of the issuer that is senior to that held by subordinated debt holders and stockholders of the issuer.

Senior Loans generally include: (i) Senior Loans made by banks or other financial institutions to U.S. and non-U.S. corporations, partnerships and other business entities (each a “Borrower” and, collectively, “Borrowers”), (ii) assignments of such interests in Senior Loans, or (iii) participation interests in Senior Loans. Generally, an assignment is the actual sale of the loan, in whole or in part. A participation, on the other hand, means that the original lender maintains ownership over the loan and the participant has only a contract right against the original lender, not a credit relationship with the Borrower. Senior Loans typically hold the most senior position in the capital structure of a Borrower, are typically secured with specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. The capital structure of a Borrower may include Senior Loans, senior and junior subordinated debt, preferred stock and common stock issued by the Borrower, typically in descending order of seniority with respect to claims on the Borrower’s assets. The proceeds of Senior Loans primarily are used by Borrowers to finance leveraged buyouts, recapitalizations, mergers, acquisitions, stock repurchases, refinancings, internal growth and for other corporate purposes. A Senior Loan is typically originated, negotiated and structured by a U.S. or non-U.S. commercial bank, insurance company, finance company or other financial institution (“Agent”) for a lending syndicate of financial institutions which typically includes the Agent (“Lenders”). The Agent typically administers and enforces the Senior Loan on behalf of the other Lenders in the syndicate. In addition, an institution, typically but not always the Agent, holds any collateral on behalf of the Lenders. The Fund normally will rely primarily on the Agent to collect principal of and interest on a Senior Loan. Also, the Fund usually will rely on the Agent to monitor compliance by the Borrower with the restrictive covenants in a loan agreement.

Senior loans in which the Fund invests generally pay interest at rates that are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate plus a premium or credit spread. The interest rates on senior loans are generally based on a percentage above LIBOR, SOFR, a U.S. bank’s prime or base rate, the overnight federal funds rate or another rate. The use of the LIBOR will begin to be phased out in the near future. While SOFR has been recommended as the replacement rate for LIBOR, and some product markets have adopted the use of SOFR, LIBOR may still be used as a reference rate until such time that private markets have fully transitioned to using SOFR or other alternative reference rates recommended by applicable market regulators. As adjustable rate loans, the frequency of how often a senior loan resets its interest rate will impact how closely such senior loans track current market interest rates. Senior loans typically have a stated term of between one and eight years.

The Fund may purchase participations in Senior Loans. By purchasing a participation interest in a loan, the Fund acquires some or all of the interest of a bank or other financial institution in a loan to a Borrower. Under a participation, the Fund generally will have rights that are more limited than the rights of lenders or of persons who acquire a Senior Loan by assignment. In a participation, the Fund typically has a contractual relationship with the lender selling the participation, but not with the Borrower. As a result, the Fund assumes the credit risk of the lender selling the participation in addition to the credit risk of the Borrower. In the event of insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not have a senior claim to the lenders’ interest in the Senior Loan. A lender selling a participation and other persons interpositioned between the lender and the Fund with respect to participations will likely conduct their principal business activities in the banking, finance and financial services industries.

The Fund may invest in corporate debt securities, including corporate bonds. Corporate debt securities are fully taxable debt obligations issued by corporations. These securities fund capital improvements, expansions, debt refinancing or acquisitions that require more capital than would ordinarily be available from a single lender. Investors in corporate debt securities lend money to the issuing corporation in exchange for interest payments and repayment of the principal at a set maturity date. Rates on corporate debt securities are set according to prevailing interest rates at the time of the issue, the credit rating of the issuer, the length of the maturity and other terms of the security, such as a call feature.

The Fund may utilize structured notes and similar instruments for investment purposes and also for hedging purposes. Structured notes are privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a benchmark asset, market or interest rate (an “embedded index”), such as selected securities, an index of securities or specified interest rates, or the differential performance of two assets or markets.

The Fund may invest in debtor-in-possession financings (commonly called “DIP financings”). DIP financings are arranged when an entity seeks the protections of the bankruptcy court under chapter 11 of the U.S. Bankruptcy Code. These financings allow the entity to continue its business operations while reorganizing under chapter 11. Such financings are senior liens on unencumbered security (i.e., security not subject to other creditors claims).

 

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The Fund may acquire equity securities and warrants issued by a Borrower or its affiliates as part of a package of investments in the Borrower or its affiliates issued in connection with a Senior Loan of the Borrower. The Fund also may convert a warrant so acquired into the underlying security. Investments in warrants and equity securities entail certain risks in addition to those associated with investments in Senior Loans. The value of these securities may be affected more rapidly, and to a greater extent, by company-specific developments and general market conditions. These risks may increase fluctuations in the Fund’s NAV. The Fund may possess material non-public information about a Borrower as a result of its ownership of a Senior Loan of such Borrower. Because of prohibitions on trading in securities of issuers while in possession of such information the Fund might be unable to enter into a transaction in a security of such a Borrower when it would otherwise be advantageous to do so.

The Fund may invest in convertible securities, which may include convertible debt, convertible preferred stock, synthetic convertible securities and may also include secured and unsecured debt, based upon the judgment of the Fund’s sub-adviser. Convertible securities may pay interest or dividends that are based on a fixed or floating rate. A convertible security is a preferred stock, warrant or other security that may be converted into or exchanged for a prescribed amount of common stock or other security of the same or a different issuer or into cash within a particular period of time at a specified price or formula.

The Fund may invest in mortgage-related securities. Mortgage-related securities are debt instruments that provide periodic payments consisting of interest and/or principal that are derived from or related to payments of interest and/or principal on underlying mortgages. Additional payments on mortgage-related securities may be made out of unscheduled prepayments of principal resulting from the sale of the underlying property, or from refinancing or foreclosure, net of fees or costs that may be incurred. The mortgage-related securities in which the Fund invests will typically pay variable rates of interest, although the Fund may invest in fixed-rate obligations as well.

The Fund may invest in certain asset-backed securities (“ABS”). ABS are payment claims that are securitized in the form of negotiable paper that is issued by a financing company (generally called a Special Purpose Vehicle or “SPV”). These securitized payment claims are, as a rule, corporate financial assets brought into a pool according to specific diversification rules. The SPV is a company founded solely for the purpose of securitizing these claims and its only asset is the risk arising out of this diversified asset pool. On this basis, marketable securities are issued which, due to the diversification of the underlying risk, generally represent a lower level of risk than the original assets. The redemption of the securities issued by the SPV takes place at maturity out of the cash flow generated by the collected claims.

The Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a structured credit security issued by an SPV that was created to reapportion the risk and return characteristics of a pool of assets. The assets, typically Senior Loans, are used as collateral supporting the various debt tranches issued by the SPV. The key feature of the CLO structure is the prioritization of the cash flows from a pool of debt securities among the several classes of CLO holders, thereby creating a series of obligations with varying rates and maturities appealing to a wide range of investors. CLOs generally are secured by an assignment to a trustee under an indenture pursuant to which the bonds are issued of collateral consisting of a pool of debt instruments, usually, non-investment grade bank loans. Payments with respect to the underlying debt securities generally are made to the trustee under the indenture. CLOs are designed to be retired as the underlying debt instruments are repaid. In the event of sufficient early prepayments on such debt instruments, the class or series of CLO first to mature generally will be retired prior to maturity. Therefore, although in most cases the issuer of CLOs will not supply additional collateral in the event of such prepayments, there will be sufficient collateral to secure their priority with respect to other CLO tranches that remain outstanding. The credit quality of these securities depends primarily upon the quality of the underlying assets, their priority with respect to other CLO tranches and the level of credit support and/or enhancement provided.

The Fund also may invest in collateralized debt obligations (“CDOs”). A CDO is a structured credit security issued by an SPV that was created to reapportion the risk and return characteristics of a pool of assets. The assets, typically non-investment grade bonds, leveraged loans, and other asset-backed obligations, are used as collateral supporting the various debt and equity tranches issued by the SPV. CDOs operate similarly to CLOs.

The Fund may invest in commercial paper. Commercial paper represents short-term unsecured promissory notes issued in bearer form by corporations such as banks or bank holding companies and finance companies. The rate of return on commercial paper may be linked or indexed to the level of exchange rates between the U.S. dollar and a foreign currency or currencies.

The Fund may invest in U.S. Government securities. U.S. Government securities include (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance: U.S. Treasury bills (maturities of one year or less), U.S. Treasury notes (maturities of one year to ten years) and U.S. Treasury bonds (generally maturities of greater than ten years) and (2) obligations issued or guaranteed by U.S. Government agencies and instrumentalities that are supported by any of the following: (i) the full faith and credit of the U.S. Treasury, (ii) the right of the issuer to borrow an amount limited to a specific line of credit from the U.S. Treasury, (iii) discretionary authority of the U.S. Government to purchase certain obligations of the U.S. Government agency or instrumentality or (iv) the credit of the agency or instrumentality.

The Fund may invest in securities of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund may invest in any region of the world and invest in companies operating in developed countries such as Canada, Japan, Australia, New Zealand and most Western European countries. An “emerging market” country is any country determined to have an emerging markets economy, considering, among other things, factors such as whether the country

 

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has a low-to-middle income economy according to the World Bank or its related organizations, the country’s credit rating, its political and economic stability and the development of its financial and capital markets. These countries generally include countries located in Latin America, the Caribbean, Asia, Africa, the Middle East and Eastern and Central Europe. Securities of non-U.S. issuers include American Depository Receipts (“ADRs”), Global Depositary Receipts (“GDRs”) or other securities representing underlying shares of non-U.S. issuers. Positions in those securities are not necessarily denominated in the same currency as the common stocks into which they may be converted. ADRs are receipts typically issued by an American bank or trust company evidencing ownership of the underlying securities. GDRs are U.S. dollar- denominated receipts evidencing ownership of non-U.S. securities. Generally, ADRs, in registered form, are designed for the U.S. securities markets and GDRs, in bearer form, are designed for use in non-U.S. securities markets. The Fund may invest in sponsored or unsponsored ADRs. In the case of an unsponsored ADR, the Fund is likely to bear its proportionate share of the expenses of the depository and it may have greater difficulty in receiving shareholder communications than it would have with a sponsored ADR.

The Fund may invest in Eurodollar instruments and Yankee bonds. Yankee bonds are U.S. dollar denominated bonds typically issued in the U.S. by non-U.S. governments and their agencies and non-U.S. banks and corporations. These investments involve risks that are different from investments in securities issued by U.S. issuers, including potential unfavorable political and economic developments, non-U.S. withholding or other taxes, seizure of non-U.S. deposits, currency controls, interest limitations or other governmental restrictions which might affect payment of principal or interest.

The Fund may invest in sovereign debt securities issued by issuers located, or conducting their business, in emerging markets countries, and a wide variety of bonds and other debt instruments of varying maturities issued by domestic and non-U.S. corporations, including high yield debt securities.

The Fund may invest in zero coupon bonds. A zero coupon bond is a bond that typically does not pay interest for the entire life of the obligation or for an initial period after the issuance of the obligation.

The Fund may buy and sell securities on a when-issued or delayed delivery basis, making payment or taking delivery at a later date, normally within 15 to 45 days of the trade date.

The Fund may invest in illiquid securities (i.e., securities that are not readily marketable), including, but not limited to, restricted securities (securities the disposition of which is restricted under the federal securities laws), securities that may be resold only pursuant to Rule 144A under the 1933 Act, and repurchase agreements with maturities in excess of seven days.

The Fund may enter into certain derivative instruments in pursuit of its investment objective, including to seek to enhance return, to hedge certain risks of its investments in Senior Loans or as a substitute for a position in the underlying asset. Such instruments include total return swaps; interest rate swaps; credit default swaps; interest rate caps; interest rate floors; interest rate collars; swaptions; credit-linked notes; securities indices; other indices or other financial instruments; stock and bond index futures; futures contracts on securities; options on securities; options on futures contracts; options on stock and bond indexes; interest rate futures; exchange-traded and over-the-counter options on securities or indices; index linked securities; currency exchange transactions; financial futures; options on financial futures; index futures; index options; index options on futures contracts; interest rate options; interest rate option on futures contracts; short sales; structured notes; options on U.S. Treasury security or U.S. Government Agency securities; U.S. Treasury security or U.S. Government Agency security futures contracts; and options on U.S. Treasury security or U.S. Government Agency security futures contracts.

The Fund may also invest in securities of other open- or closed-end investment companies (including ETFs) that invest primarily in the types in which the Fund may invest directly, to the extent permitted by the 1940 Act, the rules and regulations issued thereunder and applicable exemptive orders issued by the SEC.

Use of Leverage

The Fund uses leverage to pursue its investment objective. The Fund may use leverage to the extent permitted by the 1940 Act. The Fund may source leverage through a number of methods including through borrowings, issuing Preferred Shares, the issuance of debt securities, and entering into reverse repurchase agreements (effectively a borrowing). In addition, the Fund may use derivatives that may have the economic effect of leverage, such as certain credit default swaps, total return swaps and bond futures. The amount and sources of leverage will vary depending on market conditions.

Temporary Defensive Periods

During temporary defensive periods (e.g., times when, in the Fund’s investment adviser’s and/or the Fund’s sub-adviser’s opinion, temporary imbalances of supply and demand or other temporary dislocations in the Senior Loan market adversely affect the price at which Senior Loans are available), the Fund may invest up to 100% of its assets in high quality, short-term securities, and in short-, intermediate-, or long-term U.S. Treasury securities. There can be no assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment objective.

 

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NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND (JRO)

Investment Objective

The Fund’s investment objective is to achieve a high level of current income.

Investment Policies

The Fund invests at least 80% of its Assets (as defined below) in adjustable rate loans, primarily secured senior loans. With respect to the Fund’s senior loans included in the 80% policy, such instruments will not at all times have a dollar-weighted average time until the next interest rate adjustment of 90 days or less. As part of the 80% requirement, the Fund also may invest in adjustable rate unsecured senior loans (together with secured senior loans referred to herein as “Senior Loans”) and adjustable rate secured and unsecured subordinated loans.

“Senior Loans” include floating or variable rate, U.S. dominated secured and unsecured loans that hold the most senior position in the capital structure of an issuer. Adjustable rate Senior Loans and adjustable rate subordinated loans are sometimes collectively referred to as “Adjustable Rate Loans.” Adjustable Rate Loans pay interest at rates that are redetermined periodically at short-term intervals by reference to a base lending rate, generally based on a percentage above LIBOR, SOFR, a U.S. bank’s prime or base rate, the overnight federal funds rate or another rate. (of any tenor, but typically between one month and six months, and currently), plus a premium.

“Assets” mean the net assets of the Fund plus the amount of any borrowings for investment purposes. “Managed Assets” mean the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose of creating leverage). Total assets for this purpose shall include assets attributable to the Fund’s use of leverage (whether or not those assets are reflected in the Fund’s financial statements for purposes of generally accepted accounting principles), and derivatives will be valued at their market value.

Under normal circumstances:

 

   

The Fund will invest no more than 20% of its total assets in Senior Loans in which it acts as an agent or co-agent and the size of any such individual Senior Loan will not exceed 5% of the Fund’s total assets.

 

   

The Fund may invest its Managed Assets without limit in Adjustable Rate Loans and other debt instruments that are, at the time of investment, rated below investment grade or unrated but judged to be of comparable quality. Investment grade quality securities are those securities that, at the time of investment, are (i) rated by at least one NRSRO within the four highest grades (BBB- or Baa3 or better by S&P, Moody’s or Fitch, or (ii) unrated but judged to be of comparable quality. However, the Fund may not invest, at the time of investment, more than 30% of its Managed Assets in securities rated below CCC+ or Caa by any NRSRO that rate such security or are unrated but judged to be of comparable quality, including securities in default.

 

   

The Fund may invest up to 20% of its Managed Assets in the following adjustable or fixed rate securities: (i) other debt securities such as investment and non-investment grade debt securities, fixed rate Senior Loans or subordinated loans, convertible securities and structured notes (other than structured notes that are designed to provide returns and risks that emulate those of Adjustable Rate Loans, which may be treated as an investment in Adjustable Rate Loans for purposes of the 80% requirement set forth above); (ii) mortgage-related and other asset-backed securities (including collateralized loan obligations and collateralized debt obligations); and (iii) debt securities and other instruments issued by government, government-related or supranational issuers (commonly referred to as sovereign debt securities).

 

   

No more than 5% of the Fund’s Managed Assets may be invested in each of convertible securities, mortgage-related and other asset-backed securities, and sovereign debt securities.

 

   

The Fund also may receive warrants and equity securities issued by an issuer or its affiliates in connection with the Fund’s other investments in such entities.

 

   

The Fund will invest at least 65% of its Managed Assets in Senior Loans that are secured by specific collateral. Such collateral consists of assets and/or stock of the borrower.

 

   

The Fund maintains an average duration of one year or less for its portfolio investments in Adjustable Rate Loans and other debt instruments.

 

   

The Fund will not invest in inverse floating rate securities.

 

   

The Fund may invest up to 20% of its Managed Assets in securities of non-U.S. Issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s Managed Assets to be invested in Adjustable Rate Loans and other debt instruments of non-U.S. Issuers may include debt securities of Issuers located, or conducting their business in, emerging markets countries.

 

   

The Fund may not invest more than 20% of its Managed Assets in securities from an industry which (for these purposes ) generally refers to the classification of companies in the same or similar lines of business such as the automotive, textiles and apparel, hotels, media production and consumer retailing industries. The Fund may invest more than 20% of its Managed Assets in sectors which (for these

 

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  purposes) generally refers to broader classifications of industries, such as the consumer discretionary sector which includes the automotive, textiles and apparel, hotels, media production and consumer retailing industries, provided the Fund’s investment in a particular industry within the sector does not exceed the industry limitation.

 

   

The Fund may invest up to 5% of its Managed Assets in iBoxx Loan Total Return Swaps. An iBoxx Loan Total Return Swap is a specific type of total return swap on an index that is designed to provide exposure to the Senior Loan market. The iBoxx Loan Total Return Swap’s underlying index is the Markit iBoxx USD Liquid Leveraged Loans Total Return Index, which is one of a subset of indices designed to track the broader, rules-based Markit iBoxx USD Liquid Leveraged Loan Index. “iBoxx Loan Total Return Swaps” means total return swaps written on the Markit iBoxx USD Liquid Leveraged Loans Total Return Index.

The foregoing policies apply only at the time of any new investment.

Approving Changes in Investment Policies

The Board of Trustees of the Fund may change the policies described above without a shareholder vote. However, with respect to the Fund’s policy of investing at least 80% of its Assets in adjustable rate loans, such policy may not be changed without 60 days’ prior written notice.

Portfolio Contents

The Fund generally invests in Senior Loans. Senior Loans typically hold the most senior position in the capital structure of a business entity, are typically secured with specific collateral and have a claim on the assets and/or stock of the issuer that is senior to that held by subordinated debt holders and stockholders of the issuer.

Senior Loans generally include: (i) Senior Loans made by banks or other financial institutions to U.S. and non-U.S. corporations, partnerships and other business entities (each a “Borrower” and, collectively, “Borrowers”), (ii) assignments of such interests in Senior Loans, or (iii) participation interests in Senior Loans. Generally, an assignment is the actual sale of the loan, in whole or in part. A participation, on the other hand, means that the original lender maintains ownership over the loan and the participant has only a contract right against the original lender, not a credit relationship with the Borrower. Senior Loans typically hold the most senior position in the capital structure of a Borrower, are typically secured with specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. The capital structure of a Borrower may include Senior Loans, senior and junior subordinated debt, preferred stock and common stock issued by the Borrower, typically in descending order of seniority with respect to claims on the Borrower’s assets. The proceeds of Senior Loans primarily are used by Borrowers to finance leveraged buyouts, recapitalizations, mergers, acquisitions, stock repurchases, refinancings, internal growth and for other corporate purposes. A Senior Loan is typically originated, negotiated and structured by a U.S. or non-U.S. commercial bank, insurance company, finance company or other financial institution (“Agent”) for a lending syndicate of financial institutions which typically includes the Agent (“Lenders”). The Agent typically administers and enforces the Senior Loan on behalf of the other Lenders in the syndicate. In addition, an institution, typically but not always the Agent, holds any collateral on behalf of the Lenders. The Fund normally will rely primarily on the Agent to collect principal of and interest on a Senior Loan. Also, the Fund usually will rely on the Agent to monitor compliance by the Borrower with the restrictive covenants in a loan agreement.

Senior loans in which the Fund invests generally pay interest at rates that are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate plus a premium or credit spread. The interest rates on senior loans are generally based on a percentage above LIBOR, SOFR, a U.S. bank’s prime or base rate, the overnight federal funds rate or another rate. The use of the LIBOR will begin to be phased out in the near future. While SOFR has been recommended as the replacement rate for LIBOR, and some product markets have adopted the use of SOFR, LIBOR may still be used as a reference rate until such time that private markets have fully transitioned to using SOFR or other alternative reference rates recommended by applicable market regulators. As adjustable rate loans, the frequency of how often a senior loan resets its interest rate will impact how closely such senior loans track current market interest rates. Senior loans typically have a stated term of between one and eight years.

The Fund may purchase participations in Senior Loans. By purchasing a participation interest in a loan, the Fund acquires some or all of the interest of a bank or other financial institution in a loan to a Borrower. Under a participation, the Fund generally will have rights that are more limited than the rights of lenders or of persons who acquire a Senior Loan by assignment. In a participation, the Fund typically has a contractual relationship with the lender selling the participation, but not with the Borrower. As a result, the Fund assumes the credit risk of the lender selling the participation in addition to the credit risk of the Borrower. In the event of insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not have a senior claim to the lenders’ interest in the Senior Loan. A lender selling a participation and other persons interpositioned between the lender and the Fund with respect to participations will likely conduct their principal business activities in the banking, finance and financial services industries.

The Fund may invest in subordinated loans. The subordinated loans in which the Fund may invest are typically privately-negotiated investments that rank subordinate in priority of payment to senior debt, such as Senior Loans, and are often unsecured. However, such subordinated loans rank senior to common and preferred equity in a Borrower’s capital structure. Subordinated loans may have elements of both debt and equity instruments, offering fixed or adjustable rates of return in the form of interest payments associated with senior debt, while providing lenders an opportunity to participate in the

 

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capital appreciation of a Borrower, if any, through an equity interest. This equity interest may take the form of warrants or direct equity investments which will be in conjunction with the subordinated loans. Due to their higher risk profile and often less restrictive covenants as compared to Senior Loans, subordinated loans generally earn a higher return than secured Senior Loans. The warrants associated with subordinated loans are typically detachable, which allows lenders the opportunity to receive repayment of their principal on an agreed amortization schedule while retaining their equity interest in the Borrower. Subordinated loans also may include a “put” feature, which permits the holder to sell its equity interest back to the Borrower at a price determined through an agreed formula.

The Fund may invest in subordinated loans that are primarily unsecured and that provide for relatively high, adjustable rates of interest, providing the Fund with significant current interest income. The subordinated loans in which the Fund may invest may have interest-only payments in the early years, with amortization of principal deferred to the later years of the subordinated loans. In some cases, the Fund may acquire subordinated loans that, by their terms, convert into equity or additional debt securities or defer payments of interest for the first few years after issuance. Also, in some cases the subordinated loans in which the Fund may invest will be collateralized by a subordinated lien on some or all of the assets of the Borrower. Typically, subordinated loans in which the Fund may invest will have maturities of four to eight years.

The Fund may invest in mezzanine loans. Structurally, mezzanine loans usually rank subordinate in priority of payment to senior debt, such as senior bank debt, and are often unsecured. However, mezzanine loans rank senior to common and preferred equity in a borrower’s capital structure. Mezzanine debt is often used in leveraged buyout and real estate finance transactions. Typically, mezzanine loans have elements of both debt and equity instruments, offering the fixed returns in the form of interest payments associated with senior debt, while providing lenders an opportunity to participate in the capital appreciation of a borrower, if any, through an equity interest. This equity interest typically takes the form of warrants. Due to their higher risk profile and often less restrictive covenants as compared to senior loans, mezzanine loans generally earn a higher return than senior secured loans. The warrants associated with mezzanine loans are typically detachable, which allows lenders to receive repayment of their principal on an agreed amortization schedule while retaining their equity interest in the borrower. Mezzanine loans also may include a “put” feature, which permits the holder to sell its equity interest back to the borrower at a price determined through an agreed-upon formula. Mezzanine investments may be issued with or without registration rights. Similar to other high yield securities, maturities of mezzanine investments are typically seven to ten years, but the expected average life is significantly shorter at three to five years. Mezzanine investments are usually unsecured and subordinate to other obligations of the issuer.

The Fund may invest in corporate debt instruments. Corporate debt instruments generally are used by corporations to borrow money from investors. The Issuer pays the investor a fixed or variable rate of interest and normally must repay the amount borrowed on or before maturity. Certain debt instruments in which the Fund may invest may be “perpetual” in that they have no maturity date and some may be convertible into equity securities of the Issuer or its affiliates. The Fund may invest in debt instruments of any quality and such debt instruments may be secured or unsecured. In addition, certain debt instruments in which the Fund may invest may be subordinated to the payment of an Issuer’s senior debt.

The Fund may utilize structured notes and similar instruments for investment purposes and also for hedging purposes. Structured notes are privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a benchmark asset, market or interest rate (an “embedded index”), such as selected securities, an index of securities or specified interest rates, or the differential performance of two assets or markets.

For cash management purposes, the Fund may enter into repurchase agreements (a purchase of, and a simultaneous commitment to resell, a financial instrument at an agreed upon price on an agreed upon date) only with member banks of the Federal Reserve System and member firms of the New York Stock Exchange. When participating in repurchase agreements, the Fund buys securities from a vendor, e.g., a bank or brokerage firm, with the agreement that the vendor will repurchase the securities at a higher price at a later date. Such transactions afford an opportunity for the Fund to earn a return on available cash at minimal market risk, although the Fund may be subject to various delays and risks of loss if the vendor is unable to meet its obligation to repurchase.

The Fund may invest in debtor-in-possession financings (commonly called “DIP financings”). DIP financings are arranged when an entity seeks the protections of the bankruptcy court under chapter 11 of the U.S. Bankruptcy Code. These financings allow the entity to continue its business operations while reorganizing under chapter 11. Such financings are senior liens on unencumbered security (i.e., security not subject to other creditors claims).

The Fund may acquire equity securities and warrants issued by a Borrower or its affiliates as part of a package of investments in the Borrower or its affiliates issued in connection with a Senior Loan of the Borrower. The Fund also may convert a warrant so acquired into the underlying security. Investments in warrants and equity securities entail certain risks in addition to those associated with investments in Senior Loans. The value of these securities may be affected more rapidly, and to a greater extent, by company-specific developments and general market conditions. These risks may increase fluctuations in the Fund’s NAV. The Fund may possess material non-public information about a Borrower as a result of its ownership of a Senior Loan of such Borrower. Because of prohibitions on trading in securities of issuers while in possession of such information the Fund might be unable to enter into a transaction in a security of such a Borrower when it would otherwise be advantageous to do so.

The Fund may invest in convertible securities, which may include convertible debt, convertible preferred stock, synthetic convertible securities and may also include secured and unsecured debt, based upon the judgment of the Fund’s sub-adviser. Convertible securities may pay interest or dividends that

 

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are based on a fixed or floating rate. A convertible security is a preferred stock, warrant or other security that may be converted into or exchanged for a prescribed amount of common stock or other security of the same or a different issuer or into cash within a particular period of time at a specified price or formula.

The Fund may invest in mortgage-related securities. Mortgage-related securities are debt instruments that provide periodic payments consisting of interest and/or principal that are derived from or related to payments of interest and/or principal on underlying mortgages. Additional payments on mortgage-related securities may be made out of unscheduled prepayments of principal resulting from the sale of the underlying property, or from refinancing or foreclosure, net of fees or costs that may be incurred. The mortgage-related securities in which the Fund invests will typically pay variable rates of interest, although the Fund may invest in fixed-rate obligations as well.

The Fund may invest in certain ABS. ABS are payment claims that are securitized in the form of negotiable paper that is issued by a financing company (generally called a SPV). These securitized payment claims are, as a rule, corporate financial assets brought into a pool according to specific diversification rules. The SPV is a company founded solely for the purpose of securitizing these claims and its only asset is the risk arising out of this diversified asset pool. On this basis, marketable securities are issued which, due to the diversification of the underlying risk, generally represent a lower level of risk than the original assets. The redemption of the securities issued by the SPV takes place at maturity out of the cash flow generated by the collected claims.

The Fund may invest in CLOs. A CLO is a structured credit security issued by an SPV that was created to reapportion the risk and return characteristics of a pool of assets. The assets, typically Senior Loans, are used as collateral supporting the various debt tranches issued by the SPV. The key feature of the CLO structure is the prioritization of the cash flows from a pool of debt securities among the several classes of CLO holders, thereby creating a series of obligations with varying rates and maturities appealing to a wide range of investors. CLOs generally are secured by an assignment to a trustee under an indenture pursuant to which the bonds are issued of collateral consisting of a pool of debt instruments, usually, non-investment grade bank loans. Payments with respect to the underlying debt securities generally are made to the trustee under the indenture. CLOs are designed to be retired as the underlying debt instruments are repaid. In the event of sufficient early prepayments on such debt instruments, the class or series of CLO first to mature generally will be retired prior to maturity. Therefore, although in most cases the issuer of CLOs will not supply additional collateral in the event of such prepayments, there will be sufficient collateral to secure their priority with respect to other CLO tranches that remain outstanding. The credit quality of these securities depends primarily upon the quality of the underlying assets, their priority with respect to other CLO tranches and the level of credit support and/or enhancement provided.

The Fund also may invest in CDOs. A CDO is a structured credit security issued by an SPV that was created to reapportion the risk and return characteristics of a pool of assets. The assets, typically non-investment grade bonds, leveraged loans, and other asset-backed obligations, are used as collateral supporting the various debt and equity tranches issued by the SPV. CDOs operate similarly to CLOs.

The Fund may invest in commercial paper. Commercial paper represents short-term unsecured promissory notes issued in bearer form by corporations such as banks or bank holding companies and finance companies. The rate of return on commercial paper may be linked or indexed to the level of exchange rates between the U.S. dollar and a foreign currency or currencies.

The Fund may invest in U.S. Government securities. U.S. Government securities include (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance: U.S. Treasury bills (maturities of one year or less), U.S. Treasury notes (maturities of one year to ten years) and U.S. Treasury bonds (generally maturities of greater than ten years) and (2) obligations issued or guaranteed by U.S. Government agencies and instrumentalities that are supported by any of the following: (i) the full faith and credit of the U.S. Treasury, (ii) the right of the issuer to borrow an amount limited to a specific line of credit from the U.S. Treasury, (iii) discretionary authority of the U.S. Government to purchase certain obligations of the U.S. Government agency or instrumentality or (iv) the credit of the agency or instrumentality.

The Fund may invest in securities of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund may invest in any region of the world and invest in companies operating in developed countries such as Canada, Japan, Australia, New Zealand and most Western European countries. An “emerging market” country is any country determined to have an emerging markets economy, considering, among other things, factors such as whether the country has a low-to-middle income economy according to the World Bank or its related organizations, the country’s credit rating, its political and economic stability and the development of its financial and capital markets. These countries generally include countries located in Latin America, the Caribbean, Asia, Africa, the Middle East and Eastern and Central Europe. Securities of non-U.S. issuers include ADRs, GDRs or other securities representing underlying shares of non-U.S. issuers. Positions in those securities are not necessarily denominated in the same currency as the common stocks into which they may be converted. ADRs are receipts typically issued by an American bank or trust company evidencing ownership of the underlying securities. GDRs are U.S. dollar- denominated receipts evidencing ownership of non-U.S. securities. Generally, ADRs, in registered form, are designed for the U.S. securities markets and GDRs, in bearer form, are designed for use in non-U.S. securities markets. The Fund may invest in sponsored or unsponsored ADRs. In the case of an unsponsored ADR, the Fund is likely to bear its proportionate share of the expenses of the depository and it may have greater difficulty in receiving shareholder communications than it would have with a sponsored ADR.

 

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Shareholder Update (continued)

(Unaudited)

 

The Fund may invest in Eurodollar instruments and Yankee bonds. Yankee bonds are U.S. dollar denominated bonds typically issued in the U.S. by non-U.S. governments and their agencies and non-U.S. banks and corporations. These investments involve risks that are different from investments in securities issued by U.S. issuers, including potential unfavorable political and economic developments, non-U.S. withholding or other taxes, seizure of non-U.S. deposits, currency controls, interest limitations or other governmental restrictions which might affect payment of principal or interest.

The Fund may invest in sovereign debt securities issued by issuers located, or conducting their business, in emerging markets countries, and a wide variety of bonds and other debt instruments of varying maturities issued by domestic and non-U.S. corporations, including high yield debt securities.

The Fund may invest in zero coupon bonds. A zero coupon bond is a bond that typically does not pay interest for the entire life of the obligation or for an initial period after the issuance of the obligation.

The Fund may buy and sell securities on a when-issued or delayed delivery basis, making payment or taking delivery at a later date, normally within 15 to 45 days of the trade date.

The Fund may invest in illiquid securities (i.e., securities that are not readily marketable), including, but not limited to, restricted securities (securities the disposition of which is restricted under the federal securities laws), securities that may be resold only pursuant to Rule 144A under the 1933 Act, and repurchase agreements with maturities in excess of seven days.

The Fund may enter into certain derivative instruments in pursuit of its investment objective, including to seek to enhance return, to hedge certain risks of its investments in Senior Loans or as a substitute for a position in the underlying asset. Such instruments include total return swaps; interest rate swaps; credit default swaps; interest rate caps; interest rate floors; interest rate collars; swaptions; credit-linked notes; securities indices; other indices or other financial instruments; stock and bond index futures; futures contracts on securities; options on securities; options on futures contracts; options on stock and bond indexes; interest rate futures; exchange-traded and over-the-counter options on securities or indices; index linked securities; currency exchange transactions; financial futures; options on financial futures; index futures; index options; index options on futures contracts; interest rate options; interest rate option on futures contracts; short sales; structured notes; options on U.S. Treasury security or U.S. Government Agency securities; U.S. Treasury security or U.S. Government Agency security futures contracts; and options on U.S. Treasury security or U.S. Government Agency security futures contracts.

Such instruments may include total return swaps whose prices, in the sub-adviser’s opinion, correlate with the prices of the Adjustable Rate Loans, primarily Senior Loans, in which the Fund primarily invests. Total return swaps are contracts in which one party agrees to make payments of the total return from the underlying asset(s), which may include indices, securities or baskets of securities during the specified period, in return for payments equal to a fixed or floating rate of interest or the total return from other underlying asset(s).

The Fund may also invest in securities of other open- or closed-end investment companies (including ETFs) that invest primarily in the types in which the Fund may invest directly, to the extent permitted by the 1940 Act, the rules and regulations issued thereunder and applicable exemptive orders issued by the SEC.

Use of Leverage

The Fund uses leverage to pursue its investment objective. The Fund may use leverage to the extent permitted by the 1940 Act. The Fund may source leverage through a number of methods including through borrowings, issuing Preferred Shares, the issuance of debt securities, and entering into reverse repurchase agreements (effectively a borrowing). In addition, the Fund may use derivatives that may have the economic effect of leverage, such as certain credit default swaps, total return swaps and bond futures. The amount and sources of leverage will vary depending on market conditions.

Temporary Defensive Periods

During temporary defensive periods (e.g., times when, in the Fund’s investment adviser’s and/or the Fund’s sub-adviser’s opinion, temporary imbalances of supply and demand or other temporary dislocations in the Senior Loan market adversely affect the price at which Senior Loans are available), the Fund may invest up to 100% of its assets in high quality, short-term securities, and in short-, intermediate-, or long-term U.S. Treasury securities. There can be no assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment objective.

 

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NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND (JSD)

Investment Objective

The Fund’s investment objective is to provide current income and the potential for capital appreciation.

Investment Policies

The Fund will invest at least 80% of Assets (as defined below), at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities and preferred securities.

The Fund’s portfolio will be invested primarily in below investment grade adjustable rate corporate debt instruments, including senior secured loans, second lien loans, and other adjustable rate corporate debt instruments. The Fund also may invest in other types of debt instruments and enter into short positions consisting primarily of high yield debt.

“Assets” mean the net assets of the Fund plus the amount of any borrowings for investment purposes. “Managed Assets” mean the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose of creating leverage). Total assets for this purpose shall include assets attributable to the Fund’s use of leverage (whether or not those assets are reflected in the Fund’s financial statements for purposes of generally accepted accounting principles), and derivatives will be valued at their market value.

Under normal circumstances:

 

   

The Fund will invest at least 70% of its Managed Assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans, and other adjustable rate corporate debt instruments.

 

   

The Fund may invest in high yield debt and other debt instruments as described herein in an aggregate amount of up to 30% of its Managed Assets.

 

   

The Fund will invest at least 80% of its Managed Assets in corporate debt instruments that are, at the time of investment, rated below investment grade or unrated but judged by the Fund’s sub-adviser to be of comparable quality. Investment grade quality securities are those securities that, at the time of investment, are (i) rated by at least one NRSRO within the four highest grades (BBB- or Baa3 or better by S&P, Moody’s or Fitch, or (ii) unrated but judged to be of comparable quality. However, the Fund may not invest, at the time of investment, more than 30% of its Managed Assets in securities rated below CCC+ or Caa by any NRSRO that rate such security or are unrated but judged to be of comparable quality, including securities in default.

 

   

The Fund may enter into short positions, consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating a negative investment exposure or hedging existing long (positive) investment exposure in a notional amount up to 20% of its Managed Assets.

 

   

The Fund will maintain an average duration of two years or less for its portfolio (including the effect of leverage, but after the effect of derivatives used to shorten duration). “Average duration” and “average portfolio duration” are each defined to be the modified duration of the Fund’s portfolio, which is the measure of a debt instrument’s or a portfolio’s price sensitivity with respect to changes in market yields adjusted to reflect the effect of the Fund’s use of leverage.

 

   

The Fund may invest up to 20% of its Managed Assets in debt instruments of non-U.S. issuers (which term includes borrowers) that are U.S. dollar or non-U.S. dollar denominated. The Fund’s investments in debt instruments of non-U.S. issuers may include debt instruments located, or conducting their business, in emerging market countries.

 

   

The Fund may invest up to 10% of its Managed Assets in securities of other open- or closed-end investment companies (including ETFs) that invest primarily in the types in which the Fund may invest directly.

The foregoing policies apply only at the time of any new investment.

Approving Changes in Investment Policies

The Board of Trustees of the Fund may change the policies described above without a shareholder vote. However, with respect to the Fund’s policy of investing at least 80% of its Assets in loans or securities in the issuing company’s capital structure that are senior to its common equity, such policy may not be changed without 60 days’ prior written notice.

Portfolio Contents

The Fund’s portfolio will be invested primarily in adjustable rate corporate debt instruments, including senior secured loans, second lien loans, and other adjustable rate corporate debt instruments. Adjustable rate instruments pay interest at rates which are determined periodically at short-term intervals on the basis of an adjustable base lending rate plus a premium.

 

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Shareholder Update (continued)

(Unaudited)

 

The Fund invests in senior loans. Senior loans typically hold the most senior position in the capital structure of a business entity, are typically secured with specific collateral and have a claim on the assets and/or stock of the issuer that is senior to that held by subordinated debt holders and stockholders of the issuer.

Senior loans generally include: (i) senior loans made by banks or other financial institutions to U.S. and non-U.S. corporations, partnerships and other business entities (each a “Borrower” and, collectively, “Borrowers”), (ii) assignments of such interests in senior loans, or (iii) participation interests in senior loans. Generally, an assignment is the actual sale of the loan, in whole or in part. A participation, on the other hand, means that the original lender maintains ownership over the loan and the participant has only a contract right against the original lender, not a credit relationship with the Borrower. Senior loans typically hold the most senior position in the capital structure of a Borrower, are typically secured with specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. The capital structure of a Borrower may include senior loans, senior and junior subordinated debt, preferred stock and common stock issued by the Borrower, typically in descending order of seniority with respect to claims on the Borrower’s assets. The proceeds of senior loans primarily are used by Borrowers to finance leveraged buyouts, recapitalizations, mergers, acquisitions, stock repurchases, refinancings, internal growth and for other corporate purposes. A senior loan is typically originated, negotiated and structured by a U.S. or non-U.S. commercial bank, insurance company, finance company or other financial institution (“Agent”) for a lending syndicate of financial institutions which typically includes the Agent (“Lenders”). The Agent typically administers and enforces the senior loan on behalf of the other Lenders in the syndicate. In addition, an institution, typically but not always the Agent, holds any collateral on behalf of the Lenders. The Fund normally will rely primarily on the Agent to collect principal of and interest on a senior loan. Also, the Fund usually will rely on the Agent to monitor compliance by the Borrower with the restrictive covenants in a loan agreement.

Senior loans in which the Fund invests generally pay interest at rates that are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate plus a premium or credit spread. The interest rates on senior loans are generally based on a percentage above LIBOR, SOFR, a U.S. bank’s prime or base rate, the overnight federal funds rate or another rate. The use of the LIBOR will begin to be phased out in the near future. While SOFR has been recommended as the replacement rate for LIBOR, and some product markets have adopted the use of SOFR, LIBOR may still be used as a reference rate until such time that private markets have fully transitioned to using SOFR or other alternative reference rates recommended by applicable market regulators. As adjustable rate loans, the frequency of how often a senior loan resets its interest rate will impact how closely such senior loans track current market interest rates. Senior loans typically have a stated term of between one and eight years.

The Fund may invest in second lien loans and other unsecured loans. Such loans are made by public and private corporations and other non-governmental Borrowers for a variety of purposes. As in the case of senior loans, the Fund may purchase interests in second lien loans and unsecured loans through assignments or participations.

Second lien loans have similar characteristics as senior loans except that such interests are second in lien property rather than first. Second lien loans are second in priority of payment to one or more senior loans of the related Borrower and are typically secured by a second priority security interest or lien to or on specified collateral securing the Borrower’s obligation under the interest. They typically have similar protections and rights as senior loans. Second lien loans are not (and by their terms cannot become) subordinate in priority of payment to any obligation of the related Borrower other than senior loans of such Borrower. Second lien loans may feature fixed or floating rate interest payments. Because second lien loans are second to senior loans, they present a greater degree of investment risk but often pay interest at higher rates reflecting this additional risk. In addition, second lien loans of below investment grade quality share many of the risk characteristics of other below investment grade debt instruments.

Unsecured loans generally have lower priority in right of payment compared to holders of secured interests of the Borrower. Unsecured loans are not secured by a security interest or lien to or on specified collateral securing the Borrower’s obligation under the interest. Unsecured loans by their terms may be or may become subordinate in right of payment to other obligations of the Borrower, including senior loans, second lien loans and other interests. Unsecured loans may have fixed or adjustable floating rate interest payments. Because unsecured loans are subordinate to Senior Loans and other secured debt of the Borrower, they present a greater degree of investment risk but often pay interest at higher rates reflecting this additional risk. Such investments generally are of below investment grade quality. Unsecured loans of below investment grade quality share the same risks of other below investment grade debt instruments.

The subordinated loans in which the Fund may invest are typically privately-negotiated investments that rank subordinate in priority of payment to senior debt, such as senior loans, and are often unsecured. Because subordinated interests may rank lower as to priority of payment than senior loans and second lien loans of the Borrower, they may present a greater degree of investment risk than senior loans and second lien loans but often pay interest at higher rates reflecting this additional risk. Other than their more subordinated status, such investments have many characteristics and risks similar to senior loans and second lien loans discussed above. Subordinated interests of below investment grade quality share risks of other below investment grade debt instruments. Subordinated loans rank senior to common and preferred equity in a Borrower’s capital structure. Subordinated loans may have elements of both debt and equity instruments, offering fixed or adjustable rates of return in the form of interest payments associated with senior debt, while providing lenders an opportunity to participate in the capital appreciation of a Borrower, if any, through an equity interest. This equity interest may take the form of warrants or direct equity investments which will be in conjunction with the subordinated loans. Due to their higher risk profile and often less restrictive

 

138


 

covenants as compared to senior loans, subordinated loans generally earn a higher return than secured senior loans. The warrants associated with subordinated loans are typically detachable, which allows lenders the opportunity to receive repayment of their principal on an agreed amortization schedule while retaining their equity interest in the Borrower. Subordinated loans also may include a “put” feature, which permits the holder to sell its equity interest back to the Borrower at a price determined through an agreed formula.

The Fund may invest in subordinated loans that are primarily unsecured and that provide for relatively high, adjustable rates of interest, providing the Fund with significant current interest income. The subordinated loans in which the Fund may invest may have interest-only payments in the early years, with amortization of principal deferred to the later years of the subordinated loans. In some cases, the Fund may acquire subordinated loans that, by their terms, convert into equity or additional debt instruments or defer payments of interest for the first few years after issuance. Also, in some cases the subordinated loans in which the Fund may invest will be collateralized by a subordinated lien on some or all of the assets of the Borrower. Typically, subordinated loans in which the Fund may invest will have maturities of four to eight years.

The Fund may utilize structured notes and similar instruments for investment purposes and also for hedging purposes. Structured notes are privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a benchmark asset, market or interest rate (an “embedded index”), such as selected securities, an index of securities or specified interest rates, or the differential performance of two assets or markets.

For cash management purposes, the Fund may enter into repurchase agreements (a purchase of, and a simultaneous commitment to resell, a financial instrument at an agreed upon price on an agreed upon date) only with member banks of the Federal Reserve System and member firms of the New York Stock Exchange. When participating in repurchase agreements, the Fund buys securities from a vendor, e.g., a bank or brokerage firm, with the agreement that the vendor will repurchase the securities at a higher price at a later date. Such transactions afford an opportunity for the Fund to earn a return on available cash at minimal market risk, although the Fund may be subject to various delays and risks of loss if the vendor is unable to meet its obligation to repurchase.

The Fund may invest in debtor-in-possession financings (commonly called “DIP financings”). DIP financings are arranged when an entity seeks the protections of the bankruptcy court under chapter 11 of the U.S. Bankruptcy Code. These financings allow the entity to continue its business operations while reorganizing under chapter 11. Such financings are senior liens on unencumbered security (i.e., security not subject to other creditors claims).

The Fund may invest in corporate debt instruments. Corporate debt instruments generally are used by corporations to borrow money from investors. The Issuer pays the investor a fixed or variable rate of interest and normally must repay the amount borrowed on or before maturity. Certain debt instruments in which the Fund may invest may be “perpetual” in that they have no maturity date and some may be convertible into equity securities of the Issuer or its affiliates. The Fund may invest in debt instruments of any quality and such debt instruments may be secured or unsecured. In addition, certain debt instruments in which the Fund may invest may be subordinated to the payment of an Issuer’s senior debt.

The Fund may acquire equity securities and warrants issued by a Borrower or its affiliates as part of a package of investments in the Borrower or its affiliates issued in connection with a Senior Loan of the Borrower. The Fund also may convert a warrant so acquired into the underlying security. Investments in warrants and equity securities entail certain risks in addition to those associated with investments in Senior Loans. The value of these securities may be affected more rapidly, and to a greater extent, by company-specific developments and general market conditions. These risks may increase fluctuations in the Fund’s NAV. The Fund may possess material non-public information about a Borrower as a result of its ownership of a Senior Loan of such Borrower. Because of prohibitions on trading in securities of issuers while in possession of such information the Fund might be unable to enter into a transaction in a security of such a Borrower when it would otherwise be advantageous to do so.

The Fund may invest in convertible securities, which may include convertible debt, convertible preferred stock, synthetic convertible securities and may also include secured and unsecured debt, based upon the judgment of the Fund’s sub-adviser. Convertible securities may pay interest or dividends that are based on a fixed or floating rate. A convertible security is a preferred stock, warrant or other security that may be converted into or exchanged for a prescribed amount of common stock or other security of the same or a different issuer or into cash within a particular period of time at a specified price or formula.

The Fund may invest in commercial paper. Commercial paper represents short-term unsecured promissory notes issued in bearer form by corporations such as banks or bank holding companies and finance companies. The rate of return on commercial paper may be linked or indexed to the level of exchange rates between the U.S. dollar and a foreign currency or currencies.

The Fund may invest in U.S. Government securities. U.S. Government securities include (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance: U.S. Treasury bills (maturities of one year or less), U.S. Treasury notes (maturities of one year to ten years) and U.S. Treasury bonds (generally maturities of greater than ten years) and (2) obligations issued or guaranteed by U.S. Government agencies and instrumentalities that are supported by any of the following: (i) the full faith and credit of the U.S. Treasury, (ii) the right of the issuer to borrow an amount limited to a specific line of credit from the U.S. Treasury, (iii) discretionary authority of the U.S. Government to purchase certain obligations of the U.S. Government agency or instrumentality or (iv) the credit of the agency or instrumentality.

 

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Shareholder Update (continued)

(Unaudited)

 

The Fund may invest in securities of non-U.S. companies. The Fund will classify an issuer of a security as being located in a country based on the determination of an unaffiliated, recognized financial data provider. Such determinations are based on a number of criteria, such as the issuer’s country of domicile, the primary stock exchange on which the security trades, the location from which the majority of the issuer’s revenue, comes and the issuer’s reporting currency.

The Fund may invest in securities of emerging markets issuers. Emerging markets issuers are those (i) whose securities are traded principally on a stock exchange or over-the-counter in an emerging market country, (ii) organized under the laws of an emerging market country or (iii) whose principal place of business or principal office(s) is in an emerging market country. Emerging market countries include any country other than Canada, the United States and the countries comprising the MSCI EAFE® Index (currently, Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom).

The Fund may invest in preferred securities. Preferred securities, which generally pay fixed or adjustable rate dividends or interest to investors, have preference over common stock in the payment of dividends or interest and the liquidation of a company’s assets, which means that a company typically must pay dividends or interest on its preferred securities before paying any dividends on its common stock. On the other hand, preferred securities are junior to all forms of the company’s debt, including both senior and subordinated debt. Because of their subordinated position in the capital structure of an issuer, the ability to defer dividend or interest payments for extended periods of time without triggering a default from legal action and certain other features, preferred securities are often treated as equity-like instruments by both issuers and investors, as their quality and value are heavily dependent on the profitability and cash flows of the issuer rather than on any legal claims to specific assets.

The Fund may invest in zero coupon bonds. A zero coupon bond is a bond that typically does not pay interest for the entire life of the obligation or for an initial period after the issuance of the obligation.

The Fund may buy and sell securities on a when-issued or delayed delivery basis, making payment or taking delivery at a later date, normally within 15 to 45 days of the trade date.

The Fund may invest in illiquid securities (i.e., securities that are not readily marketable), including, but not limited to, restricted securities (securities the disposition of which is restricted under the federal securities laws), securities that may be resold only pursuant to Rule 144A under the 1933 Act, and repurchase agreements with maturities in excess of seven days.

The Fund may enter into certain derivative transactions, such as credit default swaps and interest rate swaps, as a hedging technique to protect against potential adverse changes in the market value of portfolio instruments. The Fund also may use derivatives to attempt to protect the NAV of the Fund, to facilitate the sale of certain portfolio instruments, to manage the Fund’s effective interest rate exposure, and as a temporary substitute for purchasing or selling particular instruments. From time to time, the Fund also may enter into derivative transactions such as total return swaps on an underlying index to create investment exposure to the extent such transactions may facilitate implementation of its strategy more efficiently than through outright purchases or sales of portfolio instruments. The Fund will not enter into interest rate swap transactions having a notional amount that exceeds the outstanding amount of the Fund’s leverage.

The Fund may also invest in securities of other open- or closed-end investment companies (including ETFs) that invest primarily in the types in which the Fund may invest directly, to the extent permitted by the 1940 Act, the rules and regulations issued thereunder and applicable exemptive orders issued by the SEC.

Use of Leverage

The Fund uses leverage to pursue its investment objective. The Fund may use leverage to the extent permitted by the 1940 Act. The Fund may source leverage through a number of methods including through borrowings, issuing Preferred Shares and the issuance of debt securities. In addition, the Fund may use derivatives that may have the economic effect of leverage, such as certain credit default swaps, total return swaps and bond futures. The amount and sources of leverage will vary depending on market conditions.

Temporary Defensive Periods

During temporary defensive periods (e.g., times when, in the Fund’s investment adviser’s and/or the Fund’s sub-adviser’s opinion, temporary imbalances of supply and demand or other temporary dislocations in the Senior Loan market adversely affect the price at which Senior Loans are available), the Fund may invest up to 100% of its assets in high quality, short-term securities, and in short-, intermediate-, or long-term U.S. Treasury securities. There can be no assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment objective.

 

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NUVEEN CREDIT STRATEGIES INCOME FUND (JQC)

Investment Objectives

The Fund’s primary investment objective is to achieve a high level of current income. The Fund’s secondary investment objective is total return.

Investment Policies

The Fund will invest at least 80% of its Assets (as defined below), at time of purchase, in loans or securities that are senior to its common equity in the issuing company’s capital structure, including but not limited to debt securities and preferred securities.

The Fund invests in in adjustable rate loans, primarily secured senior loans and other debt instruments. Adjustable rate loans are made to U.S. or non-U.S. corporations, partnerships and other business entities that operate in various industries and geographical regions. Such adjustable rate loans pay interest at rates that are redetermined periodically at short-term intervals on the basis of an adjustable base lending rate plus a premium.

“Assets” mean the net assets of the Fund plus the amount of any borrowings for investment purposes. “Managed Assets” mean the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose of creating leverage). Total assets for this purpose shall include assets attributable to the Fund’s use of leverage (whether or not those assets are reflected in the Fund’s financial statements for purposes of generally accepted accounting principles), and derivatives will be valued at their market value.

Under normal circumstances:

 

   

The Fund invests at least 70% of its Managed Assets in adjustable rate senior loans and second lien loans.

 

   

The Fund may invest up to 30% of its Managed Assets in the following securities:

 

   

(i) other debt securities such as investment and non-investment grade debt securities, fixed rate senior loans or subordinated loans, convertible securities and structured notes (other than structured notes that are designed to provide returns and risks that emulate those of Adjustable Rate Loans, which may be treated as an investment in Adjustable Rate Loans for purposes of the 70% requirement set forth above);

 

   

(ii) mortgage-related and other asset-backed securities (including collateralized loan obligations and collateralized debt obligations);

 

   

(iii) debt securities and other instruments issued by government, government-related or supranational issuers (commonly referred to as sovereign debt securities); and

 

   

(iv) domestic and international equity securities.

 

   

Substantially all of the Fund’s portfolio likely will be invested in senior loans that are, at the time of investment, rated below investment grade or unrated but judged to be of comparable quality. Investment grade quality securities are those securities that, at the time of investment, are (i) rated by at least one NRSRO within the four highest grades (BBB- or Baa3 or better by S&P, Moody’s or Fitch), or (ii) unrated but judged to be of comparable quality. The Fund may also purchase other debt securities that are rated below investment grade or that are unrated but judged to be of comparable quality.

 

   

The Fund maintains an average duration of two years or less for its portfolio investments in Adjustable Rate Loans and other debt instruments. “Average duration” and “average portfolio duration” are each defined to be the modified duration of the Fund’s portfolio, which is the measure of a debt instrument’s or a portfolio’s price sensitivity with respect to changes in market yields adjusted to reflect the effect of the Fund’s effective leverage.

 

   

The Fund will not invest in inverse floating rate securities.

 

   

The Fund may invest up to 20% of its Managed Assets in securities of non-U.S. Issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s Managed Assets to be invested in Adjustable Rate Loans and other debt instruments of non-U.S. Issuers may include debt securities of Issuers located, or conducting their business in, emerging markets countries.

 

   

The Fund may not invest more than 25% of its total assets in securities from an industry which (for the purposes of this policy) generally refers to the classification of companies in the same or similar lines of business such as the automotive, textiles and apparel, hotels, media production and consumer retailing industries.

The foregoing policies apply only at the time of any new investment.

Approving Changes in Investment Policies

The Board of Trustees of the Fund may change the policies described above without a shareholder vote. However, with respect to the Fund’s policy of investing at least 80% of its Assets in loans or securities that are senior to its common equity in the issuing company’s capital structure, such policy may not be changed without 60 days’ prior written notice.

 

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Shareholder Update (continued)

(Unaudited)

 

Portfolio Contents

The Fund invests in senior loans. Senior loans typically hold the most senior position in the capital structure of a business entity, are typically secured with specific collateral and have a claim on the assets and/or stock of the issuer that is senior to that held by subordinated debt holders and stockholders of the issuer.

Senior loans generally include: (i) senior loans made by banks or other financial institutions to U.S. and non-U.S. corporations, partnerships and other business entities (each a “Borrower” and, collectively, “Borrowers”), (ii) assignments of such interests in senior loans, or (iii) participation interests in senior loans. Generally, an assignment is the actual sale of the loan, in whole or in part. A participation, on the other hand, means that the original lender maintains ownership over the loan and the participant has only a contract right against the original lender, not a credit relationship with the Borrower. Senior loans typically hold the most senior position in the capital structure of a Borrower, are typically secured with specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. The capital structure of a Borrower may include senior loans, senior and junior subordinated debt, preferred stock and common stock issued by the Borrower, typically in descending order of seniority with respect to claims on the Borrower’s assets. The proceeds of senior loans primarily are used by Borrowers to finance leveraged buyouts, recapitalizations, mergers, acquisitions, stock repurchases, refinancings, internal growth and for other corporate purposes. A senior loan is typically originated, negotiated and structured by a U.S. or non-U.S. commercial bank, insurance company, finance company or other financial institution (“Agent”) for a lending syndicate of financial institutions which typically includes the Agent (“Lenders”). The Agent typically administers and enforces the senior loan on behalf of the other Lenders in the syndicate. In addition, an institution, typically but not always the Agent, holds any collateral on behalf of the Lenders. The Fund normally will rely primarily on the Agent to collect principal of and interest on a senior loan. Also, the Fund usually will rely on the Agent to monitor compliance by the Borrower with the restrictive covenants in a loan agreement.

Senior loans in which the Fund invests generally pay interest at rates that are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate plus a premium or credit spread. The interest rates on senior loans are generally based on a percentage above LIBOR, SOFR, a U.S. bank’s prime or base rate, the overnight federal funds rate or another rate. The use of the LIBOR will begin to be phased out in the near future. While SOFR has been recommended as the replacement rate for LIBOR, and some product markets have adopted the use of SOFR, LIBOR may still be used as a reference rate until such time that private markets have fully transitioned to using SOFR or other alternative reference rates recommended by applicable market regulators. As adjustable rate loans, the frequency of how often a senior loan resets its interest rate will impact how closely such senior loans track current market interest rates. Senior loans typically have a stated term of between one and eight years.

The Fund may invest in adjustable rate subordinated loans. The subordinated loans in which the Fund may invest are typically privately-negotiated investments that rank subordinate in priority of payment to senior debt, such as Senior Loans, and are often unsecured. However, such subordinated loans rank senior to common and preferred equity in a Borrower’s capital structure. Subordinated loans may have elements of both debt and equity instruments, offering fixed or adjustable rates of return in the form of interest payments associated with senior debt, while providing lenders an opportunity to participate in the capital appreciation of a Borrower, if any, through an equity interest. This equity interest may take the form of warrants or direct equity investments which will be in conjunction with the subordinated loans. Due to their higher risk profile and often less restrictive covenants as compared to Senior Loans, subordinated loans generally earn a higher return than secured Senior Loans. The warrants associated with subordinated loans are typically detachable, which allows lenders the opportunity to receive repayment of their principal on an agreed amortization schedule while retaining their equity interest in the Borrower. Subordinated loans also may include a “put” feature, which permits the holder to sell its equity interest back to the Borrower at a price determined through an agreed formula.

The Fund may invest in subordinated loans that are primarily unsecured and that provide for relatively high, adjustable rates of interest, providing the Fund with significant current interest income. The subordinated loans in which the Fund may invest may have interest-only payments in the early years, with amortization of principal deferred to the later years of the subordinated loans. In some cases, the Fund may acquire subordinated loans that, by their terms, convert into equity or additional debt instruments or defer payments of interest for the first few years after issuance. Also, in some cases the subordinated loans in which the Fund may invest will be collateralized by a subordinated lien on some or all of the assets of the Borrower. Typically, subordinated loans in which the Fund may invest will have maturities of four to eight years.

The Fund may invest in common stocks and other equity securities. Common stocks generally represent an ownership interest in an issuer, without preference over any other class of securities, including such issuer’s fixed income securities and senior equity securities. Dividend payments generally are not guaranteed and so may be discontinued by the issuer at its discretion or because of the issuer’s inability to satisfy its liabilities. Further, an issuer’s history of paying dividends does not guarantee that it will continue to pay dividends in the future. In addition to dividends, under certain circumstances the Fund may benefit from capital appreciation of an issuer’s common stock.

The Fund may invest in convertible securities, which may include convertible debt, convertible preferred stock, synthetic convertible securities and may also include secured and unsecured debt, based upon the judgment of the Fund’s sub-adviser. Convertible securities may pay interest or dividends that are based on a fixed or floating rate. A convertible security is a preferred stock, warrant or other security that may be converted into or exchanged for a prescribed amount of common stock or other security of the same or a different issuer or into cash within a particular period of time at a specified price or formula.

 

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The Fund may invest in corporate debt instruments. Corporate debt instruments generally are used by corporations to borrow money from investors. The Issuer pays the investor a fixed or variable rate of interest and normally must repay the amount borrowed on or before maturity. Certain debt instruments in which the Fund may invest may be “perpetual” in that they have no maturity date and some may be convertible into equity securities of the Issuer or its affiliates. The Fund may invest in debt instruments of any quality and such debt instruments may be secured or unsecured. In addition, certain debt instruments in which the Fund may invest may be subordinated to the payment of an Issuer’s senior debt.

The Fund may utilize structured notes and similar instruments for investment purposes and also for hedging purposes. Structured notes are privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a benchmark asset, market or interest rate (an “embedded index”), such as selected securities, an index of securities or specified interest rates, or the differential performance of two assets or markets.

For cash management purposes, the Fund may enter into repurchase agreements (a purchase of, and a simultaneous commitment to resell, a financial instrument at an agreed upon price on an agreed upon date) only with member banks of the Federal Reserve System and member firms of the New York Stock Exchange. When participating in repurchase agreements, the Fund buys securities from a vendor, e.g., a bank or brokerage firm, with the agreement that the vendor will repurchase the securities at a higher price at a later date. Such transactions afford an opportunity for the Fund to earn a return on available cash at minimal market risk, although the Fund may be subject to various delays and risks of loss if the vendor is unable to meet its obligation to repurchase.

The Fund may invest in debtor-in-possession financings (commonly called “DIP financings”). DIP financings are arranged when an entity seeks the protections of the bankruptcy court under chapter 11 of the U.S. Bankruptcy Code. These financings allow the entity to continue its business operations while reorganizing under chapter 11. Such financings are senior liens on unencumbered security (i.e., security not subject to other creditors claims).

The Fund may acquire equity securities and warrants issued by a Borrower or its affiliates as part of a package of investments in the Borrower or its affiliates issued in connection with a Senior Loan of the Borrower. The Fund also may convert a warrant so acquired into the underlying security. Investments in warrants and equity securities entail certain risks in addition to those associated with investments in Senior Loans. The value of these securities may be affected more rapidly, and to a greater extent, by company-specific developments and general market conditions. These risks may increase fluctuations in the Fund’s NAV. The Fund may possess material non-public information about a Borrower as a result of its ownership of a Senior Loan of such Borrower. Because of prohibitions on trading in securities of issuers while in possession of such information the Fund might be unable to enter into a transaction in a security of such a Borrower when it would otherwise be advantageous to do so.

The Fund may invest in mortgage-related securities. Mortgage-related securities are debt instruments that provide periodic payments consisting of interest and/or principal that are derived from or related to payments of interest and/or principal on underlying mortgages. Additional payments on mortgage-related securities may be made out of unscheduled prepayments of principal resulting from the sale of the underlying property, or from refinancing or foreclosure, net of fees or costs that may be incurred. The mortgage-related securities in which the Fund invests will typically pay variable rates of interest, although the Fund may invest in fixed-rate obligations as well.

The Fund may invest in certain ABS. ABS are payment claims that are securitized in the form of negotiable paper that is issued by a financing company (generally called a SPV). These securitized payment claims are, as a rule, corporate financial assets brought into a pool according to specific diversification rules. The SPV is a company founded solely for the purpose of securitizing these claims and its only asset is the risk arising out of this diversified asset pool. On this basis, marketable securities are issued which, due to the diversification of the underlying risk, generally represent a lower level of risk than the original assets. The redemption of the securities issued by the SPV takes place at maturity out of the cash flow generated by the collected claims.

The Fund may invest in CLOs. A CLO is a structured credit security issued by an SPV that was created to reapportion the risk and return characteristics of a pool of assets. The assets, typically Senior Loans, are used as collateral supporting the various debt tranches issued by the SPV. The key feature of the CLO structure is the prioritization of the cash flows from a pool of debt securities among the several classes of CLO holders, thereby creating a series of obligations with varying rates and maturities appealing to a wide range of investors. CLOs generally are secured by an assignment to a trustee under an indenture pursuant to which the bonds are issued of collateral consisting of a pool of debt instruments, usually, non-investment grade bank loans. Payments with respect to the underlying debt securities generally are made to the trustee under the indenture. CLOs are designed to be retired as the underlying debt instruments are repaid. In the event of sufficient early prepayments on such debt instruments, the class or series of CLO first to mature generally will be retired prior to maturity. Therefore, although in most cases the issuer of CLOs will not supply additional collateral in the event of such prepayments, there will be sufficient collateral to secure their priority with respect to other CLO tranches that remain outstanding. The credit quality of these securities depends primarily upon the quality of the underlying assets, their priority with respect to other CLO tranches and the level of credit support and/or enhancement provided.

The Fund also may invest in CDOs. A CDO is a structured credit security issued by an SPV that was created to reapportion the risk and return characteristics of a pool of assets. The assets, typically non-investment grade bonds, leveraged loans, and other asset-backed obligations, are used as collateral supporting the various debt and equity tranches issued by the SPV. CDOs operate similarly to CLOs.

 

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Shareholder Update (continued)

(Unaudited)

 

The Fund may invest in commercial paper. Commercial paper represents short-term unsecured promissory notes issued in bearer form by corporations such as banks or bank holding companies and finance companies. The rate of return on commercial paper may be linked or indexed to the level of exchange rates between the U.S. dollar and a foreign currency or currencies.

The Fund may invest in U.S. Government securities. U.S. Government securities include (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance: U.S. Treasury bills (maturities of one year or less), U.S. Treasury notes (maturities of one year to ten years) and U.S. Treasury bonds (generally maturities of greater than ten years) and (2) obligations issued or guaranteed by U.S. Government agencies and instrumentalities that are supported by any of the following: (i) the full faith and credit of the U.S. Treasury, (ii) the right of the issuer to borrow an amount limited to a specific line of credit from the U.S. Treasury, (iii) discretionary authority of the U.S. Government to purchase certain obligations of the U.S. Government agency or instrumentality or (iv) the credit of the agency or instrumentality.

The Fund may invest in securities of non-U.S. Issuers that are U.S. dollar or non-U.S. dollar denominated, including debt securities of issuers located, or conducting their business, in emerging markets countries. The Fund’s Managed Assets to be invested in Adjustable Rate Loans and other debt instruments of non-U.S. Issuers may include debt securities of Issuers located, or conducting their business in, emerging markets countries. The Fund may invest in any region of the world and invest in companies operating in developed countries such as Canada, Japan, Australia, New Zealand and most Western European countries. An “emerging market” country is any country determined to have an emerging markets economy, considering, among other things, factors such as whether the country has a low-to-middle-income economy according to the World Bank or its related organizations, the country’s credit rating, its political and economic stability and the development of its financial and capital markets. These countries generally include countries located in Latin America, the Caribbean, Asia, Africa, the Middle East and Eastern and Central Europe.

The Fund may invest in preferred securities. Preferred securities, which generally pay fixed or adjustable rate dividends or interest to investors, have preference over common stock in the payment of dividends or interest and the liquidation of a company’s assets, which means that a company typically must pay dividends or interest on its preferred securities before paying any dividends on its common stock. On the other hand, preferred securities are junior to all forms of the company’s debt, including both senior and subordinated debt. Because of their subordinated position in the capital structure of an issuer, the ability to defer dividend or interest payments for extended periods of time without triggering a default from legal action and certain other features, preferred securities are often treated as equity-like instruments by both issuers and investors, as their quality and value are heavily dependent on the profitability and cash flows of the issuer rather than on any legal claims to specific assets.

The Fund may invest in contingent capital securities (sometimes referred to as “CoCos”). CoCos are hybrid securities, issued primarily by non-U.S. financial institutions, which have loss absorption mechanisms benefitting the issuer built into their terms. CoCos generally provide for mandatory conversion into the common stock of the issuer or a write-down of the principal amount or value of the CoCos upon the occurrence of certain triggers linked to regulatory capital thresholds. In addition, they may provide for mandatory conversion or a principal write-down upon the occurrence of certain events such as regulatory actions calling into question the issuing banking institution’s continued viability as a going-concern. Equity conversion or principal write-down features are tailored to the issuer and its regulatory requirements and, unlike traditional convertible securities, conversions are not voluntary.

The Fund may invest in zero coupon bonds. A zero coupon bond is a bond that typically does not pay interest for the entire life of the obligation or for an initial period after the issuance of the obligation.

The Fund may buy and sell securities on a when-issued or delayed delivery basis, making payment or taking delivery at a later date, normally within 15 to 45 days of the trade date.

The Fund may invest in illiquid securities (i.e., securities that are not readily marketable), including, but not limited to, restricted securities (securities the disposition of which is restricted under the federal securities laws), securities that may be resold only pursuant to Rule 144A under the 1933 Act, and repurchase agreements with maturities in excess of seven days.

The Fund may enter into certain derivative transactions, primarily but not limited to credit default and interest rate swaps, as a hedging technique to protect against potential adverse changes in the market value of portfolio instruments. The Fund also may use derivatives to attempt to protect the NAV of the Fund, to facilitate the sale of certain portfolio instruments, to manage the Fund’s effective interest rate exposure, and as a temporary substitute for purchasing or selling particular instruments. From time to time, the Fund also may enter into derivative transactions to create investment exposure to the extent such transactions may facilitate implementation of its strategy more efficiently than through outright purchases or sales of portfolio instruments.

The Fund may also invest in securities of other open- or closed-end investment companies (including ETFs) that invest primarily in the types in which the Fund may invest directly, to the extent permitted by the 1940 Act, the rules and regulations issued thereunder and applicable exemptive orders issued by the SEC.

 

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Use of Leverage

The Fund uses leverage to pursue its investment objective. The Fund may use leverage to the extent permitted by the 1940 Act. The Fund may source leverage through a number of methods including through borrowings, issuing Preferred Shares and the issuance of debt securities. In addition, the Fund may use derivatives that may have the economic effect of leverage, such as certain credit default swaps, total return swaps and bond futures. The amount and sources of leverage will vary depending on market conditions.

Temporary Defensive Periods

During temporary defensive periods (e.g., times when, in the Fund’s investment adviser’s and/or the Fund’s sub-adviser’s opinion, temporary imbalances of supply and demand or other temporary dislocations in the Senior Loan market adversely affect the price at which Senior Loans are available), the Fund may invest up to 100% of its assets in high quality, short-term securities, and in short-, intermediate-, or long-term U.S. Treasury securities. There can be no assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment objective.

 

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Shareholder Update (continued)

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PRINCIPAL RISKS OF THE FUNDS

The factors that are most likely to have a material effect on a particular Fund’s portfolio as a whole are called “principal risks.” Each Fund is subject to the principal risks indicated below, whether through direct investment or derivative positions. Each Fund may be subject to additional risks other than those identified and described below because the types of investments made by a Fund can change over time.

 

Risk   

Nuveen
Senior
Income Fund

(NSL)

  

Nuveen
Floating
Rate
Income Fund

(JFR)

  

Nuveen
Floating
Rate
Income
Opportunity
Fund

(JRO)

  

Nuveen Short
Duration
Credit
Opportunities
Fund

(JSD)

  

Nuveen Credit
Strategies
Income Fund

(JQC)

Portfolio Level Risks                         
       

Asset-Back Securities Risk

               X

Basis Risk

   X    X    X    X    X

Below Investment Grade Risk

   X    X    X    X    X

Call Risk

   X    X    X    X    X

Collateralized Debt Obligation Risk

               X

Collateralized Loan Obligation Risk

               X

Contingent Capital Securities (“CoCos”) Risk

               X

Convertible Securities Risk

               X

Credit Risk

   X    X    X    X    X

Credit Spread Risk

   X    X    X    X    X

Debt Securities Risk

   X    X    X    X    X

Defaulted and Distressed Securities Risk

         X    X   

Deflation Risk

   X    X    X    X    X

Derivatives Risk

   X    X    X    X    X

Duration Risk

   X    X    X    X    X

Emerging Markets Risk

   X    X    X    X    X

Financial Futures and Options Transactions Risk

   X    X    X    X    X

Floating-Rate and Fixed-to-Floating Rate Securities Risk

   X    X    X    X    X

Foreign Currency Risk

      X    X    X    X

Hedging Risk

   X    X    X    X    X

Illiquid Investments Risk

   X    X    X    X    X

Income Risk

   X    X    X    X    X

Inflation Risk

   X    X    X    X    X

Inflation Correlation Risk

   X    X    X    X    X

Interest Rate Risk

   X    X    X    X    X

LIBOR Floor Risk

   X    X    X    X    X

LIBOR Replacement Risk

   X    X    X    X    X

Loan Participation Risk

   X    X    X    X    X

Loan Risk

   X    X    X    X    X

Mortgage-Backed Securities Risk

               X

Non-U.S. Securities Risk

   X    X    X    X    X

Other Investment Companies Risk

   X    X    X    X    X

Preferred Securities Risk

            X    X

Reinvestment Risk

   X    X    X    X    X

 

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Risk   

Nuveen
Senior
Income Fund

(NSL)

  

Nuveen
Floating
Rate
Income Fund

(JFR)

  

Nuveen
Floating
Rate
Income
Opportunity
Fund

(JRO)

  

Nuveen Short
Duration
Credit
Opportunities
Fund

(JSD)

  

Nuveen Credit
Strategies
Income Fund

(JQC)

Second Lien Loans and Unsecured Loans Risk

   X    X    X    X    X

Senior Loan Agent Risk

   X    X    X    X    X

Senior Loan Risk

   X    X    X    X    X

Short Exposure Risk

            X   

Structured Product Risk

   X    X    X    X    X

Sovereign Government and Supranational Debt Risk

               X

Subordinated Loans and Other Subordinated Debt Instruments Risk

   X    X    X    X    X

Swap Transactions Risk

   X    X    X    X    X

Unrated Securities Risk

   X    X    X    X    X

Valuation Risk

   X    X    X    X    X

Warrants and Equity Securities Risk

   X    X    X    X    X

When-Issued and Delayed-Delivery Transactions

   X    X    X    X    X

Zero Coupon Bonds Risk

   X    X    X    X    X
Fund Level and Other Risks                         
       

Anti-Takeover Provisions

   X    X    X    X    X

Borrowing Risk

   X    X    X    X    X

Counterparty Risk

   X    X    X    X    X

Cybersecurity Risk

   X    X    X    X    X

Global Economic Risk

   X    X    X    X    X

Investment and Market Risk

   X    X    X    X    X

Legislation and Regulatory Risk

   X    X    X    X    X

Leverage Risk

   X    X    X    X    X

Market Discount from Net Asset Value

   X    X    X    X    X

Recent Market Conditions

   X    X    X    X    X

Reverse Repurchase Agreement Risk

   X    X    X    X    X

Tax Risk

   X    X    X    X    X

Portfolio Level Risks:

Asset-Backed Securities Risk. ABS involve certain risks in addition to those presented by MBS. There is the possibility that recoveries on the underlying collateral may not, in some cases, be available to support payments on these securities. Relative to MBS, ABS may provide the Fund with a less effective security interest in the underlying collateral and are more dependent on the borrower’s ability to pay. If many borrowers on the underlying loans default, losses could exceed the credit enhancement level and result in losses to investors in an ABS transaction. Finally, ABS have structure risk due to a unique characteristic known as early amortization, or early payout, risk. Built into the structure of most ABS are triggers for early payout, designed to protect investors from losses. These triggers are unique to each transaction and can include a significant rise in defaults on the underlying loans, a sharp drop in the credit enhancement level or the bankruptcy of the originator. Once early amortization begins, all incoming loan payments (after expenses are paid) are used to pay investors as quickly as possible based upon a predetermined priority of payment. As a result, proceeds that would otherwise be distributed to holders of a junior tranche may be diverted to pay down more senior tranches.

 

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Shareholder Update (continued)

(Unaudited)

 

Basis Risk. As short-term rates change, interest income from floating rate loans may not increase in concert with increases in the costs of floating rate leverage or other borrowings, introducing basis or imperfect hedging risk.

Below Investment Grade Risk. Investments of below investment grade quality are regarded as having speculative characteristics with respect to the issuer’s capacity to pay dividends or interest and repay principal, and may be subject to higher price volatility and default risk than investment grade investments of comparable terms and duration. Issuers of lower grade investments may be highly leveraged and may not have available to them more traditional methods of financing. The prices of these lower grade investments are typically more sensitive to negative developments, such as a decline in the issuer’s revenues or a general economic downturn. The secondary market for lower rated investments may not be as liquid as the secondary market for more highly rated investments, a factor which may have an adverse effect on the Fund’s ability to dispose of a particular investment.

If a below investment grade investment goes into default, or its issuer enters bankruptcy, it might be difficult to sell that investment in a timely manner at a reasonable price.

Call Risk. The Fund may invest in securities that are subject to call risk. Such securities may be redeemed at the option of the issuer, or “called,” before their stated maturity or redemption date. In general, an issuer will call its instruments if they can be refinanced by issuing new instruments that bear a lower interest rate. The Fund is subject to the possibility that during periods of falling interest rates, an issuer will call its high yielding securities. The Fund would then be forced to invest the unanticipated proceeds at lower interest rates, resulting in a decline in the Fund’s income.

Collateralized Debt Obligation (“CDO”) Risk. The risks of an investment in CDOs depend largely on the type of the collateral securities and the class of the CDO in which the Fund invests. In addition to the normal risks associated with fixed-income securities, CDOs carry additional risks including, but not limited to, the risk that: (1) distributions from collateral securities may not be adequate to make interest or other payments; (2) the quality of the collateral may decline in value or default; (3) the fact that the CDOs may be subordinate to other classes; and (4) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Collateralized Loan Obligation (“CLO”) Risk. A CLO is an ABS whose underlying collateral is a pool of loans, which may include, among others, domestic and foreign floating rate and fixed rate senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. In addition to the risks associated with loans, illiquid investments and high-yield securities described below, investments in CLOs carry additional risks including, but not limited to, the risk that: (1) distributions from the collateral may not be adequate to make interest or other payments; (2) the quality of the collateral may decline in value or default; (3) the Fund may invest in tranches of CLOs that are subordinate to other tranches; (4) the complex structure of the CLO may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results; and (5) the CLO’s manager may perform poorly. CLOs may charge management and other administrative fees, which are in addition to those of the Fund.

Contingent Capital Securities (“CoCos”) Risk. A loss absorption mechanism trigger event for CoCos would likely be the result of, or related to, the deterioration of the issuer’s financial condition (e.g., a decrease in the issuer’s capital ratio) and status as a going concern. In such a case, with respect to CoCos that provide for conversion into common stock upon the occurrence of the trigger event, the market price of the issuer’s common stock received by the Fund will have likely declined, perhaps substantially, and may continue to decline, which may adversely affect the Fund’s NAV. Further, the issuer’s common stock would be subordinate to the issuer’s other classes of securities and therefore would worsen the Fund’s standing in a bankruptcy proceeding. In addition, because the common stock of the issuer may not pay a dividend, investors in these instruments could experience a reduced income rate, potentially to zero. In view of the foregoing, CoCos are often rated below investment grade and are subject to the risks of below investment grade securities.

CoCos may be subject to an automatic write-down (i.e., the automatic write-down of the principal amount or value of the securities, potentially to zero, and the cancellation of the securities) under certain circumstances, which could result in the Fund losing a portion or all of its investment in such securities. In addition, the Fund may not have any rights with respect to repayment of the principal amount of the securities that has not become due or the payment of interest or dividends on such securities for any period from (and including) the interest or dividend payment date falling immediately prior to the occurrence of such automatic write-down. An automatic write-down could also result in a reduced income rate if the dividend or interest payment is based on the security’s par value. Coupon payments on CoCos may be discretionary and may be cancelled by the issuer for any reason or may be subject to approval by the issuer’s regulator and may be suspended in the event there are insufficient distributable reserves.

In certain scenarios, investors in CoCos may suffer a loss of capital ahead of equity holders or when equity holders do not. There is no guarantee that the Fund will receive a return of principal on CoCos. Any indication that an automatic write-down or conversion event may occur can be expected to have a material adverse effect on the market price of CoCos.

The prices of CoCos may be volatile. Additionally, the trading behavior of a given issuer’s CoCo may be strongly impacted by the trading behavior of other issuers’ CoCos, such that negative information from an unrelated CoCo may cause a decline in value of one or more CoCos held by afund. Accordingly, the trading behavior of CoCos may not follow the trading behavior of other similarly structured securities.

 

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CoCos are issued primarily by financial institutions. Therefore, CoCos present substantially increased risks at times of financial turmoil, which could affect financial institutions more than companies in other sectors and industries.

Convertible Securities Risk. Convertible securities have characteristics of both equity and debt securities and, as a result, are exposed to certain additional risks that are typically associated with debt, including but not limited to Interest Rate Risk, Credit Risk, Below Investment Grade Risk and Unrated Securities Risk. The value of a convertible security is influenced by both the yield of non-convertible securities of comparable issuers and by the value of the underlying common stock. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar credit quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, the convertible security’s market value tends to reflect the market price of the common stock of the issuing company when that stock price is greater than the convertible security’s “conversion price.” The conversion price is defined as the predetermined price at which the convertible security could be exchanged for the associated common stock. As the market price of the underlying common stock declines, the price of the convertible security tends to be influenced more by the yield of the convertible security. Thus, the convertible security may not decline in price to the same extent as the underlying common stock. Convertible securities fall below debt obligations of the same issuer in order of preference or priority in the event of a liquidation and are typically unrated or rated lower than such debt obligations.

Credit Risk. Issuers of securities in which the Fund may invest may default on their obligations to pay principal or interest when due. This non-payment would result in a reduction of income to the Fund, a reduction in the value of a security experiencing non-payment and potentially a decrease in the NAV of the Fund. To the extent that the credit rating assigned to a security in the Fund’s portfolio is downgraded, the market price and liquidity of such security may be adversely affected.

Debt securities held by the Fund may fail to make dividend or interest payments when due. Investments in investments below investment grade credit quality are predominantly speculative and subject to greater volatility and risk of default. Unrated investments are evaluated by Fund managers using industry data and their own analysis processes that may be similar to that of a NRSRO; however, such internal ratings are not equivalent to a national agency credit rating. Counterparty credit risk may arise if counterparties fail to meet their obligations, should the Fund hold any derivative instruments for either investment exposure or hedging purposes.

Credit Spread Risk. Credit spread risk is the risk that credit spreads (i.e., the difference in yield between securities that is due to differences in their credit quality) may increase when the market believes that securities generally have a greater risk of default. Increasing credit spreads may reduce the market values of the Fund’s securities. Credit spreads often increase more for lower rated and unrated securities than for investment grade securities. In addition, when credit spreads increase, reductions in market value will generally be greater for longer-maturity securities.

Debt Securities Risk. Issuers of debt instruments in which the Fund may invest may default on their obligations to pay principal or interest when due. This non-payment would result in a reduction of income to the Fund, a reduction in the value of a debt instrument experiencing non-payment and, potentially, a decrease in the NAV of the Fund. There can be no assurance that liquidation of collateral would satisfy the issuer’s obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. In the event of bankruptcy of an issuer, the Fund could experience delays or limitations with respect to its ability to realize the benefits of any collateral securing a security. To the extent that the credit rating assigned to a security in the Fund’s portfolio is downgraded, the market price and liquidity of such security may be adversely affected.

Defaulted and Distressed Securities Risk. The Fund may hold investments that at the time of purchase are in default or involved in bankruptcy or insolvency proceedings, or may later become so. Moreover, the Fund may invest in low-rated securities that, although not in default, may be “distressed,” meaning that the issuer is experiencing financial difficulties or distress at the time of acquisition. Such securities would present a substantial risk of future default which may cause the Fund to incur losses, including additional expenses, to the extent it is required to seek recovery upon a default in the payment of principal or interest on those securities. In any reorganization or liquidation proceeding relating to a portfolio security, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Defaulted or distressed securities may be subject to restrictions on resale.

Deflation Risk. Deflation risk is the risk that prices throughout the economy decline over time. Deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely, which may result in a decline in the value of the Fund’s portfolio.

Derivatives Risk. The use of derivatives involves additional risks and transaction costs which could leave the Fund in a worse position than if it had not used these instruments. Derivative instruments can be used to acquire or to transfer the risk and returns of a security or other asset without buying or selling the security or asset. These instruments may entail investment exposures that are greater than their cost would suggest. As a result, a small investment in derivatives can result in losses that greatly exceed the original investment. Derivatives can be highly volatile, illiquid and difficult to value. An over-the-counter derivative transaction between the Fund and a counterparty that is not cleared through a central counterparty also involves the risk that a loss may be sustained as a result of the failure of the counterparty to the contract to make required payments. The payment obligation for a cleared derivative transaction is guaranteed by a central counterparty, which exposes the Fund to the creditworthiness of the central counterparty.

 

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It is possible that regulatory or other developments in the derivatives market, including the SEC’s recently adopted new Rule 18f-4 under the 1940 Act, which imposes limits on the amount of derivatives a fund can enter into could adversely impact the Fund’s ability to successfully use derivative instruments.

Duration Risk. Duration is the sensitivity, expressed in years, of the price of a fixed-income security to changes in the general level of interest rates (or yields). Securities with longer durations tend to be more sensitive to interest rate (or yield) changes, which typically corresponds to increased volatility and risk, than securities with shorter durations. For example, if a security or portfolio has a duration of three years and interest rates increase by 1%, then the security or portfolio would decline in value by approximately 3%. Duration differs from maturity in that it considers potential changes to interest rates, and a security’s coupon payments, yield, price and par value and call features, in addition to the amount of time until the security matures. The duration of a security will be expected to change over time with changes in market factors and time to maturity.

Emerging Markets Risk. Risks of investing in securities of emerging markets issuers include: smaller market capitalization of securities markets, which may suffer periods of relative illiquidity; significant price volatility; restrictions on foreign investment; and possible restrictions on repatriation of investment income and capital. In addition, foreign investors may be required to register the proceeds of sales; and future economic or political crises could lead to price controls, forced mergers, expropriation or confiscatory taxation, seizure, nationalization, or creation of government monopolies. Certain emerging markets also may face other significant internal or external risks, including a heightened risk of war, and ethnic, religious and racial conflicts. In addition, governments in many emerging market countries participate to a significant degree in their economies and securities markets, which may impair investment and economic growth, and which may in turn diminish the value of the securities in those markets. The considerations noted below in “Non-U.S. Securities Risk” are generally intensified for investments in emerging market countries.

Financial Futures and Options Transactions Risk. The Fund may use certain transactions for hedging the portfolio’s exposure to credit risk and the risk of increases in interest rates, which could result in poorer overall performance for the Fund. There may be an imperfect correlation between price movements of the futures and options and price movements of the portfolio securities being hedged.

If the Fund engages in futures transactions or in the writing of options on futures, it will be required to maintain initial margin and maintenance margin and may be required to make daily variation margin payments in accordance with applicable rules of the exchanges and the Commodity Futures Trading Commission (“CFTC”). If the Fund purchases a financial futures contract or a call option or writes a put option in order to hedge the anticipated purchase of securities, and if the Fund fails to complete the anticipated purchase transaction, the Fund may have a loss or a gain on the futures or options transaction that will not be offset by price movements in the securities that were the subject of the anticipatory hedge. There can be no assurance that a liquid market will exist at a time when the Fund seeks to close out a derivatives or futures or a futures option position, and the Fund would remain obligated to meet margin requirements until the position is closed.

Floating-Rate and Fixed-to-Floating-Rate Securities Risk. The market value of floating-rate securities is a reflection of discounted expected cash flows based on expectations for future interest rate resets. The market value of such securities may fall in a declining interest rate environment and may also fall in a rising interest rate environment if there is a lag between the rise in interest rates and the reset. This risk may also be present with respect to fixed-to-floating-rate securities in which the Fund may invest. A secondary risk associated with declining interest rates is the risk that income earned by the Fund on floating-rate and fixed-to-floating-rate securities will decline due to lower coupon payments on floating rate securities.

Foreign Currency Risk. Because the Fund may invest in securities denominated or quoted in currencies other than the U.S. dollar, changes in foreign currency exchange rates may affect the value of securities held by the Fund and the unrealized appreciation or depreciation of investments. Currencies of certain countries may be volatile and therefore may affect the value of securities denominated in such currencies, which means that the Fund’s NAV could decline as a result of changes in the exchange rates between foreign currencies and the U.S. dollar. In addition, certain countries, particularly emerging market countries, may impose foreign currency exchange controls or other restrictions on the transferability, repatriation or convertibility of currency.

Hedging Risk. The Fund’s use of derivatives or other transactions to reduce risk involves costs and will be subject to the investment adviser’s and/or the sub-adviser’s ability to predict correctly changes in the relationships of such hedge instruments to the Fund’s portfolio holdings or other factors. No assurance can be given that the investment adviser’s and/or the sub-adviser’s judgment in this respect will be correct, and no assurance can be given that the Fund will enter into hedging or other transactions at times or under circumstances in which it may be advisable to do so. Hedging activities may reduce the Fund’s opportunities for gain by offsetting the positive effects of favorable price movements and may result in net losses.

Illiquid Investments Risk. I Illiquid investments are investments that are not readily marketable. These investments may include restricted investments, including Rule 144A securities, which cannot be resold to the public without an effective registration statement under the 1933 Act, or, if they are unregistered, may be sold only in a privately negotiated transaction or pursuant to an exemption from registration. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s NAV and ability to make dividend distributions. The financial markets in general have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss

 

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of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time.

Income Risk. The Fund’s income could decline due to falling market interest rates. This is because, in a falling interest rate environment, the Fund generally will have to invest the proceeds from maturing portfolio securities in lower-yielding securities.

Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be worth less in the future as inflation decreases the value of money. As inflation increases, the real value of the common shares and distributions can decline. Currently, inflation rates are elevated relative to normal market conditions and could continue to increase.

Inflation Correlation Risk. Although the values of certain of the Fund’s loan investments are generally linked or correlated to the rate of inflation, there is no guarantee that such investments will provide any protection against the impact of inflation. In addition, while these investments are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in their value. Further, when inflation and expectations of inflation are low or declining, the Fund’s positions in such investments are likely to underperform the overall stock markets.

Interest Rate Risk. Interest rate risk is the risk that securities in the Fund’s portfolio will decline in value because of changes in market interest rates. Generally, when market interest rates rise, the market value of such securities will fall, and vice versa. As interest rates decline, issuers of securities may prepay principal earlier than scheduled, forcing the Fund to reinvest in lower-yielding securities and potentially reducing the Fund’s income. As interest rates increase, slower than expected principal payments may extend the average life of securities, potentially locking in a below-market interest rate and reducing the Fund’s value. In typical market interest rate environments, the prices of longer-term securities generally fluctuate more than prices of shorter-term securities as interest rates change. The risks associated with rising interest rates are greatly heightened in view of the US Federal Reserve Bank’s decision to raise the federal funds rate from historic lows, and may continue to raise interest rates if considered necessary to reduce inflation to acceptable levels.

LIBOR Floor Risk. Many floating rate loans issued after 2008 include a “LIBOR floor,” based on LIBOR, or a minimum interest rate to which the loan’s spread is added, to calculate the loan’s overall interest rate. As short-term market rates rise, such loans will not pay higher interest until prevailing rates exceed the floor rate stated in the loan documents.

LIBOR Replacement Risk. LIBOR is an index rate that historically has been widely used in lending transactions and remains a common reference rate for setting the floating interest rate on private loans. The use of the LIBOR will begin to be phased out in the near future, which may adversely affect the Fund’s investments whose value is tied to LIBOR. While SOFR has been recommended as the replacement rate for LIBOR, and some product markets have adopted the use of SOFR, LIBOR may still be used as a reference rate until such time that private markets have fully transitioned to using SOFR or other alternative reference rates recommended by applicable market regulators. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The potential effect of a discontinuation of LIBOR on the Fund’s investments will vary depending on, among other things: (1) existing fallback provisions that provide a replacement reference rate if LIBOR is no longer available; (2) termination provisions in individual contracts; and (3) how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new products and instruments held by the Fund. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR until it is clearer how the Fund’s products and instruments will be impacted by this transition.

Loan Participation Risk. The Fund may purchase a participation interest in a loan and by doing so acquire some or all of the interest of a bank or other lending institution in a loan to a borrower. A participation typically will result in the Fund having a contractual relationship only with the lender, not the borrower. As a result, the Fund assumes the credit risk of the lender selling the participation in addition to the credit risk of the borrower. By purchasing a participation, the Fund will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the borrower. In the event of insolvency or bankruptcy of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not have a senior claim to the lender’s interest in the loan. If the Fund only acquires a participation in the loan made by a third party, the Fund may not be able to control the exercise of any remedies that the lender would have under the loan. Such third party participation arrangements are designed to give loan investors preferential treatment over high yield investors in the event of a deterioration in the credit quality of the borrower. Even when these arrangements exist, however, there can be no assurance that the principal and interest owed on the loan will be repaid in full.

Loan Risk. The lack of an active trading market for certain loans may impair the ability of the Fund to realize full value in the event of the need to sell a loan and may make it difficult to value such loans. Portfolio transactions in loans may settle in as short as seven days but typically can take up to two or three weeks, and in some cases much longer. As a result of these extended settlement periods, the Fund may incur losses if it is required to sell other investments or temporarily borrow to meet its cash needs. The risks associated with unsecured loans, which are not backed by a security interest in any specific collateral, are higher than those for comparable loans that are secured by specific collateral. For secured loans, there is a risk that the value of any collateral securing a loan in which the Fund has an interest may decline and that the collateral may not be sufficient to cover the amount owed on the loan. Interests in loans made to finance highly leveraged companies or transactions such as corporate acquisitions may be especially vulnerable to adverse

 

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changes in economic or market conditions. Loans may have restrictive covenants limiting the ability of a borrower to further encumber its assets. However, in periods of high demand by lenders like the Fund for loan investments, borrowers may limit these covenants and weaken a lender’s ability to access collateral securing the loan; reprice the credit risk associated with the borrower; and mitigate potential loss. The Fund may experience relatively greater realized or unrealized losses or delays and expenses in enforcing its rights with respect to loans with fewer restrictive covenants. Additionally, loans may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections of the securities laws. Because junior loans have a lower place in an issuer’s capital structure and may be unsecured, junior loans involve a higher degree of overall risk than senior loans of the issuer.

Mortgage-Backed Securities Risk. Investing in MBS entails various risks: credit risks, liquidity risks, interest rate risks, market risks, operations risks, structural risks, geographical concentration risks, basis risks and legal risks. Most MBS are subject to the significant credit risks inherent in the underlying collateral and to the risk that the servicer fails to perform. MBS are subject to risks associated with their structure and execution, including the process by which principal and interest payments are allocated and distributed to investors, how credit losses affect the issuing vehicle and the return to investors in such MBS, whether the collateral represents a fixed set of specific assets or accounts, whether the underlying collateral assets are revolving or closed-end, under what terms (including maturity of the MBS) any remaining balance in the accounts may revert to the issuing entity and the extent to which the entity that is the actual source of the collateral assets is obligated to provide support to the issuing vehicle or to the investors in such MBS. In addition, concentrations of MBS of a particular type, as well as concentrations of MBS issued or guaranteed by affiliated obligors, serviced by the same servicer or backed by underlying collateral located in a specific geographic region, may subject the MBS to additional risk.

The risks associated with MBS include: (1) credit risk associated with the performance of the underlying mortgage properties and of the borrowers owning these properties; (2) adverse changes in economic conditions and circumstances, which are more likely to have an adverse impact on MBS secured by loans on certain types of commercial properties than on those secured by loans on residential properties; (3) prepayment risk, which can lead to significant fluctuations in value of the MBS; (4) loss of all or part of the premium, if any, paid; and (5) decline in the market value of the security, whether resulting from changes in interest rates, prepayments on the underlying mortgage collateral or perceptions of the credit risk associated with the underlying mortgage collateral.

MBS represent an interest in a pool of mortgages. When market interest rates decline, more mortgages are refinanced and the securities are paid off earlier than expected. Prepayments may also occur on a scheduled basis or due to foreclosure. When market interest rates increase, the market values of MBS decline. At the same time, however, mortgage refinancings and prepayments slow, which lengthens the effective maturities of these securities. As a result, the negative effect of the rate increase on the market value of MBS is usually more pronounced than it is for other types of debt securities. In addition, in the event of increased instability in the credit markets, the market for some MBS may experience reduced liquidity and greater volatility with respect to the value of such securities, making it more difficult to value such securities.

Moreover, the relationship between borrower prepayments and changes in interest rates may mean some high-yielding MBS have less potential for increases in value if market interest rates were to fall than conventional bonds with comparable maturities. In addition, in periods of falling interest rates, the rate of prepayments tends to increase. During such periods, the reinvestment of prepayment proceeds by the Fund will generally be at lower rates than the rates that were carried by the obligations that have been prepaid. Because of these and other reasons, MBS’ total return and maturity may be difficult to predict precisely. To the extent that the Fund purchases MBS at a premium, prepayments (which may be made without penalty) may result in loss of the Fund’s principal investment to the extent of premium paid.

MBS generally are classified as either CMBS or RMBS, each of which are subject to certain specific risks as further described herein.

Non-U.S. Securities Risk. Investments in securities of non-U.S. issuers involve special risks, including: less publicly available information about non-U.S. issuers or markets due to less rigorous disclosure or accounting standards or regulatory practices; many non-U.S. markets are smaller, less liquid and more volatile; the economies of non-U.S. countries may grow at slower rates than expected or may experience a downturn or recession; the impact of economic, political, social or diplomatic events; and withholding and other non-U.S. taxes may decrease the Fund’s return. These risks are more pronounced to the extent that the Fund invests a significant amount of its assets in issuers located in one region.

Other Investment Companies Risk. The Fund may invest in the securities of other investment companies, including ETFs. Investing in an investment company exposes the Fund to all of the risks of that investment company’s investments. The Fund, as a holder of the securities of other investment companies, will bear its pro rata portion of the other investment companies’ expenses, including advisory fees. These expenses are in addition to the direct expenses of the Fund’s own operations. As a result, the cost of investing in investment company shares may exceed the costs of investing directly in its underlying investments. In addition, securities of other investment companies may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities and therefore magnify the Fund’s leverage risk.

With respect to ETF’s, an ETF that is based on a specific index may not be able to replicate and maintain exactly the composition and relative weighting of securities in the index. The value of an ETF based on a specific index is subject to change as the values of its respective component assets fluctuate according to market volatility. ETFs typically rely on a limited pool of authorized participants to create and redeem shares, and an active trading market for ETF shares may not develop or be maintained. The market value of shares of ETFs and closed-end funds may differ from their NAV.

 

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Preferred Securities Risk. Preferred securities are subordinated to bonds and other debt instruments in a company’s capital structure, and therefore are subject to greater credit risk. In addition, preferred stockholders (such as the Fund, to the extent it invests in preferred stocks of other issuers) generally have no voting rights with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred stockholders may elect a number of directors to the issuer’s board. Generally, once all the arrearages have been paid, the preferred stockholders no longer have voting rights. In the case of certain taxable preferred stocks, holders generally have no voting rights, except (i) if the issuer fails to pay dividends for a specified period of time or (ii) if a declaration of default occurs and is continuing. In such an event, rights of preferred stockholders generally would include the right to appoint and authorize a trustee to enforce the trust or special purpose entity’s rights as a creditor under the agreement with its operating company. In certain varying circumstances, an issuer of preferred stock may redeem the securities prior to a specified date. For instance, for certain types of preferred stock, a redemption may be triggered by a change in U.S. federal income tax or securities laws. As with call provisions, a redemption by the issuer may negatively impact the return of the security held by the Fund.

Reinvestment Risk. Reinvestment risk is the risk that income from the Fund’s portfolio will decline if and when the Fund invests the proceeds from matured, traded or called securities at market interest rates that are below the portfolio’s current earnings rate. A decline in income could affect the common shares’ market price, NAV and/or a common shareholder’s overall returns.

Second Lien Loans and Unsecured Loans Risk. Second lien loans and unsecured loans generally are subject to the same risks associated with investments in senior loans, as discussed below. Because second lien loans and unsecured loans are lower in priority of payment to senior loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. This risk is generally higher for unsecured loans, which are not backed by a security interest in any specific collateral. Second lien loans and unsecured loans are expected to have greater price volatility than senior loans and may be less liquid. Second lien loans and unsecured loans of below investment grade quality also share the same risks of other below investment grade debt instruments.

Senior Loan Agent Risk. A financial institution’s employment as an agent under a senior loan might be terminated in the event that it fails to observe a requisite standard of care or becomes insolvent. A successor agent would generally be appointed to replace the terminated agent, and assets held by the agent under the loan agreement would likely remain available to holders of such indebtedness. However, if assets held by the terminated agent for the benefit of the Fund were determined to be subject to the claims of the agent’s general creditors, the Fund might incur certain costs and delays in realizing payment on a senior loan or loan participation and could suffer a loss of principal and/or interest. In situations involving other interposed financial institutions (e.g., an insurance company or government agency) similar risks may arise.

Senior Loan Risk. Senior loans typically hold the most senior position in the capital structure of a business entity, are typically secured with specific collateral and have a claim on the assets and/or stock of the issuer that is senior to that held by subordinated debt holders and stockholders of the issuer. Senior loans are usually rated below investment grade, and share the same risks of other below investment grade debt instruments.

Although the Fund may invest in senior loans that are secured by specific collateral, there can be no assurance that the liquidation of such collateral would satisfy an issuer’s obligation to the Fund in the event of issuer default or that such collateral could be readily liquidated under such circumstances. If the terms of a senior loan do not require the issuer to pledge additional collateral in the event of a decline in the value of the already pledged collateral, the Fund will be exposed to the risk that the value of the collateral will not at all times equal or exceed the amount of the issuer’s obligations under the senior loan.

In the event of bankruptcy of an issuer, the Fund could also experience delays or limitations with respect to its ability to realize the benefits of any collateral securing a senior loan. Some senior loans are subject to the risk that a court, pursuant to fraudulent conveyance or other similar laws, could subordinate the senior loans to presently existing or future indebtedness of the issuer or take other action detrimental to lenders, including the Fund. Such court action could under certain circumstances include invalidation of senior loans.

Short Exposure Risk. The Fund may enter into tactical short positions, either directly or through derivatives, to create negative investment exposure to or hedge existing investment exposure. Short selling involves selling securities that may be owned, and if not owned, borrowing the same securities for delivery to the purchaser, with an obligation to replace the borrowed securities at a later date. Short selling allows the short seller to profit from declines in market prices to the extent such declines exceed the transaction costs and the costs of borrowing the securities. A short sale creates the risk of an unlimited loss, in that the price of the underlying security could theoretically increase without limit, thus increasing the cost of buying those securities to cover the short position. There can be no assurance that the securities necessary to cover a short position will be available for purchase. Purchasing securities to close out the short position can itself cause the price of the securities to rise further, thereby exacerbating the loss.

Sovereign Government and Supranational Debt Risk. Investments in sovereign debt, including supranational debt, involve special risks. Foreign governmental issuers of debt or the governmental authorities that control the repayment of the debt may be unable or unwilling to repay principal or pay interest when due. In the event of default, there may be limited or no legal recourse in that, generally, remedies for defaults must be pursued in the courts of the defaulting party. Political conditions, especially a sovereign entity’s willingness to meet the terms of its debt obligations, are of considerable significance. The ability of a foreign sovereign issuer, especially an emerging market country, to make timely payments on its debt obligations will also be strongly

 

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influenced by the sovereign issuer’s balance of payments, including export performance, its access to international credit facilities and investments, fluctuations of interest rates and the extent of its foreign reserves. A country whose exports are concentrated in a few commodities or whose economy depends on certain strategic imports could be vulnerable to fluctuations in international prices of these commodities or imports. If a sovereign issuer cannot generate sufficient earnings from foreign trade to service its external debt, it may need to depend on continuing loans and aid from foreign governments, commercial banks, and multinational organizations. The cost of servicing external debt will also generally be adversely affected by rising international interest rates, as many external debt obligations bear interest at rates which are adjusted based upon international interest rates. Foreign investment in certain sovereign debt is restricted or controlled to varying degrees, including requiring governmental approval for the repatriation of income, capital or proceeds of sales by foreign investors. There are no bankruptcy proceedings similar to those in the U.S. by which defaulted sovereign debt may be collected.

Structured Product Risk. The Fund may invest in structured products such as structured notes. Holders of structured products bear risks of the underlying investments, index or reference obligation and are subject to counterparty risk. The Fund may have the right to receive payments to which it is entitled only from the structured product, and generally does not have direct rights against the issuer or the entity that sold assets to the special purpose trust. While certain structured products enable the investor to acquire interests in a pool of securities without the brokerage and other expenses associated with directly holding the same securities, investors in structured products generally pay their share of the structured product’s administrative and other expenses. When investing in structured products, it is impossible to predict whether the underlying index or prices of the underlying securities will rise or fall, but prices of the underlying indices and securities (and, therefore, the prices of structured products) will be influenced by the same types of political and economic events that affect particular issuers of securities and capital markets generally. Certain structured products may be thinly traded or have a limited trading market and may have the effect of increasing the illiquidity of the Fund’s portfolio to the extent that the Fund, at a particular point in time, may be unable to find qualified buyers for these securities. Investments in structured notes involve risks including income risk, credit and market risk. Structured notes may be less liquid than other types of securities and more volatile than the reference instrument or security underlying the note.

Subordinated Loans and Other Subordinated Debt Instruments Risk. Issuers of subordinated loans and other subordinated debt instruments in which the Fund may invest usually will have, or may be permitted to incur, other debt that ranks equally with, or senior to, the subordinated loans or other subordinated debt instruments. By their terms, such debt instruments may provide that the holders are entitled to receive payment of interest or principal on or before the dates on which the Fund is entitled to receive payments in respect of subordinated loans or other subordinated debt instruments in which it invests. Also, in the event of insolvency, liquidation, dissolution, reorganization or bankruptcy of an issuer, holders of debt instruments ranking senior to the subordinated loan or other debt instrument in which the Fund invests would typically be entitled to receive payment in full before the Fund receives any distribution in respect of its investment. After repaying such senior creditors, such issuer may not have any remaining assets to use for repaying its obligation to the Fund. In the case of debt ranking equally with subordinated loans or other subordinated debt instruments in which the Fund invests, the Fund would have to share on an equal basis any distributions with other creditors holding such debt in the event of an insolvency, liquidation, dissolution, reorganization or bankruptcy of the relevant issuer. In addition, the Fund will likely not be in a position to control any issuer by investing in its debt instruments. As a result, the Fund will be subject to the risk that an issuer in which it invests may make business decisions with which the Fund disagrees and the management of such issuer, as representatives of the holders of their common equity, may take risks or otherwise act in ways that do not serve the Fund’s interests as a debt investor.

Swap Transactions Risk. The Fund may enter into derivative instruments such as credit default swap contracts and interest rate swaps. Like most derivative instruments, the use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. In addition, the use of swaps requires an understanding by the investment adviser and/or the sub-adviser of not only the referenced asset, rate or index, but also of the swap itself. If the investment adviser and/or the sub-adviser is incorrect in its forecasts of default risks, market spreads or other applicable factors or events, the investment performance of the Fund would diminish compared with what it would have been if these techniques were not used.

Unrated Securities Risk. The Fund may purchase securities that are not rated by any rating organization. Unrated securities determined by the Fund’s investment adviser to be of comparable quality to rated investments which the Fund may purchase may pay a higher dividend or interest rate than such rated investments and be subject to a greater risk of illiquidity or price changes. Less public information is typically available about unrated investments or issuers than rated investments or issuers. Some unrated securities may not have an active trading market or may be difficult to value, which means the Fund might have difficulty selling them promptly at an acceptable price. To the extent that the Fund invests in unrated securities, the Fund’s ability to achieve its investment objectives will be more dependent on the investment adviser’s credit analysis than would be the case when the Fund invests in rated securities.

Valuation Risk. The securities in which the Fund invests typically are valued by a pricing service utilizing a range of market-based inputs and assumptions, including readily available market quotations obtained from broker-dealers making markets in such instruments, cash flows and transactions for comparable instruments. There is no assurance that the Fund will be able to sell a portfolio security at the price established by the pricing service, which could result in a loss to the Fund. Pricing services generally price securities assuming orderly transactions of an institutional “round lot” size, but some trades may occur in smaller, “odd lot” sizes, often at lower prices than institutional round lot trades. Different pricing services may incorporate different

 

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assumptions and inputs into their valuation methodologies, potentially resulting in different values for the same securities. As a result, if the Fund were to change pricing services, or if the Fund’s pricing service were to change its valuation methodology, there could be a material impact, either positive or negative, on the Fund’s NAV.

Warrants and Equity Securities Risk. Investments in warrants and equity securities entail certain risks in addition to those associated with investments in adjustable rate instruments or other debt instruments. The value of warrants and equity securities may be affected more rapidly, and to a greater extent, by company-specific developments and general market conditions. These risks may increase fluctuations in the Fund’s NAV. The Fund may possess material non-public information about an issuer as a result of its ownership of an adjustable rate instrument or other debt instrument of such issuer. Because of prohibitions on trading in securities of issuers while in possession of such information, the Fund might be unable to enter into a transaction in a security of such an issuer when it would otherwise be advantageous to do so.

When-Issued and Delayed-Delivery Transactions Risk. The Fund may invest in securities on a “when-issued” or “delayed-delivery” basis. When-issued and delayed-delivery transactions may involve an element of risk because no interest accrues on the securities prior to settlement and, because securities are subject to market fluctuations, the value of the securities at time of delivery may be less (or more) than their cost. A separate account of the Fund will be established with its custodian consisting of cash equivalents or liquid securities having a market value at all times at least equal to the amount of any delayed payment commitment.

Zero Coupon Bonds Risk. Because interest on zero coupon bonds is not paid on a current basis, the values of zero coupon bonds will be more volatile in response to interest rate changes than the values of bonds that distribute income regularly. Although zero coupon bonds generate income for accounting purposes, they do not produce cash flow, and thus the Fund could be forced to liquidate securities at an inopportune time in order to generate cash to distribute to shareholders as required by tax laws.

Fund Level and Other Risks:

Anti-Takeover Provisions. The Fund’s organizational documents include provisions that could limit the ability of other entities or persons to acquire control of the Fund or convert the Fund to open-end status. Although the application of the “Control Share Acquisition” provisions has currently been suspended, these provisions could have the effect of depriving the common shareholders of opportunities to sell their common shares at a premium over the then-current market price of the common shares.

Borrowing Risk. In addition to borrowing for leverage, the Fund may borrow for temporary or emergency purposes, to pay dividends, repurchase its shares, or clear portfolio transactions. Borrowing may exaggerate changes in the NAV of the Fund’s shares and may affect the Fund’s net income. When the Fund borrows money, it must pay interest and other fees, which will reduce the Fund’s returns if such costs exceed the returns on the portfolio securities purchased or retained with such borrowings. Any such borrowings are intended to be temporary. However, under certain market circumstances, such borrowings might be outstanding for longer periods of time.

Counterparty Risk. Changes in the credit quality of the companies that serve as the Fund’s counterparties with respect to derivatives or other transactions supported by another party’s credit will affect the value of those instruments. Certain entities that have served as counterparties in the markets for these transactions have incurred or may incur in the future significant financial hardships including bankruptcy and losses as a result of exposure to sub-prime mortgages and other lower-quality credit investments. As a result, such hardships have reduced these entities’ capital and called into question their continued ability to perform their obligations under such transactions. By using such derivatives or other transactions, the Fund assumes the risk that its counterparties could experience similar financial hardships. In the event of the insolvency of a counterparty, the Fund may sustain losses or be unable to liquidate a derivatives position.

Cybersecurity Risk. The Fund and its service providers are susceptible to operational and information security risk resulting from cyber incidents. Cyber incidents refer to both intentional attacks and unintentional events including: processing errors, human errors, technical errors including computer glitches and system malfunctions, inadequate or failed internal or external processes, market-wide technical-related disruptions, unauthorized access to digital systems (through “hacking” or malicious software coding), computer viruses, and cyber-attacks which shut down, disable, slow or otherwise disrupt operations, business processes or website access or functionality (including denial of service attacks). Cyber incidents could adversely impact the Fund and cause the Fund to incur financial loss and expense, as well as face exposure to regulatory penalties, reputational damage, and additional compliance costs associated with corrective measures. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. Furthermore, the Fund cannot control the cybersecurity plans and systems put in place by its service providers or any other third parties whose operations may affect the Fund.

Global Economic Risk. National and regional economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country, region or market might adversely impact issuers in a different country, region or market. Changes in legal, political, regulatory, tax and economic conditions may cause fluctuations in markets and securities prices around the world, which could negatively impact the

 

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Shareholder Update (continued)

(Unaudited)

 

value of the Fund’s investments. Major economic or political disruptions, particularly in large economies like China’s, may have global negative economic and market repercussions. Additionally, the aftermath of the war in Iraq, instability in Afghanistan, Pakistan, Egypt, Libya, Syria, Russia, Ukraine and the Middle East, and environmental disasters and the spread of infectious illnesses or other public health emergencies, possible terrorist attacks in the United States and around the world, continued tensions between North Korea and the United States and the international community generally, growing social and political discord in the United States, the European debt crisis, the response of the international community—through economic sanctions and otherwise—further downgrade of U.S. government securities, the change in the U.S. president and the new administration and other similar events may adversely affect the global economy and the markets and issuers in which the Fund invests. Recent examples of such events include the outbreak of a novel coronavirus known as COVID-19 that was first detected in China in December 2019 and heightened concerns regarding North Korea’s nuclear weapons and long-range ballistic missile programs. These events could reduce consumer demand or economic output, result in market closure, travel restrictions or quarantines, and generally have a significant impact on the economy. In addition, Russia’s recent invasion of Ukraine in February 2022 has resulted in sanctions imposed by several nations, such as the United States, United Kingdom, European Union and Canada. The current sanctions and potential further sanctions may negatively impact certain sectors of Russia’s economy, but also may negatively impact the value of the Fund’s investments that do not have direct exposure to Russia. These events could also impair the information technology and other operational systems upon which the Fund’s service providers, including the investment adviser and sub-adviser, rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Governmental and quasi-governmental authorities and regulators throughout the world have in the past responded to major economic disruptions with a variety of significant fiscal and monetary policy changes, including but not limited to, direct capital infusions into companies, new monetary programs and dramatically lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, could increase volatility in securities markets, which could adversely affect the Fund’s investments.

Investment and Market Risk. An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Common shares frequently trade at a discount to their NAV. An investment in common shares represents an indirect investment in the securities owned by the Fund. Common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.

Legislation and Regulatory Risk. At any time after the date of this report, legislation or additional regulations may be enacted that could negatively affect the assets of the Fund, securities held by the Fund or the issuers of such securities. Fund shareholders may incur increased costs resulting from such legislation or additional regulation. There can be no assurance that future legislation, regulation or deregulation will not have a material adverse effect on the Fund or will not impair the ability of the Fund to achieve its investment objectives.

Leverage Risk. The use of leverage creates special risks for common shareholders, including potential interest rate risks and the likelihood of greater volatility of NAV and market price of, and distributions on, the common shares. The use of leverage in a declining market will likely cause a greater decline in the Fund’s NAV, which may result at a greater decline of the common share price, than if the Fund were not to have used leverage.

The Fund will pay (and common shareholders will bear) any costs and expenses relating to the Fund’s use of leverage, which will result in a reduction in the Fund’s NAV. The investment adviser may, based on its assessment of market conditions and composition of the Fund’s holdings, increase or decrease the amount of leverage. Such changes may impact the Fund’s distributions and the price of the common shares in the secondary market.

The Fund may seek to refinance its leverage over time, in the ordinary course, as current forms of leverage mature or it is otherwise desirable to refinance; however, the form that such leverage will take cannot be predicted at this time. If the Fund is unable to replace existing leverage on comparable terms, its costs of leverage will increase. Accordingly, there is no assurance that the use of leverage may result in a higher yield or return to common shareholders.

The amount of fees paid to the investment adviser and the sub-advisor for investment advisory services will be higher if the Fund uses leverage because the fees will be calculated based on the Fund’s Managed Assets - this may create an incentive for the investment adviser and the sub-advisor to leverage the Fund or increase the Fund’s leverage.

Market Discount from Net Asset Value. Shares of closed-end investment companies like the Fund frequently trade at prices lower than their NAV. This characteristic is a risk separate and distinct from the risk that the Fund’s NAV could decrease as a result of investment activities. Whether investors will realize gains or losses upon the sale of the common shares will depend not upon the Fund’s NAV but entirely upon whether the market price of the common shares at the time of sale is above or below the investor’s purchase price for the common shares. Furthermore, management may have difficulty meeting the Fund’s investment objectives and managing its portfolio when the underlying securities are redeemed or sold during periods of market turmoil and as investors’ perceptions regarding closed-end funds or their underlying investments change. Because the market price of the common shares will be determined by factors such as relative supply of and demand for the common shares in the market, general market and economic circumstances, and other factors beyond the control of the Fund, the Fund cannot predict whether the common shares will trade at, below or above NAV. The common shares are designed primarily for long-term investors, and you should not view the Fund as a vehicle for short-term trading purposes.

Recent Market Conditions. In response to the financial crisis and recent market events, the United States and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. Policy and legislative changes by the United States government and the

 

156


 

Federal Reserve to assist in the ongoing support of financial markets, both domestically and in other countries, are changing many aspects of financial regulation. The impact of these changes on the markets, and the practical implications for market participants, may not be fully known for some time. In some countries where economic conditions are recovering, such countries are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain investments. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasigovernmental organizations, including changes in tax laws and the imposition of trade barriers. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Changes to the Federal Reserve policy, including with respect to certain interest rates, may affect the value, volatility and liquidity of dividend and interest paying securities. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants. The U.S. government has recently reduced the federal corporate income tax rate, and future legislative, regulatory and policy changes may result in more restrictions on international trade, less stringent prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the markets’ expectations for changes in government policies are not borne out.

Changes in market conditions will not have the same impact on all types of investments. Interest rates have been unusually low in recent years in the United States and abroad but there is consensus that interest rates will increase during the life of the Fund, which could negatively impact the price of debt securities. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. In addition, there is a risk that the prices of goods and services in the United States and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse.

On June 23, 2016, the United Kingdom (“UK”) held a referendum on whether to remain a member state of the European Union (“EU”), in which voters favored the UK’s withdrawal from the EU, an event widely referred to as “Brexit” and which triggered a two-year period of negotiations on the terms of withdrawal. The formal notification to the European Council required under Article 50 of the Treaty on EU was made on March 29, 2017, following which the terms of exit were negotiated. On January 31, 2020, the UK formally withdrew from the EU and the two sides entered into a transition phase, where the UK effectively remained in the EU from an economic perspective, but no longer had any political representation in the EU parliament. The transition period concluded on December 31, 2020, and EU law no longer applies in the UK. On December 30, 2020, the UK and EU signed an EU-UK Trade and Cooperation Agreement (“UK/EU Trade Agreement”), which went into effect on January 1, 2021 and sets out the foundation of the economic and legal framework for trade between the UK and EU. As the UK/EU Trade Agreement is a new legal framework, the implementation of the UK/EU Trade Agreement may result in uncertainty in its application and periods of volatility in both the UK and wider European markets. The longer term economic, legal, political and social framework to be put in place between the UK and the EU are unclear at this stage, remain subject to negotiation and are likely to lead to ongoing political and economic uncertainty and periods of exacerbated volatility in both the UK and in wider European markets for some time. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the UK and European economies, as well as the broader global economy for some time. Additionally, a number of countries in Europe have suffered terror attacks, and additional attacks may occur in the future. Ukraine has experienced ongoing military conflict, most recently in February 2022 when Russia invaded Ukraine; this conflict may expand and military attacks could occur elsewhere in Europe. Europe has also been struggling with mass migration from the Middle East and Africa. The ultimate effects of these events and other socio-political or geographical issues are not known but could profoundly affect global economies and markets.

The ongoing trade war between China and the United States, including the imposition of tariffs by each country on the other country’s products, has created a tense political environment. These actions may trigger a significant reduction in international trade, the oversupply of certain manufactured goods, substantial price reductions of goods and possible failure of individual companies and/or large segments of China’s export industry, which could have a negative impact on the Fund’s performance. U.S. companies that source material and goods from China and those that make large amounts of sales in China would be particularly vulnerable to an escalation of trade tensions. Uncertainty regarding the outcome of the trade tensions and the potential for a trade war could cause the U.S. dollar to decline against safe haven currencies, such as the Japanese yen and the euro. Events such as these and their consequences are difficult to predict and it is unclear whether further tariffs may be imposed or other escalating actions may be taken in the future.

The impact of these developments in the near- and long-term is unknown and could have additional adverse effects on economies, financial markets and asset valuations around the world.

Reverse Repurchase Agreement Risk. A reverse repurchase agreement, in economic essence, constitutes a securitized borrowing by the Fund from the security purchaser. The Fund may enter into reverse repurchase agreements for the purpose of creating a leveraged investment exposure and, as such, their usage involves essentially the same risks associated with a leveraging strategy generally since the proceeds from these agreements may be invested in additional portfolio securities. Reverse repurchase agreements tend to be short-term in tenor, and there can be no assurances that the purchaser (lender) will commit to extend or “roll” a given agreement upon its agreed-upon repurchase date or an alternative purchaser can be identified on similar

 

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Shareholder Update (continued)

(Unaudited)

 

terms. Reverse repurchase agreements also involve the risk that the purchaser fails to return the securities as agreed upon, files for bankruptcy or becomes insolvent. The Fund may be restricted from taking normal portfolio actions during such time, could be subject to loss to the extent that the proceeds of the agreement are less than the value of securities subject to the agreement and may experience adverse tax consequences.

Tax Risk. The Fund has elected to be treated and intends to qualify each year as a Regulated Investment Company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”). As a RIC, the Fund is not expected to be subject to U.S. federal income tax to the extent that it distributes its investment company taxable income and net capital gains. To qualify for the special tax treatment available to a RIC, the Fund must comply with certain investment, distribution, and diversification requirements. Under certain circumstances, the Fund may be forced to sell certain assets when it is not advantageous in order to meet these requirements, which may reduce the Fund’s overall return. If the Fund fails to meet any of these requirements, subject to the opportunity to cure such failures under applicable provisions of the Code, the Fund’s income would be subject to a double level of U.S. federal income tax. The Fund’s income, including its net capital gain, would first be subject to U.S. federal income tax at regular corporate rates, even if such income were distributed to shareholders and, second, all distributions by the Fund from earnings and profits, including distributions of net capital gain (if any), would be taxable to shareholders as dividends.

 

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EFFECTS OF LEVERAGE

The following table is furnished in response to requirements of the SEC. It is designed to illustrate the effects of leverage through the use of senior securities, as that term is defined under Section 18 of the 1940 Act, as well as certain other forms of leverage, such as reverse repurchase agreements, on common share total return, assuming investment portfolio total returns (consisting of income and changes in the value of investments held in the Fund’s portfolio) of -10%, -5%, 0%, 5% and 10%. The table below reflects each Fund’s (i) continued use of leverage as of July 31, 2022 as a percentage of Managed Assets (including assets attributable to such leverage), (ii) the estimated annual effective interest expense rate payable by the Funds on such instruments (based on actual leverage costs incurred during the fiscal year ended July 31, 2022) as set forth in the table, and (iii) the annual return that the Fund’s portfolio must experience (net of expenses) in order to cover such costs of leverage based on such estimated annual effective interest expense rate. The information below does not reflect any Fund’s use of certain other forms of economic leverage achieved through the use of certain derivative instruments.

The numbers are merely estimates, used for illustration. The costs of leverage may vary frequently and may be significantly higher or lower than the estimated rate. The assumed investment portfolio returns in the table below are hypothetical figures and are not necessarily indicative of the investment portfolio returns experienced or expected to be experienced by the Funds. Your actual returns may be greater or less than those appearing below.

 

       

Nuveen Senior
Income Fund

(NSL)

       Nuveen Floating
Rate Income
Fund (JFR)
       Nuveen Floating
Rate Income
Opportunity
Fund (JRO)
       Nuveen Short
Duration Credit
Opportunities
Fund (JSD)
      

Nuveen Credit
Strategies
Income Fund

(JQC)

 

Estimated Leverage as a Percentage of Managed Assets (Including Assets Attributable to Leverage)

       38.41%          38.42%          38.58%          38.45%          38.97%  

Estimated Annual Effective Leverage Expense Rate Payable by Fund on Leverage

       1.40%          1.36%          1.36%          1.57%          1.59%  

Annual Return Fund Portfolio Must Experience (net of expenses) to Cover Estimated Annual Effective Interest Expense Rate on Leverage

       0.54%          0.52%          0.52%          0.60%          0.62%  

Common Share Total Return for (10.00)% Assumed Portfolio Total Return

       -17.11%          -17.09%          -17.13%          -17.23%          -17.40%  

Common Share Total Return for (5.00)% Assumed Portfolio Total Return

       -8.99%          -8.97%          -8.99%          -9.10%          -9.21%  

Common Share Total Return for 0.00% Assumed Portfolio Total Return

       -0.88%          -0.85%          -0.85%          -0.98%          -1.01%  

Common Share Total Return for 5.00% Assumed Portfolio Total Return

       7.24%          7.27%          7.29%          7.14%          7.18%  

Common Share Total Return for 10.00% Assumed Portfolio Total Return

       15.36%          15.39%          15.43%          15.27%          15.37%  

Common Share total return is composed of two elements — the distributions paid by the Fund to holders of common shares (the amount of which is largely determined by the net investment income of the Fund after paying dividend payments on any preferred shares issued by the Fund and expenses on any forms of leverage outstanding) and gains or losses on the value of the securities and other instruments the Fund owns. As required by SEC rules, the table assumes that the Funds are more likely to suffer capital losses than to enjoy capital appreciation. For example, to assume a total return of 0%, the Fund must assume that the income it receives on its investments is entirely offset by losses in the value of those investments. This table reflects hypothetical performance of the Fund’s portfolio and not the actual performance of the Fund’s common shares, the value of which is determined by market forces and other factors. Should the Fund elect to add additional leverage to its portfolio, any benefits of such additional leverage cannot be fully achieved until the proceeds resulting from the use of such leverage have been received by the Fund and invested in accordance with the Fund’s investment objectives and policies. As noted above, the Fund’s willingness to use additional leverage, and the extent to which leverage is used at any time, will depend on many factors.

 

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Shareholder Update (continued)

(Unaudited)

 

DIVIDEND REINVESTMENT PLAN

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 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 quarter 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 NAV at the time of valuation, the Fund will issue new shares at the greater of the NAV or 95% of the then-current market price. If the shares are trading at less than NAV, shares for your account will be purchased on the open market. If Computershare Trust Company, N.A. (the “Plan Agent”) begins purchasing Fund shares on the open market while shares are trading below NAV, but the Fund’s shares subsequently trade at or above their NAV 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’ NAV 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 distribution 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 Dividend Reinvestment Plan (the “Plan”) participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. 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 professional or call us at (800) 257-8787.

 

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CHANGES OCCURRING DURING THE FISCAL YEAR

The following information in this annual report is a summary of certain changes during the most recent fiscal year. This information may not reflect all of the changes that have occurred since you purchased shares of a Fund.

During the most recent fiscal year, there have been no changes to: (i) the Funds’ investment objectives and principal investment policies that have not been approved by shareholders, (ii) the principal risks of the Fund, (iii) the portfolio managers of the Funds; (iv) a Fund’s charter or by-laws that would delay or prevent a change of control of the Fund that have not been approved by shareholders except as follows:

Principal Risks

The following principal risk has been added for the Nuveen Senior Income Fund (NSL), Nuveen Floating Rate Income Fund (JFR), Nuveen Floating Rate Income Opportunity Fund (JSD), Nuveen Short Duration Credit Opportunity Fund (JSD) and the Nuveen Credit Strategies Income Fund (JQC):

Inflation Correlation Risk. Although the values of certain of the Fund’s loan investments are generally linked or correlated to the rate of inflation, there is no guarantee that such investments will provide any protection against the impact of inflation. In addition, while these investments are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in their value. Further, when inflation and expectations of inflation are low or declining, the Fund’s positions in such investments are likely to underperform the overall stock markets.

Developments Regarding the Funds’ Control Share By-Law

On October 5, 2020, the Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, Nuveen Short Duration Credit Opportunity Fund and the Nuveen Credit Strategies Income Fund (each a “Fund” and collectively the “Funds”) and certain other closed-end funds in the Nuveen fund complex amended their by-laws. Among other things, the amended by-laws included provisions pursuant to which, in summary, a shareholder who obtains beneficial ownership of common shares in a Control Share Acquisition (as defined in the by-laws) shall have the same voting rights as other common shareholders only to the extent authorized by the other disinterested shareholders (the “Control Share By-Law”). On January 14, 2021, a shareholder of certain Nuveen closed-end funds filed a civil complaint in the U.S. District Court for the Southern District of New York (the “District Court”) against certain Nuveen funds and their trustees, seeking a declaration that such funds’ Control Share By-Laws violate the 1940 Act, rescission of such fund’s Control Share By-Laws and a permanent injunction against such funds applying the Control Share By-Laws. On February 18, 2022, the District Court granted judgment in favor of the plaintiff’s claim for rescission of such funds’ Control Share By-Laws and the plaintiff’s declaratory judgment claim, and declared that such funds’ Control Share By-Laws violate Section 18(i) of the 1940 Act. Following review of the judgment of the District Court, on February 22, 2022, the Board amended the Funds’ bylaws to provide that the Funds’ Control Share By-Law shall be of no force and effect for so long as the judgment of the District Court is effective and that if the judgment of the District Court is reversed, overturned, vacated, stayed, or otherwise nullified, the Fund’s Control Share By-Law will be automatically reinstated and apply to any beneficial owner of common shares acquired in a Control Share Acquisition, regardless of whether such Control Share Acquisition occurs before or after such reinstatement, for the duration of the stay or upon issuance of the mandate reversing, overturning, vacating or otherwise nullifying the judgment of the District Court. On February 25, 2022, the Board and the Funds appealed the District Court’s decision to the U.S. Court of Appeals for the Second Circuit.

 

161


Important Tax Information (Unaudited)

 

As required by the Internal Revenue Code and Treasury Regulations, certain tax information, as detailed below, must be provided to shareholders. Shareholders are advised to consult their tax advisor with respect to the tax implications of their investment. The amounts listed below may differ from the actual amounts reported on Form 1099-DIV, which will be sent to shareholders shortly after calendar year end.

Long-Term Capital Gains

As of year end, each Fund designates the following distribution amounts, or maximum amount allowable, as being from net long-term capital gains pursuant to Section 852(b)(3) of the Internal Revenue Code:

 

Fund      Net Long-Term
Capital Gains
 

NSL

     $  

JFR

        

JRO

        

JSD

        

JQC

        

Qualified Interest Income (QII)

Each Fund listed below had the following percentage, or maximum amount allowable, of ordinary income distributions treated as qualified interest income and/or short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code:

 

Fund      Prior Year End to
12/31 Percentage
     1/1 to Current Year
End Percentage
 

NSL

       63.9      91.0

JFR

       62.8        88.9  

JRO

       64.2        90.2  

JSD

       66.8        85.2  

JQC

       76.9        83.8  

163(j)

Each Fund listed below had the following percentage, or maximum amount allowable, of ordinary dividends treated as Section 163(j) interest dividends pursuant to Section 163(j) of the Internal Revenue Code:

 

Fund      Percentage  

NSL

       81.2

JFR

       80.4  

JRO

       84.5  

JSD

       79.4  

JQC

       100.0  

 

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Additional Fund Information (Unaudited)

 

Board of Trustees          
Jack B. Evans   William C. Hunter   Amy B.R. Lancellotta   Joanne T. Medero   Albin F. Moschner   John K. Nelson
Judith M. Stockdale   Carole E. Stone   Matthew Thornton III   Terence J. Toth   Margaret L Wolff   Robert L. Young

 

         

Investment Adviser

Nuveen Fund Advisors, LLC

333 West Wacker Drive

Chicago, IL 60606

 

Custodian

State Street Bank
& Trust Company

One Lincoln Street

Boston, MA 02111

 

Legal Counsel

Chapman and Cutler LLP

Chicago, IL 60603

 

Independent Registered
Public Accounting Firm

KPMG LLP

200 East Randolph Street

Chicago, IL 60601

 

Transfer Agent and
Shareholder Services

Computershare Trust Company, N.A.

150 Royall Street

Canton, MA 02021

(800) 257-8787

 

 

Portfolio of Investments Information

Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT. You may obtain this information on the SEC’s website at http://www.sec.gov.

 

 

Nuveen Funds’ Proxy Voting Information

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

 

 

CEO Certification Disclosure

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

 

 

Common Share Repurchases

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

 

     NSL        JFR        JRO        JSD        JQC  

Common shares repurchased

    0          0          0          0          0  

FINRA BrokerCheck

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

 

 

 

 

163


Glossary of Terms Used in this Report

(Unaudited)

 

 

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

 

 

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

 

 

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

 

 

Credit Suisse Leveraged Loan Index: An index designed to measure the performance of the USD-denominated leveraged loan market. The index includes issuers from developed countries; issuers from developing countries are excluded. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.

 

 

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

 

 

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

 

 

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

 

 

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

 

 

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

 

164


Annual Investment Management Agreement Approval Process

(Unaudited)

 

At a meeting held on May 23-25, 2022 (the “May Meeting”), the Boards of Trustees (collectively, the “Board” and each Trustee, a “Board Member”) of the Funds, which are comprised entirely of Board Members who are not “interested persons” (as defined under the Investment Company Act of 1940 (the “1940 Act”)) (the “Independent Board Members”), approved, for their respective Fund, the renewal of the management agreement (each, an “Investment Management Agreement”) with Nuveen Fund Advisors, LLC (the “Adviser”) pursuant to which the Adviser serves as investment adviser to such Fund and the sub-advisory agreement (each, a “Sub-Advisory Agreement”) with Nuveen Asset Management, LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser serves as the sub-adviser to such Fund for an additional one-year term. As the Board is comprised of all Independent Board Members, the references to the Board and the Independent Board Members are interchangeable.

Following up to an initial two-year period, the Board considers the renewal of each Investment Management Agreement and Sub-Advisory Agreement on behalf of the applicable Fund on an annual basis. The Investment Management Agreements and Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements,” and the Adviser and the Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser.” The Board has established various standing committees composed of various Independent Board Members that are assigned specific responsibilities to enhance the effectiveness of the Board’s oversight and decision making. Throughout the year, the Board and its committees meet regularly and, at these meetings, receive regular and/or special reports that cover an extensive array of topics and information that are relevant to the Board’s annual consideration of the renewal of the advisory agreements for the Nuveen funds. Such information may address, among other things, fund performance and risk information; the Adviser’s strategic plans; product initiatives for various funds; the review of the funds and investment teams; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers to the Nuveen funds; management of distributions; valuation of securities; fund expenses; securities lending; liquidity management; overall market and regulatory developments; and with respect to closed-end funds, capital management initiatives, institutional ownership, management of leverage financing and the secondary market trading of the closed-end funds and any actions to address discounts. The Board also seeks to meet periodically with the Nuveen funds’ sub-advisers and/or portfolio teams, when feasible. The Board further meets, among other things, to specifically consider the annual renewal of the advisory agreements for the Nuveen funds.

In connection with its annual consideration of the advisory agreements for the Nuveen funds, the Board, through its independent legal counsel, requested and received extensive materials and information prepared specifically for its review of such advisory agreements by the Adviser and by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The materials cover a wide range of topics including, but not limited to, a description of the nature, extent and quality of services provided by the Fund Advisers; a review of product actions taken during 2021 (such as mergers, liquidations, fund launches, changes to investment teams, and changes to investment policies); a review of each sub-adviser to the Nuveen funds and/or the applicable investment teams; an analysis of fund performance in absolute terms and as compared to the performance of certain peer funds and benchmarks with a focus on any performance outliers; an analysis of the fees and expense ratios of the Nuveen funds in absolute terms and as compared to those of certain peer funds with a focus on any expense outliers; a review of management fee schedules; a description of portfolio manager compensation; an overview of the secondary market trading of shares of the Nuveen closed-end funds (including, among other things, an analysis of secondary market performance and commentary regarding the leverage management, share repurchase and shelf offering programs of Nuveen closed-end funds); a review of the performance of various service providers; a description of various initiatives Nuveen had undertaken or continued in 2021 and 2022 for the benefit of particular fund(s) and/or the complex; a description of the profitability or financial data of Nuveen and the sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Adviser and the sub-advisers as a result of their relationships with the Nuveen funds. The information prepared specifically for the annual review supplemented the information provided to the Board and its committees and the evaluations of the Nuveen funds by the Board and its committees during the year. The Board’s review of the advisory agreements for the Nuveen funds is based on all the information provided to the Board and its committees throughout the year as well as the information prepared specifically with respect to the annual review of such advisory agreements.

 

165


Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

In continuing its practice, the Board met prior to the May Meeting to begin its considerations of the renewal of the Advisory Agreements. Accordingly, on April 13-14, 2022 (the “April Meeting”), the Board met to review and discuss, in part, the performance of the Nuveen funds and the Adviser’s evaluation of each sub-adviser to the Nuveen funds and/or its investment teams. At the April Meeting, the Board Members asked questions and requested additional information that was provided for the May Meeting.

The Independent Board Members considered the review of the advisory agreements for the Nuveen funds to be an ongoing process and employed the accumulated information, knowledge and experience the Board Members had gained during their tenure on the boards governing the Nuveen funds and working with the Adviser and sub-advisers in their review of the advisory agreements. The contractual arrangements are a result of multiple years of review, negotiation and information provided in connection with the boards’ annual review of the Nuveen funds’ advisory arrangements and oversight of the Nuveen funds.

The Independent Board Members were advised by independent legal counsel during the annual review process as well as throughout the year, including meeting in executive sessions with such counsel at which no representatives from the Adviser or the Sub-Adviser were present. In connection with their annual review, the Independent Board Members also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements, including guidance from court cases evaluating advisory fees.

The Board’s decision to renew the Advisory Agreements was not based on a single identified factor, but rather the decision reflected the comprehensive consideration of all the information provided to the Board and its committees throughout the year as well as the materials prepared specifically in connection with the renewal process. Each Board Member may have attributed different levels of importance to the various factors and information considered in connection with the approval process and may place different emphasis on the relevant information year to year in light of, among other things, changing market and economic conditions. A summary of the principal factors and information, but not all the factors, the Board considered in deciding to renew the Advisory Agreements is set forth below.

 

A.   Nature, Extent and Quality of Services

In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to the respective Fund with particular focus on the services and enhancements to such services provided during the last year. The Independent Board Members considered the Investment Management Agreements and the Sub-Advisory Agreements separately in the course of their review. With this approach, they considered the respective roles of the Adviser and the Sub-Adviser in providing services to the Funds.

The Board recognized that the Nuveen funds operate in a highly regulated industry and, therefore, the Adviser has provided a wide array of management, oversight and administrative services to manage and operate the funds, and the scope and complexity of these services have expanded over time as a result of, among other things, regulatory, market and other developments. The Board accordingly considered the Adviser’s dedication of extensive resources, time, people and capital employed to support and manage the Nuveen funds as well as the Adviser’s continued program of developing improvements and innovations for the benefit of the funds and shareholders and to meet the ever increasing regulatory requirements applicable to the funds. In this regard, the Board received and reviewed information regarding, among other things, the Adviser’s investment oversight responsibilities, regulatory and compliance services, administrative duties and other services. The Board considered the Adviser’s investment oversight team’s extensive services in overseeing the various sub-advisers to the Nuveen funds; evaluating fund performance; and preparing reports to the Board addressing, among other things, fund performance, market conditions, investment team matters, product developments and management proposals. The Board further recognized the range of services the various teams of the Adviser provided including, but not limited to, overseeing operational and risk management; managing liquidity; overseeing the daily valuation process; and managing distributions in seeking to deliver long-term fund earnings to shareholders consistent with the respective Nuveen fund’s product design and positioning. The Board also considered the structure of investment personnel compensation of each Fund Adviser and whether the structure provides appropriate incentives to attract and maintain qualified personnel and to act in the best interests of the respective Nuveen fund.

 

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The Board further recognized that the Adviser’s compliance and regulatory functions were integral to the investment management of the Nuveen funds. The Board recognized such services included, but were not limited to, managing compliance policies; monitoring compliance with applicable policies, law and regulations; devising internal compliance programs and a framework to review and assess compliance programs; overseeing sub-adviser compliance testing; preparing compliance training materials; and responding to regulatory requests. The Board further considered information regarding the Adviser’s business continuity and disaster recovery plans as well as information regarding its information security program, including presentations of such program provided at a site visit in 2022, to help identify and manage information security risks.

In addition to the above functions, the Board considered that the Adviser also provides, among other things, fund administration services (such as preparing fund tax returns and other tax compliance services; preparing regulatory filings; interacting with the Nuveen funds’ independent public accountants and overseeing other service providers; and managing fund budgets and expenses); product management services (such as evaluating and enhancing products and strategies); legal services (such as helping to prepare and file registration statements and proxy statements; overseeing fund activities and providing legal interpretations regarding such activities; maintaining regulatory registrations and negotiating agreements with other fund service providers; and monitoring changes in regulatory requirements and commenting on rule proposals impacting investment companies); oversight of shareholder services and transfer agency functions (such as overseeing transfer agent service providers which include registered shareholder customer service and transaction processing; overseeing proxy solicitation and tabulation services; and overseeing the production and distribution of financial reports by service providers); and with respect to the Nuveen closed-end funds, managing leverage, monitoring asset coverage and seeking to promote an orderly secondary market.

The Board also considered the quality of support services and communications the Adviser provided the Board, including, in part, organizing and administrating Board meetings and supporting Board committees; preparing regular and ad hoc reports on fund performance, market conditions and investment team matters; providing due diligence reports addressing product development and management proposals; and coordinating site visits of the Board and presentations by investment teams and senior management.

In addition to the services provided, the Board considered the financial resources of the Adviser and its affiliates and their willingness to make investments in the technology, personnel and infrastructure to support the Nuveen funds, including maintaining a seed capital budget to support new or existing funds and/or facilitate changes for a respective fund. Further, the Board noted the benefits to shareholders of investing in a fund that is a part of a large fund complex with a variety of investment disciplines, capabilities, expertise and resources available to navigate and support the Nuveen funds including during stressed times. The Board recognized the overall reputation and capabilities of the Adviser and its affiliates, the Adviser’s continuing commitment to provide high quality services, its willingness to implement operational or organizational changes in seeking, among other things, to enhance efficiencies and services to the Nuveen funds and its responsiveness to the Board’s questions and/or concerns raised throughout the year and during the annual review of advisory agreements. The Board also considered the significant risks borne by the Adviser and its affiliates in connection with their services to the Nuveen funds, including entrepreneurial risks in sponsoring new funds and ongoing risks with managing the funds such as investment, operational, reputational, regulatory, compliance and litigation risks.

In evaluating services, the Board reviewed various highlights of the initiatives the Adviser and its affiliates have undertaken or continued in 2021 and 2022 to benefit the Nuveen complex and/or particular Nuveen funds and meet the requirements of an increasingly complex regulatory environment including, but not limited to:

 

   

Centralization of Functions – ongoing initiatives to centralize investment leadership and create a more cohesive market approach and centralized shared support model (including through the consolidation of certain affiliated sub-advisers) in seeking to operate more effectively and enhance the research capabilities and services to the Nuveen funds;

 

   

Fund Improvements and Product Management Initiatives – continuing to proactively manage the Nuveen fund complex as a whole and at the individual fund level with an aim to continually improve product platforms and investment strategies to better serve shareholders through, among other things, rationalizing the product line and gaining

 

167


Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

  efficiencies through mergers, repositionings and liquidations; launching new funds; reviewing and updating investment policies and benchmarks; soft closing certain funds; modifying the conversion periods on certain share classes; and evaluating and adjusting portfolio management teams as appropriate for various funds;

 

   

Capital Initiatives – continuing to invest capital to support new Nuveen funds with initial capital as well as to support existing funds;

 

   

Compliance Program Initiatives – continuing efforts to mitigate compliance risk with a focus on environmental, social and governance (“ESG”) controls and processes, increase operating efficiencies, implement enhancements to strengthen ongoing execution of key compliance program elements, support international business growth and facilitate integration of Nuveen’s operating model;

 

   

Investment Oversight – preparing reports to the Board addressing, among other things, fund performance; market conditions; investment team matters; product developments; changes to mandates, policies and benchmarks; and other management proposals as well as preparing and coordinating investment presentations to the Board;

 

   

Risk Management and Valuation Services – continuing to oversee and manage risk including, among other things, conducting ongoing calculations and monitoring of risk measures across the Nuveen funds, instituting investment risk controls, providing risk reporting throughout Nuveen, participating in internal oversight committees, dedicating the resources and time to develop the processes necessary to help address fund compliance with the new derivatives rule and continuing to implement an operational risk framework that seeks to provide greater transparency of operational risk matters across the complex as well as provide multiple other risk programs that seek to provide a more disciplined and consistent approach to identifying and mitigating Nuveen’s operational risks. Further, the securities valuation team continues, among other things, to oversee the daily valuation process of the portfolio securities of the funds, maintain the valuation policies and procedures, facilitate valuation committee meetings, manage relationships with pricing vendors, prepare relevant valuation reports and design methods to simplify and enhance valuation workflow within the organization and implement processes and procedures to help address compliance with the new valuation rule applicable to the funds;

 

   

Regulatory Matters – continuing efforts to monitor regulatory trends and advocate on behalf of Nuveen and/or the Nuveen funds, to implement and comply with new or revised rules and mandates and to respond to regulatory inquiries and exams;

 

   

Government Relations – continuing efforts of various Nuveen teams and Nuveen’s affiliates to develop policy positions on a broad range of issues that may impact the Nuveen funds, advocate and communicate these positions to lawmakers and other regulatory authorities and work with trade associations to ensure these positions are represented;

 

   

Business Continuity, Disaster Recovery and Information Security – continuing efforts of Nuveen to periodically test and update business continuity and disaster recovery plans and, together with its affiliates, to maintain an information security program that seeks to identify and manage information security risks, and provide reports to the Board, at least annually, addressing, among other things, management’s security risk assessment, cyber risk profile, potential impact of new or revised laws and regulations, incident tracking and other relevant information technology risk-related reports;

 

   

Distribution Management Services – continuing to manage the distributions among the varying types of Nuveen funds within the Nuveen complex to be consistent with the respective fund’s product design and positioning in striving to deliver those earnings to shareholders in a relatively consistent manner over time as well as assisting in the development of new products or the restructuring of existing funds; and

 

   

with respect specifically to closed-end funds, such continuing services also included:

 

   

Leverage Management Services – continuing to actively manage the various forms of leverage utilized across the complex, including through committing resources and focusing on sourcing/structure development and bank provider management;

 

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Capital Management, Market Intelligence and Secondary Market Services – ongoing capital management efforts which may include at times shelf offerings, tender offers, capital return programs and share repurchases as well as providing market data analysis to help understand closed-end fund ownership cycles and their impact on secondary market trading as well as to improve proxy solicitation efforts; and

 

   

Closed-end Fund Investor Relations Program – maintaining the closed-end fund investor relations program which, among other things, raises awareness, provides educational materials and cultivates advocacy for closed-end funds and the Nuveen closed-end fund product line.

The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and recognized that the Sub-Adviser and its investment personnel generally are responsible for the management of each Fund’s portfolio under the oversight of the Adviser and the Board. The Board considered an analysis of the Sub-Adviser provided by the Adviser which included, among other things, the assets under management of the applicable investment team and changes thereto, a summary of the applicable investment team and changes thereto, the investment process and philosophy of the applicable investment team, the performance of the Nuveen funds sub-advised by the Sub-Adviser over various periods of time and a summary of any significant policy and/or other changes to the Nuveen funds sub-advised by the Sub-Adviser. The Board further considered at the May Meeting or prior meetings evaluations of the Sub-Adviser’s compliance programs and trade execution. The Board noted that the Adviser recommended the renewal of the Sub-Advisory Agreements.

Based on its review, the Board determined, in the exercise of its reasonable business judgment, that it was satisfied with the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement.

 

B.   The Investment Performance of the Funds and Fund Advisers

In evaluating the quality of the services provided by the Fund Advisers, the Board also received and considered a variety of investment performance data of the Nuveen funds they advise. In evaluating performance, the Board recognized that performance data may differ significantly depending on the ending date selected, particularly during periods of market volatility, and therefore considered the broader perspective of performance over a variety of time periods that may include full market cycles. In this regard, the Board reviewed, among other things, Fund performance over the quarter, one-, three- and five-year periods ending December 31, 2021 and March 31, 2022. The performance data prepared for the annual review of the advisory agreements for the Nuveen funds supplemented the fund performance data that the Board received throughout the year at its meetings representing differing time periods. In its review, the Board took into account the discussions with representatives of the Adviser; the Adviser’s analysis regarding fund performance that occurred at these Board meetings with particular focus on funds that were considered performance outliers (both overperformance and underperformance); the factors contributing to the performance; and any recommendations or steps taken to address performance concerns. Regardless of the time period reviewed by the Board, the Board recognized that shareholders may evaluate performance based on their own holding periods which may differ from the periods reviewed by the Board and lead to differing results.

In its review, the Board reviewed both absolute and relative fund performance during the annual review over the various time periods. With respect to the latter, the Board considered fund performance in comparison to the performance of peer funds (the “Performance Peer Group”) and recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks). For Nuveen funds that had changes in portfolio managers or other significant changes to their investment strategies or policies since March 2019, the Board reviewed certain tracking performance data comparing the performance of such funds before and after such changes.

In considering performance data, the Board is aware of certain inherent limitations with such data, including that differences between the objective(s), strategies and other characteristics of the Nuveen funds compared to the respective Performance Peer Group and/or benchmark(s); differences in the composition of the Performance Peer Group over time; and differences in the types and/or levels of any leverage and related costs with that of the Performance Peer Group would all necessarily contribute to differences in performance results and limit the value of the comparative information. Further, the Board recognized the inherent limitations in comparing the performance of an actively managed fund to a benchmark index due to the fund’s pursuit of an investment strategy that does not directly follow the index. To assist the Board in its review of the

 

169


Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

comparability of the relative performance, the Adviser has ranked the relevancy of the peer group to the Funds as low, medium or high.

The Board also evaluated performance in light of various relevant factors which may include, among other things, general market conditions, issuer-specific information, asset class information, leverage and fund cash flows. In relation to general market conditions, the Board had recognized the recent periods in 2022 of general market volatility and underperformance. In their review from year to year, the Board Members consider and may place different emphasis on the relevant information in light of changing circumstances in market and economic conditions. Further, the Board recognized that the market and economic conditions may significantly impact a fund’s performance, particularly over shorter periods, and such performance may be more reflective of such economic or market events and not necessarily reflective of management skill. Accordingly, depending on the facts and circumstances including any differences between the respective Nuveen fund and its benchmark and/or Performance Peer Group, the Board may be satisfied with a fund’s performance notwithstanding that its performance may be below that of its benchmark or peer group for certain periods. However, with respect to any Nuveen funds for which the Board has identified performance issues, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers whether any steps are necessary or appropriate to address such issues, and reviews the results of any steps undertaken.

The secondary market trading of shares of the Nuveen closed-end funds also continues to be a priority for the Board given its importance to shareholders, and therefore the Board and/or its Closed-end Fund committee reviews certain performance data reflecting, among other things, the premiums and discounts at which the shares of the closed-end funds have traded over specified periods throughout the year. In its review, the Board considers, among other things, changes to investment mandates and guidelines, distribution policies, leverage levels and types; share repurchases and similar capital market actions; and effective communications programs to build greater awareness and deepen understanding of closed-end funds.

The Board’s determinations with respect to each Fund are summarized below.

For Nuveen Senior Income Fund (the “Senior Income Fund”), the Board noted that although the Fund’s performance was below the performance of its benchmark for the five-year period ended December 31, 2021, the Fund outperformed its benchmark for the one- and three-year periods ended December 31, 2021 and ranked in the first quartile of its Performance Peer Group for the one-year period ended December 31, 2021 and third quartile for the three- and five-year periods ended December 31, 2021. In addition, although the Fund’s performance was below the performance of its benchmark for the three- and five-year periods ended March 31, 2022, the Fund outperformed its benchmark for the one-year period and ranked in the second quartile of its Performance Peer Group for the one-year period and third quartile for the three- and five-year periods ended March 31, 2022. Based on its review, the Board was generally satisfied with the Fund’s overall performance.

For Nuveen Floating Rate Income Fund (the “Floating Rate Income Fund”), the Board noted that although the Fund’s performance was below the performance of its benchmark for the five-year periods ended December 31, 2021 and March 31, 2022, the Fund outperformed its benchmark for the one- and three-year periods ended December 31, 2021 and March 31, 2022. Further, the Fund ranked in the third quartile of its Performance Peer Group for the five-year periods, second quartile for the three-year periods and first quartile for the one-year periods ended December 31, 2021 and March 31, 2022. Based on its review, the Board was generally satisfied with the Fund’s overall performance.

For Nuveen Floating Rate Income Opportunity Fund (the “Floating Rate Income Opportunity Fund”), the Board noted that although the Fund’s performance was below the performance of its benchmark for the five-year periods ended December 31, 2021 and March 31, 2022, the Fund outperformed its benchmark for the one- and three-year periods ended December 31, 2021 and March 31, 2022. The Fund also ranked in the first quartile of its Performance Peer Group for the one-year periods, second quartile for the three-year periods and third quartile for the five-year periods ended December 31, 2021 and March 31, 2022. Based on its review, the Board was generally satisfied with the Fund’s overall performance.

For Nuveen Short Duration Credit Opportunities Fund (the “Short Duration Fund”), the Board noted that although the Fund’s performance was below the performance of its benchmark for the five-year period ended December 31, 2021, the Fund outperformed its benchmark for the one- and three-year periods ended December 31, 2021. Further, although the Fund

 

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ranked in the fourth quartile of its Performance Peer Group for the five-year period ended December 31, 2021, the Fund ranked in the first quartile of its Performance Peer Group for the one-year period and third quartile for the three-year period ended December 31, 2021. In addition, while the Fund’s performance was below the performance of its benchmark for the three- and five-year periods ended March 31, 2022, the Fund outperformed its benchmark for the one-year period ended March 31, 2022. Further, although the Fund ranked in the fourth quartile of its Performance Peer Group for the three-year period ended March 31, 2022, the Fund ranked in the second quartile of its Performance Peer Group for the one-year period and third quartile for the five-year period ended March 31, 2022. Based on its review, the Board was generally satisfied with the Fund’s overall performance.

For Nuveen Credit Strategies Income Fund (the “Credit Strategies Fund”), the Board noted that although the Fund’s performance was below the performance of its benchmark and the Fund ranked in the fourth quartile of its Performance Peer Group for the five-year period ended December 31, 2021, the Fund outperformed its benchmark and ranked in the second quartile of its Performance Peer Group for the one- and three-year periods ended December 31, 2021. Further, although the Fund’s performance was below the performance of its benchmark for the three- and five-year periods ended March 31, 2022, the Fund outperformed its benchmark for the one-year period ended March 31, 2022 and ranked in the third quartile of its Performance Peer Group for the one-, three- and five-year periods ended March 31, 2022. Based on its review, the Board was generally satisfied with the Fund’s overall performance.

 

C.   Fees, Expenses and Profitability
  1.   Fees and Expenses

As part of its annual review, the Board considered the contractual management fee and net management fee (the management fee after taking into consideration fee waivers and/or expense reimbursements, if any) paid by a Nuveen fund to the Adviser in light of the nature, extent and quality of the services provided. The Board also considered the total operating expense ratio of a fund before and after any fee waivers and/or expense reimbursements. More specifically, the Independent Board Members reviewed, among other things, each fund’s gross and net management fee rates (i.e., before and after expense reimbursements and/or fee waivers, if any) and net total expense ratio in relation to those of a comparable universe of funds (the “Peer Universe”) established by Broadridge (subject to certain exceptions). The Independent Board Members reviewed the methodology Broadridge employed to establish its Peer Universe and recognized that differences between the applicable fund and its respective Peer Universe as well as changes to the composition of the Peer Universe from year to year may limit some of the value of the comparative data. The Independent Board Members take these limitations and differences into account when reviewing comparative peer data. The Independent Board Members also considered a fund’s operating expense ratio as it more directly reflected the shareholder’s costs in investing in the respective fund.

In their review, the Independent Board Members considered, in particular, each fund with a net expense ratio (excluding investment-related costs of leverage) of six basis points or higher compared to that of its peer average (each, an “Expense Outlier Fund”), including the Short Duration Fund, and an analysis as to the factors contributing to each such fund’s higher relative net expense ratio. In addition, although the Board reviewed a fund’s total net expenses both including and excluding investment-related expenses (i.e., leverage costs) for certain of the closed-end funds, the Board recognized that leverage expenses will vary across funds and in comparison to peers because of differences in the forms and terms of leverage employed by the respective fund. Accordingly, in reviewing the comparative data between a fund and its peers, the Board generally considered the fund’s net expense ratio and fees (excluding leverage costs and leveraged assets) to be higher if they were over 10 basis points higher, slightly higher if they were 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe. The Independent Board Members also considered, in relevant part, a fund’s net management fee and net total expense ratio in light of its performance history.

In their review of the fee arrangements for the Nuveen funds, the Independent Board Members considered the management fee schedules, including the complex-wide and fund-level breakpoint schedules, as applicable. The Board noted that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by approximately $72.5 million and fund-level breakpoints reduced fees by approximately $89.1 million in 2021.

 

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Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

With respect to the Sub-Adviser, the Board also considered, among other things, the sub-advisory fee schedule paid to the Sub-Adviser in light of the sub-advisory services provided to the respective Fund and comparative data of the fees the Sub-Adviser charges to other clients, if any. In its review, the Board recognized that the compensation paid to the Sub-Adviser is the responsibility of the Adviser, not the Funds.

The Independent Board Members noted that (a) the Senior Income Fund, Floating Rate Income Opportunity Fund and Credit Strategies Fund each had a net management fee that was in line with the respective peer average and a net expense ratio that was below the respective peer average; (b) the Floating Rate Income Fund had a net management fee and a net expense ratio that were below the respective peer average; and (c) the Short Duration Fund had a net management fee that was in line with the peer average, but a net expense ratio that was higher than the peer average. The Independent Board Members noted that the Short Duration Fund’s net expense ratio was higher than the peer average due, in part, to expenses associated with a leverage mode conversion that occurred in 2020.

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

 

  2.   Comparisons with the Fees of Other Clients

In determining the appropriateness of fees, the Board also considered information regarding the fee rates the respective Fund Advisers charged to certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or the Sub-Adviser, such other clients may include: retail and institutional managed accounts advised by the Sub-Adviser; hedge funds or other structured products managed by the Sub-Adviser; investment companies offered outside the Nuveen family and sub-advised by the Sub-Adviser; foreign investment companies offered by Nuveen and sub-advised by the Sub-Adviser; and collective investment trusts sub-advised by the Sub-Adviser. The Board further noted that the Adviser also advised, and the Sub-Adviser sub-advised, certain exchange-traded funds (“ETFs”) sponsored by Nuveen. The Board recognized that the Sub-Adviser was an affiliated sub-adviser and, with respect to affiliated sub-advisers, the Board reviewed, among other things, the range of fees assessed for managed accounts, hedge funds (along with their performance fee), foreign investment companies and ETFs offered by Nuveen, as applicable. The Board also reviewed the fee range and average fee rate of certain selected investment strategies offered in retail and institutional managed accounts advised by the Sub-Adviser, the hedge funds advised by the Sub-Adviser (along with their performance fee) and non-Nuveen investment companies sub-advised by certain affiliated sub-advisers.

In considering the fee data of other clients, the Board recognized, among other things, that differences in the amount, type and level of services provided to the Nuveen funds relative to other types of clients as well as any differences in portfolio investment policies, the types of assets managed and related complexities in managing such assets, the entrepreneurial and other risks associated with a particular strategy, investor profiles, account sizes and regulatory requirements will contribute to the variations in the fee schedules. The Board recognized the breadth of services the Adviser had provided to the Nuveen funds compared to these other types of clients as the funds operate in a highly regulated industry with increasing regulatory requirements as well as the increased entrepreneurial, legal and regulatory risks that the Adviser incurs in sponsoring and managing the funds. Similarly, with respect to foreign funds, the Board recognized that the differences in the client base, governing bodies, distribution jurisdiction and operational complexities would also contribute to variations in management fees of the Nuveen funds compared to those of the foreign funds. Further, with respect to ETFs, the Board considered that certain Nuveen ETFs were passively managed compared to the active management of other Nuveen funds which also contributed to the differences in fee levels between such Nuveen ETFs and the actively-managed funds. In general, higher fee levels reflect higher levels of service provided by the Adviser, increased investment management complexity, greater product management requirements, and higher levels of business risk or some combination of these factors. The Board further considered that the Sub-Adviser’s fee is essentially for portfolio management services and therefore more comparable to the fees it receives for retail wrap accounts and other external sub-advisory mandates. The Board concluded the varying levels of fees were justified given, among other things, the inherent differences in the products and the level of services provided to the Nuveen funds versus other clients, the differing regulatory requirements and legal liabilities and the entrepreneurial, legal and regulatory risks incurred in sponsoring and advising a registered investment company.

 

172


 

  3.   Profitability of Fund Advisers

In their review, the Independent Board Members considered information regarding Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2021 and 2020. The Board reviewed, among other things, the net margins (pre-tax) for Nuveen Investments, Inc. (“Nuveen Investments”), the gross and net revenue margins (pre- and post-tax and excluding distribution) and the revenues, expenses and net income (pre- and post-tax and before distribution expenses) of Nuveen Investments from the Nuveen funds only; and comparative profitability data comparing the operating margins of Nuveen Investments compared to the adjusted operating margins of certain peers that had publicly available data and with the most comparable assets under management (based on asset size and asset composition) for each of the last two calendar years. The Board also reviewed the revenues, expenses and operating margin (pre- and post-tax) the Adviser derived from its ETF product line for the 2021 and 2020 calendar years.

In reviewing the profitability data, the Independent Board Members recognized the subjective nature of calculating profitability as the information is not audited and is dependent on cost allocation methodologies to allocate corporate-wide overhead/shared service expenses, TIAA (defined below) corporate-wide overhead expenses and partially fund related expenses to the Nuveen complex and its affiliates and to further allocate such expenses between the Nuveen fund and non-fund businesses. The Independent Board Members reviewed a description of the cost allocation methodologies employed to develop the financial information, a summary of the history of changes to the methodology over the years from 2010 to 2021, and the net revenue margins derived from the Nuveen funds (pre-tax and including and excluding distribution) and total company margins from Nuveen Investments compared to the firm-wide adjusted operating margins of the peers for each calendar year from 2012 to 2021.

The Board had also appointed four Independent Board Members to serve as the Board’s liaisons, with the assistance of independent counsel, to review the development of the profitability data and to report to the full Board. In its evaluation, the Board, however, recognized that other reasonable and valid allocation methodologies could be employed and could lead to significantly different results. The Independent Board Members also reviewed a summary of the key drivers that affected Nuveen’s revenues and expenses impacting profitability in 2021 versus 2020.

In reviewing the comparative peer data noted above, the Board considered that the operating margins of Nuveen Investments compared favorably to the peer group range of operating margins; however, the Independent Board Members also recognized the limitations of the comparative data given that peer data is not generally public and the calculation of profitability is subjective and affected by numerous factors (such as types of funds a peer manages, its business mix, its cost of capital, the numerous assumptions underlying the methodology used to allocate expenses and other factors) that can have a significant impact on the results.

Aside from Nuveen’s profitability, the Board recognized that the Adviser is a subsidiary of Nuveen, LLC, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA”). Accordingly, the Board also reviewed a balance sheet for TIAA reflecting its assets, liabilities and capital and contingency reserves for the 2021 and 2020 calendar years to consider the financial strength of TIAA. The Board recognized the benefit of an investment adviser and its parent with significant resources, particularly during periods of market volatility. The Board also noted the reinvestments Nuveen, its parent and/or other affiliates made into its business through, among other things, the investment of seed capital in certain Nuveen funds and continued investments in enhancements to technological capabilities.

In addition to Nuveen, the Independent Board Members considered the profitability of the Sub-Adviser from its relationships with the Nuveen funds. In this regard, the Independent Board Members reviewed, among other things, the Sub-Adviser’s revenues, expenses and net revenue margins (pre- and post-tax) for its advisory activities to the respective funds for the calendar years ended December 31, 2021 and December 31, 2020. The Independent Board Members also reviewed a profitability analysis reflecting the revenues, expenses and revenue margin (pre- and post-tax) by asset type for the Sub-Adviser for the calendar years ending December 31, 2021 and December 31, 2020 and the pre- and post-tax revenue margins from 2021 and 2020.

 

173


Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

In evaluating the reasonableness of the compensation, the Independent Board Members also considered any other ancillary benefits derived by the respective Fund Adviser from its relationship with the Nuveen funds as discussed in further detail below.

Based on a consideration of all the information provided, the Board noted that Nuveen’s and the Sub-Adviser’s level of profitability was acceptable and not unreasonable in light of the services provided.

 

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

The Board considered whether there have been economies of scale with respect to the management of the Nuveen funds and whether these economies of scale have been appropriately shared with the funds. The Board recognized that although economies of scale are difficult to measure and certain expenses may not decline with a rise in assets, there are several methods to help share the benefits of economies of scale, including breakpoints in the management fee schedule, fee waivers and/or expense limitations, the pricing of Nuveen funds at scale at inception and investments in Nuveen’s business which can enhance the services provided to the funds for the fees paid. The Board noted that Nuveen generally has employed these various methods, and the Board considered the extent to which the Nuveen funds will benefit from economies of scale as their assets grow. In this regard, the Board recognized that the management fee of the Adviser is generally comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. The Board reviewed the fund-level and complex-level fee schedules. The Board considered that the fund-level breakpoint schedules are designed to share economies of scale with shareholders if the particular fund grows, and the complex-level breakpoint schedule is designed to deliver the benefits of economies of scale to shareholders when the eligible assets in the complex pass certain thresholds even if the assets of a particular fund are unchanged or have declined. Further, with respect to the Nuveen closed-end funds, the Independent Board Members noted that, although such funds may from time to time make additional share offerings, the growth of their assets would occur primarily through the appreciation of such funds’ investment portfolios. As noted above, the Independent Board Members also recognized the continued reinvestment in Nuveen’s business.

Based on its review, the Board concluded that the current fee arrangements together with the reinvestment in Nuveen’s business appropriately shared any economies of scale with shareholders.

 

E.   Indirect Benefits

The Independent Board Members received and considered information regarding other benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Nuveen funds. The Board considered the compensation that an affiliate of the Adviser received for serving as co-manager in the initial public offerings of new closed-end funds and for serving as an underwriter on shelf offerings of existing closed-end funds.

However, the Independent Board Members also noted that various sub-advisers (including the Sub-Adviser) may engage in soft dollar transactions pursuant to which they may receive the benefit of research products and other services provided by broker-dealers executing portfolio transactions on behalf of the applicable Nuveen funds. In addition, the Board noted that any benefits for a sub-adviser when transacting in fixed-income securities may be more limited as such securities generally trade on a principal basis and therefore do not generate brokerage commissions.

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

 

F.   Other Considerations

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

 

174


Board Members & Officers

(Unaudited)

 

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

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

   Number
of Portfolios
in Fund Complex
Overseen by
Board Member
                     
Independent Board Members:               

  TERENCE J. TOTH

         Formerly, a Co-Founding Partner, Promus Capital (investment advisory firm) (2008-2017); formerly, Director, Quality Control Corporation (manufacturing) (since 2012-2021); Chair of the Board of the Kehrein Center for the Arts (philanthropy) (since 2021); member: Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (philanthropy) (since 2012), and chair of its Investment Committee; formerly, Member, Chicago Fellowship Board (philanthropy) (2005-2016); formerly, Director, Fulcrum IT Services LLC (information technology services firm to government entities) (2010-2019); formerly, Director, LogicMark LLC (health services) (2012-2016); formerly, Director, Legal & General Investment Management America, Inc. (asset management) (2008-2013); formerly, CEO and President, Northern Trust Global Investments (financial services) (2004-2007): Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (financial services) (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).   

1959

333 W. Wacker Drive

Chicago, IL 60606

  

Chair and Board Member

  

2oo8

Class II

  

140

        
        
        
        
        
        
        
        
        
        
        
        
        

  JACK B. EVANS

         Chairman (since 2019), formerly, President (1996-2019), The Hall-Perrine Foundation, (private philanthropic corporation); Life Trustee of Coe College; formerly, Member and President Pro-Tern of the Board of Regents for the State of Iowa University System (2007- 2013); Director and Chairman (2009-2021), United Fire Group, a publicly held company; Director, Public Member, American Board of Orthopaedic Surgery (2015-2020); Director (2000-2004), Alliant Energy; Director (1996-2015), The Gazette Company (media and publishing); Director (1997- 2003), Federal Reserve Bank of Chicago; President and Chief Operating Officer (1972-1995), SCI Financial Group, Inc., (regional financial services firm).   

1948

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

1999 Class Ill

  

140

        
        
        
        
        
        

  WILLIAM C. HUNTER

         Dean Emeritus, formerly, Dean, Tippie College of Business, University of (2006-2012); Director of Well mark, Inc. (since 2009); past Director (2005-2015), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; formerly, Director (2004-2018) of Xerox Corporation; formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.   

1948

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2003 Class I

  

140

        

 

175


Board Members & Officers (continued)

(Unaudited)

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

   Number of
Portfolios
in Fund Complex
Overseen by
Board Member
                     
Independent Board Members (continued)     

  AMY B. R. LANCELLOTTA

         Formerly, Managing Director, Independent Directors Council (IDC) (supports the fund independent director community and is part of the Investment Company Institute (ICI), which represents regulated investment companies) (2006-2019); formerly, various positions with ICI (1989-2006); Member of the Board of Directors, Jewish Coalition Against Domestic Abuse (UCADA) (since 2020).   

1959

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2021 Class II

  

140

          

  JOANNE T. MEDERO

         Formerly, Managing Director, Government Relations and Public Policy (2009-2020) and Senior Advisor to the Vice Chairman (2018-2020). BlackRock, Inc. (global investment management firm); formerly, Managing (Director, Global Head of Government Relations and Public Policy, Barclays Group (IBIM) (investment banking, investment management and wealth management businesses) (2006-2009); formerly, Managing Director, Global General Counsel and Corporate Secretary, Barclays Global Investors (global investment management firm) (1996-2006); formerly, Partner, Orrick, Herrington & Sutcliffe LLP (law firm) (1993-1995); formerly, General Counsel, Commodity Futures Trading Commission (government agency overseeing U.S. derivatives markets) (1989-1993); formerly, Deputy Associate Director/ Associate Director for Legal and Financial Affairs, Office of Presidential Personnel, The White House (1986-1989); Member of the Board of Directors, Baltic-American Freedom Foundation (seeks to provide opportunities for citizens of the Baltic states to gain education and professional development through exchanges in the U.S.) (since 2019).   

1954

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2021 Class III

  

140

        
        
        
        
        
        
        
        
        

  ALBIN F. MOSCHNER

         Founder and Chief Executive Officer, Northcroft Partners, LLC, (management consulting) (since 2012); formerly, Chairman (2019), and Director (2012-2019), USA Technologies, Inc., (provider of solutions and services to facilitate electronic payment transactions); formerly, Director, Wintrust Financial Corporation (1996-2016); previously, held positions at Leap Wireless International, Inc., (consumer wireless services) including Consultant (2011- 2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004- 2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications (telecommunication services) (1999-2000); formerly, Vice Chairman of the Board, Diba, Incorporated (internet technology provider) (1996-1997); formerly, various executive positions (1991-1996) including Chief Executive Officer (1995-1996) of Zenith Electronics Corporation (consumer electronics).   

1952

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2016 Class Ill

  

140

        
        
        
        
        
        
        
        

  JOHN K. NELSON

         Member of Board of Directors of Corel 2 LLC. (private firm which develops branding, marketing and communications strategies for clients) (since 2008); served on The President’s Council of Fordham University (2010-2019) and previously a Director of the Curran Center for Catholic American Studies (2009- 2018); formerly, senior external advisor to the Financial Services practice of Deloitte Consulting LLP. (2012-2014); former Chair of the Board of Trustees of Marian University (2010-2014 as trustee, 2011-2014 as Chair); formerly Chief Executive Officer of ABN AMRO Bank N.V., North America, and Global Head of the Financial Markets Division (2007-2008), with various executive leadership roles in ABN AMRO Bank N.V. between 1996 and 2007.   

1962

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2013 Class II

  

140

        

 

176


 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

   Number of
Portfolios
in Fund Complex
Overseen by
Board Member
                     
Independent Board Members (continued)     

  JUDITH M. STOCKDALE

         Board Member, Land Trust Alliance (national public charity addressing natural land and water conservation in the U.S.) (since 2013); formerly, Board Member, U.S. Endowment for Forestry and Communities (national endowment addressing forest health, sustainable forest production and markets, and economic health of forest-reliant communities in the U.S.) (2013-2019); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation (private foundation endowed to support both natural land conservation and artistic vitality); prior thereto, Executive Director, Great Lakes Protection Fund (endowment created jointly by seven of the eight Great Lake states’ Governors to take a regional approach to improving the health of the Great Lakes) (1990-1994).   

1947

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

1997 Class I

  

140

        

  CAROLE E. STONE

         Former Director, Chicago Board Options Exchange, Inc. (2006-2017); and C2 Options Exchange, Incorporated (2009-2017); formerly Director, Cboe, Global Markets, Inc., (2010-2020) formerly named CBOE Holdings, Inc.; formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010).   

1947

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2007 Class I

  

140

          

  MATTHEW THORNTON Ill

         Formerly, Executive Vice President and Chief Operating Officer (2018-2019), Fed Ex Freight Corporation, a subsidiary of FedEx Corporation (“FedEx”) (provider of transportation, e-commerce and business services through its portfolio of companies); formerly, Senior Vice President, U.S. Operations (2006-2018), Federal Express Corporation, a subsidiary of FedEx;formerly, Member of the Board of Directors (2012-2018), Safe Kids Worldwide®(a non-profit organization dedicated to preventing childhood injuries). Member of the Board of Directors (since 2014), The Sherwin-Williams Company (develops, manufactures, distributes and sells paints, coatings and related products); Director (since 2020), Crown Castle International (provider of communications infrastructure).   

1958

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2020 Class Ill

  

140

        

  MARGARET L. WOLFF

         Formerly, member of the Board of Directors (2013-2017) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (legal services) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004), formerly, Chair (2015-2022) of the Board of Trustees of The John A. Hartford Foundation (philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College.   

1955

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2016 Class I

  

140

        

  ROBERT L. YOUNG

         Formerly, Chief Operating Officer and Director, J.P.Morgan Investment Management Inc. (financial services) (2010-2016); formerly, President and Principal Executive Officer (2013-2016), and Senior Vice President and Chief Operating Officer (2005-2010), of J.P.Morgan Funds; formerly, Director and various officer positions for J.P.Morgan Investment Management Inc. (formerly, JPMorgan Funds Management, Inc. and formerly, One Group Administrative Services) and JPMorgan Distribution Services, Inc. (financial services) (formerly, One Group Dealer Services, Inc.) (1999-2017).   

1963

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2017 Class II

  

140

        

 

177


Board Members & Officers (continued)

(Unaudited)

 

                

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(2)
  

Principal

Occupation(s)

During Past 5 Years

                
Officers of the Funds:               

  DAVID J. LAMB

         Managing Director of Nuveen Fund Advisors, LLC (since 2019) Senior Managing Director (since 2021), formerly, Managing Director (2020-2021) of Nuveen Securities, LLC; Senior Managing Director (since 2021), formerly, Managing Director (2017-2021), Senior Vice President of Nuveen (2006-2017), Vice President prior to 2006.

1963

333 W. Wacker Drive

Chicago, IL 60606

   Chief Administrative Officer   

2015

  BRETT E. BLACK

         Enterprise Senior Compliance Officer of Nuveen (since 2022); formerly, Vice President (2014-2022), Chief Compliance Officer (2017-2022), Deputy Chief Compliance Officer (2014-2017) and Senior Compliance Officer (2012-2014) of BMO Funds, Inc.; formerly Senior Compliance Officer of BMO Asset Management Corp. (2012-2014).

1972

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Chief Compliance Officer   

2022

  MARK J. CZARNIECKI

         Vice President and Assistant Secretary of Nuveen Securities, LLC (since 2016); Managing Director (since 2022), formerly, Vice President (2017-2022) and Assistant Secretary (since 2017) of Nuveen Fund Advisors, LLC; Managing Director and Associate General Counsel (since January 2022), formerly, Vice President and Associate General Counsel of Nuveen (2013-2021); Managing Director (since 2022), formerly, Vice President (2018-2022), Assistant Secretary and Associate General Counsel (since 2018) of Nuveen Asset Management LLC.

1979

901 Marquette Avenue

Minneapolis, MN 55402

   Vice President and Assistant Secretary   

2013

     
     

  DIANA R. GONZALEZ

         Vice President and Assistant Secretary of Nuveen Fund Advisors, LLC (since 2017); Vice President, Associate General Counsel and Assistant Secretary of Nuveen Asset Management, LLC (since 2022); Vice President and Associate General Counsel of Nuveen (since 2017); formerly, Associate General Counsel of Jackson National Asset Management (2012-2017).

1978

8500 Andrew Carnegie

Blvd. Charlotte, NC 28262

   Vice President and Assistant Secretary   

2017

  NATHANIEL T. JONES

         Senior Managing Director (since 2021), formerly, Managing Director (2017-2021), Senior Vice President (2016-2017), Vice President (2077-2016) of Nuveen; Managing Director (since 2015) of Nuveen Fund Advisors, LLC; Chartered Financial Analyst.

1979

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Treasurer   

2016

  TINA M. LAZAR

         Managing Director (since 2017), formerly, Senior Vice President (2014-2017) of Nuveen Securities, LLC.

1961

333 W. Wacker Drive

Chicago, IL 60606

   Vice President    2002

  BRIAN J. LOCKHART

         Managing Director (since 2019) of Nuveen Fund Advisors, LLC; Senior Managing Director (since 2021), formerly, Managing Director (2017-2021), Vice President (2010-2017) of Nuveen; Head of Investment Oversight (since 2017), formerly, Team Leader of Manager Oversight (2015-2017); Chartered Financial Analyst and Certified Financial Risk Manager.

1974

333 W. Wacker Drive

Chicago, IL 60606

   Vice President    2019

  JOHN M. MCCANN

         Managing Director and Assistant Secretary of Nuveen Fund Advisors, LLC (since 2021); Managing Director, Associate General Counsel and Assistant Secretary of Nuveen Asset Management, LLC (since 2021); Managing Director of TIAA SMA Strategies LLC (since 2021); Managing Director (since 2019, formerly, Vice President and Director), Associate General Counsel and Assistant Secretary of College Retirement Equities Fund, TIAA Separate Account VA-1, TIAA-CREF Funds and TIAA-CREF Life Funds; Managing Director (since 2018), formerly, Vice President and Director, Associate General Counsel and Assistant Secretary of Teachers Insurance and Annuity Association of America, Teacher Advisors LLC and TIAA-CREF Investment Management, LLC; Vice President (since 2017), Associate General Counsel and Assistant Secretary (since 2077) of Nuveen Alternative Advisors LLC; General Counsel and Assistant Secretary of Covariance Capital Management, Inc. (2014-2017).

1975

8500 Andrew Carnegie Blvd.

Charlotte, NC 28262

   Vice President and Assistant Secretary   

2022

     
     
     
     
     

 

178


 

                

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(2)
  

Principal

Occupation(s)

During Past 5 Years

                
Officers of the Funds (continued):     

  KEVIN J. MCCARTHY

         Senior Managing Director (since 2017) and Secretary and General Counsel (since 2016) of Nuveen Investments, Inc., formerly, Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2008-2016); Senior Managing Director (since 2017) and Assistant Secretary (since 2008) of Nuveen Securities, LLC, formerly Executive Vice President (2016-2017) and Managing Director (2008- 2016); Senior Managing Director (since 2017), and Secretary (since 2016) of Nuveen Fund Advisors, LLC, formerly, Co-General Counsel (2011-2020), Executive Vice President (2016-2017), Managing Director (2008-2016) and Assistant Secretary (2007-2016); Senior Managing Director (since 2017), Secretary (since 2016) of Nuveen Asset Management, LLC, formerly, Associate General Counsel (2011-2020), Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2011- 2016); formerly, Vice President (2007-2021) and Secretary (2016-2021), of NWQ Investment Management Company, LLC, and Santa Barbara Asset Management, LLC; Vice President and Secretary of Winslow Capital Management, LLC (since 2010). Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Alternative Investments, LLC.

1966

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Assistant Secretary   

2007

     
     
     
     
     
     
     
     
     

  JON SCOTT MEISSNER

         Managing Director of Mutual Fund Tax and Financial Reporting groups at Nuveen (since 2017); Managing Director of Nuveen Fund Advisors, LLC (since 2019); Senior Director of Teachers Advisors, LLC and TIAA-CREF Investment Management, LLC (since 2016); Senior Director (since 2015) Mutual Fund Taxation to the TIAA-CREF Funds, the TIAA-CREF Life Funds, the TIAA Separate Account VA-1 and the CREF Accounts; has held various positions with TIAA since 2004.

1973

8500 Andrew Carnegie Blvd.

Charlotte, NC 28262

   Vice President and Assistant Secretary   

2019

       

  DEANN D. MORGAN

         President, Nuveen Fund Advisors, LLC (since 2020); Executive Vice President, Global Head of Product at Nuveen (since 2019); Co-Chief Executive Officer of Nuveen Securities, LLC since 2020); Managing Member of MDR Collaboratory LLC (since 2018); formerly, Managing Director, (Head of Wealth Management Product Structuring & COO Multi Asset Investing. The Blackstone Group (2013-2017).

1969

730 Third Avenue

New York, NY 10017

   Vice President    2020

  WILLIAM A. SIFFERMANN

         Managing Director (since 2017), formerly Senior Vice President (2016-2017) and Vice President (2011-2016) of Nuveen.

1975

333 W. Wacker Drive

Chicago, IL 60606

   Vice President    2017

  TREY S. STENERSEN

         Senior Managing Director of Teacher Advisors LLC and TIAACREF Investment Management, LLC (since 2018); Senior Managing Director (since 2019) and Chief Risk Officer (since 2022), formerly Head of Investment Risk Management (2017-2022) of Nuveen; Senior Managing Director (since 2018) of Nuveen Alternative Advisors LLC.

1965

8500 Andrew Carnegie Blvd.

Charlotte, NC 28262

   Vice President    2022

  E. SCOTT WICKERHAM

         Senior Managing Director, Head of Public Investment Finance at Nuveen (since 2019), formerly, Managing Director; Senior Managing Director (since 2019) of Nuveen Fund Advisers, (LLC; Principal Financial Officer, Principal Accounting Officer and Treasurer (since 2017) of the TIAA CREF Funds, the TIAA-CREF Life Funds, the TIAA Separate Account VA-1 and Principal Financial Financial Officer, Principal Accounting Officer (since 2020) and Treasurer (since 2017) to the CREF Accounts; formerly, Senior Director, TIAA-CREF Fund Administration (2014-2015); has held various positions with TIAA since 2006.

1973

8500 Andrew Carnegie Blvd.

Charlotte, NC 28262

   Vice President and Controller   

2019

     
     

  MARKL WINGET

         Vice President and Assistant Secretary of Nuveen Securities, LLC (since 2008), and Nuveen Fund Advisors, LLC (since 2019); Vice President, Associate General Counsel and Assistant Secretary of Nuveen Asset Management, LLC (since 2020); Vice President (since 2010) and Associate General Counsel (since 2019), formerly, Assistant General Counsel (2008-2016) of Nuveen.

1968

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Secretary   

2008

  GIFFORD R. ZIMMERMAN

         Managing Director and Assistant Secretary of Nuveen Securities, LLC (since 2022); Managing Director, Assistant Secretary and General Counsel (since 2022), formerly, Co-General Counsel (2011- 2020) of Nuveen Fund Advisors, LLC; formerly, Managing Director (2004-2020) and Assistant Secretary (1994-2020) of Nuveen Investments, Inc.; Managing Director, Assistant Secretary and Associate General Counsel (since 2022) of Nuveen Asset Management, LLC; formerly, Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (2002-2020), Santa Barbara Asset Management, LLC (2006-2020) and Winslow Capital Management, LLC (2010-2020); Chartered Financial Analyst.

1956

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Assistant Secretary   

1988

     
          
     

 

179


Board Members & Officers (continued)

(Unaudited)

 

                

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(2)
  

Principal

Occupation(s)

During Past 5 Years

                
Officers of the Funds (continued):     

  RACHAEL ZUFALL

         Managing Director (since 2017), Associate General Counsel and Assistant Secretary (since 2014) of the CREF Accounts, TIAA Separate Account VA-1, TIAA-CREF Funds and TIAA-CREF Life Funds; Managing Director (since 2017), Associate General Counsel and Assistant Secretary (since 2011) of Teacher Advisors, LLC and TIAA-CREF Investment Management, LLC; Managing Director of Nuveen, LLC and of TIAA (since 2017).

1973

8500 Andrew Carnegie Blvd.

Charlotte, NC 28262

   Vice President and Assistant Secretary    2022
     
     
     

 

(1)

The Board of Trustees is divided into three classes, Class I, Class 11, and Class 111, with each being elected to serve until the third succeeding annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares, when applicable, to serve until the next annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The year first elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen complex.

(2)

Officers serve indefinite terms until their successor has been duly elected and qualified, their death or their resignation or removal. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen complex.

 

180


Notes

 

 

181


Notes

 

 

182


Notes

 

 

183


LOGO

 

Nuveen:

Serving Investors for Generations

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

Focused on meeting investor needs.

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

Find out how we can help you.

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

Learn more about Nuveen Funds at: www.nuveen.com/closed-end-funds

 

Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com        EAN-A-0722D
        2399428-INV-Y-09/23


ITEM 2.

CODE OF ETHICS.

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

 

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT.

As of the end of the period covered by this report, the registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial experts are Carole E. Stone, Jack B. Evans, Albin F. Moschner, John K. Nelson and Robert L. Young, who are “independent” for purposes of Item 3 of Form N-CSR.

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

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

Mr. Moschner is a consultant in the wireless industry and, in July 2012, founded Northcroft Partners, LLC, a management consulting firm that provides operational, management and governance solutions. Prior to founding Northcroft Partners, LLC, Mr. Moschner held various positions at Leap Wireless International, Inc., a provider of wireless services, where he was as a consultant from February 2011 to July 2012, Chief Operating Officer from July 2008 to February 2011, and Chief Marketing Officer from August 2004 to June 2008. Before he joined Leap Wireless International, Inc., Mr. Moschner was President of the Verizon Card Services division of Verizon Communications, Inc. from 2000 to 2003, and President of One Point Services at One Point Communications from 1999 to 2000. Mr. Moschner also served at Zenith Electronics Corporation as Director, President and Chief Executive Officer from 1995 to 1996, and as Director, President and Chief Operating Officer from 1994 to 1995.

Mr. Nelson is on the Board of Directors of Core12, LLC. (since 2008), a private firm which develops branding, marketing, and communications strategies for clients. Mr. Nelson has extensive experience in global banking and markets, having served in several senior executive positions with ABN AMRO Holdings N.V. and its affiliated entities and predecessors, including LaSalle Bank Corporation from 1996 to 2008, ultimately serving as Chief Executive Officer of ABN AMRO N.V. North America. During his tenure at the bank, he also served as Global Head of its Financial Markets Division, which encompassed the bank’s Currency, Commodity, Fixed Income, Emerging Markets, and Derivatives businesses. He was a member of the Foreign Exchange Committee of the Federal Reserve Bank of the United States and during his tenure with ABN AMRO served as the bank’s representative on various committees of The Bank of Canada, European Central Bank, and The Bank of England. Mr. Nelson previously served as a senior, external advisor to the financial services practice of Deloitte Consulting LLP. (2012-2014).

Mr. Young has more than 30 years of experience in the investment management industry. From 1997 to 2017, he held various positions with J.P. Morgan Investment Management Inc. (“J.P. Morgan Investment”) and its affiliates (collectively, “J.P. Morgan”). Most recently, he served as Chief Operating Officer and Director of J.P. Morgan Investment (from 2010 to 2016) and as President and Principal Executive Officer of the J.P. Morgan Funds (from 2013 to 2016). As Chief Operating Officer of J.P. Morgan Investment, Mr. Young led service, administration and business platform support activities for J.P. Morgan’s domestic retail mutual fund and institutional commingled and separate account businesses, and co-led these activities for J.P. Morgan’s global retail and institutional investment management businesses. As President of the J.P. Morgan Funds, Mr. Young interacted with various service providers to these funds, facilitated the relationship between such funds and their boards, and was directly involved in establishing board agendas, addressing regulatory matters, and establishing policies and procedures. Before joining J.P. Morgan, Mr. Young, a former Certified Public Accountant (CPA), was a Senior Manager (Audit) with Deloitte & Touche LLP (formerly, Touche Ross LLP), where he was employed from 1985 to 1996. During his tenure there, he actively participated in creating, and ultimately led, the firm’s midwestern mutual fund practice.

 

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Nuveen Floating Rate Income Fund

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

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

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND

 

Fiscal Year Ended

   Audit Fees
Billed to Fund 1
    Audit-Related Fees
Billed to Fund 2
    Tax Fees
Billed to Fund 3
    All Other Fees
Billed to Fund 4
 

July 31, 2022

   $ 45,950     $ 0     $ 0     $ 0  
  

 

 

   

 

 

   

 

 

   

 

 

 

Percentage approved pursuant to pre-approval exception

     0     0     0     0
  

 

 

   

 

 

   

 

 

   

 

 

 

July 31, 2021

   $ 43,960     $ 24,000     $ 0     $ 0  
  

 

 

   

 

 

   

 

 

   

 

 

 

Percentage approved pursuant to pre-approval exception

     0     0     0     0
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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

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

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

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

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE

ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

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


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

 

Fiscal Year Ended

   Audit-Related Fees
Billed to Adviser and
Affiliated  Fund
Service Providers
    Tax Fees
Billed to Adviser and
Affiliated Fund
Service Providers
    All Other Fees
Billed to Adviser and
Affiliated Fund
Service Providers
 

July 31, 2022

   $ 0     $ 0     $ 0  
  

 

 

   

 

 

   

 

 

 

Percentage approved pursuant to pre-approval exception

     0     0     0
  

 

 

   

 

 

   

 

 

 

July 31, 2021

   $ 0     $ 0     $ 0  
  

 

 

   

 

 

   

 

 

 

Percentage approved pursuant to pre-approval exception

     0     0     0
  

 

 

   

 

 

   

 

 

 


NON-AUDIT SERVICES

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

 

Fiscal Year Ended

   Total Non-Audit Fees
Billed to Fund
     Total Non-Audit Fees
billed to Adviser and
Affiliated Fund  Service
Providers (engagements
related directly to the
operations and financial
reporting of the Fund)
     Total Non-Audit Fees
billed to Adviser and
Affiliated Fund  Service
Providers (all other
engagements)
     Total  

July 31, 2022

   $ 0      $ 0      $ 0      $         0  

July 31, 2021

   $ 0      $ 0      $ 0      $ 0  

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

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

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

 

ITEM 5.

AUDIT COMMITTEE OF LISTED REGISTRANTS.

The registrant’s Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). As of the end of the period covered by this report, the members of the audit committee are Jack B. Evans, John K. Nelson, Judith M. Stockdale, Albin F. Moschner, Robert L Young and Carole E. Stone, Chair.

 

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.

The Adviser has engaged Spectrum Asset Management, Inc. (“Spectrum”, “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. As part of these services, the Adviser has also delegated to the Sub-Adviser the full responsibility for proxy voting and related duties in accordance with the Sub-Adviser’s policy and procedures. The Adviser periodically will monitor the Sub-Adviser’s voting to ensure that they are carrying out their duties. The Sub-Adviser’s proxy voting policies and procedures are summarized as follows:

Spectrum has adopted a Policy on Proxy Voting for Investment Advisory Clients (the “Voting Policy”), which provides that Spectrum aims to ensure that, when delegated proxy voting authority by a client, Spectrum act (1) solely in the interest of the client in providing for ultimate long-term stockholder value, and (2) without undue influence from individuals or groups who may have an economic interest in the outcome of a proxy vote. Spectrum relies on the custodian bank to deliver proxies to Spectrum for voting.

Spectrum has selected Institutional Shareholder Services (“ISS”) to assist with Spectrum’s proxy voting responsibilities. Spectrum generally follows ISS standard proxy voting guidelines which embody the positions and factors Spectrum considers important in casting proxy votes. In connection with each proxy vote, ISS prepares a written analysis and recommendation based on its guidelines. In order to avoid any conflict of interest for ISS, the CCO will require ISS to deliver additional information or certify that ISS has adopted policies and procedures to detect and mitigate such conflicts of interest in issuing voting recommendations. Spectrum also may obtain voting recommendations from two proxy voting services as an additional check on the independence of ISS’ voting recommendations.

Spectrum may, on any particular proxy vote, diverge from ISS’ guidelines or recommendations. In such a case, Spectrum’s Voting Policy requires that: (i) the requesting party document the reason for the request; (ii) the approval of the Chief Investment Officer; (iii) notification to appropriate compliance personnel; (iv) a determination that the decision is not influenced by any conflict of interest; and (v) a written record of the process.

When Spectrum determines not to follow ISS’ guidelines or recommendations, Spectrum classifies proxy voting issues into three broad categories: (1) Routine Administrative Items; (2) Special Interest Issues; and (3) Issues having the Potential for Significant Economic Impact, and casts proxy votes in accordance with the philosophy and decision guidelines developed for that category in the Voting Policy.

 

 

Routine Administrative Items. Spectrum is willing to defer to management on matters a routine administrative nature. Examples of issues on which Spectrum will normally defer to management’s recommendation include selection of auditors, increasing the authorized number of common shares and the election of unopposed directors.

 

 

Special Interest Issues. In general, Spectrum will abstain from voting on shareholder social, political, environmental proposals because their long-term impact on share value cannot be calculated with any reasonable degree of confidence.

 

 

Issues Having the Potential for Significant Economic Impact.

Spectrum is not willing to defer to management on proposals which have the potential for major economic impact on the corporation and value of its shares and believes such issues should be carefully analyzed and decided by shareholders. Examples of such issues are classification of board of directors’ cumulative voting and supermajority provisions, defensive strategies (e.g., greenmail prevention), business combinations and restructurings and executive and director compensation.

Conflicts of Interest. There may be a material conflict of interest when Spectrum votes, on behalf of a client, a proxy that is solicited by an affiliated person of Spectrum or another Spectrum client. To avoid such conflicts, Spectrum has established procedures under its Voting Policy to seek to ensure that voting decisions are based on a client’s best interests and are not the product of a material conflict. In addition to employee monitoring for potential conflicts, the CCO reviews Spectrum’s and its affiliates’ material business relationships and personal and financial relationships of senior personnel of Spectrum and its affiliates to monitor for conflicts of interest.

If a conflict of interest is identified, Spectrum considers both financial and non-financial materiality to determine if a conflict of interest is material. If a material conflict of interest is found to exist, the CCO discloses the conflict to affected clients and obtains consent from each client in the manner in which Spectrum proposed to vote.

Spectrum clients can obtain a copy of the Voting Policy or information on how Spectrum voted their proxies by calling Spectrum’s Compliance Department at (203) 322-0189.


ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

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

 

Item 8 (a)(1).

Portfolio Manager Biographies

As of the date of filing this report, the following individuals at the Sub-Adviser (the “Portfolio Managers”) had primary responsibility for the day-to-day implementation of the Fund’s investment strategy:

Scott Caraher, Head of Senior Loans and responsible for retail and institutional bank loan-focused portfolio management and co-PM on the firm’s Long-Short Credit Strategy. When Scott joined Nuveen affiliate Symphony Asset Management in 2002, he was a gaming and industrials analyst providing long and short credit ideas to the investment team up and down the capital structure. Scott began trading loans for the platform in 2003 and in 2005 was named an associate portfolio manager on the firm’s loan strategies. He became the lead portfolio manager on the firm’s loan strategies in 2008. Prior to joining the firm, Scott was an Investment Banking Analyst in the industrial group at Deutsche Banc Alex Brown in New York.

Kevin Lorenz, CFA, head of high yield and responsible for retail and institutional high yield bond focused portfolio management. He has served in a variety of roles since joining the firm in 1987. He has been investing in high yield over his entire career and has focused exclusively on high yield since 1995. Kevin is also a member of the global fixed income investment committee, which discusses and debates investment policy for all global fixed income products.

 

Item 8 (a)(2).

Other Accounts Managed By Portfolio Managers

Other Accounts Managed. In addition to managing the Fund, as of July 31, 2022, the Portfolio Managers are also primarily responsible for the day-to-day portfolio management of the following accounts:

OTHER ACCOUNTS MANAGED

 

     Scott Caraher      Kevin Lorenz  

(a) Registered Investment Companies

     

Number of accounts

     11        10  

Assets

   $ 6.26 billion      $ 13.77 billion  

(b) Other pooled accounts

     

Non-performance fee accounts

     

Number of accounts

     1        0  

Assets

   $ 499 million      $ 0  

Performance fee accounts

     

Number of accounts

     1        0  

Assets

   $ 97.50 million      $ 0  


     Scott Caraher      Kevin Lorenz  

(c) Other

     

Non-performance fee accounts

     

Number of accounts

     4        1  

Assets

   $ 1.81 billion      $ 15.52 million  

Performance fee accounts

     

Number of accounts

     0        0  

Assets

   $ 0      $ 0  

POTENTIAL MATERIAL CONFLICTS OF INTEREST

Actual or apparent conflicts of interest may arise when a portfolio manager has day-to-day management responsibilities with respect to more than one account. More specifically, portfolio managers who manage multiple accounts are presented a number of potential conflicts, including, among others, those discussed below.

The management of multiple accounts may result in a portfolio manager devoting unequal time and attention to the management of each account. Nuveen Asset Management seeks to manage such competing interests for the time and attention of portfolio managers by having portfolio managers focus on a particular investment discipline. Most accounts managed by a portfolio manager in a particular investment strategy are managed using the same investment models.

If a portfolio manager identifies a limited investment opportunity which may be suitable for more than one account, an account may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible accounts. To deal with these situations, Nuveen Asset Management has adopted procedures for allocating limited opportunities across multiple accounts.

With respect to many of its clients’ accounts, Nuveen Asset Management determines which broker to use to execute transaction orders, consistent with its duty to seek best execution of the transaction. However, with respect to certain other accounts, Nuveen Asset Management may be limited by the client with respect to the selection of brokers or may be instructed to direct trades through a particular broker. In these cases, Nuveen Asset Management may place separate, non-simultaneous, transactions for a Fund and other accounts which may temporarily affect the market price of the security or the execution of the transaction, or both, to the detriment of the Fund or the other accounts.

Some clients are subject to different regulations. As a consequence of this difference in regulatory requirements, some clients may not be permitted to engage in all the investment techniques or transactions or to engage in these transactions to the same extent as the other accounts managed by a portfolio manager. Finally, the appearance of a conflict of interest may arise where Nuveen Asset Management has an incentive, such as a performance-based management fee, which relates to the management of some accounts, with respect to which a portfolio manager has day-to-day management responsibilities.


Conflicts of interest may also arise when the Sub-Adviser invests one or more of its client accounts in different or multiple parts of the same issuer’s capital structure, including investments in public versus private securities, debt versus equity, or senior versus junior/subordinated debt, or otherwise where there are different or inconsistent rights or benefits. Decisions or actions such as investing, trading, proxy voting, exercising, waiving or amending rights or covenants, workout activity, or serving on a board, committee or other involvement in governance may result in conflicts of interest between clients holding different securities or investments. Generally, individual portfolio managers will seek to act in a manner that they believe serves the best interest of the accounts they manage. In cases where a portfolio manager or team faces a conflict among its client accounts, it will seek to act in a manner that it believes best reflects its overall fiduciary duty, which may result in relative advantages or disadvantages for particular accounts.

Nuveen Asset Management has adopted certain compliance procedures which are designed to address these types of conflicts common among investment managers. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.

 

Item 8 (a)(3).

Fund Manager Compensation

As of the most recently completed fiscal year end, the primary Portfolio Managers’ compensation is as follows:

Portfolio managers are compensated through a combination of base salary and variable components consisting of (i) a cash bonus; (ii) a long-term performance award; and (iii) participation in a profits interest plan.

Base salary. A portfolio manager’s base salary is determined based upon an analysis of the portfolio manager’s general performance, experience and market levels of base pay for such position.

Cash bonus. A portfolio manager is eligible to receive an annual cash bonus that is based on three variables: risk-adjusted investment performance relative to benchmark generally measured over the most recent one, three and five year periods (unless the portfolio manager’s tenure is shorter), ranking versus Morningstar peer funds generally measured over the most recent one, three and five year periods (unless the portfolio manager’s tenure is shorter), and management and peer reviews.

Long-term performance award. A portfolio manager is eligible to receive a long-term performance award that vests after three years. The amount of the award when granted is based on the same factors used in determining the cash bonus. The value of the award at the completion of the three-year vesting period is adjusted based on the risk-adjusted investment performance of Fund(s) managed by the portfolio manager during the vesting period and the performance of the TIAA organization as a whole.

Profits interest plan. Portfolio managers are eligible to receive profits interests in Nuveen Asset Management and its affiliate, Teachers Advisors, LLC, which vest over time and entitle their holders to a percentage of the firms’ annual profits. Profits interests are allocated to each portfolio manager based on such person’s overall contribution to the firms.


There are generally no differences between the methods used to determine compensation with respect to the Fund and the Other Accounts shown in the table above.

 

Item 8 (a)(4).

Ownership of JFR Securities as of July 31, 2022

 

Name of Portfolio Manager

   None      $1-
$10,000
     $10,001-
$50,000
     $50,001-
$100,000
     $100,001-
$500,000
     $500,001-
$1,000,000
     Over $1,000,000  

Scott Caraher

                 X        

Kevin Lorenz

     X                                                                                                                                                 


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 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.

DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable

 

ITEM 13.

EXHIBITS.

File the exhibits listed below as part of this Form.

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

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

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

(a)(4) Change in the registrant’s independent public accountant. 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 Fund

 

By (Signature and Title)       /s/ Mark L. Winget
  Mark L. Winget
  Vice President and Secretary

Date: October 7, 2022

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/ David J. Lamb
  David J. Lamb
  Chief Administrative Officer
  (principal executive officer)
Date: October 7, 2022  
By (Signature and Title)       /s/ E. Scott Wickerham
  E. Scott Wickerham
  Vice President and Controller
  (principal financial officer)
Date: October 7, 2022  

Exhibit 99.CERT

CERTIFICATION

I, David J. Lamb, certify that:

1. I have reviewed this report on Form N-CSR of Nuveen Floating Rate Income Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a)   designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b)   designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c)   evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  (d)   disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during 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; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  (a)   all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b)   any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: October 7, 2022    /s/ David J. Lamb
   David J. Lamb
   Chief Administrative Officer
   (principal executive officer)


CERTIFICATION

I, E. Scott Wickerham, certify that:

1. I have reviewed this report on Form N-CSR of Nuveen Floating Rate Income Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a)   designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b)   designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c)   evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  (d)   disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during 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; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  (a)   all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b)   any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: October 7, 2022    /s/ E. Scott Wickerham
   E. Scott Wickerham
   Vice President and Controller
   (principal financial officer)

Exhibit 99.906CERT

Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002; provided by the Chief Executive Officer and Chief Financial Officer, based on each such officer’s knowledge and belief.

The undersigned officers of Nuveen Floating Rate Income Fund (the “Fund”) certify that, to the best of each such officer’s knowledge and belief:

 

  1.   The Form N-CSR of the Fund for the period ended July 31, 2022 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

  2.   The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund.

Date: October 7, 2022

 

/s/ David J. Lamb
David J. Lamb
Chief Administrative Officer
(principal executive officer)
/s/ E. Scott Wickerham
E. Scott Wickerham
Vice President, Controller
(principal financial officer)