Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO SHAREHOLDERS
Annual Report
JULY 31, 2007
Nuveen Investments
CLOSED-END FUNDS
NUVEEN SENIOR
INCOME FUND
NSL
NUVEEN FLOATING
RATE INCOME FUND
JFR
NUVEEN FLOATING
RATE INCOME
OPPORTUNITY FUND
JRO
High Current Income from Portfolios of Senior Corporate Loans
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dividends and statements from your dividends and statements directly from
financial advisor or brokerage Nuveen.
account.
|
NUVEEN INVESTMENTS LOGO
Chairman's
LETTER TO SHAREHOLDERS
(TIMOTHY
SCHWERTFEGER
PHOTO) Timothy R. Schwertfeger Chairman of the Board
|
Dear Shareholder:
Once again, I am pleased to report that over the twelve-month period covered by
this report your Fund continued to provide you with attractive income. For more
details about the management strategy and performance of your Fund, please read
the Portfolio Managers' Comments, the Distribution and Share Price Information,
and the Performance Overview sections of this report.
I also wanted to take this opportunity to report some important news about
Nuveen Investments. We have accepted a buyout offer from a private equity
investment firm. While this may affect the corporate structure of Nuveen
Investments, it will have no impact on the investment objectives of the Funds,
portfolio management strategies or their dividend policies. We will provide you
with additional information about this transaction as more details become
available.
With the recent volatility in the stock market, many have begun to wonder which
way the market is headed, and whether they need to adjust their holdings of
investments. No one knows what the future will bring, which is why we think a
well-balanced portfolio that is structured and carefully monitored with the help
of an investment professional is an important component in achieving your
long-term financial goals. A well-diversified portfolio may actually help to
reduce your overall investment risk, and we believe that investments like your
Nuveen Investments Fund can be important building blocks in a portfolio crafted
to perform well through a variety of market conditions.
We are grateful that you have chosen us as a partner as you pursue your
financial goals and we look forward to continuing to earn your trust in the
months and years ahead. At Nuveen Investments, our mission continues to be to
assist you and your financial advisor by offering investment services and
products that can help you to secure your financial objectives.
Sincerely,
(TIMOTHY SCHWERFEGER SIG)
Timothy R. Schwertfeger
Chairman of the Board
September 14, 2007
Portfolio Managers' COMMENTS
NUVEEN INVESTMENTS CLOSED-END FUNDS NSL, JFR, JRO
The Fund's investment portfolio is managed by Gunther Stein and Lenny Mason of
Symphony Asset Management, LLC, an affiliate of Nuveen Investments. Gunther and
Lenny have more than 25 years of combined investment management experience, much
of it in evaluating and purchasing senior corporate loans and other high-yield
debt. Here Gunther and Lenny talk about their management strategies and the
performance of the Funds for the twelve-month period ended July 31, 2007.
WHAT WERE THE GENERAL ECONOMIC CONDITIONS AND MARKET TRENDS OVER THE COURSE OF
THE TWELVE-MONTH PERIOD ENDED JULY 31, 2007?
During the twelve-month period ended July 31, 2007, the loan market experienced
a reversal as strength through the first three quarters of the period was
followed by a decline in loan prices through the end of July. For the first nine
months the loan market was robust, with record levels of new loan issuance,
tightening of credit spreads, and record inflows into the leveraged loan asset
class. Market sentiment began to shift, however, during the second quarter of
2007 as liquidity concerns and a large pipeline of new institutional loan
issuance created a supply/demand imbalance in the market resulting in downward
pressure on loans. On July 31st, the CSFB Leveraged Loan Index, which had
returned 56 consecutive months of positive returns, posted its largest monthly
loss since inception, returning -3.32% for July. This was an unprecedented level
of volatility for the loan market. To put it in perspective, in the 186 months
that the CSFB Leveraged Loan Index had existed previous to July (January 1992
through June 2007), it had moved by more than one point (either positively or
negatively) a total of only nine times. Of those nine observations, only once
was the move larger than 2 points (in October 1993 it declined by 2.1 points).
What made this event unique, however, is that unlike previous market
dislocations, volatility was not directly related to defaults or credit
fundamentals and was primarily technical in nature. For example, technicals such
as supply and demand imbalances drove market activity not fundamental factors
such as the slowing down of the economy.
While the first nine months of the period ended July 31, 2007, were best
characterized by the record level of new loan issuance from M&A and LBO
activity, as well as a strong demand for new loans fueled substantially by
structured credit products (Collateralized Loan Obligations or CLOs), the last
three months were sharply different. As investors became concerned by
Discussions of specific investments are for illustration only and are not
intended as recommendations of individual investments. The views expressed
herein represent those of the portfolio managers as of the date of this report
and are subject to change at any time, based on market conditions and other
factors. The Funds disclaim any obligation to advise shareholders of such
changes.
4
negative headlines in the asset-backed and mortgage markets, CLOs (which are
believed to have been responsible for purchasing a large share of loan issuance)
were forced to the sidelines. This left over an estimated $200 billion of new
loans in the Wall Street pipeline with few buyers. Putting additional pressure
on prices were institutional investors who sold loans either due to
mark-to-market losses or to fund redemptions.
These factors, coupled with technically driven market activity, created new
opportunity in the market in August. Although loans seem to have found some
support at current levels, we still expect volatility to remain in the short
term as fears over liquidity linger in the credit market. Despite our cautious
approach, we remain focused on uncovering new opportunities through fundamental
research and an awareness of trends in the overall market.
WHAT WAS YOUR OVERALL MANAGEMENT STRATEGY FOR THE TWELVE-MONTH PERIOD ENDED JULY
31, 2007?
Throughout the twelve-month period ended July 31, 2007, we continued to manage
the portfolios using fundamental analysis to select senior loans that we
believed offered strong asset coverage and attractive risk-adjusted returns.
During this period, we avoided many smaller loans that were done to finance
leveraged buyouts. We didn't believe that there was sufficient incremental
spread in many small loans to compensate for potential illiquidity and
volatility if earnings of the companies issuing them should become challenged.
Throughout the year we focused on adding quality senior loans at par. Given the
elevated trading levels of the marketplace we focused on the new issue market to
buy these senior loans. We also continued to avoid the vast majority of second
lien loans. Similar to smaller loans, we didn't believe that second lien loans
offered sufficient additional yield to compensate investors for potentially
increased volatility and lower recovery rates associated with credit
fundamentals.
Although the performance of all three portfolios suffered as a result of the
broad-based sell-off in loans, we believe that a technical correction may
provide an opportunity to buy good loans at attractive prices.
HOW DID THE FUNDS PERFORM OVER THE TWELVE-MONTH PERIOD ENDED JULY 31, 2007?
Fund performance results, as well as the performance of a comparative benchmark,
are presented in the accompanying table.
Cumulative Total Returns on Net Asset Value
For the 12-month period ended 7-31-07
NSL 4.39%
JFR 2.33%
JRO 2.73%
CSFB LEVERAGED LOAN INDEX(1) 3.42%
|
Past performance does not guarantee future results. Current performance may be
higher or lower than the data shown.
Returns do not reflect the deduction of taxes that a shareholder may have to pay
on Fund distributions or upon the sale of Fund shares. For more information,
please see the individual Performance Overview pages in this report.
1 The CSFB Leveraged Loan Index is a representative, unmanaged index of
tradable, senior, U.S. dollar-denominated leveraged loans. It is not possible to
invest directly in an Index.
5
Over the twelve-month reporting period, NSL outperformed the unmanaged,
unleveraged CSFB Leveraged Loan Index. JFR and JFO underperformed the CSFB index
during this period.
During the first half of the period ended July 31, 2007, certain names
contributed upside performance in all three Funds' while the second half of the
period was better characterized by broad moves across the asset class, as bank
loans sold off significantly during the final months of the period. All three
Funds benefited in the first half of the period from the strong performance of
their holdings in Federal Mogul, a global supplier of automotive parts. The
Federal Mogul term loan traded up due to continued expectation that the company
will emerge out of bankruptcy soon due to their steady operations and improving
financial results. The Funds also benefited from positions in Aladdin Gaming, a
resort and gaming company, which were paid off during the period. In addition,
NSL's returns benefited from its holdings in Norwood, a supplier of hard good
promotional products.
In the second half of the period, Fund performance was primarily negatively
affected by the general performance of the broader portfolio. As a result of the
broad sell-off in loans late in the reporting period, which was caused by
technical factors discussed above rather than fundamentals, all three Funds
experienced downside pressure across their portfolio. There were no individual
company-specific events that materially negatively impacted performance. This
was characteristic of the loan market in general, which has been influenced more
by technical trends in recent months, rather than fundamental economic or
company-specific factors. Default rates remain relatively low compared to
historical levels.
6
Distribution and Share Price
INFORMATION
Each of these Funds uses financial leverage in an effort to enhance its
distribution-paying capabilities. While this strategy adds volatility to a
Fund's net asset value (NAV) and share price, it generally works to enhance the
amount of income a Fund has to distribute to its common shareholders, as long as
the distribution rates the Fund pays to its preferred shareholders are less than
the interest rates the Fund receives from its portfolio of loans. This
leveraging strategy continued to make a positive contribution to each Fund's
return over this period.
Since each of these Funds invests in adjustable rate loans, their income streams
typically can be expected to rise or fall over time to reflect the movement of
shorter-term interest rates. These rates generally were rising over this
twelve-month reporting period ended July 31, 2007, and this led to three
distribution increases in NSL, JFR and JRO.
All of these Funds seek to pay dividends at rates that reflect each Fund's past
results, and projected future performance. During certain periods, each Fund may
pay dividends at a rate that may be more or less than the amount of net
investment income actually earned by the Fund during the period. If a Fund has
cumulatively earned more than it has paid in dividends, it holds the excess in
reserve as undistributed net investment income (UNII), which is part of the
Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of
its earnings, the excess constitutes negative UNII that is likewise reflected in
the Fund's NAV. Each Fund will, over time, pay all of its net investment income
as dividends to shareholders. As of July 31, 2007, NSL, JFR and JRO had positive
UNII balances for both financial statement purposes and for tax purposes.
As of July 31, 2007, JFR and JRO traded at discounts to their NAVs, and NSL
traded at a premium to its NAV as shown below.
------------------------------------------------------------------------------------------
7/31/07 12-Month Average
Premium/Discount Premium/Discount
------------------------------------------------------------------------------------------
NSL 1.00% 1.07%
JFR -1.53% -1.69%
JRO -0.68% -0.63%
------------------------------------------------------------------------------------------
|
7
NSL
PERFORMANCE Nuveen Senior
OVERVIEW Income Fund
as of 7-31-07
|
PORTFOLIO ALLOCATION (AS A % OF TOTAL INVESTMENTS)
(PORTFOLIO ALLOCATION PIE CHART)
Other 0.4
Short-Term Investments 2.7
Corporate Bonds 5.1
Variable Rate Senior Loan Interests 91.8
|
2006-2007 MONTHLY DIVIDENDS PER SHARE
(MONTHLY DISTRIBUTIONS BAR CHART)
Aug 0.0535
Sep 0.0565
Oct 0.0565
Nov 0.0565
Dec 0.0585
Jan 0.0585
Feb 0.0585
Mar 0.0615
Apr 0.0615
May 0.0615
Jun 0.0615
Jul 0.0615
|
SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE
(SHARE PRICE CHART)
8/01/06 8.1400
8.1000
8.1600
8.1200
8.2000
8.2800
8.3300
8.2600
8.2800
8.3300
8.3500
8.1400
8.0000
8.2000
8.1900
8.2700
8.2800
8.2000
8.2600
8.3700
8.2800
8.4100
8.4792
8.5000
8.5500
8.5700
8.7000
8.7500
8.8000
8.7500
8.7500
8.7500
8.9000
8.7700
8.7100
8.8500
8.8200
8.7900
8.7900
8.8400
8.9300
8.8700
8.9700
8.9500
8.9800
8.9100
9.0500
9.0000
8.6700
8.9600
8.7600
8.3500
8.0500
7/31/07 8.0799
|
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $8.08
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $8.00
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV 1.00%
-------------------------------------------------------------------------------------
Latest Dividend $0.0615
-------------------------------------------------------------------------------------
Market Yield 9.13%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $238,779
-------------------------------------------------------------------------------------
|
AVERAGE ANNUAL TOTAL RETURN
(Inception 10/26/99)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
1-Year 7.79% 4.39%
-------------------------------------------------------------------------------------
5-Year 9.89% 9.23%
-------------------------------------------------------------------------------------
Since
Inception 5.41% 6.12%
-------------------------------------------------------------------------------------
|
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 15.7%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 8.2%
-------------------------------------------------------------------------------------
Health Care Providers & Services 6.0%
-------------------------------------------------------------------------------------
Specialty Retail 5.2%
-------------------------------------------------------------------------------------
Building Products 4.4%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 4.4%
-------------------------------------------------------------------------------------
Auto Components 3.6%
-------------------------------------------------------------------------------------
Containers & Packaging 2.9%
-------------------------------------------------------------------------------------
Machinery 2.7%
-------------------------------------------------------------------------------------
Airlines 2.6%
-------------------------------------------------------------------------------------
Wireless Telecommunication Services 2.6%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 2.5%
-------------------------------------------------------------------------------------
Metals & Mining 2.5%
-------------------------------------------------------------------------------------
Chemicals 2.4%
-------------------------------------------------------------------------------------
Paper & Forest Products 2.4%
-------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 2.3%
-------------------------------------------------------------------------------------
Semiconductors & Equipment 2.2%
-------------------------------------------------------------------------------------
Road & Rail 2.0%
-------------------------------------------------------------------------------------
Real Estate Management & Development 1.8%
-------------------------------------------------------------------------------------
Household Products 1.5%
-------------------------------------------------------------------------------------
Insurance 1.5%
-------------------------------------------------------------------------------------
Aerospace & Defense 1.4%
-------------------------------------------------------------------------------------
Food Products 1.4%
-------------------------------------------------------------------------------------
Electric Utilities 1.3%
-------------------------------------------------------------------------------------
Short-Term Investments 2.7%
-------------------------------------------------------------------------------------
Other 13.8%
-------------------------------------------------------------------------------------
|
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------------------------------------------------------
Norwood Promotional Products 2.5%
------------------------------------------------------------------------------------
Federal-Mogul Corporation 2.4%
------------------------------------------------------------------------------------
Swift Transportation 2.0%
------------------------------------------------------------------------------------
Univision Communications 1.8%
------------------------------------------------------------------------------------
Tribune Company 1.7%
------------------------------------------------------------------------------------
|
8
JFR Nuveen Floating
PERFORMANCE Rate Income
OVERVIEW Fund
as of 7-31-07
|
PORTFOLIO ALLOCATION (AS A % OF TOTAL INVESTMENTS)
(PORTFOLIO ALLOCATION PIE CHART)
Other 0.10
Short-Term Investments 0.40
Corporate Bonds 6.70
Variable Rate Senior Loan Interests 92.80
|
2006-2007 MONTHLY DIVIDENDS PER SHARE
(MONTHLY DISTRIBUTIONS BAR CHART)
Aug 0.09
Sep 0.095
Oct 0.095
Nov 0.095
Dec 0.098
Jan 0.098
Feb 0.098
Mar 0.1005
Apr 0.1005
May 0.1005
Jun 0.1005
Jul 0.1005
|
SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE
(SHARE PRICE CHART)
8/01/06 13.15
13.14
13.04
12.93
13.02
13.14
13.22
13.17
13.22
13.20
13.25
13.10
13.19
13.28
13.24
13.31
13.25
13.33
13.44
13.49
13.47
13.46
13.58
13.75
13.84
13.85
13.94
14.23
14.21
14.18
14.13
13.85
14.06
13.99
14.15
14.07
14.35
14.40
14.38
14.36
14.31
14.37
14.39
14.52
14.46
14.29
14.40
14.59
14.25
14.36
13.99
13.17
12.62
7/31/07 12.88
|
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $12.88
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $13.08
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -1.53%
-------------------------------------------------------------------------------------
Latest Dividend $0.1005
-------------------------------------------------------------------------------------
Market Yield 9.36%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $619,843
-------------------------------------------------------------------------------------
|
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/25/04)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
1-Year 6.69% 2.33%
-------------------------------------------------------------------------------------
Since
Inception 2.57% 4.21%
-------------------------------------------------------------------------------------
|
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 17.6%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 7.9%
-------------------------------------------------------------------------------------
Health Care Providers & Services 6.4%
-------------------------------------------------------------------------------------
Chemicals 6.1%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 5.9%
-------------------------------------------------------------------------------------
Building Products 4.5%
-------------------------------------------------------------------------------------
Specialty Retail 3.9%
-------------------------------------------------------------------------------------
Semiconductors & Equipment 3.4%
-------------------------------------------------------------------------------------
Containers & Packaging 2.9%
-------------------------------------------------------------------------------------
Road & Rail 2.8%
-------------------------------------------------------------------------------------
Auto Components 2.7%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 2.7%
-------------------------------------------------------------------------------------
Paper & Forest Products 2.4%
-------------------------------------------------------------------------------------
Diversified Financial Services 2.2%
-------------------------------------------------------------------------------------
Real Estate Management & Development 2.2%
-------------------------------------------------------------------------------------
IT Services 2.1%
-------------------------------------------------------------------------------------
Electric Utilities 1.9%
-------------------------------------------------------------------------------------
Airlines 1.6%
-------------------------------------------------------------------------------------
Insurance 1.5%
-------------------------------------------------------------------------------------
Software 1.4%
-------------------------------------------------------------------------------------
Independent Power Producers & Energy Traders 1.2%
-------------------------------------------------------------------------------------
Wireless Telecommunication Services 1.2%
-------------------------------------------------------------------------------------
Household Products 1.1%
-------------------------------------------------------------------------------------
Short-Term Investments 0.4%
-------------------------------------------------------------------------------------
Other 14.0%
-------------------------------------------------------------------------------------
|
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------------------------------------------------------
Tribune Company 2.8%
------------------------------------------------------------------------------------
Univision Communications 2.6%
------------------------------------------------------------------------------------
Swift Transportation 2.5%
------------------------------------------------------------------------------------
Intelsat, Ltd. 2.2%
------------------------------------------------------------------------------------
Graham Packaging Company, L.P. 1.8%
------------------------------------------------------------------------------------
|
9
JRO Nuveen Floating
PERFORMANCE Rate Income
OVERVIEW Opportunity Fund
as of 7-31-07
|
PORTFOLIO ALLOCATION (AS A % OF TOTAL INVESTMENTS)
(PORTFOLIO ALLOCATION PIE CHART)
Other 0.10
Short-Term Investments 3.70
Corporate Bonds 9.00
Variable Rate Senior Loan Interests 87.20
|
2006-2007 MONTHLY DIVIDENDS PER SHARE
(MONTHLY DISTRIBUTIONS BAR CHART)
Aug 0.095
Sep 0.0985
Oct 0.0985
Nov 0.0985
Dec 0.1015
Jan 0.1015
Feb 0.1015
Mar 0.1045
Apr 0.1045
May 0.1045
Jun 0.1045
Jul 0.1045
|
SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE
(SHARE PRICE CHART)
8/01/06 13.350
13.340
13.220
13.030
13.130
13.260
13.410
13.440
13.500
13.510
13.540
13.430
13.590
13.760
13.760
13.820
13.770
13.660
13.600
13.700
13.650
13.770
13.810
13.990
14.080
14.040
14.020
14.260
14.390
14.220
14.210
14.070
14.180
14.029
14.060
14.150
14.360
14.380
14.380
14.490
14.590
14.650
14.650
14.720
14.760
14.540
14.760
14.860
14.280
14.530
14.040
13.390
12.770
7/31/07 13.050
|
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $13.05
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $13.14
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -0.68%
-------------------------------------------------------------------------------------
Latest Dividend $0.1045
-------------------------------------------------------------------------------------
Market Yield 9.61%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $373,366
-------------------------------------------------------------------------------------
|
AVERAGE ANNUAL TOTAL RETURN
(Inception 7/27/04)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
1-Year 7.13% 2.73%
-------------------------------------------------------------------------------------
Since
Inception 2.94% 4.49%
-------------------------------------------------------------------------------------
|
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 18.2%
-------------------------------------------------------------------------------------
Diversified
Telecommunication Services 8.1%
-------------------------------------------------------------------------------------
Health Care Providers & Services 5.9%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 5.0%
-------------------------------------------------------------------------------------
Chemicals 4.7%
-------------------------------------------------------------------------------------
Building Products 4.3%
-------------------------------------------------------------------------------------
Containers & Packaging 4.0%
-------------------------------------------------------------------------------------
Specialty Retail 3.7%
-------------------------------------------------------------------------------------
Semiconductors & Equipment 3.6%
-------------------------------------------------------------------------------------
Road & Rail 3.2%
-------------------------------------------------------------------------------------
Real Estate Management & Development 2.5%
-------------------------------------------------------------------------------------
Paper & Forest Products 2.4%
-------------------------------------------------------------------------------------
Airlines 2.1%
-------------------------------------------------------------------------------------
Electric Utilities 2.1%
-------------------------------------------------------------------------------------
Auto Components 2.0%
-------------------------------------------------------------------------------------
IT Services 1.9%
-------------------------------------------------------------------------------------
Diversified Financial Services 1.9%
-------------------------------------------------------------------------------------
Software 1.9%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 1.7%
-------------------------------------------------------------------------------------
Household Products 1.4%
-------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 1.2%
-------------------------------------------------------------------------------------
Short-Term Investments 3.7%
-------------------------------------------------------------------------------------
Other 14.5%
-------------------------------------------------------------------------------------
|
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------------------------------------------------------
Intelsat, Ltd. 2.9%
------------------------------------------------------------------------------------
Swift Transportation 2.5%
------------------------------------------------------------------------------------
Cablevision Systems Corporation 2.4%
------------------------------------------------------------------------------------
Univision Communications 2.4%
------------------------------------------------------------------------------------
Vanguard Health Holding Company, LLC 2.3%
------------------------------------------------------------------------------------
|
10
Report of INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
NUVEEN SENIOR INCOME FUND
NUVEEN FLOATING RATE INCOME FUND
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Nuveen Senior Income Fund, Nuveen Floating
Rate Income Fund and Nuveen Floating Rate Income Opportunity Fund (the "Funds"),
as of July 31, 2007, and the related statements of operations and cash flows for
the year then ended, the statements of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
periods after July 31, 2003. These financial statements and financial highlights
are the responsibility of the Funds' management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits. The financial highlights of the Nuveen Senior Income Fund for the
year ended July 31, 2003 was audited by other auditors whose report dated
September 18, 2003, expressed an unqualified opinion on those financial
highlights.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Funds' internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Funds' internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of July 31, 2007, by correspondence with the custodian,
selling or agent banks and brokers or by other appropriate auditing procedures
where replies from selling or agent banks or brokers were not received. We
believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial positions of
Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund and Nuveen Floating
Rate Income Opportunity Fund at July 31, 2007, the results of their operations
and cash flows for the year then ended, the changes in their net assets for each
of the two years in the period then ended, and the financial highlights for each
of the periods after July 31, 2003 in conformity with U.S. generally accepted
accounting principles.
(ERNST & YOUNG LLP LOGO)
Chicago, Illinois
September 24, 2007
11
NSL
Nuveen Senior Income Fund
Portfolio of INVESTMENTS
July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 148.6% (91.8% OF TOTAL INVESTMENTS) (4)
AEROSPACE & DEFENSE - 2.3% (1.4% OF TOTAL INVESTMENTS)
$ 2,515 Midwestern Aircraft (Spirit Aerosystems Inc.) 7.110% 12/31/11 BBB- $ 2,527,499
Term Loan B
2,397 Vought Aircraft Industries, Inc., Term Loan 7.830% 12/22/11 Ba2 2,378,816
545 Vought Aircraft Industries, Inc., Tranche B, 7.820% 12/22/10 Ba2 541,364
Letter of Credit
--------------------------------------------------------------------------------------------------------------------------------
5,457 Total Aerospace & Defense 5,447,679
--------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 4.2% (2.6% OF TOTAL INVESTMENTS)
2,000 Delta Air Lines, Inc., Second Lien Term Loan 8.610% 4/30/14 B 1,973,500
1,890 Delta Air Lines, Inc., Term Loan 7.360% 4/30/14 Ba2 1,840,388
2,000 Northwest Airlines Inc., Term Loan 7.340% 8/01/13 BB 1,956,250
4,400 United Air Lines, Inc., Term Loan B 7.375% 2/01/14 BB- 4,209,856
--------------------------------------------------------------------------------------------------------------------------------
10,290 Total Airlines 9,979,994
--------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 5.8% (3.6% OF TOTAL INVESTMENTS)
4,224 Federal-Mogul Corporation, Term Loan A, (5) 0.000% 2/24/04 N/R 4,058,151
5,551 Federal-Mogul Corporation, Term Loan B, (5) 7.820% 2/24/05 N/R 5,339,103
499 Gen Tek Inc., Term Loan B 7.320% 2/28/11 BB- 488,463
1,737 Gen Tek Inc., Additional Term Loan B 7.356% 12/28/11 BB- 1,701,230
2,000 Goodyear Tire & Rubber Company, Second Lien Term 7.100% 4/30/14 Ba1 1,922,500
Loan
1,479 Metalforming Technologies, Inc., Term Loan A, 0.000% 9/30/07 N/R 281,039
(5) (6)
575 Metalforming Technologies, Inc., Term Loan B, 0.000% 9/30/07 N/R 109,299
(PIK), (5) (6)
--------------------------------------------------------------------------------------------------------------------------------
16,065 Total Auto Components 13,899,785
--------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 6.4% (4.0% OF TOTAL INVESTMENTS)
882 Atrium Companies Inc. Term Loan 8.606% 5/31/12 BB- 841,968
2,000 Building Materials Corporation of America, 11.125% 9/25/14 B 1,815,000
Second Lien Term Loan
1,990 Building Materials Corporation of America Term 8.125% 2/22/14 BB+ 1,850,712
Loan
2,540 Euramax Domestic Term Loan 8.375% 6/29/12 B+ 2,433,236
1,945 Nortek, Inc., Term Loan B 7.615% 8/27/11 Ba2 1,874,494
2,442 Stile Acquisition Corporation, Canadien Term 7.360% 4/05/07 BB 2,277,316
Loan
2,446 Stile Acquisition Corporation, US Term Loan B 7.360% 4/05/13 BB 2,281,206
1,985 TFS Acquisition, Term Loan 8.860% 8/11/13 B+ 1,975,075
--------------------------------------------------------------------------------------------------------------------------------
16,230 Total Building Products 15,349,007
--------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 0.7% (0.4% OF TOTAL INVESTMENTS)
1,534 Ameritrade Holdings Corporation, Term Loan B 6.820% 12/31/12 Ba1 1,501,149
Facility
--------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 3.9% (2.4% OF TOTAL INVESTMENTS)
400 Celanese Holdings, LLC, Term Loan Credit Linked 5.320% 4/02/13 BB 377,286
Deposits
1,596 Celanese Holdings, LLC, Term Loan B 7.110% 4/02/14 BB 1,505,370
2,978 Hexion Specialty Chemicals, Inc., Term Loan C4 7.625% 5/05/13 Ba3 2,879,802
762 Huntsman International LLC, Term Loan 7.070% 4/19/14 BB+ 743,466
2,000 ISP Chemco Term Loan B 7.125% 6/04/14 BB- 1,921,000
1,950 Rockwood Specialties Group, Inc., Term Loan E 7.108% 7/30/12 BB 1,903,011
--------------------------------------------------------------------------------------------------------------------------------
9,686 Total Chemicals 9,329,935
--------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 4.1% (2.5% OF TOTAL INVESTMENTS)
2,370 Acco Brands, Term Loan B 7.110% 8/17/12 Ba1 2,304,825
2,681 Allied Waste North America, New Term Loan B 7.087% 1/15/12 BBB- 2,581,457
1,457 Allied Waste North America, LC Facility 0.000% 1/15/12 BBB- 1,399,579
796 Rental Service Corporation, Second Lien Term 8.860% 11/27/13 B- 791,862
Loan
2,000 Williams Scotsman, Inc., Term Loan B 6.820% 6/28/10 BB+ 1,950,000
681 Workflow Holdings Corporation, Term Loan 9.356% 11/30/11 BB- 657,033
--------------------------------------------------------------------------------------------------------------------------------
9,985 Total Commercial Services & Supplies 9,684,756
--------------------------------------------------------------------------------------------------------------------------------
|
12
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 4.7% (2.9% OF TOTAL INVESTMENTS)
$ 456 Bluegrass Container Company LLC, Delayed Draw 7.596% 6/30/13 BB $ 447,070
1st Lien Term Loan
1,515 Bluegrass Container Company, LLC, 2nd Lien 10.320% 12/31/13 BB 1,495,265
485 Bluegrass Container Company, LLC, Delayed Draw, 10.320% 12/31/13 B 478,485
2nd Lien
1,524 Bluegrass Container Company, LLC, Term Loan B 7.599% 6/30/13 BB 1,494,155
5,508 Graham Packaging Company, L.P., Term Loan 7.625% 10/07/11 B+ 5,255,533
437 Smurfit-Stone Container Corporation, 7.475% 11/01/10 Ba2 427,068
Deposit-Funded Commitment
173 Smurfit-Stone Container Corporation, Tranche C-1 7.375% 11/01/11 Ba2 169,138
483 Smurfit-Stone Container Corporation, Term Loan C 7.375% 11/01/11 Ba2 472,880
996 Smurfit-Stone Container Corporation, Term Loan B 7.375% 11/01/11 Ba2 974,380
--------------------------------------------------------------------------------------------------------------------------------
11,577 Total Containers & Packaging 11,213,974
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 0.9% (0.6% OF TOTAL INVESTMENTS)
2,290 West Corporation, Term Loan 7.753% 10/24/13 BB- 2,207,243
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 2.0% (1.3% OF TOTAL INVESTMENTS)
4,963 Neilsen Finance LLC, Term Loan 7.607% 8/09/13 Ba3 4,841,346
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 7.0% (4.4% OF TOTAL INVESTMENTS)
1,995 Cequel Communications LLC., Term Loan B 7.360% 11/05/13 BB- 1,906,721
1,000 Charter Communications Operating, LLC, Holdco 7.860% 9/06/14 B1 956,250
Term Loan
1,995 Crown Castle Operating Company, Term Loan 6.839% 3/06/14 BBB- 1,880,288
2,960 Intelsat Corporation Term Loan, WI/DD TBD TBD BB+ 2,882,483
2,000 Intelsat Corporation Unsecured Term Loan 7.855% 2/01/14 BB 1,954,108
2,267 Level 3 Financing, Inc., Term Loan 7.610% 3/13/14 B+ 2,179,779
5,000 Qwest Corporation, Term Loan B 6.950% 6/30/10 BBB- 4,946,875
5,000 WCI Capital Corporation, Term Loan B, (5) (6) 0.000% 9/30/07 N/R 108,335
--------------------------------------------------------------------------------------------------------------------------------
22,217 Total Diversified Telecommunication Services 16,814,839
--------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 2.1% (1.3% OF TOTAL INVESTMENTS)
707 Astoria Generating Company, 1st Lien Term Loan 7.340% 2/23/13 BB- 694,834
4,433 Calpine Corporation DIP Term Loan 7.610% 3/29/09 N/R 4,306,799
556 Calpine Corporation DIP Revolver, (7) (8) 0.250% 3/29/09 N/R (13,889)
--------------------------------------------------------------------------------------------------------------------------------
5,696 Total Electric Utilities 4,987,744
--------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 0.7% (0.4% OF TOTAL INVESTMENTS)
1,496 Sensus Metering Systems Inc., Term Loan B-1 7.365% 12/17/10 BB 1,488,174
141 Sensus Metering Systems Inc., Term Loan B-2 7.374% 12/17/10 BB 139,949
--------------------------------------------------------------------------------------------------------------------------------
1,637 Total Electrical Equipment 1,628,123
--------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,980 Sensata Technologies B.V., US Term Loan 7.110% 4/27/13 BB 1,920,393
--------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 1.0% (0.6% OF TOTAL INVESTMENTS)
2,516 Dresser, Inc., Term Loan B 7.860% 5/04/14 B+ 2,434,884
--------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 2.3% (1.4% OF TOTAL INVESTMENTS)
465 Dole Foods Company Inc., Deposit-Funded 5.230% 4/12/13 BB- 440,698
Commitment
1,033 Dole Foods Company Inc., Term Loan B 7.537% 4/12/13 BB- 979,175
3,445 Dole Foods Company Inc., Term Loan C 7.451% 4/12/13 BB- 3,263,917
862 Michael Foods, Inc., Term Loan B 7.361% 11/21/10 BB- 846,211
--------------------------------------------------------------------------------------------------------------------------------
5,805 Total Food Products 5,530,001
--------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Energy Transfer Equity LP, Term Loan 7.106% 11/01/12 BBB- 1,937,143
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 9.7% (6.0% OF TOTAL INVESTMENTS)
3,292 Davita Inc., Term Loan B-1 6.863% 10/05/12 BB+ 3,123,773
1,990 HCA, Inc., Term Loan 7.610% 11/18/13 BB 1,924,662
1,995 Health Management Associates, Inc. Term Loan 7.110% 2/28/14 Ba2 1,945,125
1,146 HealthSouth Corporation, Term Loan 7.860% 3/10/14 BB- 1,118,548
343 IASIS Healthcare, LLC, Delayed Term Loan (7) 5.703% 3/14/14 Ba2 322,363
124 IASIS Healthcare, LLC LC Facility 5.220% 3/14/14 Ba2 118,122
1,354 IASIS Healthcare, LLC, Term Loan 7.360% 3/14/14 Ba2 1,293,153
3,930 LifeCare Holdings, Inc., Term Loan B 8.360% 8/11/12 B 3,661,450
2,150 Psychiatric Solutions Inc., Term Loan B 7.124% 7/01/12 BB- 2,147,447
|
13
NSL
Nuveen Senior Income Fund (continued)
Portfolio of INVESTMENTS July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES (continued)
$ 2,931 Select Medical Corporation, Term Loan 7.362% 2/24/12 Ba2 $ 2,867,696
4,884 Vanguard Health Holding Company II, LLC, 7.610% 9/23/11 Ba3 4,712,746
Replacement Term Loan
--------------------------------------------------------------------------------------------------------------------------------
24,139 Total Health Care Providers & Services 23,235,085
--------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 12.3% (7.6% OF TOTAL INVESTMENTS)
4,938 24 Hour Fitness Worldwide, Inc., Term Loan B 7.870% 6/08/12 Ba3 4,888,125
1,784 Ameristar Casinos, Inc., Term Loan B 6.820% 11/10/12 BBB- 1,765,791
778 CBRL Group, Inc., Term Loan B-1 6.860% 4/28/13 BB 750,311
61 CBRL Group, Inc., Term B-2 Delayed Draw 3.795% 4/28/13 BB 56,050
3,920 CCM Merger, Inc., Term Loan B 7.360% 7/13/12 BB- 3,782,826
1,980 Cedar Fair LP, Term Loan 7.320% 8/30/12 BB 1,915,100
1,176 Isle of Capri Casinos, Inc., Term Loan, WI/DD TBD TBD BB+ 1,129,412
71 OSI Restaurant Partners, LLC, Revolver 5.360% 6/14/13 BB- 68,037
929 OSI Restaurant Partners, LLC, Term Loan 7.625% 6/14/14 BB- 887,963
3,930 Penn National Gaming, Inc., Term Loan B 7.110% 10/03/12 BBB- 3,870,559
1,000 Quiznos Sub, Second Lien Term Loan C 11.110% 11/05/13 N/R 970,833
65 Seminole Gaming, Term Loan B-1 Delayed Draw, (7) 3.813% 3/05/14 BBB- 60,081
437 Seminole Gaming, Term Loan B-2 Delayed Draw 6.875% 3/05/14 BBB- 421,397
433 Seminole Gaming, Term Loan B-3 Delayed Draw 6.875% 3/05/14 BBB- 417,495
1,000 Travelport LLC (aka TDS Investor Corporation) 0.000% 8/23/13 B (45,000)
Delayed Term Loan, (7) (8)
268 Travelport, LC Facility 7.860% 8/23/13 BB- 262,104
1,334 Travelport, Term Loan 7.820% 8/23/13 BB- 1,306,269
800 Venetian Casino Resort, LLC (Las Vegas Sands, 0.750% 5/23/14 BB (33,111)
Inc.) Delayed Term Loan, (7) (8)
3,200 Venetian Casino Resort, LLC, Term Loan 7.110% 5/23/14 BB 3,067,555
2,717 Wintergames Holdings, (aka Intrawest 7.327% 12/31/07 N/R 2,723,659
Corporation) Term Loan
995 Worldspan, Term Loan 8.608% 12/07/13 Ba3 985,050
--------------------------------------------------------------------------------------------------------------------------------
31,816 Total Hotels, Restaurants & Leisure 29,250,506
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 2.1% (1.3% OF TOTAL INVESTMENTS)
4,466 Shea Homes Inc., Term Loan 7.360% 10/27/11 N/R 4,153,613
1,003 William Carter Company, Term Loan B 6.853% 7/14/12 BB 956,415
--------------------------------------------------------------------------------------------------------------------------------
5,469 Total Household Durables 5,110,028
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 2.4% (1.5% OF TOTAL INVESTMENTS)
1,811 Prestige Brands, Inc., Term Loan B 7.630% 4/06/11 BB- 1,770,308
3,969 Solo Cup Company, Term Loan 8.837% 2/27/11 B1 3,879,923
--------------------------------------------------------------------------------------------------------------------------------
5,780 Total Household Products 5,650,231
--------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.7% (1.0% OF TOTAL INVESTMENTS)
669 Covanta Energy Corporation, Term Loan B 6.875% 2/09/14 BB 655,620
329 Covanta Energy Corporation Synthetic Letter of 6.713% 2/09/14 BB 322,117
Credit
800 NRG Energy, Inc. Holdco Term Loan, (7) (8) 0.500% 2/01/13 BB (18,800)
966 NRG Energy Inc., Credit Linked Deposits 7.110% 2/01/13 Ba1 935,778
2,328 NRG Energy Inc., Term Loan 7.110% 2/01/13 Ba1 2,254,074
--------------------------------------------------------------------------------------------------------------------------------
5,092 Total Independent Power Producers & Energy 4,148,789
Traders
--------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.4% (1.5% OF TOTAL INVESTMENTS)
5,948 Conseco, Inc., Term Loan 7.320% 10/10/13 BB- 5,724,624
--------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES - 1.2% (0.7% OF TOTAL INVESTMENTS)
2,985 Riverdeep Interactive Learning USA, Inc, Term 8.110% 12/20/13 B1 2,895,399
Loan
--------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 2.1% (1.3% OF TOTAL INVESTMENTS)
5,119 SunGard Data Systems Inc., Term Loan B 7.356% 2/28/14 BB 4,927,137
--------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.1% (0.7% OF TOTAL INVESTMENTS)
2,734 Bombardier Recreational Products Inc., Term Loan 7.860% 6/28/13 B+ 2,677,785
--------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 4.3% (2.7% OF TOTAL INVESTMENTS)
2,000 Maxim Crane Works L.P., Term Loan 7.360% 6/29/14 BB- 1,955,000
3,178 Navistar International Corporation, Term Loan 8.610% 1/19/12 BB- 3,042,722
1,156 Navistar International Corporation Synthetic 7.873% 1/19/12 BB- 1,106,444
Letter of Credit
1,990 Oshkosh Truck Corporation, Term Loan 7.110% 12/06/13 BBB- 1,927,035
|
14
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
MACHINERY (continued)
$ 1,869 Rexnord Corporation, Term Loan B 7.860% 7/19/13 Ba2 $ 1,780,082
557 Rexnord Corporation, Incremental Term Loan B-2 7.642% 7/19/13 Ba2 530,588
--------------------------------------------------------------------------------------------------------------------------------
10,750 Total Machinery 10,341,871
--------------------------------------------------------------------------------------------------------------------------------
MEDIA - 24.5% (15.2% OF TOTAL INVESTMENTS)
4,500 American Media Operations, Inc., Term Loan B 8.590% 1/30/13 B1 4,230,000
798 Blockbuster, Inc., Tranche A Term Loan 8.821% 8/20/09 B+ 779,774
1,255 Blockbuster, Inc., Tranche B Term Loan 8.640% 8/20/11 B+ 1,231,350
1,960 Cablevision Systems Corporation, Incremental 7.070% 3/29/13 BB 1,887,658
Term Loan
1,980 Carmike Cinemas Inc., Delayed Draw Term Loan 8.610% 5/19/12 B1 1,932,975
1,300 Charter Communications Operating, LLC, Term Loan 7.360% 3/06/14 B+ 1,238,900
3,000 Discovery Communications Holdings, LLC, Term 7.360% 5/14/14 N/R 2,932,500
Loan
2,985 Idearc Inc., Term Loan 7.360% 11/17/14 BBB- 2,858,137
2,000 Local TV Finance LLC, Term Loan 7.360% 5/07/13 Ba3 1,860,000
2,955 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 8.610% 4/08/12 B+ 2,799,250
1,907 Philadelphia Newspapers, Term Loan 8.110% 6/29/13 N/R 1,850,247
5,910 Primedia Inc., Term Loan 7.570% 9/30/13 BB 5,877,680
2,580 Regal Cinemas Corporation, Term Loan 6.860% 10/27/13 Ba2 2,511,423
1,562 Sun Media Corporation, Term Loan B 7.108% 2/07/09 Baa3 1,525,072
4,000 Thomson Learning Center, Term Loan 8.070% 7/05/14 B+ 3,768,000
7,000 Tribune Company, Term Loan B 8.360% 5/17/14 BB+ 6,379,999
1,867 Tribune Company, Term Loan X 7.860% 5/17/09 BB+ 1,833,334
483 Univision Communications, Term Loan, (7) (8) 1.000% 9/29/14 B+ (35,547)
2,000 Univision Communications, Second Lien Term Loan 7.820% 3/29/09 B3 1,954,000
7,517 Univision Communications, Term Loan 7.610% 9/29/14 Ba3 6,963,825
427 Valassis Communications, Inc. Delayed Draw Term, 1.000% 3/02/14 BB (17,600)
(7) (8)
1,436 Valassis Communications, Inc., Tranche B Term 7.110% 3/02/14 BB 1,376,829
Loan
2,892 WMG Acquisition Corp., Term Loan 7.360% 2/28/11 Ba2 2,830,624
--------------------------------------------------------------------------------------------------------------------------------
62,314 Total Media 58,568,430
--------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 4.1% (2.5% OF TOTAL INVESTMENTS)
1,990 Aleris International, Inc. Term Loan 7.375% 12/19/13 BB- 1,868,113
1,871 Amsted Industries Incorporated, Delayed Draw 7.360% 4/05/13 BB 1,787,167
Term Loan
2,575 Amsted Industries Incorporated, Term Loan 7.360% 4/05/13 BB 2,478,459
2,000 Edgen Murray II, L.P. Term Loan 8.110% 5/11/14 B 1,979,375
1,920 John Maneely Company, Term Loan 8.638% 12/08/11 B+ 1,725,565
--------------------------------------------------------------------------------------------------------------------------------
10,356 Total Metals & Mining 9,838,679
--------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 3.8% (2.3% OF TOTAL INVESTMENTS)
550 Big West Oil, LLC Delayed Draw Term Loan, (7) 1.500% 5/14/14 BB (18,563)
(8)
450 Big West Oil LLC, Term Loan 7.610% 5/15/14 BB 434,813
301 Coffeyville Resources LLC, Credit Linked 8.360% 12/28/10 B+ 286,883
Deposits
1,545 Coffeyville Resources LLC., Term Loan 8.437% 12/28/10 B+ 1,474,827
1,000 El Paso Corporation, Letter of Credit 7.320% 7/31/11 Ba1 965,000
774 Targa Resources Inc., Synthetic Letter of Credit 7.350% 10/31/12 B+ 767,904
3,169 Targa Resources Inc., Term Loan B 7.332% 10/31/12 B+ 3,143,605
2,000 Venoco Inc, Second Lien Term Loan 9.360% 9/20/11 B 1,950,000
--------------------------------------------------------------------------------------------------------------------------------
9,789 Total Oil, Gas & Consumable Fuels 9,004,469
--------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.0% (1.9% OF TOTAL INVESTMENTS)
1,551 Georgia-Pacific Corporation, Term Loan B-2 7.110% 12/20/12 BB+ 1,468,935
3,940 Georgia-Pacific Corporation, Term Loan B 7.110% 12/20/12 BB+ 3,732,445
2,061 NewPage Corporation, Term Loan B 7.625% 5/02/11 Ba2 2,033,136
--------------------------------------------------------------------------------------------------------------------------------
7,552 Total Paper & Forest Products 7,234,516
--------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 1.2% (0.8% OF TOTAL INVESTMENTS)
862 Stiefel Laboratories Inc, Delayed Draw Term Loan 7.610% 12/28/13 BB- 849,503
1,128 Stiefel Laboratories Inc, Term Loan 7.610% 12/28/13 BB- 1,110,647
1,000 Stiefel Laboratories Inc, Second Lien Term Loan 10.360% 6/28/14 B- 995,000
--------------------------------------------------------------------------------------------------------------------------------
2,990 Total Pharmaceuticals 2,955,150
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 1.7% (1.0% OF TOTAL INVESTMENTS)
3,980 Landsource Holding Company LLC, Term Loan 8.110% 2/27/13 BB+ 3,747,835
--------------------------------------------------------------------------------------------------------------------------------
|
15
NSL
Nuveen Senior Income Fund (continued)
Portfolio of INVESTMENTS July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 2.9% (1.8% OF TOTAL INVESTMENTS)
$ 3,721 Capital Automotive LP., Term Loan 7.070% 12/15/10 BB+ $ 3,649,730
3,500 LNR Property Corporation, Term Loan B 8.110% 7/12/11 B+ 3,369,375
--------------------------------------------------------------------------------------------------------------------------------
7,221 Total Real Estate Management & Development 7,019,105
--------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 3.3% (2.0% OF TOTAL INVESTMENTS)
8,837 Swift Transportation, Term Loan 8.375% 5/10/14 BB- 7,887,205
--------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.3% (0.8% OF TOTAL INVESTMENTS)
1,355 Advanced Micro Devices, Term Loan 7.360% 12/31/13 Ba2 1,275,153
1,990 Freescale Semiconductor Inc., Term Loan 7.110% 3/30/14 Baa3 1,835,549
--------------------------------------------------------------------------------------------------------------------------------
3,345 Total Semiconductors & Equipment 3,110,702
--------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 1.2% (0.7% OF TOTAL INVESTMENTS)
2,923 Dealer Computer Services, Term Loan 7.360% 10/26/12 BB 2,842,250
--------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 8.5% (5.2% OF TOTAL INVESTMENTS)
983 Burlington Coat Factory Warehouse Corporation, 7.610% 5/28/11 B2 912,409
Term Loan
993 CSK Automotive Corporation, Term Loan 8.375% 7/29/10 Ba3 987,556
3,897 Michaels Stores Inc., Term Loan 7.625% 10/31/13 B 3,657,826
1,122 Micro Warehouse, Inc., Term Loan B, (5) (6) (9) 0.000% 1/30/07 N/R 165,826
3,969 Norwood Promotional Products, Term Loan A 11.750% 8/17/09 B 4,088,240
5,993 Norwood Promotional Products, Term Loan B 6.000% 8/17/11 B3 5,543,598
993 Sally Holdings LLC, Term Loan 7.860% 11/16/12 BB- 963,035
4,000 TRU 2005 RE Holding Co. I, LLC, Term Loan 8.320% 12/09/08 B3 3,960,000
--------------------------------------------------------------------------------------------------------------------------------
21,950 Total Specialty Retail 20,278,490
--------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,001 Visant Holding Corporation, Term Loan C 7.330% 7/29/10 Ba1 2,012,534
--------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.7% (1.0% OF TOTAL INVESTMENTS)
2,000 Ashtead Group Public Limited Company, Term Loan 7.125% 8/31/11 BB+ 2,000,000
393 Brenntag Holdings, Acquisition Facility 7.387% 1/20/14 B1 385,855
1,607 Brenntag Holdings, Term Loan B2 7.387% 1/20/14 B1 1,579,145
--------------------------------------------------------------------------------------------------------------------------------
4,000 Total Trading Companies & Distributors 3,965,000
--------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 1.6% (1.0% OF TOTAL INVESTMENTS)
4,000 Asurion Corporation, Term Loan 8.320% 8/01/12 N/R 3,745,000
--------------------------------------------------------------------------------------------------------------------------------
$ 381,018 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 354,878,815
$374,701,032)
================================================================================================================================
|
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 8.2% (5.1% OF TOTAL INVESTMENTS)
HOTELS, RESTAURANTS & LEISURE - 1.0% (0.6% OF TOTAL INVESTMENTS)
$ 2,400 Park Place Entertainment 8.875% 9/15/08 Ba1 $ 2,454,000
-----------------------------------------------------------------------------------------------------------------------------
MEDIA - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Cablevision Systems Corporation, Floating Rate 9.827% 4/01/09 B+ 2,020,000
Note, 4.500% plus six-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Verso Paper Holdings LLC., Floating Rate Note, 9.109% 8/01/14 B+ 1,970,000
3.750% plus three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 2.2% (1.4% OF TOTAL INVESTMENTS)
500 Avago Technologies Finance Pte Ltd., Floating 10.859% 6/01/13 B 510,000
Rate Note, 5.500% plus three-month LIBOR
5,000 NXP BV, Floating Rate Note, 2.750% plus 8.109% 10/15/13 Ba2 4,681,250
three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
5,500 Total Semiconductors & Equipment 5,191,250
-----------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 HanesBrands Inc., Floating Rate Note, 3.375% 8.702% 12/15/14 B2 1,970,000
plus six-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 2.6% (1.6% OF TOTAL INVESTMENTS)
6,000 Dobson Communications Corporation, Floating Rate 9.609% 10/15/12 Caa1 6,089,999
Note, 4.250% plus three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
$ 19,900 TOTAL CORPORATE BONDS (COST $19,782,919) 19,695,249
=============================================================================================================================
|
16
SHARES DESCRIPTION (1) VALUE
-------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 0.6% (0.4% OF TOTAL INVESTMENTS)
AUTO COMPONENTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
511 Gen Tek Inc., (6) 15,131
279,642 Metalforming Technologies Inc., (5) (6) (9) --
-------------------------------------------------------------------------------------------------------------------------
Total Auto Components 15,131
------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 0.6% (0.4% OF TOTAL INVESTMENTS)
34,834 Armstrong World Industries Inc., (6) 1,509,018
-------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $1,393,369) 1,524,149
============================================================================================================
|
SHARES DESCRIPTION (1) VALUE
-------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.1% (0.0% OF TOTAL INVESTMENTS)
545 Gen Tek Inc., Warrant Class B $ 19,620
268 Gen Tek Inc., Warrant Class C 9,246
5,672 Reliant Energy Inc., Warrant Class A 121,948
-------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $40,254) 150,814
------------------------------------------------------------------------------------------------------------
|
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
---------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.3% (2.7% OF TOTAL INVESTMENTS)
$ 10,207 Repurchase Agreement with Fixed Income Clearing 4.870% 8/01/07 $ 10,206,951
Corporation, dated 7/31/07, repurchase price
$10,208,332, collateralized by $10,545,000 U.S.
Treasury Bonds, 4.750%, due 2/15/37, value
$10,413,188
========== ------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $10,206,951) 10,206,951
============================================================================================================
TOTAL INVESTMENTS (COST $406,124,525) -- 161.8% 386,455,978
------------------------------------------------------------------------------------------------------------
BORROWINGS PAYABLE -- (43.1)% (10) (103,000,000)
------------------------------------------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES -- 0.6% 1,323,362
------------------------------------------------------------------------------------------------------------
PREFERRED SHARES, AT LIQUIDATION VALUE -- (19.3)% (46,000,000)
------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES -- 100% $ 238,779,340
============================================================================================================
|
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(3) Ratings (not covered by the report of independent registered public accounting firm):
Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard &
Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below
investment grade.
(4) Senior Loans in which the Fund invests generally pay interest at rates which are
periodically adjusted by reference to a base short-term, floating lending rate plus an
assigned fixed rate. These floating lending rates are generally (i) the lending rate
referenced by the London Inter-Bank Offered Rate ('LIBOR'), or (ii) the prime rate offered
by one or more major United States banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(5) At or subsequent to July 31, 2007, this issue was under the protection of the Federal
Bankruptcy Court.
(6) Non-income producing. Non-income producing, in the case of a Senior Loan, generally
denotes that the issuer has defaulted on the payment of principal or interest or has filed
for bankruptcy.
(7) Position or portion of position represents an unfunded Senior Loan commitment outstanding
at July 31, 2007.
(8) Negative value represents unrealized depreciation on Senior Loan commitment at July 31,
2007.
(9) Investment valued of fair value using methods determined in good faith by, or at the
discretion of, the Board of Trustees.
(10) Borrowings Payable as a percentage of total investments is (26.7)%.
N/R Not rated.
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.
PIK In lieu of cash payment, interest accrued on 'Payment in Kind' investment increases
principal outstanding.
TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details
associated with this purchase are not known prior to the settlement date of the
transaction. In addition, Senior Loans typically trade without accrued interest and
therefore a weighted average coupon rate is not available prior to settlement. At
settlement, if still unknown, the Borrower or counterparty will provide the Fund with the
final weighted average coupon rate and maturity date.
WI/DD Purchased on a when-issued or delayed delivery basis.
|
See accompanying notes to financial statements.
17
JFR
Nuveen Floating Rate Income Fund
Portfolio of INVESTMENTS
July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 152.3% (92.8% OF TOTAL INVESTMENTS) (4)
AEROSPACE & DEFENSE - 1.7% (1.0% OF TOTAL INVESTMENTS)
$ 5,030 Spirit Aerosystems Inc., Term Loan B 7.110% 12/31/11 BBB- $ 5,054,997
2,300 Transdigm Inc. - Term Loan B 7.360% 6/23/13 BB- 2,281,314
2,397 Vought Aircraft Industries, Inc., Term Loan 7.830% 12/22/11 Ba2 2,378,816
545 Vought Aircraft Industries, Inc., Tranche B, 7.820% 12/22/10 Ba2 541,364
Letter of Credit
--------------------------------------------------------------------------------------------------------------------------------
10,272 Total Aerospace & Defense 10,256,491
--------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 2.6% (1.6% OF TOTAL INVESTMENTS)
8,000 Northwest Airlines Inc., Term Loan 7.340% 8/01/13 BB 7,825,000
8,700 United Air Lines Inc., Term Loan B 7.375% 2/01/14 BB- 8,324,034
--------------------------------------------------------------------------------------------------------------------------------
16,700 Total Airlines 16,149,034
--------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 4.4% (2.7% OF TOTAL INVESTMENTS)
3,000 Delphi Automotive Systems Corporation, DIP Term 8.125% 12/31/07 BBB- 2,938,751
Loan (2nd)
17,662 Federal-Mogul Corporation, Term Loan A, (6) 0.000% 2/24/04 N/R 16,966,559
2,000 Federal-Mogul Corporation, Term Loan B, (6) 7.820% 2/24/05 N/R 1,923,750
6,000 Goodyear Tire & Rubber Company, Second Lien Term 7.100% 4/30/14 Ba1 5,767,500
Loan
--------------------------------------------------------------------------------------------------------------------------------
28,662 Total Auto Components 27,596,560
--------------------------------------------------------------------------------------------------------------------------------
BEVERAGES - 0.3% (0.2% OF TOTAL INVESTMENTS)
2,083 Constellation Brands, Inc., Incremental Term 6.875% 6/05/13 BB- 2,030,506
Loan
--------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 7.5% (4.5% OF TOTAL INVESTMENTS)
1,763 Atrium Companies Inc. Term Loan 8.606% 5/31/12 BB- 1,683,937
5,000 Building Materials Corporation of America, 11.125% 9/25/14 B 4,537,500
Second Lien Term Loan
8,955 Building Materials Corporation of America Term 8.125% 2/22/14 BB+ 8,328,202
Loan
14,588 Nortek, Inc., Term Loan B 7.615% 8/27/11 Ba2 14,058,703
7,325 Stile Acquisition Corporation, Canadien Term 7.360% 4/05/07 BB 6,831,979
Loan
7,337 Stile Acquisition Corporation, US Term Loan B 7.360% 4/05/13 BB 6,843,618
3,970 TFS Acquisition, Term Loan 8.860% 8/11/13 B+ 3,950,150
--------------------------------------------------------------------------------------------------------------------------------
48,938 Total Building Products 46,234,089
--------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.3% (0.8% OF TOTAL INVESTMENTS)
2,394 Ameritrade Holdings Corporation, Term Loan B 6.820% 12/31/12 Ba1 2,342,353
Facility
961 BNY ConvergEx Group Incremental Delayed Draw 1.500% 10/02/13 B+ (18,013)
Term Loan, (5) (7)
5,682 BNY Convergex Group LLC, Term Loan 8.360% 10/02/13 B+ 5,551,972
--------------------------------------------------------------------------------------------------------------------------------
9,037 Total Capital Markets 7,876,312
--------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 10.0% (6.1% OF TOTAL INVESTMENTS)
1,400 Celanese Holdings, LLC, Credit Linked Deposits 5.320% 4/02/13 BB 1,320,500
5,586 Celanese Holdings, LLC, Term Loan 7.110% 4/02/14 BB 5,268,793
1,882 Foamex LP, Term Loan B 7.600% 2/12/13 B+ 1,832,156
820 Headwaters Inc., 1st Lien Term Loan B 7.360% 4/30/11 BB+ 816,211
9,687 Hercules Inc., Term Loan 6.820% 10/08/10 BBB- 9,600,896
4,880 Hexion Specialty Chemicals, Term Loan C1 7.625% 5/05/13 Ba3 4,707,618
1,060 Hexion Specialty Chemicals, Term Loan C2 7.625% 5/05/13 Ba3 1,022,629
8,150 Huntsman International LLC, Term Loan 7.070% 4/19/14 BB+ 7,951,429
3,960 Ineos Group Holdings PLC, Tranche B2 7.580% 12/16/13 Ba2 3,849,120
3,960 Ineos Group Holdings PLC, Tranche C2 8.080% 12/16/14 Ba2 3,849,120
456 JohnsonDiversey Inc., Term Loan 7.860% 12/16/11 Ba2 439,672
1,466 Lucite International, Term Loan B-1 7.610% 7/07/13 BB- 1,407,463
519 Lucite International, Term Loan B-2 7.610% 7/07/13 BB- 498,321
6,948 Lyondell Petrochemical Company, Term Loan 6.856% 8/16/13 BB+ 6,832,436
12,675 Rockwood Specialties Group, Inc., Term Loan E 7.108% 7/30/12 BB 12,369,571
--------------------------------------------------------------------------------------------------------------------------------
63,449 Total Chemicals 61,765,935
--------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 4.5% (2.7% OF TOTAL INVESTMENTS)
7,871 Allied Waste North America, New Term Loan B 7.087% 1/15/12 BBB- 7,580,096
4,278 Allied Waste North America, LC Facility 0.000% 1/15/12 BBB- 4,109,673
4,211 Aramark Corporation, Term Loan 7.360% 1/26/14 BB- 3,974,503
|
18
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES (continued)
$ 296 Aramark, Letter of Credit 5.360% 1/26/14 BB- $ 277,769
995 NCO Financial Systems Inc., Term Loan 8.360% 5/15/13 BB- 985,050
2,388 Rental Service Corporation, Second Lien Term 8.860% 11/27/13 B- 2,375,585
Loan
5,500 Williams Scotsman, Inc., Term Loan B 6.820% 6/28/10 BB+ 5,362,500
1,362 Workflow Holdings Corporation, Term Loan 9.356% 11/30/11 BB- 1,314,066
1,795 Xerium Technologies Inc. Term Loan B 8.110% 5/18/12 B+ 1,714,019
--------------------------------------------------------------------------------------------------------------------------------
28,696 Total Commercial Services & Supplies 27,693,261
--------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,978 Aspect Software, Inc., Term Loan 8.360% 7/11/11 BB- 2,884,453
2,000 IPC Systems, Inc. Term Loan 7.610% 5/31/14 B+ 1,850,000
--------------------------------------------------------------------------------------------------------------------------------
4,978 Total Communications Equipment 4,734,453
--------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,963 Peach Holdings Inc., Term Loan 9.110% 11/21/13 B 2,947,688
--------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 4.7% (2.9% OF TOTAL INVESTMENTS)
499 Amscan Holdings Inc., Term Loan 7.604% 5/25/13 B1 483,788
1,140 Bluegrass Container Company LLC, Delayed Draw 7.596% 6/30/13 BB 1,117,675
1st Lien
3,810 Bluegrass Container Company, LLC, Term Loan B 7.599% 6/30/13 BB 3,735,387
19,552 Graham Packaging Company, L.P., Term Loan 7.625% 10/07/11 B+ 18,655,548
699 Smurfit-Stone Container Corporation, 7.475% 11/01/10 Ba2 683,309
Deposit-Funded Commitment
479 Smurfit-Stone Container Corporation, Tranche C-1 7.375% 11/01/11 Ba2 468,845
1,527 Smurfit-Stone Container Corporation, Term Loan C 7.375% 11/01/11 Ba2 1,493,949
2,762 Smurfit-Stone Container Corporation, Term Loan B 7.375% 11/01/11 Ba2 2,700,950
--------------------------------------------------------------------------------------------------------------------------------
30,468 Total Containers & Packaging 29,339,451
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 1.3% (0.8% OF TOTAL INVESTMENTS)
8,587 West Corporation, Term Loan 7.753% 10/24/13 BB- 8,277,164
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 3.7% (2.2% OF TOTAL INVESTMENTS)
1,966 NASDAQ Stock Market, Inc., Tranche C Term Loan 7.070% 4/18/12 BBB- 1,911,589
3,391 NASDAQ Stock Market, Inc., Tranche B Term Loan 7.070% 4/18/12 BBB- 3,297,681
17,880 Neilsen Finance LLC, Term Loan, WI/DD TBD TBD Ba3 17,443,478
--------------------------------------------------------------------------------------------------------------------------------
23,237 Total Diversified Financial Services 22,652,748
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 8.9% (5.4% OF TOTAL INVESTMENTS)
5,985 Cequel Communications LLC., Term Loan B 7.360% 11/05/13 BB- 5,720,164
3,000 Charter Communications Operating, LLC, Holdco 7.860% 9/06/14 B1 2,868,750
Term Loan
1,000 Choice One Communications, Term Loan 8.875% 6/30/12 B1 970,000
5,985 Crown Castle Operating Company, Term Loan 6.839% 3/06/14 BBB- 5,640,863
16,873 Intelsat Corporation, Tranche B-2 Term Loan 7.360% 7/03/13 BB+ 16,415,534
5,920 Intelsat Corporation Term Loan, WI/DD TBD TBD BB+ 5,764,965
6,800 Level 3 Financing, Term Loan 7.610% 3/13/14 B+ 6,539,336
5,950 MetroPCS Wireless Inc., Term Loan 7.625% 11/03/13 Ba3 5,801,274
5,500 Qwest Corporation, Term Loan B 6.950% 6/30/10 BBB- 5,441,563
--------------------------------------------------------------------------------------------------------------------------------
57,013 Total Diversified Telecommunication Services 55,162,449
--------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 3.1% (1.9% OF TOTAL INVESTMENTS)
17,733 Calpine Corporation DIP Term Loan 7.610% 3/29/09 N/R 17,227,197
2,222 Calpine Corporation DIP Revolver, (5) (7) 0.250% 3/29/09 N/R (55,556)
188 MACH Gen LLC, Term Loan Synthetic Letter of 7.360% 2/22/13 B+ 181,969
Credit
1,803 MACH Gen LLC, Term Loan 7.360% 2/22/14 B+ 1,750,236
--------------------------------------------------------------------------------------------------------------------------------
21,946 Total Electric Utilities 19,103,846
--------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.1% (0.1% OF TOTAL INVESTMENTS)
990 Sensata Technologies B.V., US Term Loan 7.110% 4/27/13 BB 960,197
--------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.1% (0.1% OF TOTAL INVESTMENTS)
1,000 Petroleum Geo-Services, Term Loan 7.110% 6/28/15 Ba2 965,000
--------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 0.6% (0.4% OF TOTAL INVESTMENTS)
3,920 Supervalu Term Loan B 6.860% 6/02/12 BB- 3,816,194
--------------------------------------------------------------------------------------------------------------------------------
|
19
JFR
Nuveen Floating Rate Income Fund (continued)
Portfolio of INVESTMENTS July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
$ 465 Dole Foods Company Inc., Deposit-Funded 5.230% 4/12/13 BB- $ 440,698
Commitment
1,033 Dole Foods Company Inc., Term Loan B 7.537% 4/12/13 BB- 979,175
3,445 Dole Foods Company Inc., Term Loan C 7.451% 4/12/13 BB- 3,263,917
--------------------------------------------------------------------------------------------------------------------------------
4,943 Total Food Products 4,683,790
--------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.1% (0.1% OF TOTAL INVESTMENTS)
1,000 Energy Transfer Equity LP, Term Loan 7.106% 11/01/12 BBB- 968,572
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,802 Kinetic Concepts Inc., Term Loan B-2 6.860% 8/11/10 BBB- 2,804,199
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 10.5% (6.4% OF TOTAL INVESTMENTS)
5,000 Community Health Systems, Inc., First Lien Term TBD TBD BB 4,779,465
Loan, WI/DD
4,745 Davita Inc., Term Loan B-1 6.863% 10/05/12 BB+ 4,503,627
10,945 HCA, Inc., Term Loan 7.610% 11/18/13 BB 10,585,643
9,975 Health Management Associates, Inc., Term Loan 7.110% 2/28/14 Ba2 9,725,625
2,293 HealthSouth Corporation, Term Loan 7.860% 3/10/14 BB- 2,237,095
2,402 IASIS Healthcare, LLC, Delayed Term Loan (5) 5.703% 3/14/14 Ba2 2,256,311
866 IASIS Healthcare, LLC LC Facility 5.220% 3/14/14 Ba2 826,773
9,478 IASIS Healthcare, LLC, Term Loan 7.360% 3/14/14 Ba2 9,051,147
1,990 Invacare Corporation, Term Loan B 7.604% 2/12/13 Ba2 1,912,888
3,930 LifeCare, Term Loan B 8.360% 8/11/12 B 3,661,443
546 LifePoint Hospitals, Inc., Term Loan B 6.985% 4/15/14 BB 520,807
2,931 Select Medical Corporation, Term Loan 7.362% 2/24/12 Ba2 2,867,696
12,708 Vanguard Health Holding Company II, LLC, 7.610% 9/23/11 Ba3 12,263,096
Replacement Term Loan
--------------------------------------------------------------------------------------------------------------------------------
67,809 Total Health Care Providers & Services 65,191,616
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE TECHNOLOGY - 0.3% (0.2% OF TOTAL INVESTMENTS)
1,950 Emdeon Business Services Term Loan 7.610% 11/16/13 BB- 1,886,881
--------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 11.6% (7.1% OF TOTAL INVESTMENTS)
9,327 24 Hour Fitness Worldwide, Inc., Term Loan B 7.870% 6/08/12 Ba3 9,233,533
3,141 Ameristar Casinos, Inc., Term Loan B 6.820% 11/10/12 BBB- 3,109,959
1,256 Burger King Corporation, Term Loan B 6.875% 6/30/12 BB+ 1,223,342
778 CBRL Group, Inc., Term Loan B-1 6.860% 4/28/13 BB 750,311
61 CBRL Group, Inc., Term Loan B-2 Delayed Draw 3.795% 4/28/13 BB 56,050
4,950 Cedar Fair LP, Term Loan 7.320% 8/30/12 BB 4,787,749
961 Green Valley Ranch Gaming, Term Loan B 7.360% 2/16/14 BB- 937,108
4,528 Intrawest Corporation, Term Loan 7.327% 12/31/07 N/R 4,539,432
4,000 Orbitz Worldwide Inc., Term Loan, 8.340% 7/25/14 BB- 3,995,000
7,855 Penn National Gaming, Inc., Term Loan B 7.110% 10/03/12 BBB- 7,736,267
1,749 Seminole Tribe of Florida, Term B-2 Delay Draw 6.875% 3/05/14 BBB- 1,685,587
1,733 Seminole Tribe of Florida, Term B-3 Delay Draw 6.875% 3/05/14 BBB- 1,669,980
259 Seminole Tribe of Florida, Term B-1 Delay Draw, 3.813% 3/05/14 BBB- 240,324
(5)
2,000 Travelport LLC (aka TDS Investor Corporation) 0.000% 8/23/13 B (90,000)
Delayed Term Loan, (5) (7)
981 Travelport LLC, LC Facility 7.860% 8/23/13 BB- 961,046
4,891 Travelport LLC, Term Loan 7.820% 8/23/13 BB- 4,789,652
1,960 Trump International, Term Loan B2 7.861% 5/20/12 BB- 1,910,976
1,960 Trump International, Term Loan B-1 7.900% 5/20/12 BB- 1,910,976
9,255 Universal City Development Partners, Ltd., Term 7.360% 6/09/11 Ba1 9,023,182
Loan
3,000 Venetian Casino Resort, LLC (Las Vegas Sands, 0.750% 5/23/14 BB (124,167)
Inc.) Delayed Term Loan, (5) (7)
12,000 Venetian Casino Resort, LLC, Term Loan 7.110% 5/23/14 BB 11,503,332
1,990 Worldspan LP, Term Loan 8.608% 12/07/13 Ba3 1,970,100
--------------------------------------------------------------------------------------------------------------------------------
78,635 Total Hotels, Restaurants & Leisure 71,819,739
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.3% (0.2% OF TOTAL INVESTMENTS)
1,944 Rent-A-Center Inc., Term Loan B 7.110% 6/30/12 BB+ 1,906,534
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.7% (1.1% OF TOTAL INVESTMENTS)
8,134 Prestige Brands, Inc., Term Loan B 7.630% 4/06/11 BB- 7,950,855
2,806 Solo Cup Company, Term Loan 8.837% 2/27/11 B1 2,742,511
--------------------------------------------------------------------------------------------------------------------------------
10,940 Total Household Products 10,693,366
--------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 2.0% (1.2% OF TOTAL INVESTMENTS)
1,674 Covanta Energy Corporation, Term Loan 6.875% 2/09/14 BB 1,639,050
822 Covanta Energy Corporation Synthetic Letter of 6.713% 2/09/14 BB 805,292
Credit
3,154 NRG Energy Inc., Credit Linked Deposits 7.110% 2/01/13 Ba1 3,053,775
|
20
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (continued)
$ 2,331 NRG Energy, Inc. Holdco Term Loan, (5) (7) 0.500% 2/01/13 BB $ (54,777)
7,596 NRG Energy Inc., Term Loan 7.110% 2/01/13 Ba1 7,355,845
--------------------------------------------------------------------------------------------------------------------------------
15,577 Total Independent Power Producers & Energy 12,799,185
Traders
--------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.6% (1.5% OF TOTAL INVESTMENTS)
16,690 Conseco, Inc., Term Loan 7.320% 10/10/13 BB- 16,064,008
--------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,985 Riverdeep Interactive Learning USA Inc., Term 8.110% 12/20/13 B1 2,895,399
Loan
--------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 3.5% (2.1% OF TOTAL INVESTMENTS)
1,361 Infor Global Solutions, Term Loan DD 9.110% 7/28/12 B+ 1,337,323
2,609 Infor Global Solutions, Term Loan 9.110% 7/28/12 B+ 2,563,202
18,521 SunGard Data Systems Inc., Term Loan B 7.356% 2/28/14 BB 17,828,012
--------------------------------------------------------------------------------------------------------------------------------
22,491 Total IT Services 21,728,537
--------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.6% (1.0% OF TOTAL INVESTMENTS)
10,025 Bombardier Recreational Products, Term Loan 7.860% 6/28/13 B+ 9,818,544
--------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.2% (0.7% OF TOTAL INVESTMENTS)
2,567 Navistar International Term Loan 8.610% 1/19/12 BB- 2,457,583
933 Navistar International Synthetic Letter of 7.873% 1/19/12 BB- 893,667
Credit
3,980 Oshkosh Truck Corporation, Term Loan 7.110% 12/06/13 BBB- 3,854,071
--------------------------------------------------------------------------------------------------------------------------------
7,480 Total Machinery 7,205,321
--------------------------------------------------------------------------------------------------------------------------------
MARINE - 0.6% (0.4% OF TOTAL INVESTMENTS)
3,855 Horizon Lines, LLC, Term Loan 7.570% 7/11/11 Ba1 3,835,846
--------------------------------------------------------------------------------------------------------------------------------
MEDIA - 27.2% (16.6% OF TOTAL INVESTMENTS)
2,000 American Media Operations, Inc., Term Loan 8.590% 1/30/13 B1 1,880,000
3,304 Blockbuster, Inc., Tranche B TL 8.640% 8/20/11 B+ 3,241,043
2,928 Cablevision Systems Corporation, Incremental 7.070% 3/29/13 BB 2,819,540
Term Loan
11,700 Charter Communications Operating, LLC, Term Loan 7.360% 3/06/14 B+ 11,150,100
4,101 Clear Channel Entertainment, Term Loan 8.100% 6/20/13 BB- 3,978,314
7,960 Idearc Inc., Term Loan B 7.360% 11/17/14 BBB- 7,621,700
1,000 Local TV Finance LLC, Term Loan 7.360% 5/07/13 Ba3 930,000
13,783 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 8.610% 4/08/12 B+ 13,056,116
1,184 Nextmedia Operating Inc., Delayed Draw 7.320% 11/15/12 B+ 1,134,108
2,670 Nextmedia Operating Inc., First Lien Term Loan 7.320% 11/15/12 B+ 2,556,356
4,769 Philadelphia Newspapers, Term Loan 8.110% 6/29/13 N/R 4,625,618
6,403 Primedia Inc., Term Loan 7.570% 9/30/13 BB 6,367,488
4,779 ProQuest Company, Term Loan B 8.334% 2/09/14 N/R 4,755,271
2,276 R. H. Donnelley Inc., Term Loan D-2 6.860% 6/30/11 Ba1 2,205,224
998 Readers Digest Association, Term Loan B 7.347% 3/02/14 B+ 927,675
10,278 Regal Cinemas Corporation, Term Loan 6.860% 10/27/13 Ba2 10,006,545
978 Spanish Broadcasting System Inc., Term Loan B 7.110% 6/10/12 B1 967,725
11,000 Thomson Learning Center, Term Loan 8.070% 7/05/14 B+ 10,362,000
5,600 Tribune Company, Term Loan X 7.860% 5/17/09 BB+ 5,500,001
25,000 Tribune Company, Term Loan B 8.360% 5/17/14 BB+ 22,785,712
1,510 Univision Communications, Delayed Term Loan, (5) 1.000% 9/29/14 B+ (111,084)
(7)
5,000 Univision Communications, Second Lien Term Loan 7.820% 3/29/09 B3 4,885,000
23,490 Univision Communications, Term Loan 7.610% 9/29/14 Ba3 21,761,955
3,000 UPC Broadband Holding BV, Term Loan N 7.130% 12/31/14 Ba3 2,906,250
427 Valassis Communications, Inc. Delayed Draw Term, 1.000% 3/02/14 BB (17,600)
(5) (7)
1,436 Valassis Communications, Inc., Tranche B Term 7.110% 3/02/14 BB 1,376,829
Loan
15,291 WMG Acquisition Corp., Term Loan 7.360% 2/28/11 Ba2 14,968,323
6,025 Yell Group, Term Loan 7.320% 10/27/12 Ba3 5,942,156
--------------------------------------------------------------------------------------------------------------------------------
178,890 Total Media 168,582,365
--------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.5% (0.9% OF TOTAL INVESTMENTS)
2,768 Amsted Industries Incorporated, Delayed Term 7.360% 4/05/13 BB 2,643,335
Loan
3,809 Amsted Industries Incorporated, Term Loan 7.360% 4/05/13 BB 3,665,801
1,000 Edgen Murray II, L.P., Term Loan 8.110% 5/11/14 B 989,688
1,920 John Maneely Company, Term Loan 8.638% 12/08/11 B+ 1,725,565
--------------------------------------------------------------------------------------------------------------------------------
9,497 Total Metals & Mining 9,024,389
--------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 1.3% (0.8% OF TOTAL INVESTMENTS)
8,228 Neiman Marcus Group Inc., Term Loan 7.356% 4/06/13 Ba3 7,897,154
--------------------------------------------------------------------------------------------------------------------------------
|
21
JFR
Nuveen Floating Rate Income Fund (continued)
Portfolio of INVESTMENTS July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 1.2% (0.7% OF TOTAL INVESTMENTS)
$ 1,995 Brand Services Inc., Term Loan B 7.625% 2/07/14 B1 $ 1,888,601
301 Coffeyville Resources LLC, Credit Linked 8.360% 12/28/10 B+ 286,883
Deposits
1,545 Coffeyville Resources LLC., Term Loan 8.437% 12/28/10 B+ 1,474,827
1,165 El Paso Corporation, LC Facility 7.320% 7/31/11 Ba1 1,124,455
484 Targa Resources Inc., Synthetic Letter of Credit 7.350% 10/31/12 B+ 479,940
1,981 Targa Resources Inc., Term Loan B 7.332% 10/31/12 B+ 1,964,753
--------------------------------------------------------------------------------------------------------------------------------
7,471 Total Oil, Gas & Consumable Fuels 7,219,459
--------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.3% (2.0% OF TOTAL INVESTMENTS)
4,652 Georgia-Pacific Corporation, Term Loan B-2 7.110% 12/20/12 BB+ 4,406,806
11,820 Georgia-Pacific Corporation, Term Loan B 7.110% 12/20/12 BB+ 11,197,334
2,061 NewPage Corporation, Term Loan B 7.625% 5/02/11 Ba2 2,033,136
2,885 Ply Gem Industries Inc., Term Loan B3 8.110% 8/15/11 BB- 2,730,851
108 Ply Gem Industries Inc., Canadien Term Loan 8.110% 8/15/11 B+ 102,046
--------------------------------------------------------------------------------------------------------------------------------
21,526 Total Paper & Forest Products 20,470,173
--------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 1.0% (0.6% OF TOTAL INVESTMENTS)
1,725 Stiefel Laboratories Inc, Delayed Term Loan 7.610% 12/28/13 BB- 1,699,006
2,255 Stiefel Laboratories Inc, Term Loan 7.610% 12/28/13 BB- 2,221,294
1,868 Warner Chilcott Corporation, Tranche B 7.359% 1/18/12 BB- 1,812,743
Acquisition
515 Warner Chilcott Corporation, Tranche C 7.360% 1/18/12 BB- 499,394
--------------------------------------------------------------------------------------------------------------------------------
6,363 Total Pharmaceuticals 6,232,437
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 3.6% (2.2% OF TOTAL INVESTMENTS)
7,303 Capital Automotive, Term Loan 7.070% 12/15/10 BB+ 7,162,659
16,000 LNR Property Corporation, Term Loan B 8.110% 7/12/11 B+ 15,402,856
--------------------------------------------------------------------------------------------------------------------------------
23,303 Total Real Estate Management & Development 22,565,515
--------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 4.5% (2.7% OF TOTAL INVESTMENTS)
667 Hertz LC Facility 5.360% 12/21/12 BB+ 647,778
3,715 Hertz Term Loan 7.101% 12/21/12 BB+ 3,609,442
26,512 Swift Transportation, Term Loan 8.375% 5/10/14 BB- 23,661,626
--------------------------------------------------------------------------------------------------------------------------------
30,894 Total Road & Rail 27,918,846
--------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.8% (1.1% OF TOTAL INVESTMENTS)
8,806 Advanced Micro Devices Inc., Term Loan 7.360% 12/31/13 Ba2 8,288,492
2,985 Freescale Semiconductor Inc., Term Loan 7.110% 3/30/14 Baa3 2,753,324
--------------------------------------------------------------------------------------------------------------------------------
11,791 Total Semiconductors & Equipment 11,041,816
--------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 2.3% (1.4% OF TOTAL INVESTMENTS)
8,761 Dealer Computer Services, Term Loan 7.360% 10/26/12 BB 8,519,626
6,000 Dealer Computer Services, Second Lien Term Loan 10.860% 10/26/13 B3 5,970,000
--------------------------------------------------------------------------------------------------------------------------------
14,761 Total Software 14,489,626
--------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 6.4% (3.9% OF TOTAL INVESTMENTS)
983 Burlington Coat Factory Warehouse Corporation, 7.610% 5/28/11 B2 912,409
Term Loan
5,955 CSK Automotive Corporation, Term Loan 8.375% 7/29/10 Ba3 5,925,337
1,228 J Crew Operating Corporation Term Loan 7.106% 5/15/13 BB- 1,203,253
12,665 Michaels Stores Inc., Term Loan 7.625% 10/31/13 B 11,887,759
5,955 Sally Holdings LLC, Term Loan 7.860% 11/16/12 BB- 5,778,211
11,000 TRU 2005 RE Holding Co. 1, Term Loan 8.320% 12/09/08 B3 10,890,000
3,000 Toys "R" Us, Delaware Inc., Term Loan 9.610% 7/19/12 BB- 2,977,500
--------------------------------------------------------------------------------------------------------------------------------
40,786 Total Specialty Retail 39,574,469
--------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 1.2% (0.7% OF TOTAL INVESTMENTS)
3,704 HanesBrands Inc., Term Loan 7.104% 9/05/13 BB 3,592,001
2,000 HanesBrands Inc., Second Lien Term Loan 9.110% 3/05/14 BB 1,959,000
1,819 Visant Corporation, Term Loan C 7.330% 7/29/10 Ba1 1,829,576
--------------------------------------------------------------------------------------------------------------------------------
7,523 Total Textiles, Apparel & Luxury Goods 7,380,577
--------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.3% (0.8% OF TOTAL INVESTMENTS)
2,000 Ashtead Group Public Limited Company, Term Loan 7.125% 8/31/11 BB+ 2,000,000
393 Brenntag Holdings, Acquisition Facility 7.387% 1/20/14 B1 385,855
1,607 Brenntag Holdings, Facility B2 7.387% 1/20/14 B+ 1,579,145
|
22
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS (continued)
$ 1,219 United Rentals Inc., Tranche B Credit Linked 5.320% 2/13/11 Ba1 $ 1,198,208
Deposit
3,122 United Rentals Inc., Term Loan B 7.320% 2/14/11 Ba1 3,069,133
--------------------------------------------------------------------------------------------------------------------------------
8,341 Total Trading Companies & Distributors 8,232,341
--------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 1.8% (1.1% OF TOTAL INVESTMENTS)
12,000 Asurion Corporation, Term Loan 8.320% 8/01/12 N/R 11,235,000
--------------------------------------------------------------------------------------------------------------------------------
$ 993,439 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 943,727,082
$978,461,365)
================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 11.0% (6.7% OF TOTAL INVESTMENTS)
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
$ 5,000 Qwest Corporation, Floating Rate Note, 3.250% 8.609% 6/15/13 BB $ 5,200,000
plus three-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,000 Williams Companies Inc., Floating Rate Note, 7.359% 10/01/10 BB+ 5,031,250
2.000% plus three-month LIBOR, 144A
--------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,528 Dole Food Company 7.250% 5/01/09 B- 1,482,160
1,780 Dole Food Company 8.875% 3/15/11 B- 1,664,300
--------------------------------------------------------------------------------------------------------------------------------
3,308 Total Food Products 3,146,460
--------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 1.3% (0.8% OF TOTAL INVESTMENTS)
7,900 Mohegan Tribal Gaming 8.000% 4/01/12 Ba2 8,038,250
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.3% (0.2% OF TOTAL INVESTMENTS)
2,000 K. Hovnanian Enterprises Inc. 10.500% 10/01/07 BB 2,010,000
--------------------------------------------------------------------------------------------------------------------------------
MEDIA - 1.6% (1.0% OF TOTAL INVESTMENTS)
10,000 Cablevision Systems Corporation, Floating Rate 9.827% 4/01/09 B+ 10,100,000
Note, 4.500% plus six-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.7% (0.4% OF TOTAL INVESTMENTS)
500 Verso Paper Holdings LLC., Series B 9.125% 8/01/14 B+ 503,750
4,000 Verso Paper Holdings LLC., Floating Rate Note, 9.109% 8/01/14 B+ 3,940,000
3.750% plus three-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
4,500 Total Paper & Forest Products 4,443,750
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.7% (0.4% OF TOTAL INVESTMENTS)
4,000 Felcor Lodging LP, Floating Rate Note, 1.875% 7.202% 12/01/11 Ba3 3,985,000
plus six-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.2% (0.1% OF TOTAL INVESTMENTS)
2,000 Saint Acquisition Corporation, Floating Rate 13.109% 5/15/15 B 1,430,000
Note, 7.750% plus three-month LIBOR, 144A
--------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 3.7% (2.3% OF TOTAL INVESTMENTS)
7,000 Avago Technologies Finance Pte. Ltd., Floating 10.859% 6/01/13 B 7,140,000
Rate Note, 5.500% plus three-month LIBOR
16,000 NXP BV, Floating Rate Note, 2.750% plus 8.109% 10/15/13 Ba2 14,980,000
three-month LIBOR
1,000 Spansion LLC., Floating Rate Note, 3.125% plus 8.484% 6/01/13 B+ 935,000
three-month LIBOR, 144A
--------------------------------------------------------------------------------------------------------------------------------
24,000 Total Semiconductors & Equipment 23,055,000
--------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.2% (0.1% OF TOTAL INVESTMENTS)
1,000 HanesBrands Inc., Floating Rate Note, 3.375% 8.702% 12/15/14 B2 985,000
plus six-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.2% (0.1% OF TOTAL INVESTMENTS)
1,000 Dobson Communications Corporation, Floating Rate 9.609% 10/15/12 Caa1 1,015,000
Note, 4.250% plus three-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
$ 69,708 TOTAL CORPORATE BONDS (COST $70,639,437) 68,439,710
================================================================================================================================
|
SHARES DESCRIPTION (1) VALUE
-------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.1% (0.1% OF TOTAL INVESTMENTS)
36,521 Reliant Energy Inc. Warrant Class A $ 785,202
-------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $257,912) 785,202
============================================================================================================
|
23
JFR
Nuveen Floating Rate Income Fund (continued)
Portfolio of INVESTMENTS July 31, 2007
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
---------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.7% (0.4% OF TOTAL INVESTMENTS)
$ 4,122 Repurchase Agreement with Fixed Income Clearing 4.870% 8/01/07 $ 4,121,816
Corporation, dated 7/31/07, repurchase price
$4,122,374, collateralized by $4,195,000 U.S.
Treasury Notes, 4.500%, due 11/30/11, value
$4,205,488
========== ------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $4,121,816) 4,121,816
============================================================================================================
TOTAL INVESTMENTS (COST $1,053,480,530) -- 164.1% 1,017,073,810
------------------------------------------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES - 0.4% 2,769,304
------------------------------------------------------------------------------------------------------------
PREFERRED SHARES, AT LIQUIDATION VALUE -- (64.5)% (400,000,000)
------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES -- 100% $ 619,843,114
============================================================================================================
|
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(3) Ratings (not covered by the report of independent registered public accounting firm):
Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard &
Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below
investment grade.
(4) Senior Loans in which the Fund invests generally pay interest at rates which are
periodically adjusted by reference to a base short-term, floating lending rate plus an
assigned fixed rate. These floating lending rates are generally (i) the lending rate
referenced by the London Inter-Bank Offered Rate ('LIBOR'), or (ii) the prime rate offered
by one or more major United States banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(5) Position or portion of position represents an unfunded Senior Loan commitment outstanding
at July 31, 2007.
(6) At or subsequent to July 31, 2007, this issue was under the protection of the Federal
Bankruptcy Court.
(7) Negative value represents unrealized depreciation on Senior Loan commitment at July 31,
2007.
N/R Not rated.
144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as
amended. These investments may only be resold in transactions exempt from registration
which are normally those transactions with qualified institutional buyers.
TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details
associated with this purchase are not known prior to the settlement date of the
transaction. In addition, Senior Loans typically trade without accrued interest and
therefore a weighted average coupon rate is not available prior to settlement. At
settlement, if still unknown, the Borrower or counterparty will provide the Fund with the
final weighted average coupon rate and maturity date.
WI/DD Purchased on a when-issued or delayed delivery basis.
|
See accompanying notes to financial statements.
24
JRO
Nuveen Floating Rate Income Opportunity Fund
Portfolio of INVESTMENTS
July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
----------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 144.7% (87.2% OF TOTAL INVESTMENTS) (4)
AEROSPACE & DEFENSE - 0.3% (0.2% OF TOTAL INVESTMENTS)
$ 1,150 Transdigm Inc. - Term Loan B 7.360% 6/23/13 BB- $ 1,140,657
----------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 3.5% (2.1% OF TOTAL INVESTMENTS)
2,000 Delta Air Lines, Second Lien Term Loan 8.610% 4/30/14 B 1,973,500
5,000 Northwest Airlines Inc., Term Loan 7.340% 8/01/13 BB 4,890,625
6,500 United Air Lines Inc., Term Loan B 7.375% 2/01/14 BB- 6,219,106
----------------------------------------------------------------------------------------------------------------------------------
13,500 Total Airlines 13,083,231
----------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 3.3% (2.0% OF TOTAL INVESTMENTS)
1,452 Accuride Corporation, Term Loan 7.375% 1/31/12 BB- 1,410,925
5,230 Federal-Mogul Corporation, Revolver, (6) 6.824% 2/05/05 N/R 4,987,982
4,000 Goodyear Tire & Rubber Company, Second Lien Term 7.100% 4/30/14 Ba1 3,845,000
Loan
1,988 Lear Corporation, Term Loan 7.846% 4/25/12 B+ 1,957,351
----------------------------------------------------------------------------------------------------------------------------------
12,670 Total Auto Components 12,201,258
----------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 7.2% (4.3% OF TOTAL INVESTMENTS)
1,763 Atrium Companies Inc. Term Loan 8.606% 5/31/12 BB- 1,683,937
3,000 Building Materials Corporation of America Second 11.125% 9/25/14 B 2,722,500
Lien Term Loan
4,975 Building Materials Corporation of America, Term 8.125% 2/22/14 BB+ 4,626,779
Loan
9,725 Nortek, Inc., Term Loan B 7.615% 8/27/11 Ba2 9,372,469
2,930 Stile Acquisition Corporation, Canadien Term Loan 7.360% 4/05/07 BB 2,732,792
2,935 Stile Acquisition Corporation, US Term Loan B 7.360% 4/05/13 BB 2,737,447
2,978 TFS Acquisition, Term Loan 8.860% 8/11/13 B+ 2,962,613
----------------------------------------------------------------------------------------------------------------------------------
28,306 Total Building Products 26,838,537
----------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.5% (0.9% OF TOTAL INVESTMENTS)
2,302 Ameritrade Holdings Corporation, Term Loan B 6.820% 12/31/12 Ba1 2,251,723
Facility
480 BNY ConvergEx Group Incremental Delayed Draw Term 1.500% 10/02/13 B+ (9,006)
Loan, (5) (7)
3,305 BNY Convergex Group LLC, Term Loan 8.360% 10/02/13 B+ 3,229,632
----------------------------------------------------------------------------------------------------------------------------------
6,087 Total Capital Markets 5,472,349
----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 7.8% (4.7% OF TOTAL INVESTMENTS)
800 Celanese Holdings, LLC, Credit Linked Deposits 5.320% 4/02/13 BB 754,571
3,192 Celanese Holdings, LLC, Term Loan 7.110% 4/02/14 BB 3,010,739
1,882 Foamex LP, Term Loan B 7.600% 2/12/13 B+ 1,832,156
820 Headwaters Inc., 1st Lien Term Loan B 7.360% 4/30/11 BB+ 816,211
3,000 Hercules Offshore Inc., Term Loan 7.110% 7/11/13 Ba3 2,925,000
2,440 Hexion Specialty Chemicals, Term Loan C1 7.625% 5/05/13 Ba3 2,353,809
530 Hexion Specialty Chemicals, Term Loan C2 7.625% 5/05/13 Ba3 511,314
5,349 Huntsman International LLC, Term Loan 7.070% 4/19/14 BB+ 5,218,345
1,265 JohnsonDiversey Inc., Delayed Term Loan 7.860% 12/16/10 Ba2 1,221,022
1,466 Lucite International, Term Loan B-1 7.610% 7/07/13 BB- 1,407,463
519 Lucite International, Term Loan B-2 7.610% 7/07/13 BB- 498,321
993 Lyondell Petrochemical Company, Term Loan 6.856% 8/16/13 BB+ 976,062
7,800 Rockwood Specialties Group, Inc., Term Loan E 7.108% 7/30/12 BB 7,612,043
----------------------------------------------------------------------------------------------------------------------------------
30,056 Total Chemicals 29,137,056
----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 2.8% (1.7% OF TOTAL INVESTMENTS)
5,122 Allied Waste North America, New Term Loan B 7.087% 1/15/12 BBB- 4,932,682
2,784 Allied Waste North America LC Facility 0.000% 1/15/12 BBB- 2,674,358
28 Cenveo Corporation Delayed, Term Loan 7.110% 6/21/13 BB- 27,552
963 Cenveo Term Loan, WI/DD TBD TBD BB- 964,653
995 NCO Group Inc., Term Loan 8.360% 5/15/13 BB- 985,050
1,021 Workflow Management, Inc., Term Loan 9.356% 11/30/11 BB- 985,550
----------------------------------------------------------------------------------------------------------------------------------
10,913 Total Commercial Services & Supplies 10,569,845
----------------------------------------------------------------------------------------------------------------------------------
|
25
JRO
Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of INVESTMENTS July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
----------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.8% (0.5% OF TOTAL INVESTMENTS)
$ 2,978 Aspect Software, Inc. Term Loan 8.360% 7/11/11 BB- $ 2,884,453
----------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,975 Peach Holdings, Term Loan 9.110% 11/21/13 B 1,965,125
----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 6.7% (4.0% OF TOTAL INVESTMENTS)
499 Amscan Holdings Inc., Term Loan 7.604% 5/25/13 B1 483,788
684 Bluegrass Container Company LLC, Delayed Draw 1st 7.596% 6/30/13 BB 670,605
Lien
3,030 Bluegrass Container Company, LLC, 2nd Lien Term 10.320% 12/31/13 BB 2,990,530
Loan
970 Bluegrass Container Company, LLC, Delayed Draw, 10.320% 12/31/13 B 956,970
2nd Lien
2,286 Bluegrass Container Company, LLC, Term Loan B 7.599% 6/30/13 BB 2,241,232
13,704 Graham Packaging Company, L.P., Term Loan 7.625% 10/07/11 B+ 13,076,226
611 Smurfit-Stone Container Corporation, 7.475% 11/01/10 Ba2 597,895
Deposit-Funded Commitment
419 Smurfit-Stone Container Corporation, Tranche C-1 7.375% 11/01/11 Ba2 410,239
1,337 Smurfit-Stone Container Corporation, Term Loan C 7.375% 11/01/11 Ba2 1,307,205
2,416 Smurfit-Stone Container Corporation, Term Loan B 7.375% 11/01/11 Ba2 2,363,331
----------------------------------------------------------------------------------------------------------------------------------
25,956 Total Containers & Packaging 25,098,021
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 0.9% (0.5% OF TOTAL INVESTMENTS)
3,435 West Corporation, Term Loan 7.753% 10/24/13 BB- 3,310,865
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 3.1% (1.9% OF TOTAL INVESTMENTS)
11,933 Neilsen Finance LLC, Term Loan, WI/DD TBD TBD Ba3 11,641,180
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 10.3% (6.2% OF TOTAL INVESTMENTS)
5,990 Cequel Communications LLC., Term Loan B, WI/DD TBD TBD BB- 5,724,943
3,000 Charter Communications Operating, LLC, Holdco Term 7.860% 9/06/14 B1 2,868,750
Loan
1,000 Choice One Communications, Term Loan B 8.875% 6/30/12 B1 970,000
2,993 Crown Castle International Corporation, Term Loan 6.839% 3/06/14 BBB- 2,820,431
10,945 Intelsat, Ltd., Tranche B-2 Term Loan, WI/DD TBD TBD BB+ 10,648,571
3,960 Intelsat Limited Term Loan 7.360% 7/01/13 BB+ 3,856,233
2,000 Intelsat Limited Unsecured Term Loan 7.855% 2/01/14 BB 1,954,108
1,500 Iowa Telecommunications Services, Inc., Term Loan 7.110% 11/23/11 BB- 1,474,688
B
4,533 Level 3 Financing Incorporated, Term Loan 7.610% 3/13/14 B+ 4,359,557
3,970 MetroPCS Wireless Inc., Term Loan 7.625% 11/03/13 Ba3 3,870,750
----------------------------------------------------------------------------------------------------------------------------------
39,891 Total Diversified Telecommunication Services 38,548,031
----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 3.4% (2.1% OF TOTAL INVESTMENTS)
8,867 Calpine Corporation DIP Term Loan 7.610% 3/29/09 N/R 8,613,599
1,111 Calpine Corporation DIP Revolver, (5) (7) 0.250% 3/29/09 N/R (27,778)
188 MACH Gen LLC, Synthetic Letter of Credit 7.360% 2/22/13 B+ 181,969
1,803 MACH Gen LLC, Term Loan 7.360% 2/22/14 B+ 1,750,236
2,153 Murray Energy Corporation, Second Lien Term Loan 13.875% 1/28/11 N/R 2,282,180
----------------------------------------------------------------------------------------------------------------------------------
14,122 Total Electric Utilities 12,800,206
----------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,980 Sensata Technologies B.V., US Term Loan 7.110% 4/27/13 BB 1,920,393
----------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.2% (0.2% OF TOTAL INVESTMENTS)
1,000 Petroleum Geo-Services, Term Loan 7.110% 6/28/15 Ba2 965,000
----------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 1.8% (1.1% OF TOTAL INVESTMENTS)
651 Dole Foods Company Inc., Deposit-Funded Commitment 5.230% 4/12/13 BB- 616,977
1,447 Dole Foods Company Inc., Term Loan B 7.537% 4/12/13 BB- 1,370,845
4,823 Dole Foods Company Inc., Term Loan C 7.451% 4/12/13 BB- 4,569,483
----------------------------------------------------------------------------------------------------------------------------------
6,921 Total Food Products 6,557,305
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.4% (0.2% OF TOTAL INVESTMENTS)
1,337 Kinetic Concepts Inc., Term Loan B-2 6.860% 8/11/10 BBB- 1,337,970
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 8.9% (5.4% OF TOTAL INVESTMENTS)
6,975 HCA, Inc., Term Loan, WI/DD TBD TBD BB 6,745,990
4,988 Health Management Associates, Term Loan 7.110% 2/28/14 Ba2 4,862,813
2,293 HealthSouth Corporation, Term Loan 7.860% 3/10/14 BB- 2,237,095
944 IASIS Healthcare, LLC, Delayed Term Loan (5) 5.703% 3/14/14 Ba2 886,498
340 IASIS Healthcare, LLC LC Facility 5.220% 3/14/14 Ba2 324,837
|
26
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES (continued)
$ 3,724 IASIS Healthcare, LLC, Term Loan 7.360% 3/14/14 Ba2 $ 3,556,169
546 LifePoint Hospitals, Inc., Term Loan B 6.985% 4/15/14 BB 520,807
14,636 Vanguard Health Holding Company II, LLC, 7.610% 9/23/11 Ba3 14,124,014
Replacement Term Loan
----------------------------------------------------------------------------------------------------------------------------------
34,446 Total Health Care Providers & Services 33,258,223
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE TECHNOLOGY - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,950 Emdeon Business Services LLC Term Loan 7.610% 11/16/13 BB- 1,886,881
----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 8.3% (5.0% OF TOTAL INVESTMENTS)
3,952 24 Hour Fitness Worldwide, Inc., Term Loan B 7.870% 6/08/12 Ba3 3,912,950
244 CBRL Group, Inc., Term Loan B-2 Delayed Draw 3.795% 4/28/13 BB 224,200
2,970 Cedar Fair LP, Term Loan 7.320% 8/30/12 BB 2,872,649
1,922 Green Valley Ranch Gaming, Term Loan B 7.360% 2/16/14 BB- 1,874,216
3,622 Intrawest Corporation, Term Loan 7.327% 12/31/07 N/R 3,631,546
3,000 Orbitz Worldwide Inc., Term Loan, 8.340% 7/25/14 BB- 2,996,250
1,965 Penn National Gaming, Inc., Term Loan B 7.110% 10/03/12 BBB- 1,935,279
2,000 Travelport LLC (aka TDS Investor Corporation) 0.000% 8/23/13 B (90,000)
Delayed Term Loan, (5) (7)
714 Travelport, LC Facility 7.860% 8/23/13 BB- 698,943
3,557 Travelport, Term Loan 7.820% 8/23/13 BB- 3,483,383
2,000 Venetian Casino Resort, LLC (Las Vegas Sands, 0.750% 5/23/14 BB (82,778)
Inc.) Delayed Term Loan, (5) (7)
8,000 Venetian Casino Resort, LLC, Term Loan 7.110% 5/23/14 BB 7,668,888
1,990 Worldspan LP, Term Loan 8.608% 12/07/13 Ba3 1,970,100
----------------------------------------------------------------------------------------------------------------------------------
35,936 Total Hotels, Restaurants & Leisure 31,095,626
----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 1.6% (1.0% OF TOTAL INVESTMENTS)
6,184 Jarden Corporation, Term Loan 7.110% 1/24/12 Ba2 6,064,516
----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 2.4% (1.4% OF TOTAL INVESTMENTS)
9,078 Prestige Brands, Inc., Term Loan B 7.630% 4/06/11 BB- 8,873,722
----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.7% (1.0% OF TOTAL INVESTMENTS)
1,400 NRG Energy, Inc. Holdco Term Loan, (5) (7) 0.500% 2/01/13 BB (32,900)
1,962 NRG Energy Inc., Credit Linked Deposits 7.110% 2/01/13 Ba1 1,899,912
4,726 NRG Energy Inc., Term Loan 7.110% 2/01/13 Ba1 4,576,453
----------------------------------------------------------------------------------------------------------------------------------
8,088 Total Independent Power Producers & Energy Traders 6,443,465
----------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 1.7% (1.0% OF TOTAL INVESTMENTS)
995 Affirmative Insurance Holdings Inc., Term Loan 8.830% 2/01/14 B1 985,050
5,407 Conseco, Inc., Term Loan 7.320% 10/10/13 BB- 5,204,457
----------------------------------------------------------------------------------------------------------------------------------
6,402 Total Insurance 6,189,507
----------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES - 1.0% (0.6% OF TOTAL INVESTMENTS)
3,887 Sabre, Inc., Term Loan 7.608% 9/30/14 B+ 3,565,146
----------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 3.2% (1.9% OF TOTAL INVESTMENTS)
998 Attachmate Corporation, NetIQ Corporation, Term 0.000% 4/13/12 BB- 987,525
Loan
340 Infor Global Solutions, Limited Term Loan DD 9.110% 7/28/12 B+ 334,331
652 Infor Global Solutions, Limited Term Loan 9.110% 7/28/12 B+ 640,801
10,237 SunGard Data Systems Inc., Term Loan B 7.356% 2/28/14 BB 9,854,275
----------------------------------------------------------------------------------------------------------------------------------
12,227 Total IT Services 11,816,932
----------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.4% (0.9% OF TOTAL INVESTMENTS)
5,468 Bombardier Recreational Products, Inc. Term Loan 7.860% 6/28/13 B+ 5,355,570
----------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.4% (0.8% OF TOTAL INVESTMENTS)
1,589 Navistar International, Term Loan 8.610% 1/19/12 BB- 1,521,361
578 Navistar International Synthetic Letter of Credit 7.873% 1/19/12 BB- 553,222
1,990 Oshkosh Truck Corporation, Term Loan 7.110% 12/06/13 BBB- 1,927,035
934 Rexnord Corporation, Term Loan B 7.860% 7/19/13 Ba2 890,041
279 Rexnord Corporation, Incremental Term Loan B-2 7.642% 7/19/13 Ba2 265,294
----------------------------------------------------------------------------------------------------------------------------------
5,370 Total Machinery 5,156,953
----------------------------------------------------------------------------------------------------------------------------------
MEDIA - 26.2% (15.8% OF TOTAL INVESTMENTS)
1,970 AMC Entertainment Inc., Term Loan 7.070% 1/26/13 Ba1 1,904,333
2,500 American Lawyer Media, Inc., Second Lien Term Loan 11.070% 3/07/11 Caa1 2,497,916
|
27
JRO
Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of INVESTMENTS July 31, 2007
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
----------------------------------------------------------------------------------------------------------------------------------
MEDIA (continued)
$ 544 Blockbuster, Inc., Term Loan A 8.821% 8/20/09 B+ $ 531,646
2,044 Blockbuster, Inc., Term Loan B 8.640% 8/20/11 B+ 2,004,633
1,000 Canwest Mediaworks L.P., Term Loan 7.340% 7/10/15 Ba1 980,000
7,800 Charter Communications Operating, LLC, Term Loan 7.360% 3/06/14 B+ 7,433,400
4,110 Clear Channel Entertainment, Term Loan B 8.100% 6/20/13 BB- 3,986,327
987 Cumulus Media Inc, Term Loan 7.084% 6/11/14 Ba3 974,950
2,000 HIT Entertainment Inc., Second Lien Term Loan 10.860% 2/26/13 B+ 1,979,167
3,920 HIT Entertainment Inc., Term Loan B 7.340% 3/20/12 Ba3 3,797,546
4,975 Idearc Inc., Term Loan 7.360% 11/17/14 BBB- 4,763,562
2,993 Metro-Goldwyn-Mayer Studios, Inc., Term Loan 8.610% 4/08/12 B+ 2,834,713
3,945 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 8.610% 4/08/12 B+ 3,737,026
3,000 NextMedia Operating Inc., Second Lien Term Loan 0.000% 11/15/12 CCC+ 2,932,500
3,000 Philadelphia Newspapers, Senior Mezzanine Term 16.000% 6/29/12 N/R 2,685,000
Loan A
1,912 ProQuest Company, Term Loan B 8.334% 2/09/14 N/R 1,902,108
3,881 Regal Cinemas Corporation, Term Loan 6.860% 10/27/13 Ba2 3,778,373
7,000 Thomson Learning Center, Term Loan 8.070% 7/05/14 B+ 6,594,000
3,733 Tribune Company, Term Loan X 7.860% 5/17/09 BB+ 3,666,667
15,000 Tribune Company, Term Loan B 8.360% 5/17/14 BB+ 13,671,428
906 Univision Communications Inc. Delayed Term Loan, 1.000% 9/29/14 B+ (66,651)
(5) (7)
2,000 Univision Communications, Second Lien Term Loan 7.820% 3/29/09 B3 1,954,000
14,094 Univision Communications, Term Loan 7.610% 9/29/14 Ba3 13,057,173
427 Valassis Communications, Inc. Delayed Draw Term, 1.000% 3/02/14 BB (17,600)
(5) (7)
1,436 Valassis Communications, Inc., Tranche B Term Loan 7.110% 3/02/14 BB 1,376,829
4,824 WMG Acquisition Corp., Term Loan 7.360% 2/28/11 Ba2 4,722,425
4,025 Yell Group, Term Loan 7.320% 10/27/12 Ba3 3,969,656
----------------------------------------------------------------------------------------------------------------------------------
104,026 Total Media 97,651,127
----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.5% (0.9% OF TOTAL INVESTMENTS)
2,534 Amsted Industries Incorporated, Delayed Draw Term 7.360% 4/05/13 BB 2,420,289
Loan
3,487 Amsted Industries Incorporated, Term Loan 7.360% 4/05/13 BB 3,356,479
----------------------------------------------------------------------------------------------------------------------------------
6,021 Total Metals & Mining 5,776,768
----------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 2.1% (1.2% OF TOTAL INVESTMENTS)
4,000 Callon Petroleum, Term Loan 12.320% 9/08/10 N/R 4,000,000
301 Coffeyville Resources LLC, Credit Linked Deposits 8.360% 12/28/10 B+ 286,883
1,545 Coffeyville Resources LLC., Term Loan 8.437% 12/28/10 B+ 1,474,827
2,000 El Paso Corporation, LC Facility 7.320% 7/31/11 Ba1 1,930,000
----------------------------------------------------------------------------------------------------------------------------------
7,846 Total Oil, Gas & Consumable Fuels 7,691,710
----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.5% (2.1% OF TOTAL INVESTMENTS)
3,101 Georgia-Pacific Corporation, Term Loan B-2 7.110% 12/20/12 BB+ 2,937,871
7,880 Georgia-Pacific Corporation, Term Loan B 7.110% 12/20/12 BB+ 7,464,889
2,885 Ply Gem Industries Inc., Term Loan B-3 8.110% 8/15/11 BB- 2,730,851
108 Ply Gem Industries Inc., Canadien Term Loan 8.110% 8/15/11 B+ 102,046
----------------------------------------------------------------------------------------------------------------------------------
13,974 Total Paper & Forest Products 13,235,657
----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.2% (0.2% OF TOTAL INVESTMENTS)
995 Landsource Holding Company LLC, Term Loan 8.110% 2/27/13 BB+ 936,959
----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 4.2% (2.5% OF TOTAL INVESTMENTS)
4,563 Capital Automotive, Term Loan 7.070% 12/15/10 BB+ 4,475,424
9,500 LNR Property Corporation, Term Loan B 8.110% 7/12/11 B+ 9,145,446
1,958 Pivotal Promontory Club, First Lien Term Loan 8.070% 8/31/11 N/R 1,889,207
----------------------------------------------------------------------------------------------------------------------------------
16,021 Total Real Estate Management & Development 15,510,077
----------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 5.0% (3.0% OF TOTAL INVESTMENTS)
444 Hertz LC Facility 5.360% 12/21/12 BB+ 431,852
2,476 Hertz Term Loan 7.101% 12/21/12 BB+ 2,406,294
17,674 Swift Transportation, Term Loan 8.375% 5/10/14 BB- 15,774,419
----------------------------------------------------------------------------------------------------------------------------------
20,594 Total Road & Rail 18,612,565
----------------------------------------------------------------------------------------------------------------------------------
|
28
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
----------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.9% (1.1% OF TOTAL INVESTMENTS)
$ 5,419 Advanced Micro Devices, Inc. Term Loan 7.360% 12/31/13 Ba2 $ 5,100,610
1,990 Freescale Semiconductor, Inc. Term Loan 7.110% 3/30/14 Baa3 1,835,549
----------------------------------------------------------------------------------------------------------------------------------
7,409 Total Semiconductors & Equipment 6,936,159
----------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 2.8% (1.7% OF TOTAL INVESTMENTS)
6,819 Dealer Computer Service, Term Loan 7.360% 10/26/12 BB 6,631,916
4,000 Dealer Computer Service, Second Lien Term Loan 10.860% 10/26/13 B3 3,980,000
----------------------------------------------------------------------------------------------------------------------------------
10,819 Total Software 10,611,916
----------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 6.1% (3.7% OF TOTAL INVESTMENTS)
983 Burlington Coat Factory Warehouse Corporation, 7.610% 5/28/11 B2 912,409
Term Loan
3,920 FGX International, Term Loan 9.360% 12/09/12 B+ 3,763,200
6,820 Michaels Stores Inc., Term Loan 7.625% 10/31/13 B 6,401,184
1,985 Sally Holdings LLC, Term Loan 7.860% 11/16/12 BB- 1,926,070
7,000 TRU 2005 RE Holding Co. I, Term Loan 8.320% 12/09/08 B3 6,930,000
3,000 Toys "R" Us, Delaware Inc., Term Loan B 9.610% 7/19/12 BB- 2,977,500
----------------------------------------------------------------------------------------------------------------------------------
23,708 Total Specialty Retail 22,910,363
----------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.8% (1.1% OF TOTAL INVESTMENTS)
1,852 HanesBrands Inc., Term Loan 7.104% 9/05/13 BB 1,796,001
1,000 HanesBrands Inc., Second Lien Term Loan 9.110% 3/05/14 BB 979,500
3,950 Visant Holding Corporation, Term Loan C 7.330% 7/29/10 Ba1 3,972,849
----------------------------------------------------------------------------------------------------------------------------------
6,802 Total Textiles, Apparel & Luxury Goods 6,748,350
----------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,000 Ashtead Group Public Limited Company, Term Loan 7.125% 8/31/11 BB+ 2,000,000
----------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 1.8% (1.1% OF TOTAL INVESTMENTS)
7,000 Asurion Corporation, Term Loan 8.320% 8/01/12 N/R 6,553,751
----------------------------------------------------------------------------------------------------------------------------------
$ 570,461 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 540,353,425
$561,685,476)
==================================================================================================================================
|
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 14.9% (9.0% OF TOTAL INVESTMENTS)
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.2% (1.9% OF TOTAL INVESTMENTS)
$ 1,500 Intelsat Bermuda Limited, Floating Rate Note, 8.827% 1/15/15 B $ 1,515,000
3.500% plus six-month LIBOR
10,000 Qwest Corporation, Floating Rate Note, 3.250% 8.609% 6/15/13 BB 10,400,000
plus three-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
11,500 Total Diversified Telecommunication Services 11,915,000
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.4% (0.2% OF TOTAL INVESTMENTS)
1,500 Reable Therapeutics Financing Corporation 11.750% 11/15/14 CCC+ 1,507,500
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
3,000 Community Health Systems, Inc. 8.875% 7/15/15 B- 2,928,750
--------------------------------------------------------------------------------------------------------------------------------
MEDIA - 4.1% (2.4% OF TOTAL INVESTMENTS)
15,000 Cablevision Systems Corporation, Floating Rate 9.827% 4/01/09 B+ 15,150,000
Note, 4.500% plus six-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,000 Verso Paper Holdings LLC., Series B 9.125% 8/01/14 B+ 2,015,000
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.8% (0.5% OF TOTAL INVESTMENTS)
3,000 Felcor Lodging LP, Floating Rate Note, 1.875% 7.202% 12/01/11 Ba3 2,988,750
plus six-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.2% (0.2% OF TOTAL INVESTMENTS)
1,000 Saint Acquisition Corporation, Floating Rate 13.109% 5/15/15 B 715,000
Note, 7.750% plus three-month LIBOR, 144A
--------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 4.1% (2.5% OF TOTAL INVESTMENTS)
5,000 Avago Technologies Finance Pte. Ltd., Floating 10.859% 6/01/13 B 5,100,000
Rate Note, 5.500% plus three-month LIBOR
11,000 NXP BV, Floating Rate Note, 2.750% plus 8.109% 10/15/13 Ba2 10,298,750
three-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
16,000 Total Semiconductors & Equipment 15,398,750
--------------------------------------------------------------------------------------------------------------------------------
|
29
JRO
Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of INVESTMENTS July 31, 2007
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 0.2% (0.2% OF TOTAL INVESTMENTS)
$ 1,000 Telcordia Technologies, Floating Rate Note, 9.109% 7/15/12 B $ 895,000
3.75% plus three-month LIBOR, 144A
--------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 0.6% (0.3% OF TOTAL INVESTMENTS)
2,000 Penhall International Corporation 12.000% 8/01/14 B- 2,130,000
--------------------------------------------------------------------------------------------------------------------------------
$ 56,000 TOTAL CORPORATE BONDS (COST $56,300,367) 55,643,750
================================================================================================================================
SHARES DESCRIPTION (1) VALUE
--------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.2% (0.1% OF TOTAL INVESTMENTS)
$ 26,182 Reliant Energy Inc. - Warrant Class A $ 562,913
--------------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $184,678) 562,913
-----------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
--------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 6.2% (3.7% OF TOTAL INVESTMENTS)
$ 23,090 Repurchase Agreement with Fixed Income Clearing 4.870% 8/01/07 $ 23,090,105
Corporation, dated 7/31/07, repurchase price
$23,093,229, collateralized by $23,495,000 U.S.
Treasury Notes, 4.500%, due 11/30/11, value
$23,553,738
========== -----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $23,090,105) 23,090,105
=================================================================================================================
TOTAL INVESTMENTS (COST $641,260,626) -- 166.0% 619,650,193
-----------------------------------------------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES - (1.7)% (6,284,690)
-----------------------------------------------------------------------------------------------------------------
PREFERRED SHARES, AT LIQUIDATION VALUE --(64.3)% (240,000,000)
-----------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES -- 100% $ 373,365,503
=================================================================================================================
|
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(3) Ratings (not covered by the report of independent registered public accounting firm):
Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard &
Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below
investment grade.
(4) Senior Loans in which the Fund invests generally pay interest at rates which are
periodically adjusted by reference to a base short-term, floating lending rate plus an
assigned fixed rate. These floating lending rates are generally (i) the lending rate
referenced by the London Inter-Bank Offered Rate ('LIBOR'), or (ii) the prime rate offered
by one or more major United States banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(5) Position or portion of position represents an unfunded Senior Loan commitment outstanding
at July 31, 2007.
(6) At or subsequent to July 31, 2007, this issue was under the protection of the Federal
Bankruptcy Court.
(7) Negative value represents unrealized depreciation on Senior Loan commitment at July 31,
2007.
N/R Not rated.
144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as
amended. These investments may only be resold in transactions exempt from registration
which are normally those transactions with qualified institutional buyers.
TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details
associated with this purchase are not known prior to the settlement date of the
transaction. In addition, Senior Loans typically trade without accrued interest and
therefore a weighted average coupon rate is not available prior to settlement. At
settlement, if still unknown, the Borrower or counterparty will provide the Fund with the
final weighted average coupon rate and maturity date.
WI/DD Purchased on a when-issued or delayed delivery basis.
|
See accompanying notes to financial statements.
30
Statement of
ASSETS AND LIABILITIES
July 31, 2007
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $406,124,525, $1,053,480,530 and
$641,260,626, respectively) $386,455,978 $1,017,073,810 $619,650,193
Receivables:
Interest 3,502,079 9,011,941 5,958,112
Investments sold 2,656,803 12,600,380 149,961
Other assets 98,847 64,932 30,886
---------------------------------------------------------------------------------------------------------------
Total assets 392,713,707 1,038,751,063 625,789,152
---------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft -- -- 27,500
Payables:
Borrowings 103,000,000 -- --
Investments purchased 2,158,971 13,492,885 8,952,931
Accrued expenses:
Management fees 231,309 444,265 282,829
Interest on borrowings 474,338 -- --
Other 201,599 281,933 174,357
Common share dividends payable 1,789,506 4,463,917 2,895,517
Preferred share dividends payable 78,644 224,949 90,515
---------------------------------------------------------------------------------------------------------------
Total liabilities 107,934,367 18,907,949 12,423,649
---------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 46,000,000 400,000,000 240,000,000
---------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $238,779,340 $ 619,843,114 $373,365,503
===============================================================================================================
Common shares outstanding 29,834,353 47,395,206 28,419,322
===============================================================================================================
Net asset value per Common share outstanding (net assets
applicable to
Common shares, divided by Common shares outstanding) $ 8.00 $ 13.08 $ 13.14
===============================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
---------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 298,344 $ 473,952 $ 284,193
Paid-in surplus 283,099,960 668,752,272 400,814,445
Undistributed (Over-distribution of) net investment income 1,647,884 1,549,064 1,505,889
Accumulated net realized gain (loss) from investments (26,598,301) (14,525,454) (7,628,591)
Net unrealized appreciation (depreciation) of investments (19,668,547) (36,406,720) (21,610,433)
---------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $238,779,340 $ 619,843,114 $373,365,503
===============================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited
===============================================================================================================
|
See accompanying notes to financial statements.
31
Statement of
OPERATIONS
Year Ended July 31, 2007
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
-----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends and Interest $31,694,527 $ 80,269,640 $ 49,953,381
Fees 736,620 519,036 540,137
-----------------------------------------------------------------------------------------------------------------
Total investment income 32,431,147 80,788,676 50,493,518
-----------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 3,345,819 8,697,928 5,292,013
Preferred shares - auction fees 115,000 1,000,000 600,000
Preferred shares - dividend disbursing agent fees 6,000 23,792 22,079
Shareholders' servicing agent fees and expenses 4,125 426 362
Interest expense and program usage fees 5,585,852 -- --
Commitment fees 347,298 -- --
Custodian's fees and expenses 157,948 381,908 231,999
Trustees' fees and expenses 10,671 27,745 16,898
Professional fees 57,348 79,938 55,655
Shareholders' reports - printing and mailing expenses 59,450 127,180 69,174
Stock exchange listing fees 10,802 17,169 10,261
Investor relations expense 51,198 140,504 84,200
Other expenses 19,562 32,490 49,155
-----------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit, expense
reimbursement and legal fee refund 9,771,073 10,529,080 6,431,796
Custodian fee credit (1,548) (3,672) (3,323)
Expense reimbursement (701,917) (3,396,018) (1,915,476)
Legal fee refund (10,872) -- --
-----------------------------------------------------------------------------------------------------------------
Net expenses 9,056,736 7,129,390 4,512,997
-----------------------------------------------------------------------------------------------------------------
Net investment income 23,374,411 73,659,286 45,980,521
-----------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments (350,432) (2,130,195) 502,052
Change in net unrealized appreciation (depreciation) of
investments (9,321,958) (35,146,735) (22,948,051)
-----------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (9,672,390) (37,276,930) (22,445,999)
-----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (2,350,335) (20,147,989) (12,097,865)
-----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common
shares from operations $11,351,686 $ 16,234,367 $ 11,436,657
=================================================================================================================
|
See accompanying notes to financial statements.
32
Statement of
CHANGES in NET ASSETS
FLOATING RATE FLOATING RATE
SENIOR INCOME (NSL) INCOME (JFR) INCOME OPPORTUNITY (JRO)
----------------------------- ---------------------------- -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/07 7/31/06 7/31/07 7/31/06 7/31/07 7/31/06
---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 23,374,411 $ 20,514,989 $ 73,659,286 $ 61,979,154 $ 45,980,521 $ 39,228,036
Net realized gain (loss) from
investments (350,432) (586,687) (2,130,195) (613,927) 502,052 (899,739)
Net realized gain (loss) from
SAMI -- -- -- 63,959 -- --
Change in net unrealized
appreciation (depreciation) of
investments (9,321,958) (3,741,140) (35,146,735) (7,633,568) (22,948,051) (2,806,257)
Change in net unrealized
appreciation (depreciation) of
SAMI -- -- -- (46,786) -- --
Distributions to Preferred
Shareholders from net
investment income (2,350,335) (1,963,968) (20,147,989) (16,418,103) (12,097,865) (9,837,234)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares from operations 11,351,686 14,223,194 16,234,367 37,330,729 11,436,657 25,684,806
---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON
SHAREHOLDERS
From net investment income (21,051,832) (18,614,747) (55,429,281) (47,003,199) (34,580,106) (29,277,360)
---------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets
applicable to Common shares
from distributions to Common
shareholders (21,051,832) (18,614,747) (55,429,281) (47,003,199) (34,580,106) (29,277,360)
---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common shares:
Net proceeds from shares
issued to shareholders due
to reinvestment of
distributions 208,550 64,606 1,521,407 -- 314,446 --
Offering costs adjustments -- -- -- (2,399) -- (2,491)
Preferred shares offering costs
adjustments -- -- -- (2,399) -- (2,491)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares from capital share
transactions 208,550 64,606 1,521,407 (4,798) 314,446 (4,982)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares (9,491,596) (4,326,947) (37,673,507) (9,677,268) (22,829,003) (3,597,536)
Net assets applicable to Common
shares at the beginning of
year 248,270,936 252,597,883 657,516,621 667,193,889 396,194,506 399,792,042
---------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of year $238,779,340 $248,270,936 $619,843,114 $657,516,621 $373,365,503 $396,194,506
=================================================================================================================================
Undistributed (Over-distribution
of) net investment income at
the end of year $ 1,647,884 $ 1,510,476 $ 1,549,064 $ (498,871) $ 1,505,889 $ 182,787
=================================================================================================================================
|
See accompanying notes to financial statements.
33
Statement of
CASH FLOWS
Year Ended July 31, 2007
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES:
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHARES FROM OPERATIONS $ 11,351,686 $ 16,234,367 $ 11,436,657
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 (317,002,729) (867,705,937) (507,737,055)
Proceeds from sales of investments 314,481,089 835,711,394 503,004,138
Proceeds from (Purchases of) short-term investments, net 6,473,990 39,208,200 (3,940,000)
Amortization/(Accretion) of premiums and discounts, net 84,223 872,695 605,471
(Increase) Decrease in receivable for interest (180,761) 227,222 (523,722)
(Increase) Decrease in receivable for investments sold 3,264,343 (7,620,571) 11,150,939
(Increase) Decrease in other assets (14,941) (18,610) (11,865)
Increase (Decrease) in payable for investments purchased (9,384,006) (5,217,102) (5,469,818)
Increase (Decrease) in accrued management fees 32,935 (7,992) (4,861)
Increase (Decrease) in interest on borrowings 6,312 -- --
Increase (Decrease) in accrued other liabilities 22,943 1,387 15,952
Increase (Decrease) in Preferred share dividends payable 5,918 (24,411) (32,470)
Net realized (gain) loss from investments 350,432 2,130,195 (502,052)
Net realized (gain) loss from paydowns 165,164 409,436 329,791
Change in net unrealized (appreciation) depreciation of
investments 9,321,958 35,146,735 22,948,051
Taxes paid on undistributed capital gains 75,220 96,949 73,487
---------------------------------------------------------------------------------------------------------------
Net cash provided by (used in) operating activities 19,053,776 49,443,957 31,342,643
---------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (19,053,776) (49,443,957) (31,370,143)
---------------------------------------------------------------------------------------------------------------
Net cash provided by (used in) financing activities (19,053,776) (49,443,957) (31,370,143)
---------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN CASH -- -- (27,500)
Cash at the beginning of year -- -- --
---------------------------------------------------------------------------------------------------------------
CASH AT THE END OF YEAR $ -- $ -- $ (27,500)
===============================================================================================================
|
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid by Senior Income (NSL) for interest on bank borrowings during the year
ended July 31, 2007, was $5,579,542.
Non-cash financing activities not included herein consist of reinvestments of
Common share distributions of $208,550, $1,521,407 and $314,446 for Senior
Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity
(JRO).
See accompanying notes to financial statements.
34
Notes to
FINANCIAL STATEMENTS
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The funds (the "Funds") covered in this report and their corresponding Common
share New York Stock Exchange symbols are Nuveen Senior Income Fund (NSL),
Nuveen Floating Rate Income Fund (JFR) and Nuveen Floating Rate Income
Opportunity Fund (JRO). The Funds are registered under the Investment Company
Act of 1940, as amended, as closed-end management investment companies.
Each Fund seeks to provide a high level of current income by investing primarily
in senior loans whose interest rates float or adjust periodically based on a
benchmark interest rate index.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with U.S.
generally accepted accounting principles.
Investment Valuation
The prices of senior loans, bonds and other securities in the Funds' investment
portfolios, other than subordinated loans issued by middle market companies, are
generally provided by one or more independent pricing services approved by the
Funds' Board of Trustees. Floating Rate Income Opportunity (JRO) currently
expects that the independent pricing services will be unable to provide a market
based price for certain of the privately negotiated subordinated loans issued by
middle market companies. The pricing services, with input from Symphony Asset
Management, LLC ("Symphony"), an indirect wholly owned subsidiary of Nuveen
Investments, Inc. ("Nuveen"), and Nuveen Asset Management (the "Adviser"), a
wholly owned subsidiary of Nuveen, will estimate the fair value for such
subordinated loans, subject to the supervision of Symphony and the Adviser.
Floating Rate Income Opportunity (JRO) may engage an independent appraiser to
periodically provide an independent determination of the value, or an opinion
with respect to the pricing services' value, of such loans. The pricing services
typically value exchange-listed securities at the last sales price on that day;
and value senior loans, bonds and other securities traded in the
over-the-counter market at the mean of the highest bona fide bid and lowest bona
fide asked prices when current quotations are readily available. The pricing
services or, in the absence of a pricing service for a particular investment,
the Board of Trustees of the Funds, or its designee, may establish fair market
value using a wide variety of market data including 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 by the pricing service or the Board of Trustees' designee.
Short-term investments are valued at amortized cost, which approximates market
value.
The senior and subordinated loans in which the Funds invest are not listed on an
organized exchange and the secondary market for such investments may be less
liquid relative to markets for other fixed income securities. Consequently, the
value of senior and subordinated loans, determined as described above, may
differ significantly from the value that would have been determined had there
been an active market for that loan.
Investment Transactions
Investment transactions are recorded on a trade date basis. Trade date for
senior and subordinated loans purchased in the "primary market" is considered
the date on which the loan allocations are determined. Trade date for senior and
subordinated loans purchased in the "secondary market" is the date on which the
transaction is entered into. Realized gains and losses from investment
transactions are determined on the specific identification method. Investments
purchased on a when-issued/delayed delivery basis may have extended settlement
periods. Any investments so purchased are subject to market fluctuation during
this period. The Funds maintain liquid assets with a current value at least
equal to the amount of the when-issued/delayed delivery purchase commitments. At
July 31, 2007, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate
Income Opportunity (JRO) had outstanding when-issued/delayed delivery purchase
commitments of $2,158,971, $8,860,000 and $8,952,931, respectively.
Investment Income
Dividend income is recorded on the ex-dividend date. Interest income, which
includes the amortization of premiums and accretion of discounts for financial
reporting purposes, is recorded on an accrual basis. Interest income also
includes paydown gains and losses on senior and subordinated loans. Fee income,
if any, consists primarily of amendment fees. Amendment fees are earned as
compensation for evaluating and accepting changes to the original loan agreement
and are recognized when received.
Professional Fees
Professional fees presented in the Statement of Operations consist of legal fees
incurred in the normal course of operations, audit fees, tax consulting fees
and, in some cases, workout expenditures. Workout expenditures are incurred in
an attempt to protect or
35
Notes to
FINANCIAL STATEMENTS (continued)
enhance an investment, or to pursue other claims or legal actions on behalf of
Fund shareholders. Legal fee refund presented in the Statement of Operations for
Senior Income (NSL) reflects a refund of workout expenditures paid in a prior
reporting period.
Federal Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund
intends to distribute substantially all net investment income and net capital
gains to shareholders and to otherwise comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies. Therefore, no federal income tax provision is required.
Dividends and Distributions to Common Shareholders
Distributions to Common shareholders are recorded on the ex-dividend date. The
amount and timing of distributions are determined in accordance with federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles.
Each Fund declares monthly income distributions to Common shareholders. Net
realized capital gains from investment transactions, if any, are distributed to
shareholders not less frequently than annually. Furthermore, capital gains are
distributed only to the extent they exceed available capital loss carryforwards.
Preferred Shares
Senior Income (NSL) has issued and outstanding 1,840 shares of Series TH,
Taxable Auctioned Preferred shares, $25,000 stated value per share, as a means
of effecting financial leverage. The dividend rate paid by the Fund is
determined every 28 days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period. Senior Income
(NSL) has also effected financial leverage by borrowing, as described in
Footnote 8.
Floating Rate Income (JFR) has issued and outstanding 4,000 shares of each
Series M, T, W and F, FundPreferred shares, $25,000 stated value per share, as a
means of effecting financial leverage. The dividend rate paid by the Fund is
determined every seven days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period.
Floating Rate Income Opportunity (JRO) issued 3,200 shares of each Series M, TH
and F, FundPreferred shares, $25,000 stated value per share, as a means of
effecting financial leverage. The dividend rate paid by the Fund is determined
every seven days, pursuant to a dutch auction process overseen by the auction
agent, and is payable at the end of each rate period.
Select Aggregate Market Index
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) may invest
in Select Aggregate Market Indexes ("SAMI") to synthetically increase their
exposure to the senior secured loan market during a period when the Funds
otherwise would have excess uninvested cash. The SAMI is designed to replicate
the performance and risk of the CSFB Leveraged Loan Index. An investment in a
SAMI, when combined with high-grade short-term investments such as repurchase
agreements related to U.S. government securities in an amount equal to the
notional amount of the SAMI, is designed to provide an aggregate return
equivalent to an investment in a basket of senior secured bank loan debt
("Reference Obligations"), less certain costs.
Upon entering into a SAMI, the Funds may pay the counterparty a premium based on
the notional amount. The premium, if any, will be amortized over the life of the
SAMI and recorded in "Other assets" in the Statement of Assets and Liabilities.
The Funds will receive from the counterparty a fixed-rate interest payment based
on the notional amount of the contract. In exchange for the interest payment,
the Funds protect the counterparty from the risk of loss at the time of a credit
event, such as a bankruptcy or default, affecting any of the Reference
Obligations. Interest is recorded on an accrual basis and included in "Interest
Income" in the Statement of Operations. The Funds are required to provide
collateral to the counterparty based on a percentage of the notional amount of
the SAMI and have instructed the custodian to segregate liquid assets with a
current value at least equal to the remaining notional amount of the SAMI. The
SAMI is valued daily and any change in value is recorded in "Change in net
unrealized appreciation (depreciation) of SAMI." Upon termination of a SAMI, net
realized gain (loss) is recorded in "Net realized gain (loss) from SAMI."
Although there are economic advantages of entering into SAMI transactions, there
are also additional risks, including but not limited to senior loan credit risk
and the inability of the counterparty to meet its interest payment obligations.
During the fiscal year ended July 31, 2007, neither Fund invested in a SAMI.
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Funds'
policy that its custodian take possession of the underlying collateral
securities, the fair value of which exceeds the principal amount of the
repurchase transaction, including accrued interest, at all times. If the seller
defaults, and the fair value of the collateral declines, realization of the
collateral may be delayed or limited.
36
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on the Funds' cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments. Credits for cash balances may be offset by charges for any days on
which the Fund overdraws its account at the custodian bank.
Indemnifications
Under the Funds' organizational documents, their Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Funds. In addition, in the normal course of business, the Funds
enter into contracts that provide general indemnifications to other parties. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds have not had prior claims or losses pursuant to
these contracts and expect the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets applicable to Common shares from operations during the
reporting period. Actual results may differ from those estimates.
2. FUND SHARES
Transactions in Common shares were as follows:
FLOATING RATE INCOME
SENIOR INCOME (NSL) FLOATING RATE INCOME (JFR) OPPORTUNITY (JRO)
------------------------- ---------------------------- ---------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
7/31/07 7/31/06 7/31/07 7/31/06 7/31/07 7/31/06
-----------------------------------------------------------------------------------------------------------------------------
Common shares
Issued to shareholders due to
reinvestment of distributions 24,436 7,631 108,286 -- 22,271 --
-----------------------------------------------------------------------------------------------------------------------------
|
3. INVESTMENT TRANSACTIONS
Purchases and sales (including maturities but excluding short-term investments)
during the fiscal year ended July 31, 2007, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Purchases $317,002,729 $867,705,937 $507,737,055
Sales and maturities 314,481,089 835,711,394 503,004,138
---------------------------------------------------------------------------------------------------------------------------
|
37
Notes to
FINANCIAL STATEMENTS (continued)
4. INCOME TAX INFORMATION
The following information is presented on an income tax basis. Differences
between amounts for financial statement and federal income tax purposes are
primarily due to the treatment of paydown gains and losses, timing differences
in recognizing certain gains and losses on investment transactions and for
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO)
recognition of premium amortization. To the extent that differences arise that
are permanent in nature, such amounts are reclassified within the capital
accounts on the Statement of Assets and Liabilities presented in the annual
report, based on their federal tax basis treatment; temporary differences do not
require reclassification. Temporary and permanent differences do not impact the
net asset values of the Funds.
At July 31, 2007, the cost of investments was as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Cost of investments $406,148,721 $1,054,624,680 $641,837,692
---------------------------------------------------------------------------------------------------------------------------
|
Gross unrealized appreciation and gross unrealized depreciation of investments
at July 31, 2007, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $ 1,731,665 $ 1,842,539 $ 1,184,470
Depreciation (21,424,408) (39,393,409) (23,371,969)
---------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $ (19,692,743) $ (37,550,870) $ (22,187,499)
---------------------------------------------------------------------------------------------------------------------------
|
The tax components of undistributed net ordinary income and net long-term
capital gains at July 31, 2007, the Funds' tax year end, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Undistributed net ordinary income * $3,561,339 $7,624,587 $5,142,957
Undistributed net long-term capital gains -- -- --
---------------------------------------------------------------------------------------------------------------------------
|
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any. Undistributed net ordinary
income (on a tax basis) has not been reduced for the dividend declared on July
2, 2007, paid on August 1, 2007.
The tax character of distributions paid during the Funds' tax years ended July
31, 2007 and July 31, 2006, was designated for purposes of the dividends paid
deduction as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
2007 (NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Distributions from net ordinary income * $23,156,268 $75,094,286 $46,438,342
Distributions from net long-term capital gains -- -- --
---------------------------------------------------------------------------------------------------------------------------
|
38
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
2006 (NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Distributions from net ordinary income * $20,471,502 $62,698,822 $38,562,840
Distributions from net long-term capital gains -- -- --
---------------------------------------------------------------------------------------------------------------------------
|
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any.
At July 31, 2007, the Funds' tax year end, the Funds had unused capital loss
carryforwards available for federal income tax purposes to be applied against
future capital gains, if any. If not applied, the carryforwards will expire as
follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Expiration year:
2010 $14,867,781 $ -- $ --
2011 10,704,255 -- --
2012 -- -- --
2013 -- 819,145 30,377
2014 -- 2,934,270 2,151,577
2015 1,002,070 9,492,118 5,017,841
---------------------------------------------------------------------------------------------------------------------------
Total $26,574,106 $13,245,533 $7,199,795
---------------------------------------------------------------------------------------------------------------------------
|
The following Funds elected to defer net realized losses from investments
incurred from November 1, 2006 through July 31, 2007 ("post-October losses") in
accordance with federal income tax regulations. Post-October losses were treated
as having arisen on the first day of the following fiscal year.
FLOATING
FLOATING RATE
RATE INCOME
INCOME OPPORTUNITY
(JFR) (JRO)
----------------------------------------------------------------------------------------------------
$1,223,128 $428,465
----------------------------------------------------------------------------------------------------
|
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Each Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by the
Adviser, and a specific fund-level component, based only on the amount of assets
within each individual Fund. This pricing structure enables Nuveen fund
shareholders to benefit from growth in the assets within each individual fund as
well as from growth in the amount of complex-wide assets managed by the Adviser.
The annual fund-level fee, payable monthly, for each Fund is based upon the
average daily Managed Assets of each Fund as follows:
SENIOR INCOME (NSL)
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
-----------------------------------------------------------------------------------------------------------------
For the first $1 billion .6500%
For the next $1 billion .6375
For the next $3 billion .6250
For the next $5 billion .6000
For Managed Assets over $10 billion .5750
-----------------------------------------------------------------------------------------------------------------
|
39
Notes to
FINANCIAL STATEMENTS (continued)
FLOATING RATE INCOME (JFR)
FLOATING RATE INCOME OPPORTUNITY (JRO)
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
------------------------------------------------------------------------------------------------------------------------
For the first $500 million .6500%
For the next $500 million .6250
For the next $500 million .6000
For the next $500 million .5750
For Managed Assets over $2 billion .5500
------------------------------------------------------------------------------------------------------------------------
|
The annual complex-level fee, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of July 31, 2007, the complex-level fee was .1831%.
Effective August 20, 2007, the complex-level fee schedule is as follows:
COMPLEX-LEVEL ASSET BREAKPOINT LEVEL(1) EFFECTIVE RATE AT BREAKPOINT LEVEL
------------------------------------------------------------------------------------------------
$55 billion .2000%
$56 billion .1996
$57 billion .1989
$60 billion .1961
$63 billion .1931
$66 billion .1900
$71 billion .1851
$76 billion .1806
$80 billion .1773
$91 billion .1691
$125 billion .1599
$200 billion .1505
$250 billion .1469
$300 billion .1445
------------------------------------------------------------------------------------------------
|
Prior to August 20, 2007, the complex-level fee schedule was as follows:
COMPLEX-LEVEL ASSET BREAKPOINT LEVEL(1) EFFECTIVE RATE AT BREAKPOINT LEVEL
------------------------------------------------------------------------------------------------
$55 billion .2000%
$56 billion .1996
$57 billion .1989
$60 billion .1961
$63 billion .1931
$66 billion .1900
$71 billion .1851
$76 billion .1806
$80 billion .1773
$91 billion .1698
$125 billion .1617
$200 billion .1536
$250 billion .1509
$300 billion .1490
------------------------------------------------------------------------------------------------
|
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
preferred stock issued by or borrowings by the Nuveen funds) of
Nuveen-sponsored funds in the U.S.
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Adviser has entered
into Sub-Advisory Agreements with Symphony under which Symphony manages the
investment portfolios of the Funds. Symphony is compensated for its services to
the Funds from the management fee paid to the Adviser.
The Funds pay no compensation directly to those of its Trustees who are
affiliated with the Adviser or to its Officers, all of whom receive remuneration
for their services to the Funds from the Adviser or its affiliates. The Board of
Trustees has adopted a deferred compensation plan for independent Trustees that
enables Trustees to elect to defer receipt of all or a portion of the annual
40
compensation they are entitled to receive from certain Nuveen advised funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised funds.
For the first ten years of Senior Income's (NSL) operations, the Adviser has
agreed to reimburse the Fund, as a percentage of average daily Managed Assets,
for fees and expenses in the amounts and for the time periods set forth below:
YEAR ENDING YEAR ENDING
OCTOBER 31, OCTOBER 31,
-----------------------------------------------------------------------------------------------------
1999 * .45% 2005 .35%
2000 .45 2006 .25
2001 .45 2007 .15
2002 .45 2008 .10
2003 .45 2009 .05
2004 .45
-----------------------------------------------------------------------------------------------------
|
* From the commencement of operations.
The Adviser has not agreed to reimburse Senior Income (NSL) for any portion of
its fees and expenses beyond October 31, 2009.
For the first eight years of Floating Rate Income's (JFR) operations, the
Adviser has agreed to reimburse the Fund, as a percentage of average daily
Managed Assets, for fees and expenses in the amounts and for the time periods
set forth below:
YEAR ENDING YEAR ENDING
MARCH 31, MARCH 31,
-----------------------------------------------------------------------------------------------------
2004 * .32% 2009 .32%
2005 .32 2010 .24
2006 .32 2011 .16
2007 .32 2012 .08
2008 .32
-----------------------------------------------------------------------------------------------------
|
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income (JFR) for any
portion of its fees and expenses beyond March 31, 2012.
For the first eight years of Floating Rate Income Opportunity's (JRO)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily Managed Assets, for fees and expenses in the amounts and for the
time periods set forth below:
YEAR ENDING YEAR ENDING
JULY 31, JULY 31,
-----------------------------------------------------------------------------------------------------
2004 * .30% 2009 .30%
2005 .30 2010 .22
2006 .30 2011 .14
2007 .30 2012 .07
2008 .30
-----------------------------------------------------------------------------------------------------
|
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO)
for any portion of its fees and expenses beyond July 31, 2012.
Agreement and Plan of Merger
On June 20, 2007, Nuveen Investments announced that it had entered into a
definitive Agreement and Plan of Merger ("Merger Agreement") with Windy City
Investments, Inc. ("Windy City"), a corporation formed by investors led by
Madison Dearborn Partners, LLC, pursuant to which Windy City would acquire
Nuveen Investments. Madison Dearborn Partners, LLC is a private equity
investment firm based in Chicago, Illinois. The investors include an affiliate
of Merrill Lynch. It is anticipated that Merrill Lynch and its affiliates will
be indirect "affiliated persons" (as that term is defined in the Investment
Company Act of 1940) of the Funds upon and after the acquisition. One important
implication of this is that the Funds will not be able to buy securities from or
sell securities to Merrill Lynch, but the portfolio management teams and Fund
management do not expect that this will significantly impact the ability of the
Funds to pursue their investment objectives and policies. Under the terms of the
merger, each outstanding share of Nuveen Investments' common stock (other than
dissenting shares) will be converted into the right to receive a specified
amount of cash, without interest. The merger is expected to be completed by the
end of the year, subject to customary conditions,
41
Notes to
FINANCIAL STATEMENTS (continued)
including obtaining necessary fund and client consents sufficient to satisfy the
terms of the Merger Agreement. The obligations of Windy City to consummate the
merger are not conditioned on its obtaining financing.
The consummation of the merger will be deemed to be an "assignment" (as defined
in the 1940 Act) of the investment management agreement between each Fund and
the Adviser, and will result in the automatic termination of each Fund's
agreement. The Board of Directors/Trustees of each Fund has approved a new
investment management agreement with the Adviser. The agreement is being
presented to the Fund's shareholders for approval, and, if so approved by
shareholders, would take effect upon consummation of the merger. There can be no
assurance that the merger described above will be consummated as contemplated or
that necessary shareholder approvals will be obtained.
6. COMMITMENTS
Pursuant to the terms of certain of the variable rate senior loan agreements,
the Funds may have unfunded senior loan commit-ments. Each Fund will maintain
with the custodian, cash, liquid securities and/or liquid senior loans having an
aggregate value at least equal to the amount of unfunded senior loan
commitments. At July 31, 2007, Senior Income (NSL), Floating Rate Income (JFR)
and Floating Rate Income Opportunity (JRO) had unfunded senior loan commitments
of $4,800,817, $13,553,753 and $8,655,791, respectively.
7. SENIOR LOAN PARTICIPATION COMMITMENTS
With respect to the senior loans held in each Fund's portfolio, the Funds may:
1) invest in assignments; 2) act as a participant in primary lending syndicates;
or 3) invest in participations. If a Fund purchases a participation of a senior
loan interest, the Fund would typically enter into a contractual agreement with
the lender or other third party selling the participation, rather than directly
with the Borrower. As such, the Fund not only assumes the credit risk of the
Borrower, but also that of the Selling Participant or other persons
interpositioned between the Fund and the Borrower. At July 31, 2007, none of the
Funds had any outstanding participation commitments.
8. BORROWINGS
In accordance with Senior Income's (NSL) current investment policies, the Fund
may utilize financial leverage for investment purposes in an amount currently
anticipated to represent approximately 40% of the Fund's total assets, and in no
event exceeding 50% of the Fund's total assets.
Senior Income (NSL) has entered into a commercial paper program ($110 million
maximum) with Bank One's (currently JPMorgan) conduit financing agency, Falcon
Asset Securitization Corp. ("Falcon"), whose sole purpose is the issuance of
high grade commercial paper. Falcon uses the proceeds to makes advances to
Senior Income (NSL) and to many other borrowers who comprise Falcon's total
borrowing base. For the fiscal year ended July 31, 2007, the average daily
balance of borrowings under the commercial paper program agreement was $103
million. The average annualized interest rate for funding and program usage fees
on such borrowings was 5.42%.
Senior Income (NSL) has also entered into a $110 million liquidity facility. If
the facility is utilized, interest on the borrowings would be charged to a
variable interest rate. An unused commitment fee of .095% on 102% of the unused
portion of the $110 million facility is charged. There were no borrowings under
the revolving credit agreement during the fiscal year ended July 31, 2007.
9. NEW ACCOUNTING PRONOUNCEMENTS
Financial Accounting Standards Board Interpretation No. 48
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Fund's tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006, and is to be
applied to all open tax years as of the effective date. Recent SEC guidance
allows funds to delay implementing FIN 48 into NAV calculations until the fund's
last NAV calculation in the first required financial statement reporting period.
As a result, the Funds must begin to incorporate FIN 48 into their NAV
calculations by January 31, 2008. At this time, management is continuing to
evaluate the implications of FIN 48 and does not expect the adoption of FIN 48
will have a significant impact on the net assets or results of operations of the
Funds.
42
Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards (SFAS) No. 157, "Fair Value
Measurements." This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and requires
additional disclosures about fair value measurements. SFAS No. 157 applies to
fair value measurements already required or permitted by existing standards.
SFAS No. 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007, and interim periods within those fiscal
years. The changes to current generally accepted accounting principles from the
application of this standard relate to the definition of fair value, the methods
used to measure fair value, and the expanded disclosures about fair value
measurements. As of July 31, 2007, management does not believe the adoption of
SFAS No. 157 will impact the financial statement amounts; however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements included within the Statement of
Operations for the period.
10. SUBSEQUENT EVENT
Distributions to Common Shareholders
The Funds declared Common share dividend distributions from their net investment
income which was paid on September 4, 2007, to shareholders of record on August
15, 2007, as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Dividend per share $.0615 $.1005 $.1045
---------------------------------------------------------------------------------------------------------------------------
|
43
Financial
HIGHLIGHTS
Selected data for a Common share outstanding throughout each period:
Investment Operations
----------------------------------------------------------------
Distributions
from Net Distributions
Beginning Investment from Capital
Common Net Income to Gains to
Share Net Realized/ Preferred Preferred
Net Asset Investment Unrealized Share- Share-
Value Income(a) Gain (Loss) holders+ holders+ Total
---------------------------------------------------------------------------------------------------------
SENIOR INCOME (NSL)
---------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007 $8.33 $.79 $(.33) $(.08) $ -- 0.38
2006 8.48 .69 (.15) (.07) -- .47
2005 8.44 .66 -- (.04) -- .62
2004 7.84 .64 .50 (.02) -- 1.12
2003 7.38 .60 .41 (.02) -- .99
FLOATING RATE INCOME (JFR)
---------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007 13.90 1.56 (.78) (.43) -- .35
2006 14.11 1.31 (.18) (.35) -- .78
2005 14.07 1.00 .10 (.20) -- .90
2004(b) 14.33 .14 .04 (.02) -- .16
FLOATING RATE INCOME OPPORTUNITY (JRO)
---------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007 13.95 1.62 (.78) (.43) -- .41
2006 14.08 1.38 (.13) (.35) -- .90
2005 14.30 .80 .19 (.19) -- .80
2004(c) 14.33 -- -- -- -- --
---------------------------------------------------------------------------------------------------------
Less Distributions
------------------------------
Net Offering
Investment Capital Costs and Ending
Income to Gains to Preferred Common
Common Common Share Share Ending
Share- Share- Underwriting Net Asset Market
holders holders Total Discounts Value Value
---------------------------------------------------------------------------------------------------------
SENIOR INCOME (NSL)
---------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007 $(.71) $ -- $ (.71) $ -- $8.00 $ 8.08
2006 (.62) -- (.62) -- 8.33 8.15
2005 (.58) -- (.58) -- 8.48 8.97
2004 (.52) -- (.52) -- 8.44 9.91
2003 (.53) -- (.53) -- 7.84 8.43
FLOATING RATE INCOME (JFR)
---------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007 (1.17) -- (1.17) -- 13.08 12.88
2006 (.99) -- (.99) -- 13.90 13.15
2005 (.86) -- (.86) -- 14.11 13.69
2004(b) (.21) -- (.21) (.21) 14.07 14.85
FLOATING RATE INCOME OPPOR
---------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007 (1.22) -- (1.22) -- 13.14 13.05
2006 (1.03) -- (1.03) -- 13.95 13.30
2005 (.84) -- (.84) (.18) 14.08 13.41
2004(c) -- -- -- (.03) 14.30 15.01
---------------------------------------------------------------------------------------------------------
|
* Annualized.
** Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and
reinvested capital gains distributions, if any, at the average price paid
per share at the time of reinvestment. The last dividend declared in the
period, which is typically paid on the first business day of the following
month, is assumed to be reinvested at the ending market price. The actual
reinvestment for the last dividend declared in the period may take place
over several days, and in some instances may not be based on the market
price, so the actual reinvestment price may be different from the price
used in the calculation. Total returns are not annualized.
Total Return on Common Share Net Asset Value is the combination of changes
in Common share net asset value, reinvested dividend income at net asset
value and reinvested capital gains distributions at net asset value, if
any. The last dividend declared in the period, which is typically paid on
the first business day of the following month, is assumed to be reinvested
at the ending net asset value. The actual reinvest price for the last
dividend declared in the period may often be based on the Fund's market
price (and not its net asset value), and therefore may be different from
the price used in the calculation. Total returns are not annualized.
*** After custodian fee credit, expense reimbursement from the Adviser and
legal fee refund, where applicable.
+ The amounts shown are based on Common share equivalents.
++ - Ratios do not reflect the effect of dividend payments to Preferred
shareholders.
- Income ratios reflect income earned on assets attributable to Preferred
shares and bank borrowings, where applicable.
- With respect to Senior Income (NSL), each ratio includes the effect of
the interest expense paid on bank borrowings as follows:
Ratio of Interest
Expense to Average
Net Assets Applicable to
Common Shares
-----------------------------------------------
2007 2.22%
2006 1.85
2005 1.00
2004 .48
2003 .74
|
(a) Per share Net Investment Income is calculated using the average daily
shares method.
(b) For the period March 25, 2004 (commencement of operations) through July
31, 2004.
(c) For the period July 27, 2004 (commencement of operations) through July 31,
2004.
(d) Unaudited.
See accompanying notes to financial statements.
44
Ratios/Supplemental Data
-----------------------------------------------------------------------------------------
Ratios to Average Net Ratios to Average Net
Assets Applicable to Assets Applicable to
Common Shares Before Common Shares After
Total Returns Credit/Reimbursement/Refund Credit/Reimbursement/Refund***
----------------- --------------------------- -------------------------------
Based
on
Common Ending Net
Based Share Assets
on Net Applicable to Net Net Portfolio
Market Asset Common Investment Investment Turnover
Value** Value** Shares (000) Expenses++ Income++ Expenses++ Income++ Rate
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
7.79% 4.39% $238,779 3.88% 8.99% 3.59% 9.27% 80%
(1.87) 5.78 248,271 3.52 7.74 3.08 8.18 55
(3.40) 7.53 252,598 2.70 7.21 2.10 7.80 100
24.50 14.61 251,278 2.23 7.10 1.50 7.83 91
25.93 14.25 233,220 2.66 7.57 1.90 8.33 80
------------------------------------------------------------------------------------------------------------------
6.69 2.33 619,843 1.59 10.63 1.08 11.14 81
3.70 5.72 657,517 1.61 8.83 1.10 9.34 50
(1.99) 6.56 667,194 1.60 6.56 1.09 7.07 74
.40 (.39) 663,609 1.37* 2.46* .93* 2.90* 14
------------------------------------------------------------------------------------------------------------------
7.13 2.73 373,366 1.61 11.06 1.13 11.54 81
7.32 6.60 396,195 1.63 9.36 1.15 9.84 50
(5.13) 4.47 399,792 1.53 5.25 1.08 5.70 58
.07 (.21) 383,212 1.28* (.01)* .98* .29* --
------------------------------------------------------------------------------------------------------------------
Preferred Stock at End of Period Borrowings at End of Period
-------------------------------------- ---------------------------
Aggregate Liquidation Aggregate Asset
Amount and Market Asset Amount Coverage
Outstanding Value Per Coverage Outstanding Per
(000) Share Per Share (000) $1,000
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
$46,000 $25,000 $154,771 $103,000 $3,765
46,000 25,000 159,930 103,000 3,857
46,000 25,000 162,281 103,000 3,899
46,000 25,000 161,564 103,000 3,886
46,000(d) 25,000(d) 151,750(d) 103,000(d) 3,711(d)
------------------------------------------------------------------------------------------------------------------
400,000 25,000 63,740 -- --
400,000 25,000 66,095 -- --
400,000 25,000 66,700 -- --
400,000 25,000 66,476 -- --
------------------------------------------------------------------------------------------------------------------
240,000 25,000 63,892 -- --
240,000 25,000 66,270 -- --
240,000 25,000 66,645 -- --
-- -- -- -- --
------------------------------------------------------------------------------------------------------------------
|
45
Annual Investment
Management Agreement
APPROVAL PROCESS
The Board Members are responsible for overseeing the performance of the
investment adviser to the Funds and determining whether to continue the advisory
arrangements. At the annual review meeting held on May 21, 2007 (the "May
Meeting"), the Board Members of the Funds, including the Independent Board
Members, unanimously approved the continuance of the Investment Management
Agreement between each Fund (a "Fund") and Nuveen Asset Management ("NAM" or the
"Adviser"), and the Sub-Advisory Agreements between NAM and Symphony Asset
Management LLC ("Symphony" or the "Sub-Adviser"). NAM and the Sub-Adviser are
each a "Fund Adviser." The foregoing Investment Management Agreements with NAM
and the Sub-Advisory Agreements with the Sub-Adviser are hereafter referred to
as "Original Investment Management Agreements" and "Original Sub-Advisory
Agreements," respectively.
Subsequent to the May Meeting, Nuveen Investments, Inc. ("Nuveen"), the parent
company of NAM, entered into a merger agreement providing for the acquisition of
Nuveen by Windy City Investments, Inc., a corporation formed by investors led by
Madison Dearborn Partners, LLC ("MDP"), a private equity investment firm (the
"Transaction"). Each Original Investment Management Agreement and Original
Sub-Advisory Agreement, as required by Section 15 of the Investment Company Act
of 1940 (the "1940 Act") provides for its automatic termination in the event of
its "assignment" (as defined in the 1940 Act). Any change in control of the
adviser is deemed to be an assignment. The consummation of the Transaction will
result in a change of control of NAM as well as its affiliated sub-advisers and
therefore cause the automatic termination of each Original Investment Management
Agreement and Original Sub-Advisory Agreement, as required by the 1940 Act.
Accordingly, in anticipation of the Transaction, at a meeting held on July 31,
2007 (the "July Meeting"), the Board Members, including the Independent Board
Members, unanimously approved new Investment Management Agreements (the "New
Investment Management Agreements") with NAM on behalf of each Fund and new
Sub-Advisory Agreements (the "New Sub-Advisory Agreements") between NAM and the
Sub-Adviser on behalf of each Fund to take effect immediately after the
Transaction or shareholder approval of the new advisory contracts, whichever is
later. The 1940 Act also requires that each New Investment Management Agreement
and New Sub-Advisory Agreement be approved by the respective Fund's shareholders
in order for it to become effective. Accordingly, to ensure continuity of
advisory services, the Board Members, including the Independent Board Members,
unanimously approved Interim Investment Management Agreements and Interim
Sub-Advisory Agreements to take effect upon the closing of the Transaction if
shareholders have not yet approved the New Investment Management Agreements and
New Sub-Advisory Agreements.
Because the information provided and considerations made at the prior reviews
continue to be relevant with respect to the evaluation of the New Investment
Management Agreements and New Sub-Advisory Agreements, the Board considered the
foregoing as part of its deliberations of the New Investment Management
Agreements and New Sub-Advisory Agreements. Accordingly, as indicated, the
discussions immediately below outline the materials and information presented to
the Board in connection with the Board's prior reviews and the analysis
undertaken and the conclusions reached by Board Members when determining to
continue the Original Investment Management Agreements and Original Sub-Advisory
Agreements.
I. APPROVAL OF THE ORIGINAL INVESTMENT MANAGEMENT AGREEMENTS AND ORIGINAL
SUB-ADVISORY AGREEMENTS
During the course of the year, the Board received a wide variety of materials
relating to the services provided by the Fund Advisers and the performance of
the Funds (as applicable). At each of its quarterly meetings, the Board reviewed
investment performance (as applicable) and various matters relating to the
operations of the Funds and other Nuveen funds, including the compliance
program, shareholder services, valuation, custody, distribution and other
information relating to the nature, extent and quality of services provided by
the Fund Adviser. Between the regularly scheduled quarterly meetings, the Board
Members received information on particular matters as the need arose.
46
In preparation for their considerations at the May Meeting, the Independent
Board Members received extensive materials, well in advance of the meeting,
which outlined or are related to, among other things:
- the nature, extent and quality of services provided by the Fund Adviser;
- the organization and business operations of the Fund Adviser, including the
responsibilities of various departments and key personnel;
- each Fund's past performance as well as the Fund's performance compared to
funds with similar investment objectives based on data and information
provided by an independent third party and to recognized and/or customized
benchmarks (as appropriate);
- the profitability of the Fund Adviser and certain industry profitability
analyses for unaffiliated advisers;
- the expenses of the Fund Adviser in providing the various services;
- the advisory fees and total expense ratios of each Fund, including comparisons
of such fees and expenses with those of comparable, unaffiliated funds based
on information and data provided by an independent third party (the "Peer
Universe") as well as compared to a subset of funds within the Peer Universe
(the "Peer Group") of the respective Fund (as applicable);
- the advisory fees the Fund Adviser assesses to other types of investment
products or clients;
- the soft dollar practices of the Fund Adviser, if any; and
- from independent legal counsel, a legal memorandum describing among other
things, applicable laws, regulations and duties in reviewing and approving
advisory contracts.
At the May Meeting, NAM made a presentation to, and responded to questions from,
the Board. The Independent Board Members also met privately with their legal
counsel to review the Board's duties in reviewing advisory contracts and
considering the renewal of the advisory contracts (which include the
sub-advisory contracts). The Independent Board Members, in consultation with
independent counsel, reviewed the factors set out in judicial decisions and
Securities and Exchange Commission ("SEC") directives relating to the renewal of
advisory contracts. As outlined in more detail below, the Board Members
considered all factors they believed relevant with respect to each Fund,
including, but not limited to, the following: (a) the nature, extent and quality
of the services to be provided by the Fund Adviser; (b) the investment
performance of the Fund and the Fund Adviser (as applicable); (c) the costs of
the services to be provided and profits to be realized by the Fund Adviser and
its affiliates; (d) the extent to which economies of scale would be realized;
and (e) whether fee levels reflect those economies of scale for the benefit of
the Fund's investors. In addition, as noted, the Board Members met regularly
throughout the year to oversee the Funds. In evaluating the advisory contracts,
the Board Members also relied upon their knowledge of the respective Fund
Adviser, its services and the Funds resulting from their meetings and other
interactions throughout the year. It is with this background that the Board
Members considered each advisory contract.
A. NATURE, EXTENT AND QUALITY OF SERVICES
In considering the renewal of the Original Investment Management Agreements and
Original Sub-Advisory Agreements, the Board Members considered the nature,
extent and quality of the respective Fund Adviser's services. The Board Members
reviewed materials outlining, among other things, the Fund Adviser's
organization and business; the types of services that the Fund Adviser or its
affiliates provide or are expected to provide to the Funds; the performance
record of the Fund (as described in further detail below); and at the annual
review, any initiatives Nuveen had taken for the applicable fund product line.
As noted, at the annual review, the Board Members were already familiar with the
organization, operations and personnel of each respective Fund Adviser due to
the Board Members' experience in governing the respective Funds and working with
such Fund Advisers on matters relating to the Funds. At the May Meeting, the
Board Members also recognized NAM's investment in additional qualified personnel
throughout the various groups in the organization and recommended to NAM that it
continue to review staffing needs as necessary. The Board Members recognized
NAM's investment of resources and efforts to continue to enhance and refine its
investment processes.
47
Annual Investment
Management Agreement
APPROVAL PROCESS (continued)
With respect to the Sub-Adviser, the Board Members also received and reviewed an
evaluation of the Sub-Adviser from NAM at the annual review. Such evaluation
outlined, among other things, the Sub-Adviser's organizational history, client
base, product mix, investment team and any changes thereto, investment process
and any changes to its investment strategy, and the Funds' investment objectives
and performance (as applicable). At the May Meeting, the Board Members noted
that NAM recommended the renewal of the applicable Original Sub-Advisory
Agreements and considered the basis for such recommendations and any
qualifications in connection therewith. In its review of the Sub-Adviser, the
Board Members also considered, among other things, the experience of the
investment personnel, the quality of the Sub-Adviser's investment processes in
making portfolio management decisions and any additional refinements and
improvements adopted to the portfolio management processes and Fund performance.
In addition to advisory services, the Independent Board Members considered the
quality of administrative and non-advisory services provided by NAM and noted
that NAM and its affiliates provide the Funds with a wide variety of services
and officers and other personnel as are necessary for the operations of the
Funds, including:
- product management;
- fund administration;
- oversight by shareholder services and other fund service providers;
- administration of Board relations;
- regulatory and portfolio compliance; and
- legal support.
As the Funds operate in a highly regulated industry and given the importance of
compliance, the Board Members considered, in particular, NAM's compliance
activities for the Funds and enhancements thereto. In this regard, the Board
Members recognized the quality of NAM's compliance team. The Board Members also
considered NAM's ability and procedures to monitor the Sub-Adviser's
performance, business practices and compliance policies and procedures. The
Board Members further noted NAM's negotiations with other service providers and
the corresponding reduction in certain service providers' fees at the May
Meeting.
In addition to the foregoing services, the Board Members also noted the
additional services that NAM or its affiliates provide to Nuveen's closed-end
funds, including, in particular, its secondary market support activities. The
Board Members recognized Nuveen's continued commitment to supporting the
secondary market for the common shares of its closed-end funds through a variety
of programs designed to raise investor and analyst awareness and understanding
of closed-end funds. These efforts include:
- maintaining shareholder communications;
- providing advertising for the Nuveen closed-end funds;
- maintaining its closed-end fund website;
- maintaining continual contact with financial advisers;
- providing educational symposia;
- conducting research with investors and financial analysis regarding closed-end
funds; and
- evaluating secondary market performance.
With respect to the Nuveen closed-end funds that utilize leverage through the
issuance of preferred shares ("Preferred Shares"), the Board Members noted
Nuveen's continued support for the holders of Preferred Shares by, among other
things:
- maintaining an in-house trading desk;
- maintaining a product manager for the Preferred Shares;
- developing distribution for Preferred Shares with new market participants;
48
- maintaining an orderly auction process;
- managing leverage and risk management of leverage; and
- maintaining systems necessary to test compliance with rating agency criteria.
With respect to the Sub-Adviser, the Board Members noted that the sub-advisory
agreements were essentially agreements for portfolio management services only
and the Sub-Adviser was not expected to supply other significant administrative
services to the Funds.
Based on their review, the Board Members found that, overall, the nature, extent
and quality of services provided (and expected to be provided) to the Funds
under the respective Original Investment Management Agreement or Original
Sub-Advisory Agreement, as applicable, were satisfactory.
B. THE INVESTMENT PERFORMANCE OF THE FUNDS AND FUND ADVISERS
At the May Meeting, the Board considered the investment performance for each
Fund, including the Fund's historic performance as well as its performance
compared to funds with similar investment objectives (the "Performance Peer
Group") based on data provided by an independent third party (as described
below). The Board Members also reviewed the respective Fund's historic
performance compared to recognized and/or customized benchmarks (as applicable).
In evaluating the performance information during the annual review at the May
Meeting, in certain instances, the Board Members noted that the closest
Performance Peer Group for a fund may not adequately reflect such fund's
investment objectives and strategies, thereby limiting the usefulness of the
comparisons of such fund's performance with that of the Performance Peer Group.
These Performance Peer Groups include those for: the Nuveen Diversified Dividend
and Income Fund; the Nuveen Tax-Advantaged Floating Rate Fund; the Nuveen Real
Estate Income Fund; the Nuveen Equity Premium Advantage Fund; the Nuveen Equity
Premium Income Fund; the Nuveen Equity Premium Opportunity Fund; the Nuveen
Equity Premium and Growth Fund; the Nuveen Multi-Strategy Income and Growth
Fund; and the Nuveen Multi-Strategy Income and Growth Fund 2.
The Board Members reviewed performance information including, among other
things, total return information compared with the respective Fund's Performance
Peer Group as well as recognized and/or customized benchmarks (as appropriate)
for the one-, three-and five-year periods (as applicable) ending December 31,
2006. This information supplemented the performance information provided to the
Board at each of its quarterly meetings. Based on their review at the May
Meeting, the Board Members determined that the respective Fund's investment
performance over time had been satisfactory.
C. FEES, EXPENSES AND PROFITABILITY
1. Fees and Expenses
During the annual review, the Board evaluated the management fees and expenses
of each Fund reviewing, among other things, such Fund's advisory fees (net and
gross management fees) and total expense ratios (before and after expense
reimbursements and/or waivers) in absolute terms as well as comparisons to the
gross management fees (before waivers), net management fees (after waivers)
and total expense ratios (before and after waivers) of comparable funds in the
Peer Universe and the Peer Group. In reviewing the fee schedule for a Fund,
the Board Members considered the fund-level and complex-wide breakpoint
schedules (described in further detail below) and any fee waivers and
reimbursements provided by Nuveen. The Board Members further reviewed data
regarding the construction of Peer Groups as well as the methods of
measurement for the fee and expense analysis and the performance analysis. In
certain cases, due to the small number of peers in the Peer Universe, the Peer
Universe and Peer Group had significant overlap or even consisted entirely of
the same unaffiliated funds. In reviewing the comparisons of fee and expense
information, the Board Members recognized that in certain cases, the size of a
fund relative to peers, the small size and odd composition of the Peer Group
(including differences in objectives and strategies), expense anomalies,
timing of information used or other factors impacting the comparisons thereby
limited some of the usefulness of the comparative data. The Board Members
49
Annual Investment
Management Agreement
APPROVAL PROCESS (continued)
also considered the differences in the use of leverage. The Board Members also
noted the limited Peer Groups available for the Nuveen funds with
multi-sleeves of investments (e.g., the Nuveen Multi-Strategy Income and
Growth Fund, the Nuveen Multi-Strategy Income and Growth Fund 2, the Nuveen
Diversified Dividend and Income Fund and the Nuveen Tax-Advantaged Total
Return Strategy Fund). Based on their review of the fee and expense
information provided, the Board Members determined that each Fund's net total
expense ratio was within an acceptable range compared to peers.
2. Comparisons with the Fees of Other Clients
At the annual review, the Board Members further reviewed data comparing the
advisory fees of NAM with fees NAM charges to other clients. Such clients
include NAM's separately managed accounts and funds that are not offered by
Nuveen but are sub-advised by one of Nuveen's investment management teams. In
general, the advisory fees charged for separate accounts are somewhat lower
than the advisory fees assessed to the Funds. The Board Members considered the
differences in the product types, including, but not limited to, the services
provided, the structure and operations, product distribution and costs
thereof, portfolio investment policies, investor profiles, account sizes and
regulatory requirements. The Board Members noted, in particular, that the
range of services provided to the Funds (as discussed above) is much more
extensive than that provided to separately managed accounts. As described in
further detail above, such additional services include, but are not limited
to: product management, fund administration, oversight of third party service
providers, administration of Board relations, and legal support. The Board
Members noted that the Funds operate in a highly regulated industry requiring
extensive compliance functions compared to other investment products. Given
the inherent differences in the products, particularly the extensive services
provided to the Funds, the Board Members believe such facts justify the
different levels of fees.
With respect to the Sub-Adviser, in considering the fees of the Sub-Adviser,
the Board Members also considered the pricing schedule or fees that the
Sub-Adviser charges for similar investment management services for other fund
sponsors or clients, as applicable. With respect to the Sub-Adviser, the Board
Members also reviewed the generally higher fees for equity and taxable fixed
income hedge funds and hedge accounts it manages, which include a performance
fee.
3. Profitability of Fund Advisers
In conjunction with its review of fees, the Board Members also considered the
profitability of Nuveen for its advisory activities (which incorporated
Nuveen's wholly-owned affiliated sub-advisers) and its financial condition. At
the annual review, the Board Members reviewed the revenues and expenses of
Nuveen's advisory activities for the last three years, the allocation
methodology used in preparing the profitability data as well as the 2006
Annual Report for Nuveen. The Board Members noted this information
supplemented the profitability information requested and received during the
year to help keep them apprised of developments affecting profitability (such
as changes in fee waivers and expense reimbursement commitments). In this
regard, the Board Members noted the enhanced dialogue and information
regarding profitability with NAM during the year, including more frequent
meetings and updates from Nuveen's corporate finance group. The Board Members
considered Nuveen's profitability compared with other fund sponsors prepared
by three independent third party service providers as well as comparisons of
the revenues, expenses and profit margins of various unaffiliated management
firms with similar amounts of assets under management prepared by Nuveen.
In reviewing profitability, the Board Members recognized the subjective nature
of determining profitability which may be affected by numerous factors
including the allocation of expenses. Further, the Board Members recognized
the difficulties in making comparisons as the profitability of other advisers
generally is not publicly available and the profitability information that is
available for certain advisers or management firms may not be representative
of the industry and may be affected by, among other things, the adviser's
particular business mix, capital costs, types of funds managed and expense
allocations.
50
Notwithstanding the foregoing, the Board Members reviewed Nuveen's methodology
at the annual review and assumptions for allocating expenses across product
lines to determine profitability. Last year, the Board Members also designated
an Independent Board Member as a point person for the Board to review the
methodology determinations during the year and any refinements thereto, which
relevant information produced from such process was reported to the full Board.
In reviewing profitability, the Board Members recognized Nuveen's increased
investment in its fund business. Based on its review, the Board Members
concluded that Nuveen's level of profitability for its advisory activities was
reasonable in light of the services provided.
In evaluating the reasonableness of the compensation, the Board Members also
considered other amounts paid to a Fund Adviser by the Funds as well as any
indirect benefits (such as soft dollar arrangements, if any) the Fund Adviser
and its affiliates receive, or are expected to receive, that are directly
attributable to the management of the Funds, if any. See Section E below for
additional information on indirect benefits a Fund Adviser may receive as a
result of its relationship with the Funds. Based on their review of the overall
fee arrangement of each Fund, the Board Members determined that the advisory
fees and expenses of the Funds were reasonable.
D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE
With respect to economies of scale, the Board Members recognized the potential
benefits resulting from the costs of a Fund being spread over a larger asset
base. To help ensure the shareholders share in these benefits, the Board Members
reviewed and considered the breakpoints in the advisory fee schedules that
reduce advisory fees. In addition to advisory fee breakpoints, the Board also
approved a complex-wide fee arrangement in 2004. Pursuant to the complex-wide
fee arrangement, the fees of the funds in the Nuveen complex, including the
Funds, are reduced as the assets in the fund complex reach certain levels. In
evaluating the complex-wide fee arrangement, the Board Members noted that the
last complex-wide asset level breakpoint for the complex-wide fee schedule was
at $91 billion and that the Board Members anticipated further review and/or
negotiations prior to the assets of the Nuveen complex reaching such threshold.
Based on their review, the Board Members concluded that the breakpoint schedule
and complex-wide fee arrangement were acceptable and desirable in providing
benefits from economies of scale to shareholders, subject to further evaluation
of the complex-wide fee schedule as assets in the complex increase. See Section
II, Paragraph D - "Approval of the New Investment Management Agreements and New
Sub-Advisory Agreements - Economies of Scale and Whether Fee Levels Reflect
These Economies of Scale" for information regarding subsequent modifications to
the complex-wide fee.
E. INDIRECT BENEFITS
In evaluating fees, the Board Members also considered any indirect benefits or
profits the respective Fund Adviser or its affiliates may receive as a result of
its relationship with each Fund. In this regard, the Board Members considered
the revenues received by affiliates of NAM for serving as agent at Nuveen's
preferred trading desk and for serving as a co-manager in the initial public
offering of new closed-end exchange traded funds.
In addition to the above, the Board Members considered whether the Fund Adviser
received any benefits from soft dollar arrangements whereby a portion of the
commissions paid by a Fund for brokerage may be used to acquire research that
may be useful to the Fund Adviser in managing the assets of the Funds and other
clients. With respect to NAM, the Board Members noted that NAM does not
currently have any soft dollar arrangements; however, to the extent certain bona
fide agency transactions that occur on markets that traditionally trade on a
principal basis and riskless principal transactions are considered as generating
"commissions," NAM intends to comply with the applicable safe harbor provisions.
With respect to the Sub-Adviser, the Board also considered that such Sub-
Adviser currently does not enter into soft dollar arrangements; however, it has
adopted a soft dollar policy in the event it does so in the future.
Based on their review, the Board Members concluded that any indirect benefits
received by a Fund Adviser as a result of its relationship with the Funds were
reasonable and within acceptable parameters.
51
Annual Investment
Management Agreement
APPROVAL PROCESS (continued)
F. OTHER CONSIDERATIONS
The Board Members did not identify any single factor discussed previously as
all-important or controlling in their considerations to continue an advisory
contract. The Board Members, including the Independent Board Members,
unanimously concluded that the terms of the Original Investment Management and
Original Sub-Advisory Agreements are fair and reasonable, that the respective
Fund Adviser's fees are reasonable in light of the services provided to each
Fund and that the Original Investment Management Agreements and the Original
Sub-Advisory Agreements be renewed.
II. APPROVAL OF THE NEW INVESTMENT MANAGEMENT AGREEMENTS AND NEW SUB-ADVISORY
AGREEMENTS
Following the May Meeting, the Board Members were advised of the potential
Transaction. As noted above, the completion of the Transaction would terminate
each of the Original Investment Management Agreements and Original Sub-Advisory
Agreements. Accordingly, at the July Meeting, the Board of each Fund, including
the Independent Board Members, unanimously approved the New Investment
Management Agreements and New Sub-Advisory Agreements on behalf of the
respective Funds. Leading up to the July Meeting, the Board Members had several
meetings and deliberations with and without Nuveen management present, and with
the advice of legal counsel, regarding the proposed Transaction as outlined
below.
On June 8, 2007, the Board Members held a special telephonic meeting to discuss
the proposed Transaction. At that meeting, the Board Members established a
special ad hoc committee comprised solely of Independent Board Members to focus
on the Transaction and to keep the Independent Board Members updated with
developments regarding the Transaction. On June 15, 2007, the ad hoc committee
discussed with representatives of NAM the Transaction and modifications to the
complex-wide fee schedule that would generate additional fee savings at
specified levels of complex-wide asset growth. Following the foregoing meetings
and several subsequent telephonic conferences among Independent Board Members
and independent counsel, and between Independent Board Members and
representatives of Nuveen, the Board met on June 18, 2007 to further discuss the
proposed Transaction. Immediately prior to and then again during the June 18,
2007 meeting, the Independent Board Members met privately with their independent
legal counsel. At that meeting, the Board met with representatives of MDP, of
Goldman Sachs, Nuveen's financial adviser in the Transaction, and of the Nuveen
Board to discuss, among other things, the history and structure of MDP, the
terms of the proposed Transaction (including the financing terms), and MDP's
general plans and intentions with respect to Nuveen (including with respect to
management, employees, and future growth prospects). On July 9, 2007, the Board
also met to be updated on the Transaction as part of a special telephonic Board
meeting. The Board Members were further updated at a special in-person Board
meeting held on July 19, 2007 (one Independent Board Member participated
telephonically). Subsequently, on July 27, 2007, the ad hoc committee held a
telephonic conference with representatives of Nuveen and MDP to further discuss,
among other things, the Transaction, the financing of the Transaction, retention
and incentive plans for key employees, the effect of regulatory restrictions on
transactions with affiliates after the Transaction, and current volatile market
conditions and their impact on the Transaction.
In connection with their review of the New Investment Management Agreements and
New Sub-Advisory Agreements, the Independent Board Members, through their
independent legal counsel, also requested in writing and received additional
information regarding the proposed Transaction and its impact on the provision
of services by NAM and its affiliates.
The Independent Board Members received, well in advance of the July Meeting,
materials which outlined, among other things:
- the structure and terms of the Transaction, including MDP's co-investor
entities and their expected ownership interests, and the financing
arrangements that will exist for Nuveen following the closing of the
Transaction;
- the strategic plan for Nuveen following the Transaction;
- the governance structure for Nuveen following the Transaction;
52
- any anticipated changes in the operations of the Nuveen funds following the
Transaction, including changes to NAM's and Nuveen's day-to-day management,
infrastructure and ability to provide advisory, distribution or other
applicable services to the Funds;
- any changes to senior management or key personnel who work on Fund related
matters (including portfolio management, investment oversight, and
legal/compliance) and any retention or incentive arrangements for such
persons;
- any anticipated effect on each Fund's expense ratio (including advisory fees)
following the Transaction;
- any benefits or undue burdens imposed on the Funds as a result of the
Transaction;
- any legal issues for the Funds as a result of the Transaction;
- the nature, quality and extent of services expected to be provided to the
Funds following the Transaction, changes to any existing services and policies
affecting the Funds, and cost-cutting efforts, if any, that may impact such
services or policies;
- any conflicts of interest that may arise for Nuveen or MDP with respect to the
Funds;
- the costs associated with obtaining necessary shareholder approvals and who
would bear those costs; and
- from legal counsel, a memorandum describing the applicable laws, regulations
and duties in approving advisory contracts, including, in particular, with
respect to a change of control.
Immediately preceding the July Meeting, representatives of MDP met with the
Board to further respond to questions regarding the Transaction. After the
meeting with MDP, the Independent Board Members met with independent legal
counsel in executive session. At the July Meeting, Nuveen also made a
presentation and responded to questions. Following the presentations and
discussions of the materials presented to the Board, the Independent Board
Members met again in executive session with their counsel. As outlined in more
detail below, the Independent Board Members considered all factors they believed
relevant with respect to each Fund, including the impact that the Transaction
could be expected to have on the following: (a) the nature, extent and quality
of services to be provided; (b) the investment performance of the Funds; (c) the
costs of the services and profits to be realized by Nuveen and its affiliates;
(d) the extent to which economies of scale would be realized; and (e) whether
fee levels reflect those economies of scale for the benefit of investors. As
noted above, during the past year, the Board Members had completed their annual
review of the respective Original Investment Management Agreements and Original
Sub-Advisory Agreements and many of the factors considered at such reviews were
applicable to their evaluation of the New Investment Management Agreements and
New Sub-Advisory Agreements. Accordingly, in evaluating such agreements, the
Board Members relied upon their knowledge and experience with the Fund Advisers
and considered the information received and their evaluations and conclusions
drawn at the reviews. While the Board reviewed many Nuveen funds at the July
Meeting, the Independent Board Members evaluated all information available to
them on a fund-by-fund basis, and their determinations were made separately in
respect of each Fund.
A. NATURE, EXTENT AND QUALITY OF SERVICES
In evaluating the nature, quality and extent of the services expected to be
provided by the Fund Adviser under the applicable New Investment Management
Agreement or New Sub-Advisory Agreement, the Independent Board Members
considered, among other things, the expected impact, if any, of the Transaction
on the operations, facilities, organization and personnel of NAM and the
Sub-Adviser (if applicable); the potential implications of regulatory
restrictions on the Funds following the Transaction; the ability of NAM and its
affiliates to perform their duties after the Transaction; and any anticipated
changes to the current investment and other practices of the Funds.
The Board noted that the terms of each New Investment Management Agreement,
including the fees payable thereunder, are substantially identical to those of
the Original Investment Management Agreement relating to the same Fund (with
both reflecting reductions to fee levels in the complex-wide fee schedule for
complex-wide assets in excess of $80 billion that have an effective date of
August 20, 2007). Similarly, the terms of each New Sub-Advisory Agreement,
including fees payable thereunder, are substantially identical to those of the
respective Original Sub-Advisory Agreement relating to the same Fund. The Board
considered that the services to be provided and the standard of care under the
New Investment Management Agreements and the New Sub-Advisory Agreements are the
53
Annual Investment
Management Agreement
APPROVAL PROCESS (continued)
same as the corresponding original agreements. The Board Members noted the
Transaction does not alter the allocation of responsibilities between the
Adviser and Sub-Adviser. The Sub-Adviser will continue to furnish an investment
program in respect of, make investment decisions for and place all orders for
the purchase and sale of securities for the portion of each Fund's investment
portfolio allocated by the Adviser to the Sub-Adviser, all on behalf of the
applicable Fund and subject to oversight of the Board and the Adviser. The Board
Members further noted that key personnel of the Adviser or Sub-Adviser who have
responsibility for the Funds in each area, including portfolio management,
investment oversight, fund management, fund operations, product management,
legal/compliance and board support functions, are expected to be the same
following the Transaction. The Board Members considered and are familiar with
the qualifications, skills and experience of such personnel. The Board also
considered certain information regarding any anticipated retention or incentive
plans designed to retain key personnel. Further, the Board Members noted that no
changes to Nuveen's infrastructure (including at the affiliated sub-adviser
level) or operations as a result of the Transaction were anticipated other than
potential enhancements as a result of an expected increase in the level of
investment in such infrastructure and personnel. The Board noted MDP's
representations that it does not plan to have a direct role in the management of
Nuveen, appointing new management personnel, or directly impacting individual
staffing decisions. The Board Members also noted that there were not any planned
"cost cutting" measures that could be expected to reduce the nature, extent or
quality of services. After consideration of the foregoing, the Board Members
concluded that no diminution in the nature, quality and extent of services
provided to the Funds and their shareholders by the respective Fund Advisers is
expected.
In addition to the above, the Board Members considered potential changes in the
operations of each Fund. In this regard, the Board Members considered the
potential effect of regulatory restrictions on the Funds' transactions with
future affiliated persons. During their deliberations, it was noted that, after
the Transaction, a subsidiary of Merrill Lynch is expected to have an ownership
interest in Nuveen at a level that will make Merrill Lynch an affiliated person
of Nuveen. The Board Members recognized that applicable law would generally
prohibit the Funds from engaging in securities transactions with Merrill Lynch
as principal, and would also impose restrictions on using Merrill Lynch for
agency transactions. They recognized that having MDP and Merrill Lynch as
affiliates may restrict the Nuveen funds' ability to invest in securities of
issuers controlled by MDP or issued by Merrill Lynch and its affiliates even if
not bought directly from MDP or Merrill Lynch as principal. They also recognized
that various regulations may require the Nuveen funds to apply investment
limitations on a combined basis with affiliates of Merrill Lynch. The Board
Members considered information provided by NAM regarding the potential impact on
the Nuveen funds' operations as a result of these regulatory restrictions. The
Board Members considered, in particular, the Nuveen funds that may be impacted
most by the restricted access to Merrill Lynch, including: municipal funds
(particularly certain state-specific funds), senior loan funds, taxable fixed
income funds, preferred security funds and funds that heavily use derivatives.
The Board Members considered such funds' historic use of Merrill Lynch as
principal in their transactions and information provided by NAM regarding the
expected impact resulting from Merrill Lynch's affiliation with Nuveen and
available measures that could be taken to minimize such impact. NAM informed the
Board Members that, although difficult to determine with certainty, its
management did not believe that MDP's or Merrill Lynch's status as an affiliate
of Nuveen would have a material adverse effect on any Nuveen fund's ability to
pursue its investment objectives and policies.
In addition to the regulatory restrictions considered by the Board, the Board
Members also considered potential conflicts of interest that could arise between
the Nuveen funds and various parties to the Transaction and discussed possible
ways of addressing such conflicts.
Based on its review along with its considerations regarding services at the
annual review, the Board concluded that the Transaction was not expected to
adversely affect the nature, quality or extent of services provided by the
respective Fund Adviser and that the expected nature, quality and extent of such
services supported approval of the New Investment Management Agreements and New
Sub-Advisory Agreements.
54
B. PERFORMANCE OF THE FUNDS
With respect to the performance of the Funds, the Board considered that the
portfolio management personnel responsible for the management of the Funds'
portfolios were expected to continue to manage the portfolios following the
completion of the Transaction.
In addition, the Board Members recently reviewed Fund performance at the May
Meeting, as described above, and determined such Funds' performance was
satisfactory or better. The Board Members further noted that the investment
policies and strategies were not expected to change as a result of the
Transaction.
In light of the foregoing factors, along with the prior findings regarding
performance at the annual review, the Board concluded that its findings with
respect to performance supported approval of the New Investment Management
Agreements and New Sub-Advisory Agreements.
C. FEES, EXPENSES AND PROFITABILITY
As described in more detail above, during the annual review, the Board Members
considered, among other things, the management fees and expenses of the Funds,
the breakpoint schedules, and comparisons of such fees and expenses with peers.
At the annual review, the Board Members determined that the respective Fund's
advisory fees and expenses were reasonable. In evaluating the profitability of
the Fund Adviser under the New Investment Management Agreements and New
Sub-Advisory Agreements, the Board Members considered their conclusions at their
prior reviews and whether the management fees or other expenses would change as
a result of the Transaction. As described above, the investment management fee
for NAM is composed of two components -- a fund-level component and complex-wide
level component. The fee schedule under the New Investment Management Agreements
to be paid to NAM is identical to that under the Original Investment Management
Agreements, including the modified complex-wide fee schedule. As noted above,
the Board recently approved a modified complex-wide fee schedule that would
generate additional fee savings on complex-wide assets above $80 billion. The
modifications have an effective date of August 20, 2007 and are part of the
Original Investment Management Agreements. Accordingly, the terms of the
complex-wide component under the New Investment Management Agreements are the
same as under the Original Investment Management Agreements. The Board Members
also noted that Nuveen has committed for a period of two years from the date of
closing of the Transaction that it will not increase gross management fees for
any Nuveen fund and will not reduce voluntary expense reimbursement levels for
any Nuveen fund from their currently scheduled prospective levels. Based on the
information provided, the Board Members did not expect that overall Fund
expenses would increase as a result of the Transaction.
In addition, the Board Members considered that additional fund launches were
anticipated after the Transaction which would result in an increase in total
assets under management in the complex and a corresponding decrease in overall
management fees under the complex-wide fee schedule. Taking into consideration
the Board's prior evaluation of fees and expenses at the annual renewal, and the
modification to the complex-wide fee schedule, the Board determined that the
management fees and expenses were reasonable.
While it is difficult to predict with any degree of certainty the impact of the
Transaction on Nuveen's profitability for its advisory activities (which
includes its affiliated sub-advisers), at the recent annual review, the Board
Members were satisfied that Nuveen's level of profitability for its advisory
activities was reasonable. During the year, the Board Members had noted the
enhanced dialogue regarding profitability and the appointment of an Independent
Board Member as a point person to review methodology determinations and
refinements in calculating profitability. Given their considerations at the
annual review and the modifications to the complex-wide fee schedule, the Board
Members were satisfied that Nuveen's level of profitability for its advisory
activities continues to be reasonable.
With respect to the Sub-Adviser, the fees paid under the New Sub-Advisory
Agreements are the same as the Original Sub-Advisory Agreements. The Transaction
is not anticipated to affect the profitability of the Sub-Adviser. At the annual
review, the Board Members were satisfied that the respective Fund Adviser's
level of profitability was reasonable in light of the services provided. Taking
into account the Board's prior evaluation and the fact that sub-advisory fees
will not change, the Board Members were satisfied that the respective Fund
Advisers' levels of profitability were reasonable in light of the services
provided.
55
Annual Investment
Management Agreement
APPROVAL PROCESS (continued)
D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE
The Board Members have been cognizant of economies of scale and the potential
benefits resulting from the costs of a Fund being spread over a larger asset
base. To help ensure that shareholders share in the benefits derived from
economies of scale, the Board adopted the complex-wide fee arrangement in 2004.
At the May Meeting, the Board Members reviewed the complex-wide fee arrangements
and noted that additional negotiations may be necessary or appropriate as the
assets in the complex approached the $91 billion threshold. In light of this
assessment coupled with the upcoming Transaction, at the June 15, 2007 meeting,
the ad hoc committee met with representatives of Nuveen to further discuss
modifications to the complex-wide fee schedule that would generate additional
savings for shareholders as the assets of the complex grow. The proposed terms
for the complex-wide fee schedule are expressed in terms of targeted cumulative
savings at specified levels of complex-wide assets, rather than in terms of
targeted marginal complex-wide fee rates. Under the modified schedule, the
schedule would generate additional fee savings beginning at complex-wide assets
of $80 billion in order to achieve targeted cumulative annual savings at $91
billion of $28 million on a complex-wide level (approximately $0.6 million
higher than those generated under the then current schedule) and generate
additional fee savings for asset growth above complex-wide assets of $91 billion
in order to achieve targeted annual savings at $125 billion of assets of
approximately $50 million on a complex-wide level (approximately $2.2 million
higher annually than that generated under the then current schedule). At the
July Meeting, the Board approved the modified complex-wide fee schedule for the
Original Investment Management Agreements and these same terms will apply to the
New Investment Management Agreements. Accordingly, the Board Members believe
that the breakpoint schedules and revised complex-wide fee schedule are
appropriate and desirable in ensuring that shareholders participate in the
benefits derived from economies of scale.
E. INDIRECT BENEFITS
During their recent annual review, the Board Members considered any indirect
benefits that the Fund Adviser may receive as a result of its relationship with
the Funds, as described above. As the policies and operations of the Fund
Advisers are not anticipated to change significantly after the Transaction, such
indirect benefits should remain after the Transaction. The Board Members further
considered any additional indirect benefits to be received by the Fund Adviser
or its affiliates after the Transaction. The Board Members noted that other than
benefits from its ownership interest in Nuveen and indirect benefits from fee
revenues paid by the Funds under the management agreements and other
Board-approved relationships, it was currently not expected that MDP or its
affiliates would derive any benefit from the Funds as a result of the
Transaction or transact any business with or on behalf of the Funds (other than
perhaps potential Fund acquisitions, in secondary market transactions, of
securities issued by MDP portfolio companies); or that Merrill Lynch or its
affiliates would derive any benefits from the Funds as a result of the
Transaction (noting that, indeed, Merrill Lynch would stand to experience the
discontinuation of principal transaction activity with the Nuveen funds and
likely would experience a noticeable reduction in the volume of agency
transactions with the Nuveen funds).
F. OTHER CONSIDERATIONS
In addition to the factors above, the Board Members also considered the
following with respect to the Funds:
- Nuveen would rely on the provisions of Section 15(f) of the 1940 Act. Section
15(f) provides, in substance, that when a sale of a controlling interest in an
investment adviser occurs, the investment adviser or any of its affiliated
persons may receive any amount or benefit in connection with the sale so long
as (i) during the three-year period following the consummation of a
transaction, at least 75% of the investment company's board of directors must
not be "interested persons" (as defined in the 1940 Act) of the investment
adviser or predecessor adviser and (ii) an "unfair burden" (as defined in the
1940 Act, including any interpretations or no-action letters of the SEC) must
not be imposed on the investment company as a result of the transaction
relating to the sale of such interest, or any express or implied terms,
conditions or understanding applicable thereto. In this regard, to help ensure
that an unfair burden is not imposed on the Nuveen funds, Nuveen has committed
for a period of two years from the date of the closing of the Transaction (i)
not to increase gross management fees for any Nuveen fund; (ii) not to reduce
voluntary expense reimbursement levels for any Nuveen fund from their
currently scheduled
56
prospective levels during that period; (iii) that no Nuveen fund whose
portfolio is managed by a Nuveen affiliate shall use Merrill Lynch as a broker
with respect to portfolio transactions done on an agency basis, except as may
be approved in the future by the Compliance Committee of the Board; and (iv)
that each adviser/portfolio team affiliated with Nuveen shall not cause the
Funds (or sleeves thereof) and other Nuveen funds that the team manages, as a
whole, to enter into portfolio transactions with or through the other minority
owners of Nuveen, on either a principal or an agency basis, to a significantly
greater extent than both what one would expect an investment team to use such
firm in the normal course of business, and what such team has historically
done, without prior Board or Compliance Committee approval (excluding the
impact of proportionally increasing the use of such other "minority owners" to
fill the void necessitated by not being able to use Merrill Lynch).
- The Funds would not incur any costs in seeking the necessary shareholder
approvals for the New Investment Management Agreements or New Sub-Advisory
Agreements (except for any costs attributed to seeking shareholder approvals
of Fund specific matters unrelated to the Transaction, such as approval of
Board Members or changes to investment policies, in which case a portion of
such costs will be borne by the applicable Funds).
- The reputation, financial strength and resources of MDP.
- The long-term investment philosophy of MDP and anticipated plans to grow
Nuveen's business to the benefit of the Nuveen funds.
- The benefits to the Nuveen funds as a result of the Transaction including: (i)
as a private company, Nuveen may have more flexibility in making additional
investments in its business; (ii) as a private company, Nuveen may be better
able to structure compensation packages to attract and retain talented
personnel; (iii) as certain of Nuveen's distribution partners are expected to
be equity or debt investors in Nuveen, Nuveen may be able to take advantage of
new or enhanced distribution arrangements with such partners; and (iv) MDP's
experience, capabilities and resources that may help Nuveen identify and
acquire investment teams or firms and finance such acquisitions.
- The historic premium and discount levels at which the shares of the Nuveen
funds have traded at specified dates with particular focus on the premiums and
discounts after the announcement of the Transaction, taking into consideration
recent volatile market conditions and steps or initiatives considered or
undertaken by NAM to address discount levels.
G. CONCLUSION
The Board Members did not identify any single factor discussed previously as
all-important or controlling. The Board Members, including the Independent Board
Members, unanimously concluded that the terms of the New Investment Management
Agreements and New Sub-Advisory Agreements are fair and reasonable, that the
fees therein are reasonable in light of the services to be provided to each Fund
and that the New Investment Management Agreements and New Sub-Advisory
Agreements should be approved and recommended to shareholders.
III. APPROVAL OF INTERIM CONTRACTS
As noted above, at the July Meeting, the Board Members, including the
Independent Board Members, unanimously approved the Interim Investment
Management Agreements and Interim Sub-Advisory Agreements. If necessary to
assure continuity of advisory services, the Interim Investment Management
Agreements and Interim Sub-Advisory Agreements will take effect upon the closing
of the Transaction if shareholders have not yet approved the New Investment
Management Agreements and New Sub-Advisory Agreements. The terms of each Interim
Investment Management Agreement and Interim Sub-Advisory Agreement are
substantially identical to those of the corresponding Original Investment
Management Agreement and New Investment Management Agreement and the Original
Sub-Advisory Agreement and New Sub-Advisory Agreement, respectively, except for
certain term and escrow provisions. In light of the foregoing, the Board
Members, including the Independent Board Members, unanimously determined that
the scope and quality of services to be provided to the Funds under the
respective Interim Investment Management Agreement and Interim Sub-Advisory
Agreement are at least equivalent to the scope and quality of services provided
under the applicable Original Investment Management Agreement and Original
Sub-Advisory Agreement.
57
BOARD MEMBERS & OFFICERS
The management of the Funds, including general supervision of the duties
performed for the Funds by the Adviser, is the responsibility of the Board
Members of the Funds. The number of board members of the Fund is currently set
at eight. None of the board members who are not "interested" persons of the
Funds has ever been a director or employee of, or consultant to, Nuveen or its
affiliates. The names and business addresses of the board members and officers
of the Funds, their principal occupations and other affiliations during the past
five years, the number of portfolios each oversees and other directorships they
hold are set forth below.
NAME, BIRTHDATE POSITION(S) HELD WITH YEAR FIRST NUMBER OF PORTFOLIOS
AND ADDRESS THE FUNDS ELECTED OR PRINCIPAL OCCUPATION(S) IN FUND COMPLEX
APPOINTED INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY
AND TERM(2) DURING PAST 5 YEARS BOARD MEMBER
BOARD MEMBER WHO IS AN INTERESTED PERSON OF THE FUNDS:
- TIMOTHY R. SCHWERTFEGER(1)
3/28/49 Chairman of the Board 1994 Director (since 1994) and
333 W. Wacker Drive and Board Member ANNUAL Chairman (since 1996) and
Chicago, IL 60606 Non-Executive Chairman (since
July 1, 2007) formerly, Chief
Executive Officer (1996-June
30, 2007) of Nuveen
Investments, Inc., and Nuveen 176
Asset Management and certain
other subsidiaries of Nuveen
Investments, Inc.; formerly,
Director (1992-2006) of
Institutional Capital
Corporation.
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS:
- ROBERT P. BREMNER
8/22/40 Lead Independent Board 1997 Private Investor and 176
333 W. Wacker Drive member CLASS III Management Consultant.
Chicago, IL 60606
- JACK B. EVANS
10/22/48 1999 President, The Hall-Perrine
333 W. Wacker Drive Board member CLASS III Foundation, a private
Chicago, IL 60606 philanthropic corporation
(since 1996); Director and
Vice Chairman, United Fire
Group, a publicly held
company; Member of the Board
of Regents for the State of
Iowa University System;
Director, Gazette Companies;
Life Trustee of Coe College
and Iowa College Foundation; 176
Member of the Advisory
Council of the Department of
Finance in the Tippie College
of Business, University of
Iowa; formerly, Director,
Alliant Energy; formerly,
Director, Federal Reserve
Bank of Chicago; formerly,
President and Chief Operating
Officer, SCI Financial Group,
Inc., a regional financial
services firm.
- WILLIAM C. HUNTER
3/6/48 2004 Dean, Tippie College of
333 W. Wacker Drive Board member CLASS II Business, University of Iowa
Chicago, IL 60606 (since July 2006); formerly,
Dean and Distinguished
Professor of Finance, School
of Business at the University
of Connecticut (2003-2006);
previously, Senior Vice
President and Director of 176
Research at the Federal
Reserve Bank of Chicago
(1995-2003); Director (since
1997), Credit Research Center
at Georgetown University;
Director (since 2004) of
Xerox Corporation; Director,
SS&C Technologies, Inc. (May
2005-October 2005).
|
58
NAME, BIRTHDATE POSITION(S) HELD WITH YEAR FIRST NUMBER OF PORTFOLIOS
AND ADDRESS THE FUNDS ELECTED OR PRINCIPAL OCCUPATION(S) IN FUND COMPLEX
APPOINTED INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY
AND TERM(2) DURING PAST 5 YEARS BOARD MEMBER
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS (CONTINUED):
- DAVID J. KUNDERT
10/28/42 2005 Director, Northwestern Mutual
333 W. Wacker Drive Board member CLASS II Wealth Management Company;
Chicago, IL 60606 Retired (since 2004) as
Chairman, JPMorgan Fleming
Asset Management, President
and CEO, Banc One Investment
Advisors Corporation, and
President, One Group Mutual
Funds; prior thereto,
Executive Vice President,
Banc One Corporation and 174
Chairman and CEO, Banc One
Investment Management Group;
Board of Regents, Luther
College; member of the
Wisconsin Bar Association;
member of Board of Directors,
Friends of Boerner Botanical
Gardens; member of Board of
Directors, Milwaukee
Repertory Theater.
- WILLIAM J. SCHNEIDER
9/24/44 1997 Chairman of Miller-Valentine
333 W. Wacker Drive Board member ANNUAL Partners Ltd., a real estate
Chicago, IL 60606 investment company; formerly,
Senior Partner and Chief
Operating Officer (retired,
2004) of Miller-Valentine
Group; formerly, Vice
President, Miller-Valentine
Realty; Board Member, Chair
of the Finance Committee and
member of the Audit Committee
of Premier Health Partners,
the not-for-profit company of
Miami Valley Hospital; Vice 176
President, Dayton
Philharmonic Orchestra
Association; Board Member,
Regional Leaders Forum, which
promotes cooperation on
economic development issues;
Director, Dayton Development
Coalition; formerly, Member,
Community Advisory Board,
National City Bank, Dayton,
Ohio and Business Advisory
Council, Cleveland Federal
Reserve Bank.
- JUDITH M. STOCKDALE
12/29/47 1997 Executive Director, Gaylord
333 W. Wacker Drive Board member CLASS I and Dorothy Donnelley
Chicago, IL 60606 Foundation (since 1994);
prior thereto, Executive 176
Director, Great Lakes
Protection Fund (from 1990 to
1994).
- CAROLE E. STONE
6/28/47 2007 Director, Chicago Board
333 W. Wacker Drive Board member CLASS I Options Exchange (since
Chicago, IL 60606 2006); Chair New York Racing
Association Oversight Board
(since 2005); Commissioner,
New York State Commission on
Public Authority Reform
(since 2005); formerly 176
Director, New York State
Division of the Budget
(2000-2004), Chair, Public
Authorities Control Board
(2000-2004) and Director,
Local Government Assistance
Corporation (2000-2004).
|
59
NAME, BIRTHDATE POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S) NUMBER OF PORTFOLIOS
AND ADDRESS THE FUNDS YEAR FIRST DURING PAST 5 YEARS IN FUND COMPLEX
ELECTED OR OVERSEEN BY
APPOINTED(4) OFFICER
OFFICERS OF THE FUND:
- GIFFORD R. ZIMMERMAN
9/9/56 Chief Managing Director (since
333 W. Wacker Drive Administrative 1988 2002), Assistant
Chicago, IL 60606 Officer Secretary and Associate
General Counsel,
formerly, Vice President
and Assistant General
Counsel, of Nuveen
Investments, LLC;
Managing Director (since
2002) and Assistant
Secretary and Associate
General Counsel,
formerly, Vice President
(since 1997), of Nuveen
Asset Management;
Managing Director (since
2004) and Assistant
Secretary (since 1994) of
Nuveen Investments, Inc.;
Assistant Secretary of
NWQ Investment Management
Company, LLC. (since
2002); Vice President and
Assistant Secretary of 176
Nuveen Investments
Advisers Inc. (since
2002); Managing Director,
Associate General Counsel
and Assistant Secretary
of Rittenhouse Asset
Management, Inc.,
Symphony Asset Management
LLC (since 2003),
Tradewinds Global
Investors, LLC and Santa
Barbara Asset Management,
LLC; (since 2006);
formerly, Managing
Director (2002-2004),
General Counsel
(1998-2004) and Assistant
Secretary, formerly, Vice
President of Nuveen
Advisory Corp. and Nuveen
Institutional Advisory
Corp.(3); Chartered
Financial Analyst.
- WILLIAMS ADAMS IV
6/9/55 Executive Vice President,
333 W. Wacker Drive Vice President 2007 U.S. Structured Products
Chicago, IL 60606 of Nuveen Investments,
LLC, (since 1999), prior 119
thereto, Managing
Director of Structured
Investments.
- JULIA L. ANTONATOS
9/22/63 Managing Director (since
333 W. Wacker Drive Vice President 2004 2005), formerly Vice
Chicago, IL 60606 President (since 2002) of 176
Nuveen Investments, LLC;
Chartered Financial
Analyst.
- CEDRIC H. ANTOSIEWICZ
1/11/62 Managing Director, (since
333 W. Wacker Drive Vice President 2007 2004) previously, Vice 119
Chicago, IL 60606 President (1993-2004) of
Nuveen Investments, LLC.
- MICHAEL T. ATKINSON
2/3/66 Vice President and Vice President (since
333 W. Wacker Drive Assistant Secretary 2000 2002) of Nuveen 176
Chicago, IL 60606 Investments, LLC.
- PETER H. D'ARRIGO
11/28/67 Vice President and
333 W. Wacker Drive Vice President 1999 Treasurer of Nuveen
Chicago, IL 60606 Investments, LLC and of
Nuveen Investments, Inc.
(since 1999); Vice
President and Treasurer
of Nuveen Asset
Management (since 2002)
and of Nuveen Investments
Advisers Inc. (since
2002); Assistant
Treasurer of NWQ
Investment Management
Company, LLC. (since
2002); Vice President and
Treasurer of Nuveen
Rittenhouse Asset 176
Management, Inc. (since
2003); Treasurer of
Symphony Asset Management
LLC (since 2003) and
Santa Barbara Asset
Management, LLC (since
2006); Assistant
Treasurer, Tradewinds
Global Investors, LLC
(since 2006); formerly,
Vice President and
Treasurer (1999-2004) of
Nuveen Advisory Corp. and
Nuveen Institutional
Advisory Corp.(3);
Chartered Financial
Analyst.
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60
NAME, BIRTHDATE POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S) NUMBER OF PORTFOLIOS
AND ADDRESS THE FUNDS YEAR FIRST DURING PAST 5 YEARS IN FUND COMPLEX
ELECTED OR OVERSEEN BY
APPOINTED(4) OFFICER
OFFICERS OF THE FUND (CONTINUED):
- LORNA C. FERGUSON
10/24/45 Managing Director (since
333 W. Wacker Drive Vice President 1998 2004), formerly, Vice
Chicago, IL 60606 President of Nuveen
Investments, LLC,
Managing Director (2004)
formerly, Vice President 176
(1998-2004) of Nuveen
Advisory Corp. and Nuveen
Institutional Advisory
Corp.(3); Managing
Director (since 2005) of
Nuveen Asset Management.
- WILLIAM M. FITZGERALD
3/2/64 Managing Director (since
333 W. Wacker Drive Vice President 1995 2002), formerly, Vice
Chicago, IL 60606 President of Nuveen
Investments, LLC;
Managing Director (1997-
2004) of Nuveen Advisory
Corp. and Nuveen
Institutional Advisory 176
Corp.(3); Managing
Director (since 2001) of
Nuveen Asset Management;
Vice President (since
2002) of Nuveen
Investments Advisers
Inc.; Chartered Financial
Analyst.
- STEPHEN D. FOY
5/31/54 Vice President and Vice President (since
333 W. Wacker Drive Controller 1998 1993) and Funds
Chicago, IL 60606 Controller (since 1998)
of Nuveen Investments,
LLC; formerly, Vice 176
President and Funds
Controller (1998-2004) of
Nuveen Investments, Inc.;
Certified Public
Accountant.
- WALTER M. KELLY
2/24/70 Chief Compliance Assistant Vice President
333 W. Wacker Drive Officer and 2003 and Assistant Secretary
Chicago, IL 60606 Vice President of the Nuveen Funds
(2003-2006); Vice
President (since 2006)
formerly, Assistant Vice
President and Assistant 176
General Counsel
(2003-2006) of Nuveen
Investments, LLC;
previously, Associate
(2001-2003) at the law
firm of Vedder, Price,
Kaufman & Kammholz.
- DAVID J. LAMB
3/22/63 Vice President (since
333 W. Wacker Drive Vice President 2000 2000) of Nuveen
Chicago, IL 60606 Investments, LLC; 176
Certified Public
Accountant.
- TINA M. LAZAR
8/27/61 Vice President of Nuveen
333 W. Wacker Drive Vice President 2002 Investments, LLC (since 176
Chicago, IL 60606 1999).
- LARRY W. MARTIN
7/27/51 Vice President and Vice President, Assistant
333 W. Wacker Drive Assistant Secretary 1988 Secretary and Assistant
Chicago, IL 60606 General Counsel of Nuveen
Investments, LLC;
formerly, Vice President
and Assistant Secretary
of Nuveen Advisory Corp.
and Nuveen Institutional
Advisory Corp.(3); Vice
President (since 2005)
and Assistant Secretary
of Nuveen Investments,
Inc.; Vice President
(since 2005) and
Assistant Secretary
(since 1997) of Nuveen
Asset Management; Vice
President (since 2000),
Assistant Secretary and 176
Assistant General Counsel
(since 1998) of
Rittenhouse Asset
Management, Inc.; Vice
President and Assistant
Secretary of Nuveen
Investments Advisers Inc.
(since 2002); Assistant
Secretary of NWQ
Investment Management
Company, LLC (since
2002), Symphony Asset
Management LLC (since
2003) and Tradewinds
Global Investors, LLC and
Santa Barbara Asset
Management, LLC (since
2006).
|
61
NAME, BIRTHDATE POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S) NUMBER OF PORTFOLIOS
AND ADDRESS THE FUNDS YEAR FIRST DURING PAST 5 YEARS IN FUND COMPLEX
ELECTED OR OVERSEEN BY
APPOINTED(4) OFFICER
OFFICERS OF THE FUND (CONTINUED):
- KEVIN J. MCCARTHY
3/26/66 Vice President and Vice President and
333 W. Wacker Drive Secretary 2007 Assistant General
Chicago, IL 60606 Counsel, Nuveen
Investments, Inc, (since
2007); Vice President,
Nuveen Investments, LLC
(since 2007); Vice
President and Assistant 176
Secretary, Nuveen Asset
Management and
Rittenhouse Asset
Management, Inc. (since
2007); prior thereto,
Partner, Bell, Boyd &
Lloyd LLP (1997-2007)
- JOHN V. MILLER
4/10/67 Managing Director (since
333 W. Wacker Drive Vice President 2007 2007), formerly, Vice
Chicago, IL 60606 President (2002-2007) of
Nuveen Asset Management 176
and Nuveen Investments,
LLC; Chartered Financial
Analyst.
|
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the
Investment Company Act of 1940, because he is an officer and board member of
the Adviser.
(2) Board Members serve three year terms, except for two board members who are
elected by the holders of Preferred Shares. The Board of Trustees is divided
into three classes, Class I, Class II, and Class III, with each being
elected to serve until the third succeeding annual shareholders' meeting
subsequent to its election or thereafter in each case when its respective
successors are duly elected or appointed, except two board members are
elected by the holders of Preferred Shares to serve until the next annual
shareholders' meeting subsequent to its election or thereafter in each case
when its respective successors are duly elected or appointed. The first year
elected or appointed represents the year in which the board member was first
elected or appointed to any fund in the Nuveen Complex.
(3) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. were
reorganized into Nuveen Asset Management, effective January 1, 2005.
(4) Officers serve one year terms through July of each year. The year first
elected or appointed represents the year in which the Officer was first
elected or appointed to any fund in the Nuveen Complex.
62
Reinvest Automatically
EASILY and CONVENIENTLY
NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR
REINVESTMENT ACCOUNT.
NUVEEN CLOSED-END FUNDS DIVIDEND REINVESTMENT PLAN
Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or
capital gains distributions in additional Fund shares.
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of tax-free
compounding. Just like dividends or distributions in cash, there may be times
when income or capital gains taxes may be payable on dividends or distributions
that are reinvested.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
EASY AND CONVENIENT
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
HOW SHARES ARE PURCHASED
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
greater of the net asset value or 95% of the then-current market price. If the
shares are trading at less than net asset value, shares for your account will be
purchased on the open market. If the Plan Agent begins purchasing Fund shares on
the open market while shares are trading below net asset value, but the Fund's
shares subsequently trade at or above their net asset value before the Plan
Agent is able to complete its purchases, the Plan Agent may cease open-market
purchases and may invest the uninvested portion of the distribution in
newly-issued Fund shares at a price equal to the greater of the shares' net
asset value or 95% of the shares' market value on the last business day
immediately prior to the purchase date. Dividends and distributions received to
purchase shares in the open market will normally be invested shortly after the
dividend payment date. No interest will be paid on dividends and distributions
awaiting reinvestment. Because the market price of the shares may increase
before purchases are completed, the average purchase price per share may exceed
the market price at the time of valuation, resulting in the acquisition of fewer
shares than if the dividend or distribution had been paid in shares issued by
the Fund. A pro rata portion of any applicable brokerage commissions on open
market purchases will be paid by Plan participants. These commissions usually
will be lower than those charged on individual transactions.
63
FLEXIBLE
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
64
Glossary of
TERMS USED in this REPORT
Average Annual Total Return: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or market
price and reinvested dividends and capital gains distributions, if any) over the
time period being considered.
Market Yield (also known as Dividend Yield or Current Yield): Market yield is
based on the Fund's current annualized monthly distribution divided by the
Fund's current market price. The Fund's monthly distributions to its
shareholders may be comprised of ordinary income, net realized capital gains
and, if at the end of the calendar year the Fund's cumulative net ordinary
income and net realized gains are less than the amount of the Fund's
distributions, a tax return of capital.
Net Asset Value (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any Preferred shares issued
in order to leverage the Fund) from its total assets and then dividing the
remainder by the number of shares outstanding. Fund NAVs are calculated at the
end of each business day.
65
NOTES
66
OTHER USEFUL INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
Each Fund's (i) quarterly portfolio of investments, (ii) information regarding
how the Funds voted proxies relating to portfolio securities held during the
most recent 12-month period ended June 30, 2007, and (iii) a description of the
policies and procedures that the Funds used to determine how to vote proxies
relating to portfolio securities are available without charge, upon request, by
calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at
www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
Reference Section at 450 Fifth Street NW, Washington, D.C. 20549.