UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21579
Nuveen Floating Rate Income Opportunity Fund
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
Date of fiscal year end: July 31
Date of reporting period: January 31, 2008
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
Semi-Annual Report
JANUARY 31, 2008
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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|
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 six-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 Common Share Distribution and Share Price
Information, and the Performance Overview sections of this report.
With the recent volatility in the bond and 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.
I also wanted to update you on some important news about Nuveen Investments.
Since the last shareholder report, a group led by Madison Dearborn Partners,
LLC, completed its acquisition of Nuveen Investments. This change in corporate
ownership had no impact on the investment objectives, portfolio management
strategies or dividend policy of your Fund.
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
March 14, 2008
Portfolio Managers' COMMENTS
NUVEEN INVESTMENTS CLOSED-END FUNDS NSL, JFR, JRO
The Funds' investment portfolios have been managed by Gunther Stein and Lenny
Mason of Symphony Asset Management, LLC, an affiliate of Nuveen Investments,
since 2001. 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 six-month period ended January 31, 2008.
WHAT KEY STRATEGIES WERE USED TO MANAGE THE FUNDS?
Throughout this six-month period, we continued to manage each Fund's portfolio
using fundamental analysis to select senior loans that we believed offered
strong asset coverage and attractive risk-adjusted return potential. We avoided
the senior loans of most automotive part suppliers as well as smaller
homebuilders and land developers, even though many loans in these sectors traded
at discounts throughout the year. We also avoided many loans to smaller
companies that were done to finance leveraged buyouts (LBO). We didn't believe
that there was sufficient value in many small-company loans to compensate for
potential illiquidity and volatility if earnings of the companies issuing them
should become challenged.
Discussions of specific investments are for illustrative purposes only and are
not intended as recommendations of individual investments. The views expressed
in this commentary 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.
We also focused on adding quality new-issue senior loans, which often were
priced at a discount to par and were structured with strong covenant protection.
We continued to avoid the vast majority of second lien loans. Similar to
small-company loans, we didn't believe that second lien loans offered sufficient
additional yield to compensate investors for potentially increased volatility
and lower recovery rates.
Although the performance of all three portfolios suffered as a result of the
broad-based sell-off in loans over this period, we believe that market
dislocation provided an opportunity to buy loans in good companies with strong
covenants at attractive prices.
4
HOW DID THE FUNDS PERFORM OVER THIS SIX-MONTH PERIOD?
The performance of the Funds, as well as the performance of a widely followed
market index are presented in the accompanying table.
Total Returns on Net Asset Value*
For periods ended 1/31/08
SIX-MONTH 1-YEAR 5-YEAR
--------- ------ -------
NSL -3.81% -5.91% 7.87%
JFR -3.54% -6.44% NA
JRO -4.03% -6.68% NA
CSFB Leveraged Loan Index(1) -1.45% -2.11% 5.31%
|
*Six-month returns are cumulative; returns for one-year and five-year are
annualized.
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 shareholders may have to pay on Fund distributions or upon the sale
of Fund shares.
For additional information, see the individual Performance Overview for your
Fund in this report.
1 The CSFB Leveraged Loan Index is a representative, unmanaged index of
tradeable, senior, U.S. dollar-denominated leveraged loans. It is not possible
to invest directly in an Index.
For the six-months ended January 31, 2008, the cumulative return on net asset
value for each Fund underperformed the CSFB Leveraged Loan Index.
The benchmark returns shows that the six-month period presented a very
challenging and unforgiving market environment. The Funds' underperformance was
due in part to its use of financial leverage because the cost of leverage
exceeded the returns generated by the Funds' investment portfolios.
Additionally, leverage tended to exacerbate the price declines suffered by the
Funds' holdings. However, leverage is a strategy that had contributed to
enhanced dividends and returns in the past, and we believe it retains the
potential to continue to so in the future.
All three Funds experienced downside pressure across their loan portfolios as a
result of the broad sell-off in loans. Given the liquidity-driven market
conditions during the second half of 2007, many of the large broadly-syndicated
LBO loans positions we had were under particularly heavy price pressure. There
were no individual company-specific events that negatively impacted performance
of any of the Funds. Rather, their performance was reflective of the loan market
in general, which was influenced heavily by supply and demand factors. Default
rates remained relatively low and fundamental factors remained relatively strong
throughout 2007 compared to historical levels.
RECENT DEVELOPMENTS IN THE AUCTION RATE PREFERRED MARKETS
Beginning in February 2008, after the close of this reporting period, more
shares for sale were submitted in the regularly scheduled auctions for the
Preferred shares issued by the Funds than there were offers to buy. This meant
that these auctions "failed to clear," and that many Preferred shareholders who
wanted to sell their shares in these auctions were unable to do so. This decline
in liquidity in auction preferred shares did not lower the credit quality of
these shares, and Preferred shareholders unable to sell their shares received
distributions at the "maximum rate" calculated in accordance with the
pre-established terms of the Preferred shares. At the time this report was
prepared, the Funds' managers could not predict when future auctions might
succeed in attracting sufficient buyers for the shares offered. The Funds'
managers are working diligently to develop mechanisms designed to improve the
liquidity of the Preferred shares, or refund them, but at present there is no
assurance that these efforts will succeed.
5
These developments do not affect the management or investment policies of the
Funds. However, one implication of these auction failures for common
shareholders is that the Funds' cost of leverage will be higher than it
otherwise would have been had the auctions continued to be successful. As a
result, the Funds' future common share earnings may be lower than they otherwise
would have been.
For current, up-to-date information please visit the Nuveen CEF Auction Rate
Preferred Resource Center,
http://www.nuveen.com/ResourceCenter/AuctionRatePreferred.aspx.
6
Common Share
Distribution and Share Price
INFORMATION
As noted earlier, these Funds use financial leverage to potentially enhance
opportunities for additional income for common shareholders. The Funds' use of
this leverage strategy continued to provide incremental income, although the
extent of this benefit was reduced to some degree by short-term interest rates
that remained relatively high during the earlier part of the period. This, in
turn, kept the Funds' borrowing costs high. This is one reason all three Funds
declared one monthly distribution decrease over the six-month period.
During certain periods, the Funds may pay dividends at a rate that may be more
or less than the amount of net investment income actually earned by the Fund
during the period. If a Fund has cumulatively earned more than it has paid in
dividends, it holds the excess in reserve as undistributed net investment income
(UNII) as part of the Fund's common share NAV. Conversely, if a Fund has
cumulatively paid dividends in excess of its earnings, the excess constitutes
negative UNII that is likewise reflected in the Fund's common share NAV. As of
January 31, 2008, all three Funds had positive UNII balances, based upon our
best estimate, for tax purposes. NSL and JFR had positive UNII balances and JRO
had a negative UNII balance for financial statement purposes.
As of January 31, 2008, the Funds were trading at discounts to their common
share NAVs as shown in the table below.
------------------------------------------------------------------------------------------
1/31/08 Six-Month
Discount Average Discount
------------------------------------------------------------------------------------------
NSL -2.72% -5.25%
JFR -6.72% -7.26%
JRO -5.24% -6.75%
------------------------------------------------------------------------------------------
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7
NSL
PERFORMANCE Nuveen Senior
OVERVIEW Income Fund
as of January 31, 2008
|
PORTFOLIO ALLOCATION (AS A % OF TOTAL INVESTMENTS)
(PORTFOLIO ALLOCATION PIE CHART)
Other 0.4
Short-Term Investments 8.4
Corporate Bonds 2.7
Variable Rate Senior Loan Interests 88.5
|
2007-2008 MONTHLY DIVIDENDS PER SHARE
(MONTHLY DISTRIBUTIONS BAR CHART)
Feb 0.0585
Mar 0.0615
Apr 0.0615
May 0.0615
Jun 0.0615
Jul 0.0615
Aug 0.0615
Sep 0.0615
Oct 0.0615
Nov 0.0615
Dec 0.0580
Jan 0.0580
|
SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE
(SHARE PRICE CHART)
2/01/07 8.72
8.75
8.80
8.75
8.75
8.75
8.90
8.77
8.71
8.85
8.82
8.79
8.79
8.84
8.93
8.87
8.97
8.95
8.98
8.91
9.05
9.00
8.67
8.96
8.76
8.35
8.05
7.95
7.77
7.52
7.8899
7.65
7.90
7.77
7.83
8.02
7.99
8.04
7.75
7.51
7.58
7.33
7.02
7.11
7.20
7.08
7.03
6.94
6.97
7.14
7.44
7.39
7.12
1/31/08 7.15
|
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $7.15
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $7.35
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -2.72%
-------------------------------------------------------------------------------------
Latest Dividend $0.0580
-------------------------------------------------------------------------------------
Market Yield 9.73%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $219,177
-------------------------------------------------------------------------------------
|
AVERAGE ANNUAL TOTAL RETURN
(Inception 10/26/99)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
6-Month (Cumulative) -7.13% -3.81%
-------------------------------------------------------------------------------------
1-Year -10.16% -5.91%
-------------------------------------------------------------------------------------
5-Year 6.52% 7.87%
-------------------------------------------------------------------------------------
Since Inception 4.13% 5.24%
-------------------------------------------------------------------------------------
|
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 13.1%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 7.5%
-------------------------------------------------------------------------------------
Health Care Providers & Services 6.7%
-------------------------------------------------------------------------------------
Specialty Retail 5.2%
-------------------------------------------------------------------------------------
Building Products 4.9%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 4.1%
-------------------------------------------------------------------------------------
Chemicals 2.9%
-------------------------------------------------------------------------------------
Paper & Forest Products 2.8%
-------------------------------------------------------------------------------------
Containers & Packaging 2.7%
-------------------------------------------------------------------------------------
Real Estate Management & Development 2.7%
-------------------------------------------------------------------------------------
Metals & Mining 2.7%
-------------------------------------------------------------------------------------
Machinery 2.6%
-------------------------------------------------------------------------------------
Electric Utilities 2.4%
-------------------------------------------------------------------------------------
Airlines 2.2%
-------------------------------------------------------------------------------------
IT Services 2.0%
-------------------------------------------------------------------------------------
Aerospace & Defense 1.9%
-------------------------------------------------------------------------------------
Road & Rail 1.8%
-------------------------------------------------------------------------------------
Leisure Equipment & Products 1.7%
-------------------------------------------------------------------------------------
Semiconductors & Equipment 1.6%
-------------------------------------------------------------------------------------
Diversified Consumer Services 1.5%
-------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 1.5%
-------------------------------------------------------------------------------------
Insurance 1.4%
-------------------------------------------------------------------------------------
Food Products 1.4%
-------------------------------------------------------------------------------------
Short-Term Investments 8.4%
-------------------------------------------------------------------------------------
Other 14.3%
-------------------------------------------------------------------------------------
|
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------------------------------------------------------
Univision Communications 2.4%
------------------------------------------------------------------------------------
Norwood Promotional Products 2.3%
------------------------------------------------------------------------------------
Tribune Company 2.0%
------------------------------------------------------------------------------------
Swift Transportation 2.0%
------------------------------------------------------------------------------------
Building Materials Corporation of America 1.8%
------------------------------------------------------------------------------------
|
8
JFR Nuveen Floating
PERFORMANCE Rate Income
OVERVIEW Fund
as of January 31, 2008
|
PORTFOLIO ALLOCATION (AS A % OF TOTAL INVESTMENTS)
(PORTFOLIO ALLOCATION PIE CHART)
Other 1.1
Short-Term Investments 8.6
Corporate Bonds 5.7
Variable Rate Senior Loan Interests 84.6
|
2007-2008 MONTHLY DIVIDENDS PER SHARE
(MONTHLY DISTRIBUTIONS BAR CHART)
Feb 0.0980
Mar 0.1005
Apr 0.1005
May 0.1005
Jun 0.1005
Jul 0.1005
Aug 0.1005
Sep 0.1005
Oct 0.1005
Nov 0.1005
Dec 0.0970
Jan 0.0970
|
SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE
(SHARE PRICE CHART)
2/01/07 14.05
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
12.60
12.62
12.05
12.45
12.40
12.60
12.40
12.57
12.61
12.62
12.67
12.28
12.35
12.30
11.82
11.47
11.40
11.64
11.70
11.55
11.30
11.42
11.80
11.90
11.44
11.25
1/31/08 11.24
|
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $11.24
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $12.05
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -6.72%
-------------------------------------------------------------------------------------
Latest Dividend $0.0970
-------------------------------------------------------------------------------------
Market Yield 10.36%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $570,977
-------------------------------------------------------------------------------------
|
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/25/04)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
6-Month (Cumulative) -8.30% -3.54%
-------------------------------------------------------------------------------------
1-Year -11.98% -6.44%
-------------------------------------------------------------------------------------
Since Inception -0.04% 2.69%
-------------------------------------------------------------------------------------
|
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 17.3%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 7.6%
-------------------------------------------------------------------------------------
Health Care Providers & Services 6.2%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 5.3%
-------------------------------------------------------------------------------------
Chemicals 5.2%
-------------------------------------------------------------------------------------
Building Products 4.5%
-------------------------------------------------------------------------------------
Specialty Retail 4.0%
-------------------------------------------------------------------------------------
IT Services 2.8%
-------------------------------------------------------------------------------------
Real Estate Management & Development 2.7%
-------------------------------------------------------------------------------------
Containers & Packaging 2.7%
-------------------------------------------------------------------------------------
Electric Utilities 2.7%
-------------------------------------------------------------------------------------
Road & Rail 2.5%
-------------------------------------------------------------------------------------
Paper & Forest Products 2.4%
-------------------------------------------------------------------------------------
Semiconductors & Equipment 1.9%
-------------------------------------------------------------------------------------
Diversified Consumer Services 1.8%
-------------------------------------------------------------------------------------
Airlines 1.5%
-------------------------------------------------------------------------------------
Insurance 1.5%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 1.4%
-------------------------------------------------------------------------------------
Software 1.4%
-------------------------------------------------------------------------------------
Independent Power Producers & Energy Traders 1.2%
-------------------------------------------------------------------------------------
Short-Term Investments 8.6%
-------------------------------------------------------------------------------------
Other 14.8%
-------------------------------------------------------------------------------------
|
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------------------------------------------------------
Univision Communications 2.8%
------------------------------------------------------------------------------------
Tribune Company 2.7%
------------------------------------------------------------------------------------
Swift Transportation 2.3%
------------------------------------------------------------------------------------
Intelsat Limited 2.3%
------------------------------------------------------------------------------------
Graham Packaging Company, L.P. 2.0%
------------------------------------------------------------------------------------
|
9
JRO Nuveen Floating
PERFORMANCE Rate Income
OVERVIEW Opportunity Fund
as of January 31, 2008
|
PORTFOLIO ALLOCATION (AS A % OF TOTAL INVESTMENTS)
(PORTFOLIO ALLOCATION PIE CHART)
Other 0.1
Short-Term Investments 4.8
Corporate Bonds 9.2
Variable Rate Senior Loan Interests 85.9
|
2007-2008 MONTHLY DIVIDENDS PER SHARE
(MONTHLY DISTRIBUTIONS BAR CHART)
Feb 0.1015
Mar 0.1045
Apr 0.1045
May 0.1045
Jun 0.1045
Jul 0.1045
Aug 0.1045
Sep 0.1045
Oct 0.1045
Nov 0.1045
Dec 0.1020
Jan 0.1020
|
SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE
(SHARE PRICE CHART)
2/01/07 14.13
14.26
14.39
14.22
14.21
14.07
14.18
14.03
14.06
14.15
14.36
14.38
14.38
14.49
14.59
14.65
14.65
14.72
14.76
14.54
14.76
14.86
14.28
14.53
14.04
13.39
12.77
12.71
12.68
12.08
12.55
12.52
12.75
12.59
12.69
12.64
12.72
12.73
12.35
12.43
12.40
11.90
11.59
11.47
11.76
11.75
11.56
11.48
11.50
11.84
12.02
11.75
11.40
1/31/08 11.39
|
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $11.39
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $12.02
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -5.24%
-------------------------------------------------------------------------------------
Latest Dividend $0.1020
-------------------------------------------------------------------------------------
Market Yield 10.75%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $341,558
-------------------------------------------------------------------------------------
|
AVERAGE ANNUAL TOTAL RETURN
(Inception 7/27/04)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
6-Month (Cumulative) -8.12% -4.03%
-------------------------------------------------------------------------------------
1-Year -11.00% -6.68%
-------------------------------------------------------------------------------------
Since Inception 0.08% 2.63%
-------------------------------------------------------------------------------------
|
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 19.4%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 6.8%
-------------------------------------------------------------------------------------
Health Care Providers & Services 5.8%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 5.8%
-------------------------------------------------------------------------------------
Chemicals 4.5%
-------------------------------------------------------------------------------------
Building Products 4.4%
-------------------------------------------------------------------------------------
Containers & Packaging 3.9%
-------------------------------------------------------------------------------------
Specialty Retail 3.5%
-------------------------------------------------------------------------------------
Paper & Forest Products 3.1%
-------------------------------------------------------------------------------------
Real Estate Management & Development 3.0%
-------------------------------------------------------------------------------------
Electric Utilities 2.9%
-------------------------------------------------------------------------------------
Road & Rail 2.8%
-------------------------------------------------------------------------------------
IT Services 2.6%
-------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 2.2%
-------------------------------------------------------------------------------------
Semiconductors & Equipment 2.1%
-------------------------------------------------------------------------------------
Diversified Consumer Services 1.9%
-------------------------------------------------------------------------------------
Software 1.9%
-------------------------------------------------------------------------------------
Airlines 1.8%
-------------------------------------------------------------------------------------
Household Products 1.4%
-------------------------------------------------------------------------------------
Metals & Mining 1.1%
-------------------------------------------------------------------------------------
Short-Term Investments 4.8%
-------------------------------------------------------------------------------------
Other 14.3%
-------------------------------------------------------------------------------------
|
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
------------------------------------------------------------------------------------
Intelsat Limited 3.0%
------------------------------------------------------------------------------------
Cablevision Systems Corporation 2.7%
------------------------------------------------------------------------------------
Tribune Company 2.7%
------------------------------------------------------------------------------------
Univision Communications 2.5%
------------------------------------------------------------------------------------
Swift Transportation 2.5%
------------------------------------------------------------------------------------
|
10
SHAREHOLDER MEETING REPORT
The annual meeting of shareholders was held in the offices of Nuveen
Investments on October 12, 2007; the meeting for Nuveen Floating Rate
Income Fund (JFR) and Nuveen Floating Rate Income Opportunity Fund
(JRO) was subsequently adjourned to October 22, 2007.
NSL JFR JRO
-----------------------------------------------------------------------------------------------------------
Common and Common and Common and
Preferred Preferred Preferred
shares voting shares voting shares voting
together together together
as a class as a class as a class
-----------------------------------------------------------------------------------------------------------
TO APPROVE A NEW INVESTMENT MANAGEMENT AGREEMENT:
For 16,151,695 22,176,193 14,162,668
Against 587,476 868,624 391,572
Abstain 361,824 781,218 388,673
Broker Non-Votes 5,961,402 8,645,893 5,715,896
-----------------------------------------------------------------------------------------------------------
Total 23,062,397 32,471,928 20,658,809
-----------------------------------------------------------------------------------------------------------
TO APPROVE A NEW SUB-ADVISORY AGREEMENT BETWEEN NUVEEN ASSET
MANAGEMENT AND SYMPHONY ASSET MANAGEMENT LLC.:
For 15,991,175 21,992,048 14,084,279
Against 649,300 976,063 407,158
Abstain 460,520 857,924 451,476
Broker Non-Votes 5,961,402 8,645,893 5,715,896
-----------------------------------------------------------------------------------------------------------
Total 23,062,397 32,471,928 20,658,809
-----------------------------------------------------------------------------------------------------------
APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Judith M. Stockdale
For 22,476,662 31,412,571 20,213,607
Withhold 585,735 1,059,357 445,202
-----------------------------------------------------------------------------------------------------------
Total 23,062,397 32,471,928 20,658,809
-----------------------------------------------------------------------------------------------------------
Carole E. Stone
For 22,484,364 31,411,622 20,214,232
Withhold 578,033 1,060,306 444,577
-----------------------------------------------------------------------------------------------------------
Total 23,062,397 32,471,928 20,658,809
-----------------------------------------------------------------------------------------------------------
TO RATIFY THE SELECTION OF ERNST & YOUNG LLP AS THE
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM FOR THE
CURRENT FISCAL YEAR:
For 22,558,389 31,437,748 20,179,079
Against 231,247 402,294 207,273
Abstain 272,761 631,886 272,457
-----------------------------------------------------------------------------------------------------------
Total 23,062,397 32,471,928 20,658,809
-----------------------------------------------------------------------------------------------------------
|
11
NSL
Nuveen Senior Income Fund
Portfolio of INVESTMENTS
January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
---------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 152.8% (88.5% OF TOTAL INVESTMENTS) (4)
AEROSPACE & DEFENSE - 3.3% (1.9% OF TOTAL INVESTMENTS)
$ 669 DAE Aviation Holdings, Inc., Asset Sale 7.750% 7/31/09 BB- $ 668,638
756 DAE Aviation Holdings, Inc., Term Loan B-1 7.848% 7/31/14 BB- 753,212
572 DAE Aviation Holdings, Inc., Term Loan B-2 6.990% 7/31/13 BB- 570,255
2,502 Midwestern Aircraft, Term Loan B 5.676% 12/30/11 BBB- 2,486,615
2,385 Vought Aircraft Industries, Inc., Term Loan 7.340% 12/22/11 Ba3 2,258,029
545 Vought Aircraft Industries, Inc., Tranche B, 7.100% 12/22/10 Ba3 516,364
Letter of Credit
---------------------------------------------------------------------------------------------------------------------------------
7,429 Total Aerospace & Defense 7,253,113
---------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 3.8% (2.2% OF TOTAL INVESTMENTS)
2,000 Delta Air Lines, Inc., Credit Linked Deposit 6.719% 4/30/12 Ba2 1,845,833
1,990 Delta Air Lines, Inc., Term Loan 8.082% 4/30/14 B 1,811,729
1,980 Northwest Airlines, Inc., DIP Term Loan 5.990% 8/21/13 BB 1,815,001
3,156 United Air Lines, Inc., Term Loan B 6.784% 2/01/14 BB- 2,851,050
---------------------------------------------------------------------------------------------------------------------------------
9,126 Total Airlines 8,323,613
---------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 1.9% (1.1% OF TOTAL INVESTMENTS)
459 Gen Tek Inc., Additional Term Loan B 6.990% 2/28/11 BB- 447,109
1,707 Gen Tek Inc., Term Loan B 6.440% 2/28/11 BB- 1,662,536
2,000 Goodyear Tire & Rubber Company, Term Loan 6.430% 4/30/14 Ba1 1,832,500
1,301 Metalforming Technologies, Inc., Term Loan A, (5) 0.000% 9/30/07 N/R 247,278
(6)
506 Metalforming Technologies, Inc., Term Loan B, 0.000% 9/30/07 N/R 96,169
(PIK) (5) (6)
---------------------------------------------------------------------------------------------------------------------------------
5,973 Total Auto Components 4,285,592
---------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 7.8% (4.5% OF TOTAL INVESTMENTS)
877 Atrium Companies, Inc., Term Loan 7.465% 5/31/12 BB- 787,262
5,970 Building Materials Corporation of America, Term 6.688% 2/22/14 BB 4,844,289
Loan, DD1
2,000 Building Materials Corporation of America, Term 9.563% 9/15/14 Caa1 1,373,333
Loan, Second Lien
2,438 Euramax Holdings, Inc., Term Loan 7.063% 6/29/12 B1 2,100,604
1,935 Nortek, Inc., Term Loan B 5.534% 8/27/11 Ba2 1,789,875
2,429 Stile Acquisition Corporation, Canadian Term Loan 5.649% 4/05/13 BB- 2,103,174
2,433 Stile Acquisition Corporation, Term Loan B 5.651% 4/05/13 BB- 2,106,757
1,975 TFS Acquisition, Term Loan 8.330% 8/11/13 B+ 1,896,000
---------------------------------------------------------------------------------------------------------------------------------
20,057 Total Building Products 17,001,294
---------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 0.6% (0.4% OF TOTAL INVESTMENTS)
1,534 Ameritrade Holdings Corporation, Term Loan B 4.770% 12/31/12 Ba1 1,472,635
---------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 5.0% (2.9% OF TOTAL INVESTMENTS)
400 Celanese Holdings LLC, Credit Linked Deposit 4.600% 4/02/14 BB+ 377,389
1,588 Celanese Holdings LLC, Term Loan 6.479% 4/02/14 BB+ 1,498,234
2,963 Hexion Specialty Chemicals, Inc., Term Loan C-4 7.188% 5/05/13 Ba3 2,790,099
716 Huntsman International LLC, Term Loan 5.035% 4/19/14 BB+ 679,796
1,990 ISP Chemco, Inc., Term Loan 6.683% 6/04/14 BB- 1,856,919
1,940 Rockwood Specialties Group, Inc., Term Loan E 4.744% 7/30/12 BB+ 1,846,907
2,000 Univar, Inc., Term Loan 7.887% 10/10/14 B+ 1,945,000
---------------------------------------------------------------------------------------------------------------------------------
11,597 Total Chemicals 10,994,344
---------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 1.8% (1.0% OF TOTAL INVESTMENTS)
1,845 Acco Brands Corporation, Term Loan B 6.382% 8/17/12 Ba1 1,725,075
393 Allied Waste North America, Inc., Letter of 6.000% 3/28/14 BBB- 368,840
Credit
653 Allied Waste North America, Inc., Term Loan B 5.888% 3/28/14 BBB- 613,373
796 Rental Services Corporation, Term Loan 8.150% 11/27/13 B- 687,076
665 Workflow Holdings Corporation, Term Loan 7.751% 11/30/11 BB- 565,211
---------------------------------------------------------------------------------------------------------------------------------
4,352 Total Commercial Services & Supplies 3,959,575
---------------------------------------------------------------------------------------------------------------------------------
|
12
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
---------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.7% (0.4% OF TOTAL INVESTMENTS)
$ 2,000 IPC Systems, Inc., Term Loan, Second Lien, WI/DD TBD TBD B3 $ 1,555,000
---------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 4.7% (2.7% OF TOTAL INVESTMENTS)
454 Bluegrass Container Company LLC, Delayed Term 6.566% 6/30/13 BB 441,706
Loan
485 Bluegrass Container Company LLC, Delayed Term 8.396% 12/31/13 B 483,030
Loan
1,515 Bluegrass Container Company LLC, Term Loan 8.396% 12/31/13 B 1,509,470
1,516 Bluegrass Container Company LLC, Term Loan B 6.678% 6/30/13 BB 1,476,229
5,480 Graham Packaging Company, L.P., Term Loan 7.253% 10/07/11 B+ 5,095,987
437 Smurfit-Stone Container Corporation, 6.700% 11/01/10 BB 418,214
Deposit-Funded Commitment
283 Smurfit-Stone Container Corporation, Term Loan B 7.058% 11/01/11 BB 270,634
472 Smurfit-Stone Container Corporation, Term Loan C 7.023% 11/01/11 BB 452,101
169 Smurfit-Stone Container Corporation, Term Loan 6.688% 11/01/11 BB 161,712
C-1
---------------------------------------------------------------------------------------------------------------------------------
10,811 Total Containers & Packaging 10,309,083
---------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 2.6% (1.5% OF TOTAL INVESTMENTS)
3,990 Cengage Learning Acquisitions, Inc., Term Loan 6.205% 7/05/14 B+ 3,602,084
2,273 West Corporation, Term Loan 5.854% 10/24/13 BB- 2,103,117
---------------------------------------------------------------------------------------------------------------------------------
6,263 Total Diversified Consumer Services 5,705,201
---------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 7.1% (4.1% OF TOTAL INVESTMENTS)
1,995 Alltel Communications, Inc., Term Loan B3 6.773% 5/18/15 BB- 1,822,100
1,985 Crown Castle Operating Company, Term Loan 6.330% 1/26/14 BB+ 1,841,796
2,000 Intelsat, Term Loan 7.131% 2/01/14 B 1,959,166
1,950 Intelsat, Tranche B, Term Loan 6.350% 7/01/13 BB 1,831,343
995 Intelsat, Tranche B-2, Term Loan 6.600% 12/03/13 BB 871,303
2,267 Level 3 Financing, Inc., Term Loan 6.611% 3/13/14 B+ 2,102,333
5,000 Qwest Corporation, Term Loan B 6.950% 6/30/10 BBB- 5,104,168
5,000 WCI Capital Corporation, Term Loan B, (5) (6) 0.000% 9/30/07 N/R 52,083
---------------------------------------------------------------------------------------------------------------------------------
21,192 Total Diversified Telecommunication Services 15,584,292
---------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 4.1% (2.4% OF TOTAL INVESTMENTS)
665 Astoria Generating Company, Term Loan 6.911% 2/23/13 BB- 636,936
4,243 Calpine Corporation, DIP Term Loan 7.080% 3/29/09 N/R 3,797,517
556 Calpine Corporation, DIP Revolver, (7) (8) 1.513% 3/29/09 N/R (33,333)
2,993 TXU Corporation, Term Loan B-2 8.396% 10/10/14 Ba3 2,759,561
1,995 TXU Corporation, Term Loan B-3 8.396% 10/10/14 Ba3 1,846,282
---------------------------------------------------------------------------------------------------------------------------------
10,452 Total Electric Utilities 9,006,963
---------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.9% (1.1% OF TOTAL INVESTMENTS)
3,000 Allison Transmission Holdings, Inc., Term Loan, TBD TBD BB- 2,638,392
WI/DD
1,496 Sensus Metering Systems, Inc., Term Loan B-1 6.672% 12/17/10 BB 1,428,348
97 Sensus Metering Systems, Inc., Term Loan B-2 6.878% 12/17/10 BB 92,801
---------------------------------------------------------------------------------------------------------------------------------
4,593 Total Electrical Equipment 4,159,541
---------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,970 Sensata Technologies B.V., Term Loan 5.056% 4/27/13 BB 1,775,814
---------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 1.0% (0.6% OF TOTAL INVESTMENTS)
2,471 Dresser-Rand Group, Inc., Term Loan 7.409% 5/04/14 B+ 2,220,836
---------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 2.4% (1.4% OF TOTAL INVESTMENTS)
465 Dole Food Company, Inc., Deposit-Funded 6.377% 4/12/13 BB- 424,884
Commitment
1,028 Dole Food Company, Inc., Term Loan B 6.703% 4/12/13 BB- 939,259
3,427 Dole Food Company, Inc., Term Loan C 6.552% 4/12/13 BB- 3,130,862
772 Michael Foods, Inc., Term Loan B 6.849% 11/21/10 BB- 757,484
---------------------------------------------------------------------------------------------------------------------------------
5,692 Total Food Products 5,252,489
---------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.9% (0.5% OF TOTAL INVESTMENTS)
2,000 Energy Transfer Partners LP, Term Loan 6.648% 2/08/12 BBB- 1,939,500
---------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.9% (0.5% OF TOTAL INVESTMENTS)
990 Symbion, Inc., Term Loan A 6.505% 8/01/13 Ba3 933,841
990 Symbion, Inc., Term Loan B 6.505% 8/01/14 Ba3 933,841
---------------------------------------------------------------------------------------------------------------------------------
1,980 Total Health Care Equipment & Supplies 1,867,682
---------------------------------------------------------------------------------------------------------------------------------
|
13
NSL
Nuveen Senior Income Fund (continued)
Portfolio of INVESTMENTS January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
---------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 11.6% (6.7% OF TOTAL INVESTMENTS)
$ 2,000 Community Health Systems Inc., Term Loan, WI/DD TBD TBD BB $ 1,850,770
3,292 DaVita Inc., Term Loan B-1 5.568% 10/05/12 BB+ 3,128,809
1,980 HCA, Inc., Term Loan 7.080% 11/18/13 BB 1,834,439
3,985 Health Management Associates, Inc., Term Loan, 6.559% 2/28/14 Ba2 3,516,264
DD1
842 HealthSouth Corporation, Term Loan 6.915% 3/10/13 BB- 789,121
464 IASIS Healthcare LLC, Delayed Term Loan, (7) 5.552% 3/14/14 Ba2 303,423
124 IASIS Healthcare LLC, Letter of Credit 3.213% 3/14/14 Ba2 113,072
1,347 IASIS Healthcare LLC, Term Loan 5.248% 3/14/14 Ba2 1,231,656
3,910 LifeCare, Term Loan B 9.080% 8/11/12 B2 3,431,019
2,143 Psychiatric Solutions, Inc., Term Loan B 6.173% 12/03/12 BB- 2,068,105
2,918 Select Medical Corporation, Term Loan 6.993% 2/24/12 Ba2 2,725,432
4,859 Vanguard Health Holding Company II LLC, 5.521% 9/23/11 Ba3 4,513,063
Replacement
---------------------------------------------------------------------------------------------------------------------------------
27,864 Total Health Care Providers & Services 25,505,173
---------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 13.0% (7.5% OF TOTAL INVESTMENTS)
4,913 24 Hour Fitness Worldwide, Inc., Term Loan B 6.949% 6/08/12 Ba3 4,470,375
1,775 Ameristar Casinos, Inc., Term Loan B 7.428% 11/10/12 BB+ 1,752,391
774 CBRL Group, Inc., Term Loan B-1 6.400% 4/28/13 BB 729,106
93 CBRL Group, Inc., Term Loan B-2 6.393% 4/28/13 BB 88,279
3,900 CCM Merger, Inc., Term Loan B 6.901% 7/13/12 BB- 3,646,532
1,970 Cedar Fair LP, Term Loan 5.271% 8/30/12 BB 1,847,737
353 Isle of Capri Casinos, Inc., Delayed Term Loan A 5.035% 7/26/14 BB+ 310,588
468 Isle of Capri Casinos, Inc., Delayed Term Loan B 6.580% 7/26/14 BB+ 412,047
1,171 Isle of Capri Casinos, Inc., Term Loan 6.580% 7/26/14 BB+ 1,030,118
71 OSI Restaurant Partners LLC, Revolver 4.878% 6/14/13 BB- 60,212
893 OSI Restaurant Partners LLC, Term Loan 5.563% 6/14/14 BB- 755,837
3,910 Penn National Gaming, Inc., Term Loan B 5.656% 10/03/12 BBB- 3,827,890
1,000 QCE LLC, Term Loan 10.580% 11/05/13 N/R 866,667
124 Seminole Gaming, Delayed Term Loan B-1 6.505% 3/05/14 BBB 120,329
424 Seminole Gaming, Delayed Term Loan B-2 6.688% 3/05/14 BBB 410,444
433 Seminole Gaming, Delayed Term Loan B-3 5.563% 3/05/14 BBB 419,661
995 Travelport LLC, Delayed Term Loan 7.080% 8/23/13 BB- 908,871
268 Travelport LLC, Letter of Credit 7.080% 8/23/13 BB- 247,549
1,334 Travelport LLC, Term Loan 7.080% 8/23/13 BB- 1,233,733
800 Venetian Casino Resort LLC (Las Vegas Sands, 0.750% 5/23/14 BB (89,250)
Inc.) Delayed Term Loan, (7) (8)
3,184 Venetian Casino Resort LLC, Term Loan 6.580% 5/23/14 BB 2,828,785
2,629 Wintergames Holdings, Term Loan 6.609% 4/24/08 N/R 2,586,381
---------------------------------------------------------------------------------------------------------------------------------
31,482 Total Hotels, Restaurants & Leisure 28,464,282
---------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 2.1% (1.2% OF TOTAL INVESTMENTS)
4,444 Shea Homes, Inc., Term Loan 6.830% 10/27/11 N/R 3,610,547
998 William Carter Company, Term Loan B 4.751% 7/14/12 BBB- 961,516
---------------------------------------------------------------------------------------------------------------------------------
5,442 Total Household Durables 4,572,063
---------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.9% (1.1% OF TOTAL INVESTMENTS)
1,691 Prestige Brands, Inc., Term Loan B 6.978% 4/06/11 BB- 1,643,838
2,516 Solo Cup Company, Term Loan 8.409% 2/27/11 B1 2,441,999
---------------------------------------------------------------------------------------------------------------------------------
4,207 Total Household Products 4,085,837
---------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.7% (1.0% OF TOTAL INVESTMENTS)
329 Covanta Energy Corporation, Synthetic Letter of 6.203% 2/09/14 BB 310,263
Credit
666 Covanta Energy Corporation, Term Loan B 6.575% 2/09/14 BB 628,328
966 NRG Energy, Inc., Credit Linked Deposit 6.480% 2/01/13 Ba1 890,156
2,093 NRG Energy, Inc., Term Loan 6.580% 2/01/13 Ba1 1,928,014
---------------------------------------------------------------------------------------------------------------------------------
4,054 Total Independent Power Producers & Energy 3,756,761
Traders
---------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.4% (1.4% OF TOTAL INVESTMENTS)
5,918 Conseco, Inc., Term Loan 5.271% 10/10/13 Ba3 5,360,493
---------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 3.4% (2.0% OF TOTAL INVESTMENTS)
2,993 First Data Corporation, Term Loan B-1 7.630% 9/24/14 BB- 2,709,914
5,093 SunGard Data Systems, Inc., Term Loan B 6.898% 2/28/14 BB 4,732,616
---------------------------------------------------------------------------------------------------------------------------------
8,086 Total IT Services 7,442,530
---------------------------------------------------------------------------------------------------------------------------------
|
14
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
---------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 2.9% (1.7% OF TOTAL INVESTMENTS)
$ 2,734 Bombardier Recreational Products, Inc., Term Loan 6.430% 6/28/13 B+ $ 2,595,191
3,686 Wimar OpCo LLC, Term Loan 9.250% 1/03/12 B2 3,654,386
---------------------------------------------------------------------------------------------------------------------------------
6,420 Total Leisure Equipment & Products 6,249,577
---------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 4.5% (2.6% OF TOTAL INVESTMENTS)
1,990 Maxim Crane Works, LP, Term Loan 6.600% 6/29/14 BB- 1,800,950
1,156 Navistar International Corporation, Synthetic 5.066% 1/19/12 BB- 1,049,630
Letter of Credit
3,178 Navistar International Corporation, Term Loan 6.501% 1/19/12 BB- 2,886,482
1,975 Oshkosh Truck Corporation, Term Loan 6.900% 12/06/13 BBB- 1,834,505
557 Rexnord Corporation, Incremental Term Loan 7.401% 7/19/13 Ba2 535,695
1,869 Rexnord Corporation, Term Loan 6.427% 7/19/13 Ba2 1,797,214
---------------------------------------------------------------------------------------------------------------------------------
10,725 Total Machinery 9,904,476
---------------------------------------------------------------------------------------------------------------------------------
MEDIA - 21.6% (12.5% OF TOTAL INVESTMENTS)
4,500 American Media Operations, Inc., Term Loan 8.250% 1/13/13 B1 4,230,000
1,778 Carmike Cinemas, Inc., Term Loan 8.650% 5/19/12 B1 1,662,142
1,985 Cequel Communications LLC, Term Loan B 6.668% 11/05/13 BB- 1,735,973
1,000 Charter Communications Operating Holdings LLC, 7.343% 3/06/14 B+ 771,667
Holdco Term Loan
1,300 Charter Communications Operating Holdings LLC, 5.260% 3/06/14 B+ 1,138,125
Term Loan
1,950 CSC Holdings, Inc., Term Loan 6.896% 3/29/13 BB 1,798,875
2,985 Discovery Communications Holdings LLC, Term Loan 6.830% 5/14/14 N/R 2,843,213
2,970 Idearc, Inc., Term Loan 6.830% 11/17/14 BBB- 2,714,850
2,940 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 8.108% 4/08/12 N/R 2,627,381
4,938 Neilsen Finance LLC, Term Loan 6.964% 8/09/13 Ba3 4,576,802
1,898 Philadelphia Newspapers, Term Loan 7.920% 6/29/13 N/R 1,689,075
2,567 Regal Cinemas Corporation, Term Loan 6.330% 10/27/13 Ba2 2,382,784
6,965 Tribune Company, Term Loan B 7.910% 6/04/14 BB- 5,252,481
1,867 Tribune Company, Term Loan X 7.396% 6/04/09 BB- 1,748,251
268 Univision Communications, Inc., Delayed Term 1.000% 9/29/14 Ba3 (46,952)
Loan, (7) (8)
2,000 Univision Communications, Inc., Term Loan 5.771% 3/29/09 B3 1,893,750
7,732 Univision Communications, Inc., Term Loan, Second 5.495% 9/29/14 Ba3 6,379,328
Lien
427 Valassis Communications, Inc. Delayed Draw Term, 1.000% 3/02/14 BB (44,800)
(7) (8)
1,362 Valassis Communications, Inc. Tranche B, Term 6.580% 3/02/14 BB 1,218,572
Loan
2,874 WMG Acquisition Corporation, Term Loan 6.727% 2/28/11 Ba2 2,694,488
---------------------------------------------------------------------------------------------------------------------------------
54,306 Total Media 47,266,005
---------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 4.6% (2.7% OF TOTAL INVESTMENTS)
1,980 Aleris International, Inc., Term Loan 6.000% 12/19/13 BB- 1,661,551
1,862 Amsted Industries, Inc., Delayed Draw Term Loan 6.356% 4/08/13 BB 1,810,741
2,561 Amsted Industries, Inc., Term Loan 6.383% 4/08/13 BB 2,480,813
1,990 Edgen Murray II LP, Term Loan 7.807% 5/11/14 B 1,781,050
2,797 John Maneely Company, Term Loan, DD1 7.767% 12/08/13 B+ 2,403,525
---------------------------------------------------------------------------------------------------------------------------------
11,190 Total Metals & Mining 10,137,680
---------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 2.6% (1.5% OF TOTAL INVESTMENTS)
550 Big West Oil LLC, Delayed Draw Term Loan, (7) (8) 1.500% 5/15/14 BB (27,500)
445 Big West Oil LLC, Term Loan 5.500% 5/15/14 BB 422,750
301 Coffeyville Resources LLC, Credit Linked Deposit 7.379% 12/28/10 BB- 288,198
978 Coffeyville Resources LLC, Term Loan D 7.479% 12/28/13 BB- 937,564
774 Targa Resources, Inc., Synthetic Letter of Credit 6.955% 10/31/12 Ba3 743,613
1,380 Targa Resources, Inc., Term Loan B 6.903% 10/31/12 Ba3 1,325,304
2,000 Venoco Inc., Term Loan 8.938% 9/20/11 B 1,910,000
---------------------------------------------------------------------------------------------------------------------------------
6,428 Total Oil, Gas & Consumable Fuels 5,599,929
---------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 4.0% (2.3% OF TOTAL INVESTMENTS)
3,920 Georgia-Pacific Corporation, Term Loan B 6.866% 12/21/12 BB+ 3,628,450
1,543 Georgia-Pacific Corporation, Term Loan B-2 6.836% 12/24/12 BB+ 1,428,081
3,990 Wilton Products, Term Loan 8.138% 11/16/14 N/R 3,710,700
---------------------------------------------------------------------------------------------------------------------------------
9,453 Total Paper & Forest Products 8,767,231
---------------------------------------------------------------------------------------------------------------------------------
|
15
NSL
Nuveen Senior Income Fund (continued)
Portfolio of INVESTMENTS January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
---------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.9% (0.5% OF TOTAL INVESTMENTS)
$ 858 Stiefel Laboratories, Inc., Delayed Term Loan 6.693% 12/28/13 BB- $ 823,782
1,122 Stiefel Laboratories, Inc., Term Loan 6.693% 12/28/13 BB- 1,077,018
---------------------------------------------------------------------------------------------------------------------------------
1,980 Total Pharmaceuticals 1,900,800
---------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 1.3% (0.7% OF TOTAL INVESTMENTS)
3,571 LandSource Holding Company LLC, Term Loan 7.761% 2/27/13 N/R 2,787,695
---------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 4.6% (2.7% OF TOTAL INVESTMENTS)
3,721 Capital Automotive LP, Term Loan 6.390% 12/15/10 BB+ 3,566,291
3,500 LNR Property Corporation, Term Loan B 7.630% 7/12/11 BB 3,237,500
3,980 Realogy Corporation Delayed Draw Term Loan 7.505% 10/01/13 BB- 3,355,659
---------------------------------------------------------------------------------------------------------------------------------
11,201 Total Real Estate Management & Development 10,159,450
---------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 3.1% (1.8% OF TOTAL INVESTMENTS)
8,837 Swift Transportation Company, Inc., Term Loan 8.188% 5/10/14 BB- 6,857,127
---------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,980 Freescale Semiconductor, Inc., Term Loan 6.381% 11/29/13 Ba1 1,686,713
---------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 1.2% (0.7% OF TOTAL INVESTMENTS)
2,780 Dealer Computer Services, Inc., Term Loan 6.843% 10/26/12 BB 2,557,207
---------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 9.0% (5.2% OF TOTAL INVESTMENTS)
708 Blockbuster, Inc., Tranche A, Term Loan 8.894% 8/20/09 B 666,978
1,240 Blockbuster, Inc., Tranche B, Term Loan 9.212% 8/20/11 B 1,157,796
970 Burlington Coat Factory Warehouse Corporation, 7.320% 5/28/13 B2 837,114
Term Loan
988 CSK Automotive, Term Loan 11.625% 7/29/10 Ba3 854,241
3,878 Michaels Stores, Inc., Term Loan 7.583% 10/31/13 B 3,329,364
1,122 Micro Warehouse, Inc., Term Loan B, (5) (6) (9) 0.000% 1/30/07 N/R 165,826
3,905 Norwood Promotional Products, Inc., Term Loan A 9.500% 8/17/09 N/R 3,885,543
6,220 Norwood Promotional Products, Inc., Term Loan B 6.000% 8/17/11 N/R 4,198,463
988 Sally Holdings LLC, Term Loan 7.520% 11/16/13 BB- 935,127
4,000 TRU 2005 RE Holding Co I LLC, Term Loan 7.613% 12/08/08 B3 3,762,500
---------------------------------------------------------------------------------------------------------------------------------
24,019 Total Specialty Retail 19,792,952
---------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.9% (0.5% OF TOTAL INVESTMENTS)
2,001 Visant Holding Corporation, Term Loan C 6.718% 7/29/10 Ba1 1,964,180
---------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.7% (1.0% OF TOTAL INVESTMENTS)
1,980 Ashtead Group Public Limited Company, Term Loan 6.688% 8/31/11 BB+ 1,871,100
393 Brenntag Holdings GMBH & Co. KG, Acquisition 5.794% 1/20/14 B+ 363,926
Facility
1,607 Brenntag Holdings GMBH & Co. KG, Facility B2 5.794% 1/20/14 B+ 1,489,407
---------------------------------------------------------------------------------------------------------------------------------
3,980 Total Trading Companies & Distributors 3,724,433
---------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 1.7% (1.0% OF TOTAL INVESTMENTS)
4,000 Asurion Corporation, Term Loan 7.878% 7/03/14 N/R 3,650,000
---------------------------------------------------------------------------------------------------------------------------------
$ 379,416 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 334,859,161
$373,242,305)
=================================================================================================================================
|
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 4.5% (2.7% OF TOTAL INVESTMENTS)
MEDIA - 0.9% (0.6% OF TOTAL INVESTMENTS)
$ 2,000 Cablevision Systems Corporation, Floating Rate 7.541% 4/01/09 B+ $ 2,010,000
Note, 144A
-----------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.9% (0.5% OF TOTAL INVESTMENTS)
2,000 Verso Paper Holdings LLC., Floating Rate Note, 6.862% 8/01/14 B+ 1,910,000
3.750% plus three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.9% (1.1% OF TOTAL INVESTMENTS)
100 Avago Technologies Finance Pte. Ltd., Floating 8.612% 6/01/13 BB- 101,125
Rate Note, 5.500% plus three-month LIBOR
5,000 NXP BV, Floating Rate Note, 2.750% Plus 5.862% 10/15/13 BB- 4,168,750
three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
5,100 Total Semiconductors & Equipment 4,269,875
-----------------------------------------------------------------------------------------------------------------------------
|
16
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.8% (0.5% OF TOTAL INVESTMENTS)
$ 2,000 HanesBrands Inc., Floating Rate Note, 3.375% 6.416% 12/15/14 B2 $ 1,820,000
plus six-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
$ 11,100 TOTAL CORPORATE BONDS (COST $11,100,000) 10,009,875
=============================================================================================================================
|
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) 14,180
279,642 Metalforming Technologies Inc., (5) (6) (9) --
------------------------------------------------------------------------------------------------------------------------------
Total Auto Components 14,180
-----------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 0.6% (0.4% OF TOTAL INVESTMENTS)
35,644 Armstrong World Industries Inc., (6) 1,308,491
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $1,393,369) 1,322,671
=================================================================================================================
|
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.1% (0.0% OF TOTAL INVESTMENTS)
545 Gen Tek Inc., Warrant Class B $ 12,540
268 Gen Tek Inc., Warrant Class C 7,745
5,672 Reliant Energy Inc., Warrant Class A 113,440
------------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $40,254) 133,725
=================================================================================================================
|
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
-------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 14.6% (8.4% OF TOTAL INVESTMENTS)
$ 31,908 Repurchase Agreement with Fixed Income Clearing 1.550% 2/01/08 $ 31,907,813
Corporation, dated 1/31/08, repurchase price
$31,909,187, collateralized by $4,870,000 U.S.
Treasury Notes, 4.750%, due 11/15/08, value
$5,016,100, $26,700,000 U.S. Treasury Notes,
3.875%, due 5/15/09, value $27,534,375
========== ----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $31,907,813) 31,907,813
================================================================================================================
TOTAL INVESTMENTS (COST $417,683,741) - 172.6% 378,233,245
================================================================================================================
BORROWINGS - (47.0)% (10) (103,000,000)
================================================================================================================
OTHER ASSETS LESS LIABILITIES - (4.6)% (10,056,049)
================================================================================================================
PREFERRED SHARES, AT LIQUIDATION VALUE - (21.0)% (46,000,000)
(10)
================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 219,177,196
================================================================================================================
|
17
NSL
Nuveen Senior Income Fund (continued)
Portfolio of INVESTMENTS January 31, 2008 (Unaudited)
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's
Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa
by Moody's are considered to be below investment grade.
(4) Senior Loans generally pay interest at rates which are periodically adjusted by reference
to a base short-term, floating lending rate plus an assigned fixed rate. These floating
lending rates are generally (i) the lending rate referenced by the London Inter-Bank
Offered Rate ("LIBOR"), or (ii) the prime rate offered by one or more major United States
banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(5) At or subsequent to January 31, 2008, 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 January 31, 2008.
(8) Negative value represents unrealized depreciation on unfunded Senior Loan commitment
outstanding at January 31, 2008.
(9) Investment valued of fair value using methods determined in good faith by, or at the
discretion of, the Board of Trustees.
(10) Borrowings and Preferred Shares, at Liquidation Value as a percentage of total investments
are (27.2)% and (12.2)%, respectively.
N/R Not rated.
DD1 Portion of investment purchased on a delayed delivery basis.
WI/DD Purchased on a when-issued or delayed delivery basis.
144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as
amended. These investments may only be resold in transactions exempt from registration
which are normally those transactions with qualified institutional buyers.
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.
|
See accompanying notes to financial statements.
18
JFR
Nuveen Floating Rate Income Fund
Portfolio of INVESTMENTS
January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 144.6% (84.6% OF TOTAL INVESTMENTS) (4)
AEROSPACE & DEFENSE - 1.7% (1.0% OF TOTAL INVESTMENTS)
$ 5,004 Midwestern Aircraft, Term Loan B 5.676% 12/30/11 BBB- $ 4,973,231
2,300 Transdigm, Inc., Term Loan B 6.858% 6/23/13 BB- 2,216,625
2,385 Vought Aircraft Industries, Inc., Term Loan 7.340% 12/22/11 Ba3 2,258,029
545 Vought Aircraft Industries, Inc., Tranche B, 7.100% 12/22/10 Ba3 516,364
Letter of Credit
-----------------------------------------------------------------------------------------------------------------------------------
10,234 Total Aerospace & Defense 9,964,249
-----------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 2.7% (1.5% OF TOTAL INVESTMENTS)
2,504 ACTS Aero Technical Support & Services, Inc., 7.305% 10/01/14 N/R 2,351,862
Term Loan
7,920 Northwest Airlines, Inc., DIP Term Loan 5.990% 8/21/13 BB 7,260,003
6,240 United Air Lines, Inc., Term Loan B 6.784% 2/01/14 BB- 5,637,303
-----------------------------------------------------------------------------------------------------------------------------------
16,664 Total Airlines 15,249,168
-----------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
3,000 Goodyear Tire & Rubber Company, Term Loan 6.430% 4/30/14 Ba1 2,748,750
-----------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 7.7% (4.5% OF TOTAL INVESTMENTS)
1,754 Atrium Companies, Inc., Term Loan 7.465% 5/31/12 BB- 1,574,523
8,910 Building Materials Corporation of America, Term 6.688% 2/22/14 BB 7,230,101
Loan
5,000 Building Materials Corporation of America, Term 9.563% 9/15/14 Caa1 3,433,333
Loan, Second Lien
14,513 Nortek, Inc., Term Loan B 5.534% 8/27/11 Ba2 13,424,063
8,287 Stile Acquisition Corporation, Canadian Term 5.649% 4/05/13 BB- 7,174,580
Loan, DD1
7,300 Stile Acquisition Corporation, Term Loan B, DD1 5.561% 4/05/13 BB- 7,186,802
3,950 TFS Acquisition, Term Loan 8.330% 8/11/13 B+ 3,792,000
-----------------------------------------------------------------------------------------------------------------------------------
49,714 Total Building Products 43,815,402
-----------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.3% (0.7% OF TOTAL INVESTMENTS)
2,394 Ameritrade Holdings Corporation, Term Loan B 4.770% 12/31/12 Ba1 2,297,860
961 BNY Convergex Group Incremental Delayed Draw 1.500% 7/02/14 B- (67,247)
Term Loan, (5) (6)
685 BNY Convergex Group LLC, Incremental Term Loan 7.710% 7/02/14 B2 640,489
4,643 BNY Convergex Group LLC, Term Loan 7.830% 10/02/13 B+ 4,341,071
-----------------------------------------------------------------------------------------------------------------------------------
8,683 Total Capital Markets 7,212,173
-----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 8.9% (5.2% OF TOTAL INVESTMENTS)
1,400 Celanese Holdings LLC, Credit Linked Deposit 4.600% 4/02/14 BB+ 1,320,861
5,558 Celanese Holdings LLC, Term Loan 6.479% 4/02/14 BB+ 5,243,817
1,624 Foamex LP, Term Loan B 6.477% 2/12/13 B+ 1,417,883
8,484 Hercules Inc., Term Loan 5.523% 10/08/10 BBB- 8,431,109
4,855 Hexion Specialty Chemicals, Inc., Term Loan C-1 7.000% 5/05/13 Ba3 4,572,741
1,055 Hexion Specialty Chemicals, Inc., Term Loan C-2 7.125% 5/05/13 Ba3 993,330
7,653 Huntsman International LLC, Term Loan 5.035% 4/19/14 BB+ 7,270,474
3,920 Ineos US Finance, LLC, Tranche C2 B 7.857% 12/16/14 BB- 3,634,167
450 JohnsonDiversey, Inc., Term Loan 6.878% 12/16/11 Ba2 434,710
1,459 Lucite International, Term Loan B-1 5.500% 7/07/13 BB- 1,342,006
516 Lucite International, Term Loan B-2 5.500% 7/07/13 BB- 475,169
12,610 Rockwood Specialties Group, Inc., Term Loan E 4.744% 7/30/12 BB+ 12,004,897
4,000 Univar, Inc., Term Loan 7.887% 10/10/14 B+ 3,890,000
-----------------------------------------------------------------------------------------------------------------------------------
53,584 Total Chemicals 51,031,164
-----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 2.4% (1.4% OF TOTAL INVESTMENTS)
1,442 Allied Waste North America, Inc., Letter of 6.000% 3/28/14 BBB- 1,354,786
Credit
2,398 Allied Waste North America, Inc., Term Loan B 5.888% 3/28/14 BBB- 2,253,082
263 Aramark Corporation, Letter of Credit 6.705% 1/24/14 BB- 243,284
4,146 Aramark Corporation, Term Loan 6.705% 1/24/14 BB- 3,829,454
990 NCO Financial Systems, Inc., Term Loan 7.917% 5/15/13 BB- 936,375
|
19
JFR
Nuveen Floating Rate Income Fund (continued)
Portfolio of INVESTMENTS January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES (continued)
$ 2,388 Rental Services Corporation, Term Loan 8.150% 11/27/13 B- $ 2,061,228
1,330 Workflow Holdings Corporation, Term Loan 7.751% 11/30/11 BB- 1,130,422
1,785 Xerium Technologies Inc. Term Loan B 7.580% 11/21/11 B+ 1,619,692
-----------------------------------------------------------------------------------------------------------------------------------
14,742 Total Commercial Services & Supplies 13,428,323
-----------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 1.0% (0.6% OF TOTAL INVESTMENTS)
2,652 Aspect Software, Inc., Term Loan B 7.938% 7/11/11 BB- 2,546,069
1,990 IPC Systems, Inc., Term Loan 7.093% 5/31/14 B+ 1,660,406
2,000 IPC Systems, Inc., Term Loan, Second Lien, WI/DD TBD TBD B3 1,555,000
-----------------------------------------------------------------------------------------------------------------------------------
6,642 Total Communications Equipment 5,761,475
-----------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,925 Peach Holdings Inc., Term Loan 7.825% 11/30/13 B 2,764,125
-----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 4.7% (2.7% OF TOTAL INVESTMENTS)
496 Amscan Holdings, Inc., Term Loan B 6.347% 5/25/13 B1 454,069
1,134 Bluegrass Container Company LLC, Delayed Term 6.566% 6/30/13 BB 1,104,266
Loan
3,791 Bluegrass Container Company LLC, Term Loan B 6.678% 6/30/13 BB 3,690,574
19,454 Graham Packaging Company, L.P., Term Loan 7.253% 10/07/11 B+ 18,089,206
699 Smurfit-Stone Container Corporation, 6.700% 11/01/10 BB 669,142
Deposit-Funded Commitment
783 Smurfit-Stone Container Corporation, Term Loan B 7.058% 11/01/11 BB 750,190
1,492 Smurfit-Stone Container Corporation, Term Loan C 7.023% 11/01/11 BB 1,428,302
468 Smurfit-Stone Container Corporation, Tranche C-1 6.688% 11/01/11 BB 448,260
-----------------------------------------------------------------------------------------------------------------------------------
28,317 Total Containers & Packaging 26,634,009
-----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 3.1% (1.8% OF TOTAL INVESTMENTS)
10,973 Cengage Learning Acquisitions, Inc., Term Loan 6.205% 7/05/14 B+ 9,905,732
8,523 West Corporation, Term Loan 5.854% 10/24/13 BB- 7,886,691
-----------------------------------------------------------------------------------------------------------------------------------
19,496 Total Diversified Consumer Services 17,792,423
-----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 0.6% (0.4% OF TOTAL INVESTMENTS)
3,920 Ineos US Finance LLC, Tranche B2 7.357% 12/16/13 BB- 3,634,167
-----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 8.2% (4.8% OF TOTAL INVESTMENTS)
2,993 Alltel Communications, Inc., Term Loan B3 6.773% 5/18/15 BB- 2,733,150
950 Choice One Communications, Term Loan B 9.000% 6/30/12 B2 869,577
5,955 Crown Castle Operating Company, Term Loan 6.330% 1/26/14 BB+ 5,525,388
3,901 Intelsat, Tranche B, Term Loan 6.350% 7/01/13 BB 3,662,687
18,777 Intelsat, Tranche B-2, Term Loan 6.600% 12/03/13 BB 16,443,663
6,800 Level 3 Financing, Inc., Term Loan 6.611% 3/13/14 B+ 6,307,000
5,920 MetroPCS Wireless, Inc., Term Loan 7.165% 11/03/13 Ba3 5,542,647
5,500 Qwest Corporation, Term Loan B 6.950% 6/30/10 BBB- 5,614,584
-----------------------------------------------------------------------------------------------------------------------------------
50,796 Total Diversified Telecommunication Services 46,698,696
-----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 4.6% (2.7% OF TOTAL INVESTMENTS)
16,972 Calpine Corporation, DIP Term Loan 7.080% 3/29/09 N/R 15,190,069
2,222 Calpine Corporation, DIP Revolver, (5) (6) 1.513% 3/29/09 N/R (133,333)
188 MACH Gen LLC, Synthetic Letter of Credit 6.830% 2/22/13 B+ 169,500
1,794 MACH Gen LLC, Term Loan 7.000% 2/22/14 B+ 1,622,115
5,985 TXU Corporation, Term Loan B-2 8.396% 10/10/14 Ba3 5,519,122
3,990 TXU Corporation, Term Loan B-3 8.396% 10/10/14 Ba3 3,692,563
-----------------------------------------------------------------------------------------------------------------------------------
31,151 Total Electric Utilities 26,060,036
-----------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 0.5% (0.3% OF TOTAL INVESTMENTS)
3,000 Allison Transmission Holdings, Inc., Term Loan, TBD TBD BB- 2,638,392
WI/DD
-----------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.1% (0.1% OF TOTAL INVESTMENTS)
985 Sensata Technologies B.V., Term Loan 5.056% 4/27/13 BB 887,907
-----------------------------------------------------------------------------------------------------------------------------------
|
20
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.1% (0.1% OF TOTAL INVESTMENTS)
$ 995 PGS Finance, Inc., Term Loan 6.580% 6/29/15 Ba2 $ 943,591
-----------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 0.7% (0.4% OF TOTAL INVESTMENTS)
3,900 Supervalu, Term Loan B 5.630% 6/02/12 N/R 3,726,884
-----------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
465 Dole Food Company, Inc., Deposit-Funded 6.377% 4/12/13 BB- 424,884
Commitment
1,028 Dole Food Company, Inc., Term Loan B 6.703% 4/12/13 BB- 939,259
3,427 Dole Food Company, Inc., Term Loan C 6.552% 4/12/13 BB- 3,130,862
-----------------------------------------------------------------------------------------------------------------------------------
4,920 Total Food Products 4,495,005
-----------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.2% (0.1% OF TOTAL INVESTMENTS)
1,000 Energy Transfer Partners LP, Term Loan 6.648% 2/08/12 BBB- 969,750
-----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 10.6% (6.2% OF TOTAL INVESTMENTS)
232 Community Health Systems, Inc. Delayed Term 0.750% 7/25/14 BB (17,312)
Loan, (5) (6)
4,613 Community Health Systems, Inc., Term Loan 7.331% 7/25/14 BB 4,269,081
4,745 DaVita, Inc., Term Loan B-1 5.568% 10/05/12 BB+ 4,510,887
5,135 HCA, Inc., Term Loan 7.080% 11/18/13 BB 4,530,509
5,755 HCA, Inc., Term Loan A 6.330% 11/18/12 Ba3 5,528,940
9,925 Health Management Associates, Inc., Term Loan 6.559% 2/28/14 Ba2 8,757,572
1,683 HealthSouth Corporation, Term Loan 6.915% 3/10/13 BB- 1,578,242
3,246 IASIS Healthcare LLC, Delayed Term Loan, (5) 5.552% 3/14/14 Ba2 2,123,747
866 IASIS Healthcare LLC, Letter of Credit 3.213% 3/14/14 Ba2 791,422
9,430 IASIS Healthcare LLC, Term Loan 5.248% 3/14/14 Ba2 8,620,717
1,580 Invacare Corporation, Term Loan B 5.504% 2/12/13 Ba2 1,501,988
3,910 LifeCare, Term Loan B 9.080% 8/11/12 B2 3,431,019
519 LifePoint Hospitals, Inc., Term Loan B 6.715% 4/18/12 BB 485,866
2,918 Select Medical Corporation, Term Loan 6.993% 2/24/12 Ba2 2,725,432
12,644 Vanguard Health Holding Company II LLC, 5.521% 9/23/11 Ba3 11,743,497
Replacement Term Loan
-----------------------------------------------------------------------------------------------------------------------------------
67,201 Total Health Care Providers & Services 60,581,607
-----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE TECHNOLOGY - 0.3% (0.2% OF TOTAL INVESTMENTS)
1,901 Emdeon Business Services LLC, Replacement Term 6.830% 1/18/13 BB- 1,810,255
Loan
-----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 11.7% (6.8% OF TOTAL INVESTMENTS)
9,280 24 Hour Fitness Worldwide, Inc., Term Loan B 6.949% 6/08/12 Ba3 8,444,415
3,125 Ameristar Casinos, Inc., Term Loan B 7.428% 11/10/12 BB+ 3,086,359
1,218 Burger King Corporation, Term Loan B 6.375% 6/30/12 BB+ 1,195,613
774 CBRL Group, Inc., Term Loan B-1 6.400% 4/28/13 BB 729,106
93 CBRL Group, Inc., Term Loan B-2 6.393% 4/28/13 BB 88,279
4,925 Cedar Fair LP, Term Loan 5.271% 8/30/12 BB 4,619,342
667 Fontainebleau Las Vegas LLC, Delayed Term Loan, TBD TBD B+ 596,666
WI/DD
1,333 Fontainebleau Las Vegas LLC, Term Loan, WI/DD TBD TBD B+ 1,193,333
956 Green Valley Ranch Gaming LLC, Term Loan B 6.992% 2/16/14 BB- 850,961
3,990 Orbitz Worldwide, Inc., Term Loan 7.830% 7/25/14 BB- 3,680,775
7,815 Penn National Gaming, Inc., Term Loan B 5.656% 10/03/12 BBB- 7,650,983
1,733 Seminole Gaming, Delayed Term Loan B-1 5.563% 3/05/14 BBB 1,678,644
1,695 Seminole Gaming, Delayed Term Loan B-2 6.688% 3/05/14 BBB 1,641,776
497 Seminole Gaming, Delayed Term Loan B-3 6.505% 3/05/14 BBB 481,316
1,990 Travelport LLC, Delayed Term Loan 7.080% 8/23/13 BB- 1,817,742
981 Travelport LLC, Letter of Credit 7.080% 8/23/13 BB- 907,681
4,891 Travelport LLC, Term Loan 7.080% 8/23/13 BB- 4,523,687
9,255 Universal City Development Partners, Ltd., Term 6.452% 6/09/11 Ba1 9,075,239
Loan
3,000 Venetian Casino Resort LLC, (Las Vegas Sands, 0.750% 5/23/14 BB (334,688)
Inc.) Delayed Term Loan, (5) (6)
11,940 Venetian Casino Resort LLC, Term Loan 6.580% 5/23/14 BB 10,607,944
4,382 Wintergames Holdings, Term Loan 6.609% 4/24/08 N/R 4,310,634
-----------------------------------------------------------------------------------------------------------------------------------
74,540 Total Hotels, Restaurants & Leisure 66,845,807
-----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.3% (0.2% OF TOTAL INVESTMENTS)
1,837 Rent-A-Center Inc., Term Loan B 6.716% 6/30/12 BB+ 1,687,750
-----------------------------------------------------------------------------------------------------------------------------------
|
21
JFR
Nuveen Floating Rate Income Fund (continued)
Portfolio of INVESTMENTS January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.6% (0.9% OF TOTAL INVESTMENTS)
$ 7,597 Prestige Brands, Inc., Term Loan B 6.978% 4/06/11 BB- $ 7,382,850
1,779 Solo Cup Company, Term Loan 8.409% 2/27/11 B1 1,726,119
-----------------------------------------------------------------------------------------------------------------------------------
9,376 Total Household Products 9,108,969
-----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 2.0% (1.2% OF TOTAL INVESTMENTS)
822 Covanta Energy Corporation, Synthetic Letter of 6.203% 2/09/14 BB 775,657
Credit
1,665 Covanta Energy Corporation, Term Loan B 6.575% 2/09/14 BB 1,570,819
3,154 NRG Energy, Inc., Credit Linked Deposit 6.480% 2/01/13 Ba1 2,904,897
6,831 NRG Energy, Inc., Term Loan 6.580% 2/01/13 Ba1 6,291,796
-----------------------------------------------------------------------------------------------------------------------------------
12,472 Total Independent Power Producers & Energy 11,543,169
Traders
-----------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.6% (1.5% OF TOTAL INVESTMENTS)
16,606 Conseco, Inc., Term Loan 5.271% 10/10/13 Ba3 15,042,211
-----------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 4.7% (2.8% OF TOTAL INVESTMENTS)
6,983 First Data Corporation, Term Loan B-2 7.630% 9/24/14 BB- 6,316,254
1,354 Infor Global Solutions Intermediate Holdings, 8.580% 7/28/12 B+ 1,232,400
Ltd., Delayed Term Loan
2,596 Infor Global Solutions Intermediate Holdings, 8.580% 7/28/12 B+ 2,381,568
Ltd., Term Loan
18,428 SunGard Data Systems, Inc., Term Loan B 6.898% 2/28/14 BB 17,124,170
-----------------------------------------------------------------------------------------------------------------------------------
29,361 Total IT Services 27,054,392
-----------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.7% (1.0% OF TOTAL INVESTMENTS)
10,025 Bombardier Recreational Products, Inc., Term 6.430% 6/28/13 B+ 9,515,700
Loan
-----------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.2% (0.7% OF TOTAL INVESTMENTS)
933 Navistar International Corporation, Synthetic 5.066% 1/19/12 BB- 847,778
Letter of Credit
2,567 Navistar International Corporation, Term Loan 6.501% 1/19/12 BB- 2,331,389
3,950 Oshkosh Truck Corporation, Term Loan 6.900% 12/06/13 BBB- 3,669,011
-----------------------------------------------------------------------------------------------------------------------------------
7,450 Total Machinery 6,848,178
-----------------------------------------------------------------------------------------------------------------------------------
MEDIA - 27.6% (16.2% OF TOTAL INVESTMENTS)
2,000 American Media Operations, Inc., Term Loan 8.250% 1/13/13 B1 1,880,000
5,955 Cequel Communications LLC, Term Loan B 6.668% 11/05/13 BB- 5,207,918
3,000 Charter Communications Operating Holdings LLC, 7.343% 3/06/14 B+ 2,315,000
Holdco Term Loan
11,700 Charter Communications Operating Holdings LLC, 5.260% 3/06/14 B+ 10,243,122
Term Loan
4,081 SFX Entertainment, Inc., Term Loan B 7.580% 6/20/13 Ba3 3,958,423
2,913 CSC Holdings, Inc., Term Loan 6.896% 3/29/13 BB 2,686,928
7,920 Idearc, Inc., Term Loan 6.830% 11/17/14 BBB- 7,239,601
13,713 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 5.380% 4/08/12 N/R 12,254,495
17,790 Neilsen Finance LLC, Term Loan 6.964% 8/09/13 Ba3 16,490,321
1,034 NextMedia Operating, Inc., Delayed Term Loan 6.319% 11/15/12 B+ 961,392
2,330 NextMedia Operating, Inc., Term Loan, First Lien 5.989% 11/15/12 B+ 2,167,043
4,745 Philadelphia Newspapers, Term Loan 7.920% 6/29/13 N/R 4,222,689
4,779 ProQuest Company, Term Loan B 7.167% 2/09/14 N/R 4,576,052
993 Readers Digest Association, Inc., Term Loan 7.187% 3/02/14 B+ 870,505
10,227 Regal Cinemas Corporation, Term Loan 6.330% 10/27/13 Ba2 9,493,994
973 Spanish Broadcasting System, Inc., Term Loan B 6.580% 6/10/12 B2 884,975
24,875 Tribune Company, Term Loan B 7.910% 6/04/14 BB- 18,758,859
5,600 Tribune Company, Term Loan X 7.396% 6/04/09 BB- 5,244,753
839 Univision Communications, Inc., Delayed Term 1.000% 9/29/14 Ba3 (146,725)
Loan, (5) (6)
24,161 Univision Communications, Inc., Term Loan 5.495% 9/29/14 Ba3 19,935,399
5,000 Univision Communications, Inc., Term Loan, 5.771% 3/29/09 B3 4,734,375
Second Lien
3,000 UPC Broadband Holding BV, Term Loan N 6.381% 12/31/14 Ba3 2,711,720
427 Valassis Communications, Inc. Delayed Draw Term, 1.000% 3/02/14 BB (44,800)
(5) (6)
1,362 Valassis Communications, Inc. Tranche B, Term 6.580% 3/02/14 BB 1,218,572
Loan
15,198 WMG Acquisition Corporation, Term Loan 6.727% 2/28/11 Ba2 14,248,438
6,025 Yell Group PLC, Term Loan 5.271% 10/27/12 N/R 5,673,857
-----------------------------------------------------------------------------------------------------------------------------------
180,640 Total Media 157,786,906
-----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.7% (1.0% OF TOTAL INVESTMENTS)
2,754 Amsted Industries, Inc., Delayed Draw Term Loan 6.356% 4/08/13 BB 2,678,202
3,788 Amsted Industries, Inc., Term Loan B 6.383% 4/08/13 BB 3,669,282
|
22
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING (continued)
$ 995 Edgen Murray II LP, Term Loan 7.807% 5/11/14 B $ 890,525
2,797 John Maneely Company, Term Loan, DD1 7.767% 12/08/13 B+ 2,403,525
-----------------------------------------------------------------------------------------------------------------------------------
10,334 Total Metals & Mining 9,641,534
-----------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 0.8% (0.4% OF TOTAL INVESTMENTS)
1,985 Brand Energy & Infrastructure Services Inc., 7.142% 2/07/14 B1 1,855,975
Term Loan B
301 Coffeyville Resources LLC, Credit Linked Deposit 7.379% 12/28/10 BB- 288,198
978 Coffeyville Resources LLC, Term Loan D 7.479% 12/28/13 BB- 937,564
484 Targa Resources, Inc., Synthetic Letter of 6.955% 10/31/12 Ba3 464,758
Credit
862 Targa Resources, Inc., Term Loan B 6.903% 10/31/12 Ba3 828,315
-----------------------------------------------------------------------------------------------------------------------------------
4,610 Total Oil, Gas & Consumable Fuels 4,374,810
-----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.4% (2.0% OF TOTAL INVESTMENTS)
11,760 Georgia-Pacific Corporation, Term Loan B 6.866% 12/21/12 BB+ 10,885,350
4,628 Georgia-Pacific Corporation, Term Loan B-2 6.836% 12/24/12 BB+ 4,284,242
90 Ply Gem Industries, Inc., Canadian Term Loan 7.580% 8/15/11 BB- 79,549
2,870 Ply Gem Industries, Inc., Term Loan B3 7.580% 8/15/11 BB- 2,543,035
1,995 Wilton Products, Term Loan 8.138% 11/16/14 N/R 1,855,350
-----------------------------------------------------------------------------------------------------------------------------------
21,343 Total Paper & Forest Products 19,647,526
-----------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 1.0% (0.6% OF TOTAL INVESTMENTS)
1,716 Stiefel Laboratories, Inc, Delayed Term Loan 6.693% 12/28/13 BB- 1,647,563
2,244 Stiefel Laboratories, Inc, Term Loan 6.693% 12/28/13 BB- 2,154,037
1,488 Warner Chilcott Corporation, Tranche B, Term 6.774% 1/18/12 BB- 1,421,406
Loan
512 Warner Chilcott Corporation, Tranche C, Term 6.587% 1/18/12 BB- 488,905
Loan
-----------------------------------------------------------------------------------------------------------------------------------
5,960 Total Pharmaceuticals 5,711,911
-----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 4.7% (2.7% OF TOTAL INVESTMENTS)
7,303 Capital Automotive LP, Term Loan 6.390% 12/15/10 BB+ 6,998,909
16,000 LNR Property Corporation, Term Loan B 7.630% 7/12/11 BB 14,800,000
5,970 Realogy Corporation Delayed Draw Term Loan 7.505% 10/01/13 BB- 5,033,488
-----------------------------------------------------------------------------------------------------------------------------------
29,273 Total Real Estate Management & Development 26,832,397
-----------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 4.3% (2.5% OF TOTAL INVESTMENTS)
667 Hertz Corporation, Letter of Credit 4.910% 12/21/12 BB+ 638,819
3,696 Hertz Corporation, Term Loan 6.894% 12/21/12 BB+ 3,541,748
26,512 Swift Transportation Company, Inc., Term Loan 8.188% 5/10/14 BB- 20,571,380
-----------------------------------------------------------------------------------------------------------------------------------
30,875 Total Road & Rail 24,751,947
-----------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 0.4% (0.3% OF TOTAL INVESTMENTS)
2,970 Freescale Semiconductor, Inc., Term Loan 6.381% 11/29/13 Ba1 2,530,069
-----------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 2.4% (1.4% OF TOTAL INVESTMENTS)
8,332 Dealer Computer Services, Inc., Term Loan 6.843% 10/26/12 BB 7,665,213
6,000 Dealer Computer Services, Inc., Term Loan, 10.343% 10/26/13 B 5,760,000
Second Lien
-----------------------------------------------------------------------------------------------------------------------------------
14,332 Total Software 13,425,213
-----------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 6.9% (4.0% OF TOTAL INVESTMENTS)
3,264 Blockbuster, Inc., Tranche B, Term Loan 9.212% 8/20/11 B 3,047,439
970 Burlington Coat Factory Warehouse Corporation, 7.320% 5/28/13 B2 837,114
Term Loan
5,925 CSK Automotive, Term Loan 11.625% 7/29/10 Ba3 5,125,449
877 J Crew Operating Corporation, Term Loan 5.749% 5/15/13 BB 844,298
12,602 Michaels Stores, Inc., Term Loan 7.583% 10/31/13 B 10,820,272
5,925 Sally Holdings LLC, Term Loan 7.520% 11/16/13 BB- 5,610,762
11,000 TRU 2005 RE Holding Co I LLC, Term Loan 7.613% 12/08/08 B3 10,346,875
2,985 TRU 2005 RE Holding Co I LLC, Term Loan 9.155% 7/19/12 BB- 2,830,845
-----------------------------------------------------------------------------------------------------------------------------------
43,548 Total Specialty Retail 39,463,054
-----------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 1.1% (0.7% OF TOTAL INVESTMENTS)
2,789 HBI Branded Apparel Limited, Inc., Term Loan 4.998% 9/05/13 BB 2,697,326
2,000 HBI Branded Apparel Limited, Inc., Term Loan, 6.994% 3/05/14 BB 1,984,166
Second Lien
1,819 Visant Holding Corporation, Term Loan C 6.718% 7/29/10 Ba1 1,785,618
-----------------------------------------------------------------------------------------------------------------------------------
6,608 Total Textiles, Apparel & Luxury Goods 6,467,110
-----------------------------------------------------------------------------------------------------------------------------------
|
23
JFR
Nuveen Floating Rate Income Fund (continued)
Portfolio of INVESTMENTS January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
-----------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.4% (0.8% OF TOTAL INVESTMENTS)
$ 1,980 Ashtead Group Public Limited Company, Term Loan 6.688% 8/31/11 BB+ $ 1,871,100
393 Brenntag Holdings GMBH & Co. KG, Acquisition 5.794% 1/20/14 B+ 363,927
Facility
1,607 Brenntag Holdings GMBH & Co. KG, Facility B2 5.794% 1/20/14 B+ 1,489,407
3,106 United Rentals, Inc., Term Loan B 6.090% 2/14/11 Ba1 2,981,453
1,121 United Rentals, Inc., Tranche B, Credit Linked 4.600% 2/13/11 Ba1 1,075,718
Deposit
-----------------------------------------------------------------------------------------------------------------------------------
8,207 Total Trading Companies & Distributors 7,781,605
-----------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 1.9% (1.1% OF TOTAL INVESTMENTS)
12,000 Asurion Corporation, Term Loan 7.878% 7/03/14 N/R 10,950,000
-----------------------------------------------------------------------------------------------------------------------------------
$ 916,137 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST $904,358,479) 825,857,809
===================================================================================================================================
|
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
-------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 9.7% (5.7% OF TOTAL INVESTMENTS)
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
$ 5,000 Qwest Corporation, Floating Rate Note, 3.250% 6.362% 6/15/13 BBB- $ 4,900,000
plus three-month LIBOR
-------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.9% (0.5% OF TOTAL INVESTMENTS)
5,000 Williams Companies Inc., Floating Rate Note, 5.112% 10/01/10 BBB- 5,137,500
2.000% plus three-month LIBOR, 144A
-------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,528 Dole Foods Company 8.625% 5/01/09 B- 1,428,680
1,780 Dole Foods Company 8.875% 3/15/11 B- 1,593,100
-------------------------------------------------------------------------------------------------------------------------------
3,308 Total Food Products 3,021,780
-------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 1.4% (0.8% OF TOTAL INVESTMENTS)
7,900 Mohegan Tribal Gaming 8.000% 4/01/12 Ba2 7,781,500
-------------------------------------------------------------------------------------------------------------------------------
MEDIA - 1.8% (1.1% OF TOTAL INVESTMENTS)
10,000 Cablevision Systems Corporation, Floating Rate 7.541% 4/01/09 B+ 10,050,000
Note, 4.500% plus six-month LIBOR, 144A
-------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.7% (0.4% OF TOTAL INVESTMENTS)
500 Verso Paper Holdings LLC, Series B 9.125% 8/01/14 B+ 487,500
4,000 Verso Paper Holdings LLC, Floating Rate Note, 6.862% 8/01/14 B+ 3,820,000
3.750% plus three-month LIBOR
-------------------------------------------------------------------------------------------------------------------------------
4,500 Total Paper & Forest Products 4,307,500
-------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.7% (0.4% OF TOTAL INVESTMENTS)
4,000 Felcor Lodging LP, Floating Rate Note, 1.875% 4.916% 12/01/11 Ba3 3,820,000
plus six-month LIBOR
-------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 2.7% (1.6% OF TOTAL INVESTMENTS)
1,400 Avago Technologies Finance Pte. Ltd., Floating 8.612% 6/01/13 BB- 1,415,750
Rate Note, 5.500% plus three-month LIBOR
16,000 NXP BV, Floating Rate Note, 2.750% plus 5.862% 10/15/13 BB- 13,340,000
three-month LIBOR
1,000 Spansion LLC, Floating Rate Note, 3.125% plus 6.237% 6/01/13 BB- 745,000
three-month LIBOR, 144A
-------------------------------------------------------------------------------------------------------------------------------
18,400 Total Semiconductors & Equipment 15,500,750
-------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.2% (0.1% OF TOTAL INVESTMENTS)
1,000 HanesBrands Inc., Floating Rate Note, 3.375% plus 6.416% 12/15/14 B2 910,000
six-month LIBOR
-------------------------------------------------------------------------------------------------------------------------------
$ 59,108 TOTAL CORPORATE BONDS (COST $60,020,726) 55,429,030
===============================================================================================================================
|
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 1.7% (1.0% OF TOTAL INVESTMENTS)
316,268 Eaton Vance Floating-Rate Income Trust Fund $ 4,835,738
691,950 Eaton Vance Senior Income Trust 4,850,570
------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT COMPANIES (COST $9,962,993) 9,686,308
=================================================================================================================
|
24
SHARES DESCRIPTION (1) VALUE
---------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.1% (0.1% OF TOTAL INVESTMENTS)
36,521 Reliant Energy Inc., Warrant Class A $ 730,420
---------------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $257,912) 730,420
=================================================================================================================
PRINCIPAL
AMOUNT
(000) DESCRIPTION (1) COUPON MATURITY VALUE
---------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 14.8% (8.6% OF TOTAL INVESTMENTS)
$ 84,342 Repurchase Agreement with Fixed Income Clearing 1.550% 2/01/08 $ 84,342,012
Corporation, dated 1/31/08, repurchase price
$84,345,643, collateralized by $68,905,000 U.S.
Treasury Bonds, 6.250%, due 8/15/23, value
$86,030,166
========== -----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $84,342,012) 84,342,012
=================================================================================================================
|
TOTAL INVESTMENTS (COST $1,058,942,122) - 170.9% $ 976,045,579
=================================================================================================================
OTHER ASSETS LESS LIABILITIES - (0.8)% (5,068,372)
=================================================================================================================
PREFERRED SHARES, AT LIQUIDATION VALUE - (70.1)% (400,000,000)
(7)
=================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 570,977,207
=================================================================================================================
|
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's
Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa
by Moody's are considered to be below investment grade.
(4) Senior Loans generally pay interest at rates which are periodically adjusted by reference
to a base short-term, floating lending rate plus an assigned fixed rate. These floating
lending rates are generally (i) the lending rate referenced by the London Inter-Bank
Offered Rate ("LIBOR"), or (ii) the prime rate offered by one or more major United States
banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(5) Position or portion of position represents an unfunded Senior Loan commitment outstanding
at January 31, 2008.
(6) Negative value represents unrealized depreciation on unfunded Senior Loan commitment
outstanding at January 31, 2008.
(7) Preferred Shares, at Liquidation Value as a percentage of total investments is (41.0)%.
N/R Not rated.
DD1 Portion of investment purchased on a delayed delivery basis.
WI/DD Purchased on a when-issued or delayed delivery basis.
144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as
amended. These investments may only be resold in transactions exempt from registration
which are normally those transactions with qualified institutional buyers.
TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details
associated with this purchase are not known prior to the settlement date of the
transaction. In addition, Senior Loans typically trade without accrued interest and
therefore a weighted average coupon rate is not available prior to settlement. At
settlement, if still unknown, the Borrower or counterparty will provide the Fund with the
final weighted average coupon rate and maturity date.
|
See accompanying notes to financial statements.
25
JRO
Nuveen Floating Rate Income Opportunity Fund
Portfolio of INVESTMENTS
January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 146.3% (85.9% OF TOTAL INVESTMENTS) (4)
AEROSPACE & DEFENSE - 0.9% (0.5% OF TOTAL INVESTMENTS)
$ 669 DAE Aviation Holdings, Inc., Asset Sale 7.750% 7/31/09 BB- $ 668,638
756 DAE Aviation Holdings, Inc., Term Loan B-1 7.848% 7/31/14 BB- 753,212
573 DAE Aviation Holdings, Inc., Term Loan B-2 6.990% 7/31/13 BB- 570,255
1,150 Transdigm, Inc., Term Loan B 6.858% 6/23/13 BB- 1,108,313
--------------------------------------------------------------------------------------------------------------------------------
3,148 Total Aerospace & Defense 3,100,418
--------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 3.1% (1.8% OF TOTAL INVESTMENTS)
1,990 Delta Air Lines, Inc., Term Loan 8.082% 4/30/14 B 1,811,729
4,950 Northwest Airlines, Inc., DIP Term Loan 5.990% 8/21/13 BB 4,537,502
4,662 United Air Lines, Inc., Term Loan B 6.784% 2/01/14 BB- 4,211,778
--------------------------------------------------------------------------------------------------------------------------------
11,602 Total Airlines 10,561,009
--------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 1.0% (0.6% OF TOTAL INVESTMENTS)
1,452 Accuride Corporation, Term Loan 7.563% 1/31/12 BB- 1,400,036
1,982 Lear Corporation, Term Loan 7.347% 4/25/12 BB- 1,891,571
--------------------------------------------------------------------------------------------------------------------------------
3,434 Total Auto Components 3,291,607
--------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 7.4% (4.4% OF TOTAL INVESTMENTS)
1,754 Atrium Companies, Inc., Term Loan 7.465% 5/31/12 BB- 1,574,523
4,950 Building Materials Corporation of America, Term 6.688% 2/22/14 BB 4,016,723
Loan
3,000 Building Materials Corporation of America, Term 9.563% 9/15/14 Caa1 2,060,000
Loan, Second Lien
9,675 Nortek, Inc., Term Loan B 5.534% 8/27/11 Ba2 8,949,375
3,415 Stile Acquisition Corporation, Canadien Term 5.649% 4/05/13 BB- 2,956,338
Loan, DD1
3,420 Stile Acquisition Corporation, Term Loan B, DD1 5.651% 4/05/13 BB- 2,961,374
2,963 TFS Acquisition, Term Loan 8.330% 8/11/13 B+ 2,844,000
--------------------------------------------------------------------------------------------------------------------------------
29,177 Total Building Products 25,362,333
--------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.5% (0.9% OF TOTAL INVESTMENTS)
2,302 Ameritrade Holdings Corporation, Term Loan B 4.770% 12/31/12 Ba1 2,208,952
480 BNY Convergex Group LLC, Incremental Delayed 1.500% 7/02/14 B2 (33,623)
Draw Term Loan, (5) (6)
343 BNY Convergex Group LLC, Incremental Term Loan 7.710% 7/02/14 B2 320,245
2,786 BNY Convergex Group LLC, Term Loan 7.830% 10/02/13 B+ 2,604,643
--------------------------------------------------------------------------------------------------------------------------------
5,911 Total Capital Markets 5,100,217
--------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 7.6% (4.5% OF TOTAL INVESTMENTS)
800 Celanese Holdings LLC, Credit Linked Deposit 4.600% 4/02/14 BB+ 754,778
3,176 Celanese Holdings LLC, Term Loan C 6.479% 4/02/14 BB+ 2,996,467
1,624 Foamex LP, Term Loan B 6.477% 2/12/13 B+ 1,417,883
2,985 Hercules Offshore, Inc., Term Loan 6.580% 7/11/13 BB 2,865,973
2,428 Hexion Specialty Chemicals, Inc., Term Loan C-1 7.000% 5/05/13 Ba3 2,286,370
527 Hexion Specialty Chemicals, Inc., Term Loan C-2 7.125% 5/05/13 Ba3 496,665
5,023 Huntsman International LLC, Term Loan 5.035% 4/19/14 BB+ 4,771,450
1,259 JohnsonDiversey, Inc., Delayed Term Loan 6.878% 12/16/10 Ba2 1,214,886
1,459 Lucite International, Term Loan B-1 5.500% 7/07/13 BB- 1,342,006
516 Lucite International, Term Loan B-2 5.500% 7/07/13 BB- 475,169
7,760 Rockwood Specialties Group, Inc., Term Loan E 4.744% 7/30/12 BB+ 7,387,629
--------------------------------------------------------------------------------------------------------------------------------
27,557 Total Chemicals 26,009,276
--------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 1.3% (0.7% OF TOTAL INVESTMENTS)
664 Allied Waste North America, Inc., Letter of 6.000% 3/28/14 BBB- 623,978
Credit
1,104 Allied Waste North America, Inc., Term Loan B 5.888% 3/28/14 BBB- 1,037,601
27 Cenveo Corporation, Delayed Term Loan 6.660% 6/21/13 BB 25,429
959 Cenveo Corporation, Term Loan 6.660% 6/21/13 BB+ 890,639
990 NCO Financial Systems, Inc., Term Loan 7.917% 5/15/13 BB- 936,375
997 Workflow Holdings Corporation, Term Loan 7.751% 11/30/11 BB- 847,817
--------------------------------------------------------------------------------------------------------------------------------
4,741 Total Commercial Services & Supplies 4,361,839
--------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.8% (0.4% OF TOTAL INVESTMENTS)
2,652 Aspect Software, Inc., Term Loan B 7.938% 7/11/11 BB- 2,546,069
--------------------------------------------------------------------------------------------------------------------------------
|
26
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.5% (0.3% OF TOTAL INVESTMENTS)
$ 1,950 Peach Holdings Inc., Term Loan 7.825% 11/30/13 B $ 1,842,750
--------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 6.7% (3.9% OF TOTAL INVESTMENTS)
496 Amscan Holdings, Inc., Term Loan 6.347% 5/25/13 B1 454,069
681 Bluegrass Container Company LLC, Delayed Term 6.566% 6/30/13 BB 662,560
Loan
970 Bluegrass Container Company LLC, Delayed Term 8.396% 12/31/13 B 966,061
Loan
3,030 Bluegrass Container Company LLC, Term Loan 8.396% 12/31/13 B 3,018,939
2,274 Bluegrass Container Company LLC, Term Loan B 6.678% 6/30/13 BB 2,214,344
13,636 Graham Packaging Company, L.P., Term Loan 7.253% 10/07/11 B+ 12,679,260
611 Smurfit-Stone Container Corporation, 6.700% 11/01/10 BB 585,499
Deposit-Funded Commitment
685 Smurfit-Stone Container Corporation, Term Loan B 7.058% 11/01/11 BB 656,416
1,305 Smurfit-Stone Container Corporation, Term Loan C 7.023% 11/01/11 BB 1,249,764
410 Smurfit-Stone Container Corporation, Tranche C-1 6.688% 11/01/11 BB 392,228
--------------------------------------------------------------------------------------------------------------------------------
24,098 Total Containers & Packaging 22,879,140
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 3.2% (1.9% OF TOTAL INVESTMENTS)
6,983 Cengage Learning Acquisitions, Inc., Term Loan 6.205% 7/05/14 B+ 6,303,647
258 Laureate Education, Inc., Delayed Term Loan, (5) 1.000% 8/17/14 B1 (16,774)
(6)
1,738 Laureate Education, Inc., Term Loan B 8.729% 8/17/14 B1 1,624,638
3,409 West Corporation, Term Loan 5.854% 10/24/13 BB- 3,154,675
--------------------------------------------------------------------------------------------------------------------------------
12,388 Total Diversified Consumer Services 11,066,186
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 8.3% (4.9% OF TOTAL INVESTMENTS)
1,995 Alltel Communications, Inc., Term Loan B3 6.773% 5/18/15 BB- 1,822,100
950 Choice One Communications, Term Loan B 9.000% 6/30/12 B2 869,577
2,978 Crown Castle Operating Company, Term Loan 6.330% 1/26/14 BB+ 2,762,694
2,000 Intelsat, Term Loan 7.131% 2/01/14 B 1,959,166
1,950 Intelsat, Tranche B, Term Loan 6.350% 7/01/13 BB 1,831,343
12,852 Intelsat, Tranche B-2, Term Loan 6.600% 12/03/13 BB 11,255,054
4,533 Level 3 Financing, Inc., Term Loan 6.611% 3/13/14 B+ 4,204,667
3,950 MetroPCS Wireless, Inc., Term Loan 7.165% 11/03/13 Ba3 3,698,188
--------------------------------------------------------------------------------------------------------------------------------
31,208 Total Diversified Telecommunication Services 28,402,789
--------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 5.0% (2.9% OF TOTAL INVESTMENTS)
1,111 Calpine Corporation, DIP Revolver, (5) (6) 1.513% 3/29/09 N/R (66,667)
8,486 Calpine Corporation, DIP Term Loan 7.080% 3/29/09 N/R 7,595,035
188 MACH Gen LLC, Synthetic Letter of Credit 6.830% 2/22/13 B+ 169,500
1,794 MACH Gen LLC, Term Loan 7.000% 2/22/14 B+ 1,622,115
2,142 Murray Energy Corporation, Term Loan 13.438% 1/28/11 N/R 2,152,710
3,990 TXU Corporation, Term Loan B-2 8.396% 10/10/14 Ba3 3,679,414
1,995 TXU Corporation, Term Loan B-3 8.396% 10/10/14 Ba3 1,846,282
--------------------------------------------------------------------------------------------------------------------------------
19,706 Total Electric Utilities 16,998,389
--------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,970 Sensata Technologies B.V., Term Loan 5.056% 4/27/13 BB 1,775,814
--------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.3% (0.2% OF TOTAL INVESTMENTS)
995 PGS Finance, Inc., Term Loan 6.580% 6/29/15 Ba2 943,591
--------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 1.0% (0.6% OF TOTAL INVESTMENTS)
366 Dole Food Company, Inc., Deposit-Funded 6.377% 4/12/13 BB- 334,032
Commitment
808 Dole Food Company, Inc., Term Loan B 6.703% 4/12/13 BB- 738,420
2,694 Dole Food Company, Inc., Term Loan C 6.552% 4/12/13 BB- 2,461,400
--------------------------------------------------------------------------------------------------------------------------------
3,868 Total Food Products 3,533,852
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,484 Symbion, Inc., Term Loan A 6.505% 8/01/13 Ba3 1,400,761
1,484 Symbion, Inc., Term Loan B 6.505% 8/01/14 Ba3 1,400,761
--------------------------------------------------------------------------------------------------------------------------------
2,968 Total Health Care Equipment & Supplies 2,801,522
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 9.1% (5.3% OF TOTAL INVESTMENTS)
3,104 HCA, Inc., Term Loan 7.080% 11/18/13 BB 2,723,818
3,836 HCA, Inc., Term Loan A 6.330% 11/18/12 Ba3 3,685,960
4,963 Health Management Associates, Inc., Term Loan 6.559% 2/28/14 Ba2 4,378,786
1,683 HealthSouth Corporation, Term Loan 6.915% 3/10/13 BB- 1,578,242
1,276 IASIS Healthcare LLC, Delayed Term Loan, (5) 5.552% 3/14/14 Ba2 834,414
340 IASIS Healthcare LLC, Letter of Credit 3.213% 3/14/14 Ba2 310,948
3,705 IASIS Healthcare LLC, Term Loan 5.248% 3/14/14 Ba2 3,387,055
|
27
JRO
Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of INVESTMENTS January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES (continued)
$ 519 LifePoint Hospitals, Inc., Term Loan B 6.715% 4/18/12 BB $ 485,866
14,563 Vanguard Health Holding Company II LLC, 5.521% 9/23/11 Ba3 13,525,567
Replacement Term Loan
--------------------------------------------------------------------------------------------------------------------------------
33,989 Total Health Care Providers & Services 30,910,656
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE TECHNOLOGY - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,901 Emdeon Business Services LLC, Term Loan 6.830% 1/18/13 BB- 1,810,255
--------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 8.8% (5.2% OF TOTAL INVESTMENTS)
3,932 24 Hour Fitness Worldwide, Inc., Term Loan B 6.949% 6/08/12 Ba3 3,578,541
372 CBRL Group, Inc., Term Loan B-2 6.393% 4/28/13 BB 353,115
2,955 Cedar Fair LP, Term Loan 5.271% 8/30/12 BB 2,771,605
333 Fontainebleau Las Vegas LLC, Delayed Term Loan, TBD TBD B+ 298,333
WI/DD
667 Fontainebleau Las Vegas LLC, Term Loan, WI/DD TBD TBD B+ 596,667
1,912 Green Valley Ranch Gaming LLC, Term Loan B 6.992% 2/16/14 BB- 1,701,923
2,993 Orbitz Worldwide, Inc., Term Loan 7.830% 7/25/14 BB- 2,760,581
1,955 Penn National Gaming, Inc., Term Loan B 5.656% 10/03/12 BBB- 1,913,945
1,990 Travelport LLC, Delayed Term Loan 7.080% 8/23/13 BB- 1,817,742
714 Travelport LLC, Letter of Credit 7.080% 8/23/13 BB- 660,131
3,557 Travelport LLC, Term Loan 7.080% 8/23/13 BB- 3,289,955
2,000 Venetian Casino Resort LLC, (Las Vegas Sands, 0.750% 5/23/14 BB (223,125)
Inc.) Delayed Term Loan, (5) (6)
7,960 Venetian Casino Resort LLC, Term Loan 6.580% 5/23/14 BB 7,071,963
3,505 Wintergames Holdings, Term Loan 6.609% 4/24/08 N/R 3,448,507
--------------------------------------------------------------------------------------------------------------------------------
34,845 Total Hotels, Restaurants & Leisure 30,039,883
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 1.7% (1.0% OF TOTAL INVESTMENTS)
6,153 Jarden Corporation, Term Loan 6.580% 1/24/12 BB- 5,779,200
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 2.4% (1.4% OF TOTAL INVESTMENTS)
8,478 Prestige Brands, Inc., Term Loan B 6.978% 4/06/11 BB- 8,239,788
--------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.7% (1.0% OF TOTAL INVESTMENTS)
1,962 NRG Energy, Inc., Credit Linked Deposit 6.480% 2/01/13 Ba1 1,807,287
4,250 NRG Energy, Inc., Term Loan 6.580% 2/01/13 Ba1 3,914,452
--------------------------------------------------------------------------------------------------------------------------------
6,212 Total Independent Power Producers & Energy 5,721,739
Traders
--------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 1.7% (1.0% OF TOTAL INVESTMENTS)
985 Affirmative Insurance Holdings Inc., Term Loan 7.984% 1/31/14 B1 881,421
5,380 Conseco, Inc., Term Loan 5.271% 10/10/13 Ba3 4,873,413
--------------------------------------------------------------------------------------------------------------------------------
6,365 Total Insurance 5,754,834
--------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES - 0.9% (0.5% OF TOTAL INVESTMENTS)
3,887 Sabre, Inc., Term Loan 5.244% 9/30/14 B+ 3,197,733
--------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 4.4% (2.6% OF TOTAL INVESTMENTS)
981 Attachmate, Term Loan 8.025% 4/13/13 BB- 936,733
3,990 First Data Corporation, Term Loan B-2 7.630% 9/24/14 BB- 3,609,288
339 Infor Global Solutions Intermediate Holdings, 8.580% 7/28/12 B+ 308,100
Ltd., Delayed Term Loan
649 Infor Global Solutions Intermediate Holdings, 8.580% 7/28/12 B+ 595,392
Ltd., Term Loan
10,186 SunGard Data Systems, Inc., Term Loan B 6.898% 2/28/14 BB 9,465,232
--------------------------------------------------------------------------------------------------------------------------------
16,145 Total IT Services 14,914,745
--------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.5% (0.9% OF TOTAL INVESTMENTS)
5,468 Bombardier Recreational Products, Inc., Term 6.430% 6/28/13 B+ 5,190,382
Loan
--------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.5% (0.9% OF TOTAL INVESTMENTS)
578 Navistar International Corporation, Synthetic 5.066% 1/19/12 BB- 524,815
Letter of Credit
1,589 Navistar International Corporation, Term Loan 6.501% 1/19/12 BB- 1,443,241
1,975 Oshkosh Truck Corporation, Term Loan 6.900% 12/06/13 BBB- 1,834,505
279 Rexnord Corporation, Incremental Term Loan 7.401% 7/19/13 Ba2 267,848
934 Rexnord Corporation, Term Loan 6.427% 7/19/13 Ba2 898,607
--------------------------------------------------------------------------------------------------------------------------------
5,355 Total Machinery 4,969,016
--------------------------------------------------------------------------------------------------------------------------------
MEDIA - 28.6% (16.8% OF TOTAL INVESTMENTS)
1,960 AMC Entertainment, Inc., Term Loan 5.035% 1/28/13 Ba1 1,811,600
995 CanWest Mediaworks LP, Term Loan 7.081% 7/10/15 Ba1 960,175
5,960 Cequel Communications LLC, Term Loan B 6.668% 11/05/13 BB- 5,212,269
3,000 Charter Communications Operating Holdings LLC, 7.343% 3/06/14 B+ 2,315,000
Holdco Term Loan
7,800 Charter Communications Operating Holdings LLC, 5.260% 3/06/14 B+ 6,828,748
Term Loan
|
28
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
MEDIA (continued)
$ 982 Cumulus Media, Inc., Term Loan 6.230% 6/11/14 Ba3 $ 883,560
2,000 HIT Entertainment, Inc., Term Loan 10.380% 2/26/13 B- 1,790,000
3,900 HIT Entertainment, Inc., Term Loan B 6.600% 3/20/12 Ba3 3,529,586
4,950 Idearc, Inc., Term Loan 6.830% 11/17/14 BBB- 4,524,750
2,978 Metro-Goldwyn-Mayer Studios, Inc., Term Loan 8.108% 4/08/12 N/R 2,660,802
3,925 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 8.108% 4/08/12 N/R 3,507,579
11,872 Neilsen Finance LLC, Term Loan 6.964% 8/09/13 Ba3 11,005,076
3,000 NextMedia Operating, Inc., Term Loan, Second 5.989% 11/15/12 CCC+ 2,745,000
Lien
3,024 Philadelphia Newspapers, Term Loan A 16.500% 6/29/12 N/R 2,555,597
1,912 ProQuest Company, Term Loan B 7.167% 2/09/14 N/R 1,830,421
3,862 Regal Cinemas Corporation, Term Loan 6.330% 10/27/13 Ba2 3,584,838
4,089 SFX Entertainment, Inc., Term Loan 7.580% 6/20/13 Ba3 3,966,395
14,925 Tribune Company, Term Loan B 7.910% 6/04/14 BB- 11,255,316
3,733 Tribune Company, Term Loan X 7.396% 6/04/09 BB- 3,496,502
503 Univision Communications, Inc., Delayed Term 1.000% 9/29/14 Ba3 (88,035)
Loan, (5) (6)
14,497 Univision Communications, Inc., Term Loan 5.495% 9/29/14 Ba3 11,961,239
2,000 Univision Communications, Inc., Term Loan, 5.771% 3/29/09 B3 1,893,750
Second Lien
427 Valassis Communications, Inc., Delayed Draw 1.000% 3/02/14 BB (44,800)
Term, (5) (6)
1,362 Valassis Communications, Inc., Tranche B, Term 6.580% 3/02/14 BB 1,218,572
Loan
4,795 WMG Acquisition Corporation, Term Loan 6.727% 2/28/11 Ba2 4,495,305
4,025 Yell Group PLC, Term Loan 5.271% 10/27/12 N/R 3,790,419
--------------------------------------------------------------------------------------------------------------------------------
112,476 Total Media 97,689,664
--------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 2.0% (1.1% OF TOTAL INVESTMENTS)
2,522 Amsted Industries, Inc., Delayed Draw Term Loan 6.356% 4/08/13 BB 2,452,214
3,468 Amsted Industries, Inc., Term Loan 6.383% 4/08/13 BB 3,359,666
1,000 John Maneely Company, Term Loan, WI/DD TBD TBD B+ 859,286
--------------------------------------------------------------------------------------------------------------------------------
6,990 Total Metals & Mining 6,671,166
--------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 3.2% (1.9% OF TOTAL INVESTMENTS)
4,000 Callon Petroleum, Term Loan 10.960% 6/30/14 N/R 3,880,000
575 Calumet Lubricants Company LP, Credit Linked 8.553% 12/17/14 BB- 548,851
Deposit
4,425 Calumet Lubricants Company LP, Term Loan 8.336% 12/17/14 BB- 4,226,149
301 Coffeyville Resources LLC, Credit Linked Deposit 7.379% 12/28/10 BB- 288,198
978 Coffeyville Resources LLC, Term Loan D 7.479% 12/28/13 BB- 937,564
1,000 Ram Energy Resources, Inc., Term Loan 12.000% 11/29/12 N/R 995,000
--------------------------------------------------------------------------------------------------------------------------------
11,279 Total Oil, Gas & Consumable Fuels 10,875,762
--------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 4.8% (2.8% OF TOTAL INVESTMENTS)
7,840 Georgia-Pacific Corporation, Term Loan B 6.866% 12/21/12 BB+ 7,256,900
3,086 Georgia-Pacific Corporation, Term Loan B-2 6.836% 12/24/12 BB+ 2,856,161
90 Ply Gem Industries, Inc., Canadian Term Loan 7.580% 8/15/11 BB- 79,549
2,870 Ply Gem Industries, Inc., Term Loan B3 7.580% 8/15/11 BB- 2,543,035
3,990 Wilton Products, Term Loan 8.138% 11/16/14 N/R 3,710,700
--------------------------------------------------------------------------------------------------------------------------------
17,876 Total Paper & Forest Products 16,446,345
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.2% (0.1% OF TOTAL INVESTMENTS)
893 LandSource Holding Company LLC, Term Loan 7.761% 2/27/13 N/R 696,924
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 5.1% (3.0% OF TOTAL INVESTMENTS)
4,563 Capital Automotive LP, Term Loan 6.390% 12/15/10 BB+ 4,373,108
9,500 LNR Property Corporation, Term Loan B 7.630% 7/12/11 BB 8,787,500
4,975 Realogy Corporation Delayed Draw Term Loan 7.505% 10/01/13 BB- 4,194,573
--------------------------------------------------------------------------------------------------------------------------------
19,038 Total Real Estate Management & Development 17,355,181
--------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 4.8% (2.8% OF TOTAL INVESTMENTS)
444 Hertz Corporation, Letter of Credit 4.910% 12/21/12 BB+ 425,880
2,464 Hertz Corporation, Term Loan 6.894% 12/21/12 BB+ 2,361,166
17,674 Swift Transportation Company, Inc., Term Loan 8.188% 5/10/14 BB- 13,714,253
--------------------------------------------------------------------------------------------------------------------------------
20,582 Total Road & Rail 16,501,299
--------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,980 Freescale Semiconductor, Inc., Term Loan 6.381% 11/29/13 Ba1 1,686,713
--------------------------------------------------------------------------------------------------------------------------------
|
29
JRO
Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of INVESTMENTS January 31, 2008 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (2) RATINGS (3) VALUE
--------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 2.9% (1.7% OF TOTAL INVESTMENTS)
$ 6,486 Dealer Computer Services, Inc., Term Loan 6.843% 10/26/12 BB $ 5,966,817
4,000 Dealer Computer Services, Inc., Term Loan, 10.343% 10/26/13 B 3,840,000
Second Lien
--------------------------------------------------------------------------------------------------------------------------------
10,486 Total Software 9,806,817
--------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 5.9% (3.5% OF TOTAL INVESTMENTS)
483 Blockbuster, Inc., Tranche A, Term Loan 8.894% 8/20/09 B 454,741
2,019 Blockbuster, Inc., Tranche B, Term Loan 9.212% 8/20/11 B 1,884,886
970 Burlington Coat Factory Warehouse Corporation, 7.320% 5/28/13 B2 837,114
Term Loan
6,786 Michaels Stores, Inc., Term Loan 7.583% 10/31/13 B 5,826,376
1,975 Sally Holdings LLC, Term Loan 7.520% 11/16/13 BB- 1,870,254
7,000 TRU 2005 RE Holding Co I LLC, Term Loan 7.613% 12/08/08 B3 6,584,375
2,985 TRU 2005 RE Holding Co I LLC, Term Loan 9.155% 7/19/12 BB- 2,830,845
--------------------------------------------------------------------------------------------------------------------------------
22,218 Total Specialty Retail 20,288,591
--------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 1.8% (1.1% OF TOTAL INVESTMENTS)
1,395 HBI Branded Apparel Limited, Inc., Term Loan 4.998% 9/05/13 BB 1,348,663
1,000 HBI Branded Apparel Limited, Inc., Term Loan, 6.994% 3/05/14 BB 992,083
Second Lien
3,950 Visant Holding Corporation, Term Loan C 6.718% 7/29/10 Ba1 3,877,396
--------------------------------------------------------------------------------------------------------------------------------
6,345 Total Textiles, Apparel & Luxury Goods 6,218,142
--------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,980 Ashtead Group Public Limited Company, Term Loan 6.688% 8/31/11 BB+ 1,871,100
--------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 1.9% (1.1% OF TOTAL INVESTMENTS)
7,000 Asurion Corporation, Term Loan 7.878% 7/03/14 N/R 6,387,500
--------------------------------------------------------------------------------------------------------------------------------
$ 555,314 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST $547,299,681) 499,600,236
================================================================================================================================
|
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
-------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 15.7% (9.2% OF TOTAL INVESTMENTS)
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.3% (1.9% OF TOTAL INVESTMENTS)
$ 1,500 Intelsat Bermuda Limited, Floating Rate Note, 6.541% 1/15/15 B $ 1,507,500
3.500% plus six-month LIBOR
10,000 Qwest Corporation, Floating Rate Note, 3.250% 6.362% 6/15/13 BBB- 9,800,000
plus three-month LIBOR
-------------------------------------------------------------------------------------------------------------------------------
11,500 Total Diversified Telecommunication Services 11,307,500
-------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.4% (0.2% OF TOTAL INVESTMENTS)
1,500 Reable Therapeutics Financing Corporation 11.750% 11/15/14 CCC+ 1,335,000
-------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 0.9% (0.5% OF TOTAL INVESTMENTS)
3,000 Community Health Systems, Inc. 8.875% 7/15/15 B- 3,033,750
-------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 1.0% (0.6% OF TOTAL INVESTMENTS)
4,000 Quapaw Tribe of Oklahoma Downstream Development 12.000% 10/15/15 B- 3,520,000
Authority
-------------------------------------------------------------------------------------------------------------------------------
MEDIA - 4.4% (2.6% OF TOTAL INVESTMENTS)
15,000 Cablevision Systems Corporation, Floating Rate 7.541% 4/01/09 B+ 15,075,000
Note, 4.500% plus six-month LIBOR, 144A
-------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,000 Baseline Oil & Gas Corporation 12.500% 10/01/12 CCC+ 1,850,000
-------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.6% (0.3% OF TOTAL INVESTMENTS)
2,000 Verso Paper Holdings LLC, Series B 9.125% 8/01/14 B+ 1,950,000
-------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.8% (0.5% OF TOTAL INVESTMENTS)
3,000 Felcor Lodging LP, Floating Rate Note, 1.875% 4.916% 12/01/11 Ba3 2,865,000
plus six-month LIBOR
-------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 3.0% (1.8% OF TOTAL INVESTMENTS)
1,000 Avago Technologies Finance Pte. Ltd., Floating 8.612% 6/01/13 BB- 1,011,250
Rate Note, 5.500% plus three-month LIBOR
11,000 NXP BV, Floating Rate Note, 2.750% plus 5.862% 10/15/13 BB- 9,171,250
three-month LIBOR
-------------------------------------------------------------------------------------------------------------------------------
12,000 Total Semiconductors & Equipment 10,182,500
-------------------------------------------------------------------------------------------------------------------------------
|
30
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (3) VALUE
-------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 0.3% (0.2% OF TOTAL INVESTMENTS)
$ 1,000 Telcordia Technologies, Floating Rate Note, 3.75% 6.862% 7/15/12 B $ 855,000
plus three-month LIBOR, 144A
-------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,000 Penhall International Corporation 12.000% 8/01/14 B- 1,670,000
-------------------------------------------------------------------------------------------------------------------------------
$ 57,000 TOTAL CORPORATE BONDS (COST $57,058,375) 53,643,750
===============================================================================================================================
|
SHARES DESCRIPTION (1) VALUE
------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.2% (0.1% OF TOTAL INVESTMENTS)
26,182 Reliant Energy Inc., Warrant Class A $ 523,640
------------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $184,678) 523,640
=================================================================================================================
|
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
-----------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 8.2% (4.8% OF TOTAL INVESTMENTS)
$ 28,093 Repurchase Agreement with Fixed Income Clearing 1.550% 2/01/08 $ 28,092,964
Corporation, dated 1/31/08, repurchase price
$28,094,174, collateralized by $20,110,000 U.S.
Treasury Bonds, 8.000%, due 11/15/21, value
$28,656,750
========== -----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $28,092,964) 28,092,964
=================================================================================================================
TOTAL INVESTMENTS (COST $632,635,698) - 170.4% 581,860,590
=================================================================================================================
OTHER ASSETS LESS LIABILITIES - (0.1)% (302,704)
=================================================================================================================
PREFERRED SHARES, AT LIQUIDATION VALUE - (70.3)% (240,000,000)
(7)
=================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 341,557,886
=================================================================================================================
|
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's
Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa
by Moody's are considered to be below investment grade.
(4) Senior Loans generally pay interest at rates which are periodically adjusted by reference
to a base short-term, floating lending rate plus an assigned fixed rate. These floating
lending rates are generally (i) the lending rate referenced by the London Inter-Bank
Offered Rate ("LIBOR"), or (ii) the prime rate offered by one or more major United States
banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(5) Position or portion of position represents an unfunded Senior Loan commitment outstanding
at January 31, 2008.
(6) Negative value represents unrealized depreciation on unfunded Senior Loan commitment
outstanding at January 31, 2008.
(7) Preferred Shares, at Liquidation Value as a percentage of total investments is (41.2)%.
N/R Not rated.
DD1 Portion of investment purchased on a delayed delivery basis.
WI/DD Purchased on a when-issued or delayed delivery basis.
144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as
amended. These investments may only be resold in transactions exempt from registration
which are normally those transactions with qualified institutional buyers.
TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details
associated with this purchase are not known prior to the settlement date of the
transaction. In addition, Senior Loans typically trade without accrued interest and
therefore a weighted average coupon rate is not available prior to settlement. At
settlement, if still unknown, the Borrower or counterparty will provide the Fund with the
final weighted average coupon rate and maturity date.
|
See accompanying notes to financial statements.
31
Statement of
ASSETS AND LIABILITIES
January 31, 2008 (Unaudited)
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $385,775,928, $974,600,110 and
$604,542,734, respectively) $346,325,432 $891,703,567 $553,767,626
Short-term investments (at cost, which approximates value) 31,907,813 84,342,012 28,092,964
Receivables:
Interest 3,264,037 8,457,076 5,506,032
Investments sold 43,448 5,743,050 3,849,589
Other assets 92,195 54,636 43,147
--------------------------------------------------------------------------------------------------------------
Total assets 381,632,925 990,300,341 591,259,358
--------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Borrowings 103,000,000 -- --
Investments purchased 10,641,867 14,211,250 6,320,000
Accrued expenses:
Management fees 234,583 423,611 268,527
Interest on borrowings 531,204 -- --
Other 172,234 230,744 145,615
Common share dividends payable 1,688,824 4,340,380 2,836,486
Preferred share dividends payable 187,017 117,149 130,844
--------------------------------------------------------------------------------------------------------------
Total liabilities 116,455,729 19,323,134 9,701,472
--------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 46,000,000 400,000,000 240,000,000
--------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $219,177,196 $570,977,207 $341,557,886
==============================================================================================================
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) $ 7.35 $ 12.05 $ 12.02
==============================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
--------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 298,344 $ 473,952 $ 284,193
Paid-in surplus 283,099,960 668,749,285 400,814,445
Undistributed (Over-distribution of) net investment income 1,696,518 748,508 (64,132)
Accumulated net realized gain (loss) from investments (26,467,130) (16,097,995) (8,701,512)
Net unrealized appreciation (depreciation) of investments (39,450,496) (82,896,543) (50,775,108)
--------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $219,177,196 $570,977,207 $341,557,886
==============================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited
==============================================================================================================
|
See accompanying notes to financial statements.
32
Statement of
OPERATIONS
Six Months Ended January 31,
2008
(Unaudited)
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 15,856,750 $ 41,239,545 $ 24,602,042
Dividends 835,048 73,960 --
Fees 221,606 199,306 110,188
----------------------------------------------------------------------------------------------------------------
Total investment income 16,913,404 41,512,811 24,712,230
----------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 1,615,144 4,195,901 2,546,859
Preferred shares - auction fees 57,973 504,110 302,467
Preferred shares - dividend disbursing agent fees 3,012 11,803 11,322
Shareholders' servicing agent fees and expenses 2,366 455 209
Interest expense on borrowings 2,985,193 -- --
Commitment fees 165,254 -- --
Custodian's fees and expenses 116,285 203,535 121,642
Trustees' fees and expenses 4,878 10,842 8,595
Professional fees 32,557 46,315 29,894
Shareholders' reports - printing and mailing expenses 37,030 74,954 42,277
Stock exchange listing fees 5,392 8,540 5,130
Investor relations expense 35,613 54,928 32,341
Other expenses 6,909 23,537 17,419
----------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense
reimbursement 5,067,606 5,134,920 3,118,155
Custodian fee credit (1,533) (1,927) (217)
Expense reimbursement (242,434) (1,635,329) (920,930)
----------------------------------------------------------------------------------------------------------------
Net expenses 4,823,639 3,497,664 2,197,008
----------------------------------------------------------------------------------------------------------------
Net investment income 12,089,765 38,015,147 22,515,222
----------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments 131,171 (1,575,528) (1,072,921)
Change in net unrealized appreciation (depreciation) of
investments (19,781,949) (46,489,823) (29,164,675)
----------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (19,650,778) (48,065,351) (30,237,596)
----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (1,241,096) (10,568,160) (6,408,425)
----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common
shares from operations $ (8,802,109) $(20,618,364) $(14,130,799)
================================================================================================================
|
See accompanying notes to financial statements.
33
Statement of
CHANGES in NET ASSETS (Unaudited)
FLOATING RATE FLOATING RATE
SENIOR INCOME (NSL) INCOME (JFR) INCOME OPPORTUNITY (JRO)
----------------------------- ---------------------------- -----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
1/31/08 7/31/07 1/31/08 7/31/07 1/31/08 7/31/07
---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 12,089,765 $ 23,374,411 $ 38,015,147 $ 73,659,286 $ 22,515,222 $ 45,980,521
Net realized gain (loss) from
investments 131,171 (350,432) (1,575,528) (2,130,195) (1,072,921) 502,052
Change in net unrealized
appreciation (depreciation) of
investments (19,781,949) (9,321,958) (46,489,823) (35,146,735) (29,164,675) (22,948,051)
Distributions to Preferred
Shareholders from net
investment income (1,241,096) (2,350,335) (10,568,160) (20,147,989) (6,408,425) (12,097,865)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares from operations (8,802,109) 11,351,686 (20,618,364) 16,234,367 (14,130,799) 11,436,657
---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON
SHAREHOLDERS
From net investment income (10,800,035) (21,051,832) (28,247,543) (55,429,281) (17,676,818) (34,580,106)
---------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets
applicable to Common shares
from distributions to Common
shareholders (10,800,035) (21,051,832) (28,247,543) (55,429,281) (17,676,818) (34,580,106)
---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares
issued to shareholders due to
reinvestment of distributions -- 208,550 -- 1,521,407 -- 314,446
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares from capital share
transactions -- 208,550 -- 1,521,407 -- 314,446
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares (19,602,144) (9,491,596) (48,865,907) (37,673,507) (31,807,617) (22,829,003)
Net assets applicable to Common
shares at the beginning of
period 238,779,340 248,270,936 619,843,114 657,516,621 373,365,503 396,194,506
---------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of period $219,177,196 $238,779,340 $570,977,207 $619,843,114 $341,557,886 $373,365,503
=================================================================================================================================
Undistributed (Over-distribution
of) net investment income at
the end of period $ 1,696,518 $ 1,647,884 $ 748,508 $ 1,549,064 $ (64,132) $ 1,505,889
=================================================================================================================================
|
See accompanying notes to financial statements.
34
Statement of
CASH FLOWS
Six Months Ended January 31,
2008
(Unaudited)
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
----------------------------------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES:
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHARES FROM OPERATIONS $ (8,802,109) $ (20,618,364) $(14,130,799)
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 (83,304,080) (182,377,198) (114,163,152)
Proceeds from sales of investments 95,060,494 257,115,459 126,540,249
Proceeds from (Purchases of) short-term investments, net (21,700,862) (80,220,196) (5,002,859)
Amortization/(Accretion) of premiums and discounts, net (82,764) 123,284 108,501
(Increase) Decrease in receivable for interest 238,042 554,865 452,080
(Increase) Decrease in receivable for investments sold 2,613,355 6,857,330 (3,699,628)
(Increase) Decrease in other assets 6,652 10,296 (12,261)
Increase (Decrease) in payable for investments purchased 8,482,896 718,365 (2,632,931)
Increase (Decrease) in accrued management fees 3,274 (20,654) (14,302)
Increase (Decrease) in accrued interest on borrowings 56,866 -- --
Increase (Decrease) in accrued other liabilities (29,365) (51,189) (28,742)
Increase (Decrease) in Preferred share dividends payable 108,373 (107,800) 40,329
Net realized (gain) loss from investments (131,171) 1,575,528 1,072,921
Net realized (gain) loss from paydowns (1,400,832) (1,675,482) 69,268
Change in net unrealized (appreciation) depreciation of
investments 19,781,949 46,489,823 29,164,675
Taxes paid on undistributed capital gains -- (2,987) --
----------------------------------------------------------------------------------------------------------
Net cash provided by (used in) operating activities 10,900,718 28,371,080 17,763,349
----------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (10,900,718) (28,371,080) (17,735,849)
----------------------------------------------------------------------------------------------------------
Net cash provided by (used in) financing activities (10,900,718) (28,371,080) (17,735,849)
----------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN CASH -- -- 27,500
Cash at the beginning of period -- -- (27,500)
----------------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ -- $ -- $ --
==========================================================================================================
|
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid by Senior Income (NSL) for interest on borrowings during the six
months ended January 31, 2008, was $2,928,327.
See accompanying notes to financial statements.
35
Notes to
FINANCIAL STATEMENTS (Unaudited)
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 have instructed the custodian to segregate assets with a
current value at least equal to the amount of the when-issued/delayed delivery
purchase commitments. At January 31, 2008, Senior Income (NSL), Floating Rate
Income (JFR) and Floating Rate Income Opportunity (JRO) had outstanding
when-issued/delayed delivery purchase commitments of $10,415,000, $8,646,250 and
$2,610,000, 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, if any, 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.
36
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.
Effective January 31, 2008, the Funds adopted Financial Accounting Standards
Board (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 affirmative evaluation of tax positions taken or expected to be
taken in the course of preparing the Funds' tax returns to determine whether it
is "more-likely-than-not" (i.e. greater than 50-percent) of being sustained by
the applicable tax authority. Tax positions not deemed to meet the
more-likely-than-not threshold may result in a tax benefit or expense in the
current year.
Implementation of FIN 48 required management of the Funds to analyze all open
tax years, as defined by the statute of limitations, for all major
jurisdictions, which includes federal and certain states. Open tax years are
those that are open for examination by taxing authorities (i.e. the last four
tax year ends and the interim tax period since then). The Funds have no
examinations in progress.
For all open tax years and all major taxing jurisdictions through the end of the
reporting period, management of the Funds has reviewed all tax positions taken
or expected to be taken in the preparation of the Funds' tax returns and
concluded the adoption of FIN 48 resulted in no impact to the Funds' net assets
or results of operations as of and during the six months ended January 31, 2008.
The Funds are also not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months.
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 -- Borrowings.
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.
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Funds'
policy that its custodian take possession of the underlying collateral
securities, the fair value of which exceeds the principal amount of the
repurchase transaction, including accrued interest, at all times. If the seller
defaults, and the fair value of the collateral declines, realization of the
collateral may be delayed or limited.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by net credits earned on each Fund's cash on
deposit with the bank. Such deposit arrangements are an alternative to overnight
investments. Credits for cash balances may be offset by charges for any days on
which a Fund overdraws its account at the custodian bank.
37
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
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 account 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)
-------------------------- ---------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
1/31/08 7/31/07 1/31/08 7/31/07 1/31/08 7/31/07
------------------------------------------------------------------------------------------------------------------------------
Common shares issued to shareholders
due to reinvestment of
distributions -- 24,436 -- 108,286 -- 22,271
------------------------------------------------------------------------------------------------------------------------------
|
3. INVESTMENT TRANSACTIONS
Purchases and sales (including maturities but excluding short-term investments)
during the six months ended January 31, 2008, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Purchases $83,304,080 $182,377,198 $114,163,152
Sales and maturities 95,060,494 257,115,459 126,540,249
---------------------------------------------------------------------------------------------------------------------------
|
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 January 31, 2008, the cost of investments was as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Cost of investments $417,707,937 $1,060,000,772 $633,298,116
---------------------------------------------------------------------------------------------------------------------------
|
38
Gross unrealized appreciation and gross unrealized depreciation of investments
at January 31, 2008, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $ 554,616 $ 759,465 $ 635,520
Depreciation (40,029,308) (84,714,658) (52,073,046)
---------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $ (39,474,692) $ (83,955,193) $ (51,437,526)
---------------------------------------------------------------------------------------------------------------------------
|
The tax components of undistributed net ordinary income and net long-term
capital gains at July 31, 2007, the Funds' last tax year end, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Undistributed net ordinary income * $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' last tax year ended
July 31, 2007, was designated for purposes of the dividends paid deduction as
follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Distributions from net ordinary income * $23,156,268 $75,094,286 $46,438,342
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' last tax year end, the Funds had unused capital
loss carryforwards available for federal income tax purposes to be applied
against future capital gains, if any. If not applied, the carryforwards will
expire as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Expiration 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
---------------------------------------------------------------------------------------------------------------------------
|
39
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
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 current 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
-----------------------------------------------------------------------------------------------------------------
|
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 January 31, 2008, the complex-level fee was .1847%.
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
------------------------------------------------------------------------------------------------
|
40
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 fees paid to the Adviser.
The Funds pay no compensation directly to those of its Trustees who are
affiliated with the Adviser or to its Officers, all of whom receive remuneration
for their services to the Funds from the Adviser or its affiliates. The Board of
Trustees has adopted a deferred compensation plan for independent Trustees that
enables Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised funds.
For the first ten years of Senior Income's (NSL) operations, the Adviser has
agreed to reimburse the Fund, as a percentage of average daily Managed Assets,
for fees and expenses in the amounts and for the time periods set forth below:
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.
41
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
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 ("Madison Dearborn"), pursuant to which Windy
City would acquire Nuveen Investments. Madison Dearborn is a private equity
investment firm based in Chicago, Illinois. The merger was consummated on
November 13, 2007.
The consummation of the merger was deemed to be an "assignment" (as that term is
defined in the Investment Company Act of 1940) of the investment management
agreement between each Fund and the Adviser and, if applicable, the sub-advisory
agreement between the Adviser and the sub-adviser of the Funds, and resulted in
the automatic termination of each such agreement. The Board of Trustees of each
Fund considered and approved a new investment management agreement with the
Adviser, and, if applicable, a new sub-advisory agreement between the Adviser
and the sub-adviser on the same terms as the previous agreements. Each new
ongoing investment management agreement and sub-advisory agreement, if
applicable, was approved by the shareholders of each Fund and took effect on
November 13, 2007.
The investors led by Madison Dearborn includes an affiliate of Merrill Lynch. As
a result, Merrill Lynch is an indirect "affiliated person" (as that term is
defined in the Investment Company Act of 1940) of each Fund. Certain conflicts
of interest may arise as a result of such indirect affiliation. For example, the
Funds are generally prohibited from entering into principal transactions with
Merrill Lynch and its affiliates. The Adviser does not believe that any such
prohibitions or limitations as a result of Merrill Lynch's affiliation will
significantly impact the ability of the Funds to pursue their investment
objectives and policies.
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 January 31, 2008, Senior Income (NSL), Floating Rate Income
(JFR) and Floating Rate Income Opportunity (JRO) had unfunded senior loan
commitments of $2,721,275, $8,524,588 and $5,111,172, 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 January 31, 2008, there
were no such outstanding participation commitments in any of the Funds.
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.
42
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, uses the proceeds to makes advances to Senior
Income (NSL) and to many other borrowers who comprise Falcon's total borrowing
base. For the six months ended January 31, 2008, the average daily balance of
borrowings under the commercial paper program agreement was $103 million. The
interest expense and program usage fees incurred on borrowings is recognized as
"Interest expense on borrowings" in the Statement of Operations. The average
annualized interest rate for funding and program usage fees on such borrowings
for the six months ended January 31, 2007, was 5.75%.
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 six months ended January 31, 2008.
9. NEW ACCOUNTING PRONOUNCEMENT
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 January 31, 2008, 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 EVENTS
Auction Rate Preferred Markets
During February 2008, regularly scheduled auctions for the Preferred shares
issued by the Funds began attracting more shares for sale than offers to buy.
This meant that these auctions "failed to clear," and that many Preferred
shareholders who wanted to sell their shares in these auctions were unable to do
so. Preferred shareholders unable to sell their shares received distributions at
the "maximum rate" calculated in accordance with the pre-established terms of
the Preferred stock.
These developments generally do not affect the management or investment policies
of the Funds. However, one implication of these auction failures for Common
shareholders is that the Funds' cost of leverage will be higher than it
otherwise would have been had the auctions continued to be successful. As a
result, the Funds' future Common share earnings may be lower than they otherwise
would have been.
Distributions to Common Shareholders
The Funds declared Common share dividend distributions from their net investment
income which was paid on March 3, 2008, to shareholders of record on February
15, 2008, as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------------------
Dividend per share $.0580 $.0970 $.1020
---------------------------------------------------------------------------------------------------------------------------
|
43
Financial
HIGHLIGHTS (Unaudited)
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:
2008(e) $8.00 $.41 $(.66) $(.04) $ -- $(.29)
2007 8.33 .79 (.33) (.08) -- .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:
2008(e) 13.08 .80 (1.01) (.22) -- (.43)
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:
2008(e) 13.14 .79 (1.06) (.23) -- (.50)
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:
2008(e) $(.36) $ -- $(.36) $ -- $7.35 $ 7.15
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:
2008(e) (.60) -- (.60) -- 12.05 11.24
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 OPPORTUNITY
(JRO)
------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2008(e) (.62) -- (.62) -- 12.02 11.39
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 borrowings, where applicable.
- With respect to Senior Income (NSL), each ratio includes the effect of
the interest expense paid on borrowings as follows:
Ratio of Interest Expense to Average
Net Assets Applicable to Common Share
-------------------------------------
SENIOR INCOME (NSL)
Year Ended 7/31:
2008(e) 2.51%
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.
(e) For the six months ended January 31, 2008.
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
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
(7.13)% (3.81)% $219,177 4.26%* 9.96%* 4.05%* 10.16%* 23%
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
------------------------------------------------------------------------------------------------------------------
(8.30) (3.54) 570,977 1.65* 11.71* 1.13* 12.24* 19
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
------------------------------------------------------------------------------------------------------------------
(8.12) (4.03) 341,558 1.67* 11.56* 1.18* 12.06* 20
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 $144,118 $103,000 $3,575
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 60,686 -- --
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 60,579 -- --
240,000 25,000 63,892 -- --
240,000 25,000 66,270 -- --
240,000 25,000 66,645 -- --
-- -- -- -- --
------------------------------------------------------------------------------------------------------------------
|
See accompanying notes to financial statements.
45
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.
46
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.
47
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.
48
NOTES
49
NOTES
50
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 twelve-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.
CEO Certification Disclosure
Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange
the annual CEO certification as required by Section 303A.12(a) of the NYSE
Listed Company Manual.
Each Fund has filed with the Securities and Exchange Commission the
certification of its Chief Executive Officer and Chief Financial Officer
required by Section 302 of the Sarbanes-Oxley Act.
Board of Trustees
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Carol E. Stone
Fund Manager
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
Custodian
State Street Bank & Trust Company
Boston, MA
Transfer Agent and
Shareholder Services
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, IL
The Fund intends to repurchase shares of its own common and preferred
stock in the future at such times and in such amounts as is deemed
advisable. No common or preferred shares were repurchased during the
period covered by this report. Any future repurchases will be
reported to shareholders in the next annual or semi-annual report.
51
Nuveen Investments:
SERVING INVESTORS FOR GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past century,
Nuveen Investments has adhered to the belief that the best approach to investing
is to apply conservative risk-management principles to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity and
fixed-income solutions that are integral to a well-diversified core portfolio.
Our clients have come to appreciate this diversity, as well as our continued
adherence to proven, long-term investing principles.
We offer many different investing solutions for our clients' different needs.
Managing $164 billion in assets, as of December 31, 2007, Nuveen Investments
offers access to a number of different asset classes and investing solutions
through a variety of products. Nuveen Investments markets its capabilities under
six distinct brands: Nuveen, a leader in fixed-income investments; NWQ, a leader
in value-style equities; Rittenhouse, a leader in growth-style equities;
Symphony, a leading institutional manager of market-neutral alternative
investment portfolios; Santa Barbara, a leader in growth equities; and
Tradewinds, a leader in global equities.
Find out how we can help you reach your financial goals.
To learn more about the products and services Nuveen Investments offers, talk to
your financial advisor, or call us at (800) 257-8787. Please read the
information provided carefully before you invest.
Be sure to obtain a prospectus, where applicable. Investors should consider the
investment objective and policies, risk considerations, charges and expenses of
the Fund carefully before investing. The prospectus contains this and other
information relevant to an investment in the Fund. For a prospectus, please
contact your securities representative or Nuveen Investments, 333 W. Wacker Dr.,
Chicago, IL 60606. Please read the prospectus carefully before you invest or
send money.
ESA-C-0108D
Learn more about Nuveen Funds at: WWW.NUVEEN.COM/CEF
Share prices
Fund details
Daily financial news
Investor education
Interactive planning tools
|
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the Registrant's Board implemented after the registrant
last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial
officers, or persons performing similar functions, have concluded
that the registrant's disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940, as
amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of
a date within 90 days of the filing date of this report that
includes the disclosure required by this paragraph, based on their
evaluation of the controls and procedures required by Rule 30a-3(b)
under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (the
"Exchange Act")(17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable to
this filing.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Floating Rate Income Opportunity Fund
By (Signature and Title)* /s/ Kevin J. McCarthy
---------------------------------------
Kevin J. McCarthy
Vice President and Secretary
Date: April 9, 2008
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Gifford R. Zimmerman
---------------------------------------
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)
Date: April 9, 2008
By (Signature and Title)* /s/ Stephen D. Foy
---------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: April 9, 2008
|
* Print the name and title of each signing officer under his or her signature.
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