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)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
---------------------
Date of fiscal year end: July 31
-------------------
Date of reporting period: July 31, 2006
-----------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
ANNUAL REPORT JULY 31, 2006
NUVEEN INVESTMENTS
EXCHANGE-TRADED
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
NUVEEN LOGO
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NUVEEN LOGO
(TIMOTHY SCHWERTFEGER PHOTO)
Timothy R. Schwertfeger
Chairman of the Board
CHAIRMAN'S
LETTER TO SHAREHOLDERS
Dear Shareholder:
I am very pleased to report that over the twelve-month period covered by
this report, your Fund continued to provide you with attractive monthly
distributions from a portfolio primarily composed of senior corporate
loans. For more information on your Fund's performance, please read the
Portfolio Managers' Comments, the Distribution and Share Price
Information, and the Performance Overview sections of this report.
Portfolio diversification is a recognized way to try to reduce some of the
risk that comes with investing. Since one part of your portfolio may be
going up when another is going down, portfolio diversification may help
smooth your investment returns over time. In addition to providing regular
monthly income, an investment like your Fund may help you achieve and
benefit from greater portfolio diversification. Your financial advisor can
explain these potential advantages in more detail. I urge you to contact
him or her soon for more information on this important investment
strategy.
"IN ADDITION TO PROVIDING REGULAR MONTHLY INCOME, AN INVESTMENT LIKE YOUR FUND
MAY HELP YOU ACHIEVE AND BENEFIT FROM GREATER PORTFOLIO DIVERSIFICATION."
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. 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.
Sincerely,
(TIMOTHY SCHWERTFEGER SIG)
Timothy R. Schwertfeger
Chairman of the Board
September 12, 2006
Nuveen Investments Exchange-Traded Closed-End Funds (NSL, JFR, JRO)
PORTFOLIO MANAGERS'
COMMENTS
The Funds' investment portfolios are managed by Gunther Stein and Lenny Mason of
Symphony Asset Management, LLC, an affiliate of Nuveen Investments. Gunther and
Lenny have more than 25 years of combined investment management experience, much
of it in evaluating and purchasing senior corporate loans and other high-yield
debt. Here Gunther and Lenny talk about their management strategies and the
performances of the Funds for the twelve month period ended July 31, 2006.
WHAT WERE THE GENERAL ECONOMIC AND MARKET CONDITIONS YOU FACED DURING THIS
ANNUAL REPORTING PERIOD ENDED JULY 31, 2006?
For much of the twelve month period ended July 31, 2006, the loan market
remained governed by one overriding characteristic, strong investor demand
exceeding supply. This strong investor demand was driven by near historic low
default rates, rising interest rates and demand from structured loan vehicles,
resulting in tightening spreads. Nevertheless, in the quarter ended July 31 the
conditions that had been prevalent for so long reversed and selling picked up in
the loan and high yield markets during the latter part of this quarter.
Investors sold loans with spreads under LIBOR +200 (London Interbank Offered
Rate), the demand from non-traditional investors fell and supply exceeded
demand. As loan market conditions reversed, secondary loan prices came down and
new-issue spreads widened. By period end, according to Standard & Poor's loan
index, the average BB/BB- spread reached LIBOR +193 and the average B+/B spread
finished the period at LIBOR +277. However, at the end of the twelve month
period the Credit Suisse loan Index had returned 45 consecutive months of
positive returns.
Despite some volatility in the markets during this period due to inflationary
pressures and rising interest rates, the loan market remained robust. Total loan
volume through the annual period rose steadily. In the quarter ended July 31,
loan volume reached a new record high of $128 billion, up from $116 billion
during the prior quarter. While recent volume data is impressive, it is
important to understand total volume in the context of the record demand that
has been prevalent in the loan market recently.
Though the markets were volatile in the latter part of the period, the Credit
Suisse Leveraged Loan Index, the Credit Suisse BB leveraged loan index, and the
Credit Suisse single-B index all posted positive returns for the 12-month
period. Default rates have been near historic lows over the past two years, as
the economy continued to expand. The default rate in the leveraged loan market
stood at approximately 2% for 2005. In
4
the current credit environment, higher credit quality assets have underperformed
riskier assets.
We believe the reversal in market sentiment that took place during the quarter
ended July 31 could spillover into the coming quarters in the form of more
balanced supply and demand. Although non traditional institutional investors
have recently retreated from the loan market, they appear to be a permanent
segment of the market going forward. The CLO (Collateralized Loan Obligation)
pipeline, while still robust, has declined from record highs. These factors,
combined with continued strong new issuance could better balance supply and
demand.
WHAT WAS YOUR MANAGEMENT STRATEGY DURING THIS TWELVE-MONTH PERIOD?
In the first half of the year we avoided most automotive-related companies even
though many were trading at seemingly attractive high yields. We also avoided
many small loans that support leveraged buyouts, as we felt that market
liquidity could be challenged if the credit experienced any negative events. We
focused on adding high quality new issue loans at par as we did not believe that
paying premiums for loans was prudent in the current environment.
The volatility experienced during the quarter ended July 31 presented new
opportunities in the new-issue market. Recently, we have seen an increase in new
deals with attractive pricing, solid collateral and tighter covenants. A
combination of these characteristics had been less prevalent recently in a
strong market environment.
During the twelve-month period, we also continued to avoid the vast majority of
second lien loans. At current trading levels, we did not believe that most
second lien loans compensated investors for the extra risk these credits pose
over a credit cycle. Should the economy weaken, we believe that second lien
loans could see significant downside from current levels.
Overall, we continue to view the leveraged loan market favorably with near
historic low default rates, improved market liquidity and new companies coming
to market. Strong investor demand, however has allowed many deals to be
structured with aggressive leverage levels. We do not feel that now is the
appropriate time to be reaching for yield or be involved with what we consider
to be marginal credits. We continue to position
5
the portfolio in a defensive manner, avoiding credits we feel are too
aggressively leveraged or do not have a strong credit profile.
HOW DID THE FUNDS PERFORM?
The performance of each Fund over the twelve-month period ended July 31, 2006,
as well as the performance of a comparative index, is shown below.
TOTAL RETURN ON NET ASSET VALUE*
For the periods ended July 31, 2006
1-YEAR 5-YEAR
----------------------------------------------------------------------------
NSL 5.78% 8.15%
----------------------------------------------------------------------------
JFR 5.72% --
----------------------------------------------------------------------------
JRO 6.60% --
----------------------------------------------------------------------------
CSFB Leveraged Loan
Index(1) 6.40% 6.29%
----------------------------------------------------------------------------
--------------------------------------------------------------------------------
1 The CSFB Leveraged Loan Index
is an unmanaged, unleveraged
index consisting of approximately $150 billion of tradable term loans with at
least one year to maturity, and rated BBB or lower. The Index does not reflect
the expenses of investing or other fund expenses.
--------------------------------------------------------------------------------
* Annualized.
The data shown represents past performance which is no guarantee of future
results. Current performance may be higher or lower than the data shown. Returns
do not reflect the deduction of taxes that a shareholder may have to pay on Fund
distributions or upon the sale of Fund shares. For more information, please see
the individual Fund Performance Overview pages in this report.
Over the 12-month reporting period, the returns of NSL and JFR underperformed
the CSFB Leveraged Loan Index and the returns of JRO outperformed the Index.
All three Funds' benefited over this period from the strong performance of their
holdings in Federal Mogul, a global supplier of automotive components. The
Federal Mogul term loan traded up during the period due to the expectation that
the company will emerge out of bankruptcy soon. Steady operations and financial
results have showed progress in the company's Chapter 11 emergence.
NSL also benefited from its position in Dobson, a diversified telecommunication
company. The company reported solid first quarter EBITDA resulting from net
subscriber growth due to improved churn and expects net subscriber additions
above high end of guidance for the second quarter. During the quarter the
company also tendered for its more expensive LIBOR +475 1st priority senior
secured floating-rate notes due 2011 via a $250mm add-on to existing 8.375%
senior secured notes due 2011.
In JFR, the portfolio's position in Avago Technologies benefited performance as
the company substantially deleveraged through asset sales and has also shown
strong results in its core operations. The floating rate notes traded up as a
result.
6
While very few portfolio positions experienced volatility during the annual
period, each Fund had holdings that constrained performance over this
twelve-month reporting period. In NSL, an issuer that experienced volatility
was:
Century Cable: The Century loan moved lower on speculation that the unsecured
creditors litigation surrounding the Adelphia bankruptcy would structure Century
creditor recovery such that it would be unfavorable to the loans. The form of
the restructuring is still being negotiated.
In JFR's portfolio, issuers that constrained performance were:
Hovnanian: Hovnanian, a national homebuilder, was impacted by a decrease in new
home orders and investor concern about a severe slowdown in homebuilding
activity. This concern has been caused by increasing mortgage rates and a
slowdown in new home orders. Investors will remain cautious until the
homebuilding sector demonstrates stability in new home orders.
Georgia Pacific: Georgia Pacific was acquired by Koch Industries. The bonds of
the company traded down after the announcement of the leveraged buyout.
7
DISTRIBUTION AND SHARE PRICE
INFORMATION
Each of these Funds uses financial leverage in an effort to enhance its
dividend-paying capabilities. While this strategy adds volatility to a Fund's
net asset value (NAV) and share price, it generally works to enhance the amount
of income a Fund has to distribute to its common shareholders, as long as the
dividend rates the Fund pays to its preferred shareholders are less than the
interest rates the Fund receives from its portfolio of loans.
Since each of these Funds invests in adjustable rate loans, their income streams
typically can be expected to rise or fall over time to reflect the movement of
shorter-term interest rates. These rates generally were rising over this
twelve-month reporting period ended July 31, 2006, and this led to one monthly
dividend increase in NSL and four monthly dividend increases in both JFR and
JRO.
All of these Funds seek to pay dividends at rates that reflect each Fund's past
results, and projected future performance. During certain periods, each Fund may
pay dividends at a rate that may be more or less than the amount of net
investment income actually earned by the Fund during the period. If a Fund has
cumulatively earned more than it has paid in dividends, it holds the excess in
reserve as undistributed net investment income (UNII), which is part of the
Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of
its earnings, the excess constitutes negative UNII that is likewise reflected in
the Fund's NAV. Each Fund will, over time, pay all of its net investment income
as dividends to shareholders. As of July 31, 2006, NSL and JRO had a positive
UNII balance for both financial statement and tax purposes. JFR had a negative
UNII balance for financial statement purposes and a positive UNII balance for
tax purposes.
As of July 31, 2006, NSL, JFR and JRO all traded at discounts to their NAVs, as
shown below.
7/31/06 12-MONTH AVERAGE
DISCOUNT DISCOUNT
-------------------------------------------------------------------------------
NSL -2.16% -3.35%
-------------------------------------------------------------------------------
JFR -5.40% -7.69%
-------------------------------------------------------------------------------
JRO -4.66% -7.53%
-------------------------------------------------------------------------------
8
Nuveen Senior Income Fund
NSL
PERFORMANCE
OVERVIEW As of July 31, 2006
PORTFOLIO ALLOCATION
(as a % of total investments)
-------------------------------------------------------------------------------------
Variable Rate Senior Loan Interests 89.7%
-------------------------------------------------------------------------------------
Corporate Bonds 5.7%
-------------------------------------------------------------------------------------
Short-Term Investments 4.2%
-------------------------------------------------------------------------------------
Other 0.4%
-------------------------------------------------------------------------------------
Bar Chart:
2005-2006 MONTHLY DIVIDENDS PER SHARE
Aug 0.051
Sep 0.051
Oct 0.051
Nov 0.051
Dec 0.051
Jan 0.051
Feb 0.051
Mar 0.0535
Apr 0.0535
May 0.0535
Jun 0.0535
Jul 0.0535
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
8/01/05 8.95
8.98
8.87
8.71
8.69
8.67
8.80
8.60
8.24
8.29
8.23
8.06
7.97
8.03
8.06
7.95
7.85
7.71
7.70
7.75
7.67
7.61
7.74
7.96
8.06
7.96
8.05
8.07
8.09
8.03
7.97
8.01
8.09
8.25
8.46
8.41
8.33
7.99
8.00
8.04
8.13
7.87
7.87
8.06
8.09
8.06
8.03
8.10
8.06
8.06
8.13
8.12
8.14
7/31/06 8.15
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $8.15
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $8.33
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -2.16%
-------------------------------------------------------------------------------------
Latest Dividend $0.0535
-------------------------------------------------------------------------------------
Market Yield 7.88%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $248,271
-------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 10/26/99)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
1-Year -1.87% 5.78%
-------------------------------------------------------------------------------------
5-Year 3.23% 8.15%
-------------------------------------------------------------------------------------
Since
Inception 5.06% 6.38%
-------------------------------------------------------------------------------------
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 18.0%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 10.8%
-------------------------------------------------------------------------------------
Health Care Providers & Services 7.5%
-------------------------------------------------------------------------------------
Auto Components 5.1%
-------------------------------------------------------------------------------------
Building Products 3.8%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 3.8%
-------------------------------------------------------------------------------------
Paper & Forest Products 3.7%
-------------------------------------------------------------------------------------
Chemicals 3.7%
-------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 3.4%
-------------------------------------------------------------------------------------
Real Estate Management & Development 3.0%
-------------------------------------------------------------------------------------
Household Durables 2.8%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 2.7%
-------------------------------------------------------------------------------------
Containers & Packaging 2.6%
-------------------------------------------------------------------------------------
Specialty Retail 2.5%
-------------------------------------------------------------------------------------
Textiles Apparel & Luxury Goods 2.2%
-------------------------------------------------------------------------------------
IT Services 1.8%
-------------------------------------------------------------------------------------
Machinery 1.8%
-------------------------------------------------------------------------------------
Wireless Telecommunication Services 1.7%
-------------------------------------------------------------------------------------
Short-Term Investments 4.2%
-------------------------------------------------------------------------------------
Other 14.9%
-------------------------------------------------------------------------------------
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
-------------------------------------------------------------------------------------
Stile Acquisition Corporation 2.4%
-------------------------------------------------------------------------------------
Federal-Mogul Corporation 2.4%
-------------------------------------------------------------------------------------
Century Cable Holdings, LLC 2.3%
-------------------------------------------------------------------------------------
Primedia Inc. 2.1%
-------------------------------------------------------------------------------------
Graham Packaging Company, L.P. 2.0%
-------------------------------------------------------------------------------------
9
Nuveen Floating Rate Income Fund
JFR
PERFORMANCE
OVERVIEW As of July 31, 2006
PORTFOLIO ALLOCATION
(as a % of total investments)
-------------------------------------------------------------------------------------
Variable Rate Senior Loan Interests 86.3%
-------------------------------------------------------------------------------------
Corporate Bonds 9.5%
-------------------------------------------------------------------------------------
Short-Term Investments 4.1%
-------------------------------------------------------------------------------------
Other 0.1%
-------------------------------------------------------------------------------------
Bar Chart:
2005-2006 MONTHLY DIVIDENDS PER SHARE
Aug 0.076
Sep 0.079
Oct 0.079
Nov 0.079
Dec 0.082
Jan 0.082
Feb 0.082
Mar 0.085
Apr 0.085
May 0.085
Jun 0.09
Jul 0.09
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
8/01/05 13.69
13.61
13.40
13.40
13.33
13.43
13.45
13.36
13.07
13.07
13.10
12.73
12.46
12.71
12.63
12.47
12.33
12.28
12.34
12.64
12.33
12.36
12.59
12.83
12.95
12.78
12.86
12.95
13.02
13.03
12.88
13.09
13.19
13.10
13.18
13.05
13.12
12.95
12.85
12.97
13.03
12.90
12.92
12.94
13.07
13.09
13.04
13.14
13.06
13.06
13.13
13.06
13.16
7/31/06 13.15
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $13.15
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $13.90
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -5.40%
-------------------------------------------------------------------------------------
Latest Dividend $0.0900
-------------------------------------------------------------------------------------
Market Yield 8.21%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $657,517
-------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/25/04)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
1-Year 3.70% 5.72%
-------------------------------------------------------------------------------------
Since
Inception 0.87% 5.02%
-------------------------------------------------------------------------------------
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 20.5%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 10.6%
-------------------------------------------------------------------------------------
Chemicals 6.5%
-------------------------------------------------------------------------------------
Health Care Providers & Services 6.0%
-------------------------------------------------------------------------------------
Real Estate Management & Development 4.1%
-------------------------------------------------------------------------------------
IT Services 4.0%
-------------------------------------------------------------------------------------
Paper & Forest Products 3.7%
-------------------------------------------------------------------------------------
Building Products 3.3%
-------------------------------------------------------------------------------------
Containers & Packaging 2.9%
-------------------------------------------------------------------------------------
Household Durables 2.9%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 2.8%
-------------------------------------------------------------------------------------
Auto Components 2.5%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 2.3%
-------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 2.0%
-------------------------------------------------------------------------------------
Food & Staples Retailing 1.6%
-------------------------------------------------------------------------------------
Insurance 1.6%
-------------------------------------------------------------------------------------
Specialty Retail 1.4%
-------------------------------------------------------------------------------------
Trading Companies & Distributors 1.2%
-------------------------------------------------------------------------------------
Multi-Utilities 1.2%
-------------------------------------------------------------------------------------
Short-Term Investments 4.1%
-------------------------------------------------------------------------------------
Other 14.8%
-------------------------------------------------------------------------------------
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
-------------------------------------------------------------------------------------
Charter Communications Inc. 2.5%
-------------------------------------------------------------------------------------
Metro-Goldwyn-Mayer Studios, Inc. 2.4%
-------------------------------------------------------------------------------------
Century Cable Holdings, LLC 2.3%
-------------------------------------------------------------------------------------
Georgia Pacific Corporation 2.2%
-------------------------------------------------------------------------------------
Graham Packaging Company, L.P. 2.0%
-------------------------------------------------------------------------------------
10
Nuveen Floating Rate Income Opportunity Fund
JRO
PERFORMANCE
OVERVIEW As of July 31, 2006
PORTFOLIO ALLOCATION
(as a % of total investments)
--------------------------------------------------------------------------------------
Variable Rate Senior Loan Interests 85.3%
--------------------------------------------------------------------------------------
Corporate Bonds 11.2%
--------------------------------------------------------------------------------------
Short-Term Investments 3%
--------------------------------------------------------------------------------------
Other 0.5%
--------------------------------------------------------------------------------------
Bar Chart:
2005-2006 MONTHLY DIVIDENDS PER SHARE
Aug 0.076
Sep 0.08
Oct 0.08
Nov 0.08
Dec 0.085
Jan 0.085
Feb 0.085
Mar 0.09
Apr 0.09
May 0.09
Jun 0.095
Jul 0.095
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
8/1/05 13.46
13.34
13.20
13.14
12.95
13.09
13.20
13.06
12.77
12.98
12.81
12.65
12.47
12.67
12.67
12.54
12.21
12.25
12.33
12.58
12.41
12.42
12.49
12.73
12.87
12.80
12.88
12.83
12.94
13.05
13.09
13.20
13.28
13.27
13.31
13.26
13.28
13.05
12.89
13.16
13.17
13.11
13.14
13.15
13.35
13.37
13.36
13.31
13.30
13.38
13.38
13.32
13.32
7/31/06 13.30
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $13.30
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $13.95
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -4.66%
-------------------------------------------------------------------------------------
Latest Dividend $0.0950
-------------------------------------------------------------------------------------
Market Yield 8.57%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $396,195
-------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 7/27/04)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
1-Year 7.32% 6.60%
-------------------------------------------------------------------------------------
Since
Inception 0.93% 5.38%
-------------------------------------------------------------------------------------
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 19.2%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 7.4%
-------------------------------------------------------------------------------------
Health Care Providers & Services 6.9%
-------------------------------------------------------------------------------------
Diversified
Telecommunication Services 6.4%
-------------------------------------------------------------------------------------
Chemicals 4.2%
-------------------------------------------------------------------------------------
Real Estate Management & Development 4.0%
-------------------------------------------------------------------------------------
Paper & Forest Products 3.9%
-------------------------------------------------------------------------------------
IT Services 3.7%
-------------------------------------------------------------------------------------
Containers & Packaging 3.3%
-------------------------------------------------------------------------------------
Building Products 3.2%
-------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 2.7%
-------------------------------------------------------------------------------------
Food & Staples Retailing 2.6%
-------------------------------------------------------------------------------------
Auto Components 2.2%
-------------------------------------------------------------------------------------
Specialty Retail 2.2%
-------------------------------------------------------------------------------------
Household Durables 2.1%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 2.0%
-------------------------------------------------------------------------------------
Textiles Apparel & Luxury Goods 2.0%
-------------------------------------------------------------------------------------
Trading Companies & Distributors 1.9%
-------------------------------------------------------------------------------------
Aerospace & Defense 1.6%
-------------------------------------------------------------------------------------
Household Products 1.5%
-------------------------------------------------------------------------------------
Short-Term Investments 3.0%
-------------------------------------------------------------------------------------
Other 14.0%
-------------------------------------------------------------------------------------
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
-------------------------------------------------------------------------------------
Cablevision Systems Corporation 3.0%
-------------------------------------------------------------------------------------
Century Cable Holdings, LLC 2.5%
-------------------------------------------------------------------------------------
El Paso Corporation 2.4%
-------------------------------------------------------------------------------------
Vanguard Health Holding Company, LLC 2.3%
-------------------------------------------------------------------------------------
Graham Packaging Company, L.P. 2.3%
-------------------------------------------------------------------------------------
11
Report of
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
NUVEEN SENIOR INCOME FUND
NUVEEN FLOATING RATE INCOME FUND
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Nuveen Senior Income Fund, Nuveen Floating
Rate Income Fund and Nuveen Floating Rate Income Opportunity Fund (the "Funds"),
as of July 31, 2006, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, cash flows for the year then ended, and the financial
highlights for each of the periods after July 31, 2003. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The financial
highlights of the Nuveen Senior Income Fund for each of the two years in the
period ended July 31, 2003 were audited by other auditors whose report dated
September 18, 2003, expressed an unqualified opinion on those financial
highlights.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Funds' internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Funds' internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of July 31, 2006, by correspondence with the custodian,
selling or agent banks and brokers or by other appropriate auditing procedures
where replies from selling or agent banks or brokers were not received. We
believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial positions of
Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund and Nuveen Floating
Rate Income Opportunity Fund at July 31, 2006, the results of their operations
for the year then ended, the changes in their net assets for each of the two
years in the period then ended, cash flows for the year then ended, and the
financial highlights for each of the periods after July 31, 2003 in conformity
with U.S. generally accepted accounting principles.
/s/ ERNST & YOUNG LLP
Chicago, Illinois
September 21, 2006
12
Nuveen Senior Income Fund (NSL)
Portfolio of
INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 144.7% (89.7% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 2.4% (1.5% OF TOTAL INVESTMENTS)
$ 2,970 Mid-Western Aircraft Systems Inc., Term Loan B 7.748% 12/31/11 B1 $ 2,985,964
2,420 Vought Aircraft Industries, Inc., Term Loan 8.000% 12/22/11 B+ 2,441,067
545 Vought Aircraft Industries, Inc., Tranche B, 7.834% 12/22/10 B+ 548,864
Letter of Credit
----------------------------------------------------------------------------------------------------------------------------------
5,935 Total Aerospace & Defense 5,975,895
----------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 2.4% (1.5% OF TOTAL INVESTMENTS)
750 United Air Lines Inc., Delayed Draw Term Loan 9.188% 2/01/12 B+ 759,453
5,250 United Air Lines Inc., Term Loan B 8.625% 2/12/12 B+ 5,316,171
----------------------------------------------------------------------------------------------------------------------------------
6,000 Total Airlines 6,075,624
----------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 8.2% (5.1% OF TOTAL INVESTMENTS)
1,000 Dana Corporation, DIP Term Loan B 7.650% 3/30/08 B3 1,001,979
4,224 Federal-Mogul Corporation, Term Loan A, (7) 7.650% 2/24/04 N/R 4,135,600
5,551 Federal-Mogul Corporation, Term Loan B, (7) 7.900% 2/24/05 N/R 5,450,118
1,874 Gen Tek Inc., Term Loan B 7.560% 12/31/10 B2 1,886,945
2,000 Goodyear Tire & Rubber Company, Second Lien Term 7.954% 4/30/10 B2 2,011,458
Loan
1,000 Goodyear Tire & Rubber Company, Term Loan 3.764% 4/30/10 B1 1,002,054
1,755 Metalforming Technologies, Inc., Term Loan A, (7) 0.000% 9/30/07 N/R 333,446
(8)
683 Metalforming Technologies, Inc., Term Loan B, 0.000% 9/30/07 N/R 129,681
(PIK) (7) (8)
3,042 Tenneco Automotive Inc., Term Loan B 7.190% 12/12/10 BB- 3,064,989
1,336 Tenneco Automotive Inc., Term Loan B-1 7.402% 12/12/10 BB- 1,346,395
----------------------------------------------------------------------------------------------------------------------------------
22,465 Total Auto Components 20,362,665
----------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 6.1% (3.8% OF TOTAL INVESTMENTS)
109 Atrium Companies Inc., Delayed Term Loan, (5) 0.750% 12/21/06 B 137
891 Atrium Companies Inc., Term Loan 8.220% 5/31/12 B 891,701
2,553 Euramax Holdings Inc., Term Loan 8.063% 6/21/12 B2 2,568,078
1,965 Nortek, Inc., Term Loan B 7.400% 8/27/11 B 1,962,237
5,000 Stile Acquisition Corporation, Canadian Bridge 11.000% 10/06/15 B2 4,783,333
Loan
2,467 Stile Acquisition Corporation, Canadian Term Loan 7.490% 4/05/13 B2 2,422,822
2,471 Stile Acquisition Corporation, Term Loan B 7.490% 4/05/13 B2 2,426,949
----------------------------------------------------------------------------------------------------------------------------------
15,456 Total Building Products 15,055,257
----------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,995 Ameritrade Holdings Corporation, Term Loan 6.900% 12/31/12 BB 1,992,506
----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 5.1% (3.2% OF TOTAL INVESTMENTS)
2,250 Celanese Holdings LLC, Term Loan B 7.499% 4/06/11 B+ 2,257,271
1,007 Huntsman International LLC, Term Loan 7.150% 8/16/12 BB- 1,003,179
1,995 ISP Chemco Inc., Term Loan 7.070% 2/16/13 BB- 1,997,138
3,950 Mosaic Company, Term Loan 6.989% 2/21/12 Ba2 3,951,236
1,970 Rockwood Specialties Group, Inc., Term Loan E 7.485% 7/30/12 B+ 1,976,567
1,500 Wellman Inc., First Lien Term Loan 9.149% 2/10/09 B+ 1,505,860
----------------------------------------------------------------------------------------------------------------------------------
12,672 Total Chemicals 12,691,251
----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 4.3% (2.7% OF TOTAL INVESTMENTS)
2,550 Acco Brands, Term Loan B 7.120% 8/17/12 BB- 2,551,594
1,472 Allied Waste North America, Inc., Letter of Credit 7.084% 1/15/12 B1 1,466,256
3,790 Allied Waste North America, Inc., Term Loan B 7.150% 1/15/12 B1 3,776,853
2,000 Williams Scotsman, Inc., Term Loan B 6.626% 6/28/10 B2 2,005,417
975 Workflow Management, Inc., Term Loan 9.459% 11/30/11 B2 983,531
----------------------------------------------------------------------------------------------------------------------------------
10,787 Total Commercial Services & Supplies 10,783,651
----------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 IPC Acquisition Corporation Second Lien Term Loan, 12.520% 8/05/12 B- 2,029,583
WI/DD
----------------------------------------------------------------------------------------------------------------------------------
13
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING - 0.7% (0.4% OF TOTAL INVESTMENTS)
$ 1,699 Maxim Crane Works, Term Loan 7.437% 2/23/10 B- $ 1,704,748
----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 4.2% (2.6% OF TOTAL INVESTMENTS)
4,925 Graham Packaging Company, L.P., Term Loan B 7.813% 10/07/11 B 4,944,496
2,857 Graham Packaging Company, L.P., Term Loan C 9.750% 4/07/12 CCC+ 2,900,000
437 Smurfit-Stone Container Corporation, 7.584% 11/01/10 B+ 439,167
Deposit-Funded Commitment
1,305 Smurfit-Stone Container Corporation, Term Loan B 7.590% 11/01/11 B+ 1,312,462
536 Smurfit-Stone Container Corporation, Term Loan C 7.540% 11/01/11 B+ 538,719
192 Smurfit-Stone Container Corporation, Tranche C-1 7.625% 11/01/11 B+ 192,672
----------------------------------------------------------------------------------------------------------------------------------
10,252 Total Containers & Packaging 10,327,516
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.8% (3.0% OF TOTAL INVESTMENTS)
2,000 Cebridge III LLC., Term Loan B 7.739% 11/05/13 B+ 1,989,464
1,975 Intelsat Limited, Term Loan 7.758% 7/01/13 B1 1,983,229
2,000 Level 3 Communications Incorporated, Term Loan 8.413% 12/16/11 Caa1 2,003,333
800 Qwest Corporation, Term Loan A 12.000% 6/30/07 Ba3 814,300
5,000 Qwest Corporation, Term Loan B 6.950% 6/30/10 Ba3 4,973,960
5,000 WCI Capital Corporation, Term Loan B, (7) (8) 0.000% 9/30/07 N/R 147,918
----------------------------------------------------------------------------------------------------------------------------------
16,775 Total Diversified Telecommunication Services 11,912,204
----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.4% (0.1% OF TOTAL INVESTMENTS)
178 Astoria Generating Company, Letter of Credit 7.450% 2/23/11 N/R 178,093
753 Astoria Generating Company, Term Loan B 7.450% 2/23/13 B1 755,161
----------------------------------------------------------------------------------------------------------------------------------
931 Total Electric Utilities 933,254
----------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.6% (1.0% OF TOTAL INVESTMENTS)
2,274 Mueller Group, Inc., Term Loan 7.650% 10/03/12 B+ 2,287,769
1,583 Sensus Metering Systems Inc., Term Loan B-1 7.239% 12/17/10 B2 1,586,565
210 Sensus Metering Systems Inc., Term Loan B-2 7.500% 12/17/10 B2 210,743
----------------------------------------------------------------------------------------------------------------------------------
4,067 Total Electrical Equipment 4,085,077
----------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Sensata Technologies B.V., Term Loan 7.240% 4/27/13 B1 1,991,607
----------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 2.4% (1.5% OF TOTAL INVESTMENTS)
465 Dole Foods Company Inc., Deposit-Funded Commitment 5.370% 4/12/13 BB- 456,185
1,044 Dole Foods Company Inc., Term Loan B 7.170% 4/12/13 BB- 1,023,851
3,480 Dole Foods Company Inc., Term Loan C 7.200% 4/12/13 B+ 3,412,836
975 Michael Foods, Inc., Term Loan B 7.514% 11/21/10 B+ 978,299
----------------------------------------------------------------------------------------------------------------------------------
5,964 Total Food Products 5,871,171
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 12.0% (7.5% OF TOTAL INVESTMENTS)
5,335 Community Health Systems, Inc., Term Loan 6.970% 8/19/11 BB- 5,342,479
4,696 Davita Inc., Term Loan B 7.440% 10/05/12 B1 4,710,755
1,995 Fresenius Medical Care AG & Co. KGaA, Term Loan 6.850% 3/31/13 BB 1,979,900
2,000 HealthSouth Corporation, Term Loan 8.520% 3/10/13 B2 1,998,889
1,960 IASIS Healthcare LLC, Term Loan B 7.730% 6/22/11 B+ 1,972,250
3,970 LifeCare Holdings Inc., Term Loan B 7.650% 8/11/12 B 3,791,350
2,154 Psychiatric Solutions Inc., Term Loan B 6.910% 7/01/12 B+ 2,155,192
2,963 Select Medical Corporation, Term Loan 6.940% 2/24/12 B1 2,925,839
4,933 Vanguard Health Holding Company, LLC, Replacement 7.870% 9/23/11 B 4,958,511
Term Loan
----------------------------------------------------------------------------------------------------------------------------------
30,006 Total Health Care Providers & Services 29,835,165
----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 16.5% (10.2% OF TOTAL INVESTMENTS)
4,988 24 Hour Fitness Worldwide, Inc., Term Loan B 8.050% 6/08/12 B 5,018,672
1,802 Ameristar Casinos, Inc., Term Loan B 6.727% 11/10/12 Ba3 1,807,929
3,960 CCM Merger, Inc., Term Loan B 7.420% 7/13/12 B 3,951,597
122 Cracker Barrel, Term B-2 Delayed Draw, (5) (10) 0.750% 4/28/13 BB (877)
876 Cracker Barrel, Term Loan B-1 6.630% 4/28/13 BB 871,460
1,970 Isle of Capri Casinos, Inc., Term Loan 7.170% 2/04/11 BB- 1,971,724
4,373 Jack in the Box Inc., Term Loan 6.843% 1/08/11 BB 4,393,679
7,974 OpBiz, LLC, Term Loan A 8.508% 8/31/10 B- 7,720,568
21 OpBiz, LLC, Term Loan B, (PIK) 8.990% 8/31/10 B- 20,568
3,970 Penn National Gaming, Inc., Term Loan B 7.130% 10/03/12 BB 3,984,391
2,000 Pinnacle Entertainment Inc., Term Loan 7.400% 12/14/11 B1 2,006,563
1,000 Quiznos Sub, Term Loan C 11.259% 11/05/13 Caa1 1,015,625
14
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE (continued)
$ 1,949 Resorts International Hotel and Casino Inc., Term 9.500% 4/26/12 CCC+ $ 1,964,425
Loan B
3,634 Resorts International Hotel and Casino Inc., Term 16.499% 3/31/13 CCC- 3,784,502
Loan C
427 Venetian Casino Resort, LLC, Delayed Term Loan 7.250% 6/15/11 BB- 427,384
2,073 Venetian Casino Resort, LLC, Term Loan 7.250% 6/15/11 BB- 2,072,811
----------------------------------------------------------------------------------------------------------------------------------
41,139 Total Hotels, Restaurants & Leisure 41,011,021
----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 4.5% (2.8% OF TOTAL INVESTMENTS)
5,000 Armstrong Holdings Inc., Revolver, (7) (8) 0.000% 7/31/06 N/R 3,385,000
3,233 Sealy Mattress Company, Term Loan D 7.110% 4/06/12 BB- 3,238,807
4,500 Shea Homes Inc., Term Loan 7.490% 10/27/11 BB- 4,483,125
----------------------------------------------------------------------------------------------------------------------------------
12,733 Total Household Durables 11,106,932
----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.6% (1.0% OF TOTAL INVESTMENTS)
1,955 Prestige Brands, Inc., Term Loan B 7.230% 4/06/11 B+ 1,961,516
2,000 Spectrum Brands, Term Loan 8.334% 2/07/12 B- 2,002,500
----------------------------------------------------------------------------------------------------------------------------------
3,955 Total Household Products 3,964,016
----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.4% (0.1% OF TOTAL INVESTMENTS)
520 Covanta Energy Corporation, Letter of Credit 7.710% 6/24/12 B+ 523,252
373 Covanta Energy Corporation, Tranche C 7.700% 6/24/12 B- 374,963
----------------------------------------------------------------------------------------------------------------------------------
893 Total Independent Power Producers & Energy Traders 898,215
----------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.4% (1.5% OF TOTAL INVESTMENTS)
5,989 Conseco, Inc., Term Loan 7.119% 6/22/10 BB- 6,003,180
----------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 3.0% (1.8% OF TOTAL INVESTMENTS)
2,359 Fidelity National Information Services, Term Loan 7.099% 3/09/13 BB+ 2,362,127
B
4,950 SunGard Data Systems Inc., Term Loan B 7.660% 2/11/13 B+ 4,977,844
----------------------------------------------------------------------------------------------------------------------------------
7,309 Total IT Services 7,339,971
----------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.2% (0.7% OF TOTAL INVESTMENTS)
3,000 Bombardier Recreational Products, Term Loan 8.240% 6/07/13 B1 2,998,125
----------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 2.9% (1.8% OF TOTAL INVESTMENTS)
760 Dresser-Rand Group, Inc., Term Loan 7.270% 10/10/10 B+ 766,771
5,000 Navistar International Corporation, Bridge Loan, 9.255% 1/22/09 N/R 4,398,867
(5)
2,000 Rexnord Corporation, Term Loan 8.062% 7/19/13 B+ 2,006,875
----------------------------------------------------------------------------------------------------------------------------------
7,760 Total Machinery 7,172,513
----------------------------------------------------------------------------------------------------------------------------------
MEDIA - 26.2% (16.3% OF TOTAL INVESTMENTS)
4,500 American Media Operations, Inc., Term Loan 8.120% 1/30/13 B 4,541,063
1,405 Blockbuster, Inc., Term Loan A, WI/DD 8.870% 8/20/09 B- 1,403,571
1,839 Blockbuster, Inc., Term Loan B 9.220% 8/20/11 B- 1,845,127
4,988 Cablevision Systems Corporation, Incremental Term 7.030% 3/29/13 Ba3 4,963,642
Loan
6,000 Century Cable Holdings, LLC, Discretionary Term 9.250% 12/31/09 N/R 5,758,749
Loan, (7)
1,640 Century Cable Holdings, LLC, Revolver, (7) (9) 9.250% 10/25/10 N/R 1,556,395
2,000 Century Cable Holdings, LLC, Revolver, (7) (9) 9.250% 10/25/10 N/R 1,898,043
4,906 Charter Communications Inc., Term Loan 8.125% 4/28/13 B 4,919,569
2,222 Dex Media East LLC, Term Loan B 6.770% 11/10/08 BB 2,212,622
4,074 Dex Media West, LLC, Term Loan B 6.800% 3/09/10 BB 4,055,956
576 Emmis Operating Company, Term Loan 7.140% 11/10/11 B+ 577,495
498 Gray Television Inc., Incremental Term Loan 7.000% 5/22/13 BB- 497,915
1,493 Gray Television, Inc., Term Loan B 7.010% 11/22/12 BB- 1,493,744
4,988 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 7.749% 4/08/12 B+ 5,001,789
2,000 Philadelphia Newspapers, Term Loan 8.090% 6/29/13 B 2,007,500
5,940 Primedia Inc., Term Loan 7.625% 9/30/13 N/R 5,865,008
4,304 R. H. Donnelley Inc., Tranche D 6.900% 6/30/11 Ba3 4,276,779
4,621 Regal Cinemas Corporation, Term Loan 7.240% 11/10/10 BB- 4,601,856
1,713 Sun Media Corporation, Term Loan B 7.235% 2/07/09 BB 1,711,895
1,500 UPC Broadband Holding BV, Term Loan J2 7.640% 3/29/13 B 1,498,607
1,500 UPC Broadband Holding BV, Term Loan K2 7.640% 12/31/13 B 1,498,607
2,926 WMG Acquisition Corp., Term Loan 7.310% 2/28/11 B+ 2,936,551
----------------------------------------------------------------------------------------------------------------------------------
65,633 Total Media 65,122,483
----------------------------------------------------------------------------------------------------------------------------------
15
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.0% (0.7% OF TOTAL INVESTMENTS)
$ 1,876 Amsted Industries Incorporated, Delayed Term Loan, 2.000% 4/05/11 B1 $ (18,761)
(5) (10)
2,610 Amsted Industries Incorporated, Term Loan 7.460% 4/05/13 B1 2,625,224
----------------------------------------------------------------------------------------------------------------------------------
4,486 Total Metals & Mining 2,606,463
----------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 0.6% (0.4% OF TOTAL INVESTMENTS)
1,496 Sears Canada Inc., Term Loan 7.249% 12/22/12 BB+ 1,499,055
----------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 1.6% (1.0% OF TOTAL INVESTMENTS)
743 NRG Energy Inc., Credit-Linked Deposit 7.499% 2/01/13 BB- 744,927
3,249 NRG Energy Inc., Term Loan 7.231% 2/01/13 BB- 3,262,235
----------------------------------------------------------------------------------------------------------------------------------
3,992 Total Multi-Utilities 4,007,162
----------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 5.5% (3.4% OF TOTAL INVESTMENTS)
3,980 Citgo Petroleum Corporation, Term Loan 6.695% 11/15/12 Ba1 3,983,980
800 Coffeyville Resources LLC, Letter of Credit 8.000% 7/08/11 B1 804,750
1,188 Coffeyville Resources LLC, Term Loan B 7.940% 7/08/12 B1 1,195,099
1,125 El Paso Corporation, Deposit-Funded Commitment 8.844% 11/23/09 B+ 1,128,445
1,000 El Paso Corporation, Letter of Credit, WI/DD TBD TBD B+ 1,005,625
1,448 El Paso Corporation, Term Loan 8.250% 11/23/09 B+ 1,452,476
774 Targa Resources Inc., Synthetic Letter of Credit 7.624% 10/31/12 B+ 776,474
3,202 Targa Resources Inc., Term Loan B 7.390% 10/31/12 B+ 3,211,045
----------------------------------------------------------------------------------------------------------------------------------
13,517 Total Oil, Gas & Consumable Fuels 13,557,894
----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 5.2% (3.2% OF TOTAL INVESTMENTS)
461 Bluegrass Container Company, LLC, Delayed Draw, 0.000% 6/30/13 Ba3 2,447
1st Lien, (5)
485 Bluegrass Container Company, LLC, Delayed Draw, 0.000% 12/31/13 BB- 491,515
2nd Lien, WI/DD
1,539 Bluegrass Container Company, LLC, Term Loan B 7.650% 6/30/13 BB- 1,547,570
1,515 Bluegrass Container Company, LLC, Term Loan, 2nd 10.400% 12/31/13 B- 1,535,985
Lien, WI/DD
1,034 Boise Cascade Corporation, Term Loan D 7.199% 3/29/11 Ba3 1,036,654
3,980 Georgia-Pacific Corporation, Term Loan B 7.350% 12/20/12 BB- 3,980,147
2,000 Georgia-Pacific Corporation, Term Loan C 8.300% 12/23/13 B+ 2,019,732
2,322 NewPage Corporation, Term Loan B 8.499% 5/02/11 B 2,339,764
----------------------------------------------------------------------------------------------------------------------------------
13,336 Total Paper & Forest Products 12,953,814
----------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,975 Talecris Biotherapeutics Inc., Term Loan B 8.440% 4/01/11 N/R 1,975,000
----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 4.8% (3.0% OF TOTAL INVESTMENTS)
3,907 Capital Automotive LP., Term Loan 7.100% 12/16/10 BB+ 3,911,487
420 Lion Gables, Term Loan 7.100% 9/30/06 Ba2 420,213
3,500 LNR Property Corporation, Term Loan B 8.110% 7/12/11 B2 3,521,147
3,000 Trizec Properties Inc., Bridge Loan 6.775% 5/02/07 Ba2 2,998,595
972 United Components, Inc., Term Loan 7.410% 6/30/12 B2 976,372
----------------------------------------------------------------------------------------------------------------------------------
11,799 Total Real Estate Management & Development 11,827,814
----------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 4.0% (2.5% OF TOTAL INVESTMENTS)
1,318 Micro Warehouse, Inc., Term Loan B, (7) (8) (11) 0.000% 1/30/07 N/R 39,534
3,969 Norwood Promotional Products, Term Loan A 11.563% 8/16/09 N/R 4,048,811
5,705 Norwood Promotional Products, Term Loan B 6.000% 8/16/11 N/R 1,825,496
2,000 Toys "R" Us, Inc., Term Loan 8.346% 12/09/08 B 1,991,250
1,990 TravelCenters of America Inc., Term Loan 7.020% 12/01/11 B1 1,991,741
----------------------------------------------------------------------------------------------------------------------------------
14,982 Total Specialty Retail 9,896,832
----------------------------------------------------------------------------------------------------------------------------------
TEXTILES APPAREL & LUXURY GOODS - 3.5% (2.2% OF TOTAL INVESTMENTS)
998 Burlington Coat Factory Warehouse Corporation, 7.530% 5/28/13 B 971,393
Term Loan
4,530 Visant Holding Corporation, Term Loan C 7.068% 7/29/10 B+ 4,556,963
3,151 William Carter Company, Term Loan B 6.854% 7/14/12 B1 3,147,209
----------------------------------------------------------------------------------------------------------------------------------
8,679 Total Textiles Apparel & Luxury Goods 8,675,565
----------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.6% (1.0% OF TOTAL INVESTMENTS)
1,980 Ashtead Group Public Limited Company, Term Loan 6.938% 11/12/09 Ba3 1,981,238
393 Brenntag Holdings, Acquisition Facility 8.080% 1/20/14 B2 398,616
1,607 Brenntag Holdings, Term Loan B2 8.080% 1/20/14 B- 1,616,916
----------------------------------------------------------------------------------------------------------------------------------
3,980 Total Trading Companies & Distributors 3,996,770
----------------------------------------------------------------------------------------------------------------------------------
16
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.4% (0.2% OF TOTAL INVESTMENTS)
$ 1,000 Crown Castle International Corporation, Term Loan 7.650% 6/01/14 B2 $ 1,005,625
----------------------------------------------------------------------------------------------------------------------------------
$ 376,657 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 359,245,624
$370,037,899)
==================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 9.3% (5.7% OF TOTAL INVESTMENTS)
CHEMICALS - 0.8% (0.5% OF TOTAL INVESTMENTS)
$ 2,000 OM Group Inc. 9.250% 12/15/11 B- $ 2,080,000
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.2% (0.8% OF TOTAL INVESTMENTS)
3,000 Intelsat Subsidiary Holding Company Limited, 10.385% 1/15/12 B+ 3,060,000
Floating Rate Note, 4.875% plus six-month LIBOR,
WI/DD
----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 1.0% (0.6% OF TOTAL INVESTMENTS)
2,400 Park Place Entertainment 8.875% 9/15/08 BB+ 2,517,000
----------------------------------------------------------------------------------------------------------------------------------
MEDIA - 2.7% (1.7% OF TOTAL INVESTMENTS)
1,930 AMC Entertainment Inc. 9.875% 2/01/12 B3 1,956,537
2,000 Cablevision Systems Corporation, Floating Rate 10.010% 4/01/09 B+ 2,140,000
Note, 4.500% plus six-month LIBOR, 144A
2,500 Primedia Inc., Floating Rate Note, 5.375% plus 10.841% 5/15/10 B 2,562,500
three-month LIBOR, 144A
----------------------------------------------------------------------------------------------------------------------------------
6,430 Total Media 6,659,037
----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Verso Paper Holdings LLC, Floating Rate Note, 9.216% 8/01/14 B+ 2,022,500
3.750% plus three-month LIBOR, WI/DD
----------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 0.3% (0.1% OF TOTAL INVESTMENTS)
500 Avago Technologies Finance Pte. Ltd., Floating 10.966% 6/01/13 B 527,500
Rate Note, 5.500% plus three-month LIBOR, 144A
----------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 2.5% (1.5% OF TOTAL INVESTMENTS)
6,000 Dobson Communications Corporation, Floating Rate 9.716% 10/15/12 CCC 6,120,000
Note, 4.250% plus three-month LIBOR
----------------------------------------------------------------------------------------------------------------------------------
$ 22,330 TOTAL CORPORATE BONDS (COST $22,560,491) 22,986,037
==================================================================================================================================
SHARES DESCRIPTION (1) VALUE
----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.6% (0.4% OF TOTAL INVESTMENTS)
205,050 ING Prime Rate Trust $ 1,455,855
----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT COMPANIES (COST $1,432,329) 1,455,855
===================================================================================================================
SHARES DESCRIPTION (1) VALUE
----------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 0.0% (0.0% OF TOTAL INVESTMENTS)
AUTO COMPONENTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
279,642 Metalforming Technologies Inc., (7) (11) $ --
----------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $0) --
===================================================================================================================
SHARES DESCRIPTION (1) VALUE
----------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
5,672 Reliant Energy Inc. $ 36,868
----------------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $40,254) 36,868
===================================================================================================================
17
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS July 31, 2006
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
----------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 6.7% (4.2% OF TOTAL INVESTMENTS)
$ 16,681 Repurchase Agreement with State Street Bank, dated 4.910% 8/01/06 $ 16,680,941
7/31/06, repurchase price $16,683,216,
collateralized by $15,650,000, U.S. Treasury
Bonds, 10.375%, due 11/15/12, value $17,019,375
========== -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $16,680,941) 16,680,941
===================================================================================================================
TOTAL INVESTMENTS (COST $410,751,914) - 161.3% 400,405,325
-------------------------------------------------------------------------------------------------------------------
BORROWING PAYABLE - (41.5)% (6) (103,000,000)
-------------------------------------------------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES - (1.3)% (3,134,389)
-------------------------------------------------------------------------------------------------------------------
PREFERRED SHARES, AT LIQUIDATION VALUE - (18.5)% (46,000,000)
-------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 248,270,936
===================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans in which the Fund invests generally pay interest at rates which are
periodically adjusted by reference to a base short-term, floating lending rate plus an
assigned fixed rate. These floating lending rates are generally (i) the lending rate
referenced by the London Inter-Bank Offered Rate ('LIBOR'), or (ii) the prime rate offered
by one or more major United States banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(3) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(4) Ratings (not covered by the report of independent registered public accounting firm):
Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard &
Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below
investment grade.
(5) Portion of position represents an unfunded Senior Loan commitment outstanding at July 31,
2006.
(6) Borrowings payable as a percentage of total investments is (25.7%).
(7) At or subsequent to July 31, 2006, this issue was under the protection of the Federal
Bankruptcy Court.
(8) Non-income producing security, in the case of a bond, generally denotes that the issuer
has defaulted on the payment of principal or interest or has filed for bankruptcy.
(9) Position represents a participation commitment outstanding at July 31, 2006.
(10) Negative value represents unrealized depreciation on Senior Loan commitment at July 31,
2006.
(11) Investment valued at fair value using methods determined in good faith by, or at the
discretion of, the Board of Trustees.
N/R Not rated.
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.
(PIK) In lieu of cash payment, interest accrued on 'Payment in Kind' investment increases
principal outstanding.
See accompanying notes to financial statements.
18
Nuveen Floating Rate Income Fund (JFR)
Portfolio of
INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 139.6% (86.3% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 1.7% (1.0% OF TOTAL INVESTMENTS)
$ 5,940 Mid-Western Aircraft Systems Inc., Term Loan B 7.748% 12/31/11 B1 $ 5,971,928
2,000 Transdigm Inc. 7.449% 6/23/13 B+ 2,007,188
2,420 Vought Aircraft Industries, Inc., Term Loan 8.000% 12/22/11 B+ 2,441,067
545 Vought Aircraft Industries, Inc., Tranche B, 7.834% 12/22/10 B+ 548,864
Letter of Credit
------------------------------------------------------------------------------------------------------------------------------
10,905 Total Aerospace & Defense 10,969,047
------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 1.8% (1.1% OF TOTAL INVESTMENTS)
1,500 United Air Lines Inc., Delayed Draw Term Loan 9.188% 2/01/12 B+ 1,518,906
10,500 United Air Lines Inc., Term Loan B 8.625% 2/12/12 B+ 10,632,342
------------------------------------------------------------------------------------------------------------------------------
12,000 Total Airlines 12,151,248
------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 4.0% (2.5% OF TOTAL INVESTMENTS)
17,662 Federal-Mogul Corporation, Term Loan A, (6) 7.650% 2/24/04 N/R 17,290,365
2,000 Federal-Mogul Corporation, Term Loan B, (6) 7.900% 2/24/05 N/R 1,963,750
6,000 Goodyear Tire & Rubber Company, Second Lien Term 7.954% 4/30/10 B2 6,034,374
Loan
1,000 Goodyear Tire & Rubber Company, Term Loan 3.764% 4/30/10 B1 1,002,054
------------------------------------------------------------------------------------------------------------------------------
26,662 Total Auto Components 26,290,543
------------------------------------------------------------------------------------------------------------------------------
BEVERAGES - 0.3% (0.2% OF TOTAL INVESTMENTS)
2,361 Constellation Brands, Inc., Term Loan 6.820% 6/05/13 BB 2,371,257
------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 5.4% (3.3% OF TOTAL INVESTMENTS)
219 Atrium Companies Inc., Delayed Term Loan, (5) 0.750% 12/21/06 B 274
1,781 Atrium Companies Inc., Term Loan 8.220% 5/31/12 B 1,783,402
14,738 Nortek, Inc., Term Loan B 7.400% 8/27/11 B 14,716,779
4,434 PP Holding Corporation, Term Loan 8.400% 11/12/11 B 4,478,804
7,400 Stile Acquisition Corporation, Canadian Term Loan 7.490% 4/05/13 B2 7,268,465
7,413 Stile Acquisition Corporation, Term Loan B 7.490% 4/05/13 B2 7,280,847
------------------------------------------------------------------------------------------------------------------------------
35,985 Total Building Products 35,528,571
------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.7% (1.0% OF TOTAL INVESTMENTS)
10,973 Ameritrade Holdings Corporation, Term Loan 6.900% 12/31/12 BB 10,958,784
------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 10.5% (6.5% OF TOTAL INVESTMENTS)
7,126 Celanese Holdings LLC, Term Loan B 7.499% 4/06/11 B+ 7,148,025
1,298 Headwaters Inc., Term Loan B 7.490% 4/30/11 BB- 1,300,305
12,710 Hercules Inc., Term Loan 7.010% 10/08/10 BB 12,744,902
4,929 Hexion Specialty Chemicals, Term Loan C1 7.563% 5/05/13 B2 4,887,635
1,071 Hexion Specialty Chemicals, Term Loan C2 7.500% 5/05/13 B2 1,061,734
10,766 Huntsman International LLC, Term Loan 7.150% 8/16/12 BB- 10,729,085
4,000 Ineos Group Holdings PLC, Term Loan B2 7.339% 12/16/13 B+ 4,029,166
4,000 Ineos Group Holdings PLC, Term Loan C2 7.839% 12/16/14 B- 4,029,166
466 JohnsonDiversey Inc., Term Loan 7.630% 12/16/10 B 469,469
2,000 Lucite International, Term Loan B, WI/DD TBD TBD B+ 2,017,500
7,840 Lyondell Citgo Refining LP, Term Loan 7.499% 5/21/07 N/R 7,859,600
12,805 Rockwood Specialties Group, Inc., Term Loan E 7.485% 7/30/12 B+ 12,847,685
------------------------------------------------------------------------------------------------------------------------------
69,011 Total Chemicals 69,124,272
------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 3.8% (2.3% OF TOTAL INVESTMENTS)
4,321 Allied Waste North America, Inc., Letter of Credit 7.084% 1/15/12 B1 4,305,461
11,130 Allied Waste North America, Inc., Term Loan B 7.150% 1/15/12 B1 11,090,215
5,500 Williams Scotsman, Inc., Term Loan B 6.626% 6/28/10 B2 5,514,897
1,950 Workflow Management, Inc., Term Loan 9.459% 11/30/11 B2 1,967,063
1,951 Xerium Technologies Inc. Term Loan B 7.749% 5/18/12 B+ 1,945,344
------------------------------------------------------------------------------------------------------------------------------
24,852 Total Commercial Services & Supplies 24,822,980
------------------------------------------------------------------------------------------------------------------------------
19
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.5% (0.3% OF TOTAL INVESTMENTS)
$ 3,000 Aspect Software, Term Loan B, WI/DD TBD TBD B2 $ 3,002,813
------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 4.6% (2.8% OF TOTAL INVESTMENTS)
1,995 Amscan Holdings Inc., Term Loan B 8.280% 12/23/12 B+ 2,001,650
17,730 Graham Packaging Company, L.P., Term Loan B 7.813% 10/07/11 B 17,800,184
3,571 Graham Packaging Company, L.P., Term Loan C 9.750% 4/07/12 CCC+ 3,625,000
699 Smurfit-Stone Container Corporation, 7.584% 11/01/10 B+ 702,667
Deposit-Funded Commitment
3,617 Smurfit-Stone Container Corporation, Term Loan B 7.590% 11/01/11 B+ 3,638,102
1,692 Smurfit-Stone Container Corporation, Term Loan C 7.540% 11/01/11 B+ 1,701,951
531 Smurfit-Stone Container Corporation, Tranche C-1 7.625% 11/01/11 B+ 534,080
------------------------------------------------------------------------------------------------------------------------------
29,835 Total Containers & Packaging 30,003,634
------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 1.7% (1.0% OF TOTAL INVESTMENTS)
3,960 EPCO Holdings Inc., Term Loan C 7.400% 8/18/10 B+ 3,981,966
2,562 NASDAQ Stock Market, Inc., Term Loan C 6.980% 4/18/12 Ba3 2,562,295
4,420 NASDAQ Stock Market, Inc., Term Loan B 6.970% 4/18/12 Ba3 4,420,205
------------------------------------------------------------------------------------------------------------------------------
10,942 Total Diversified Financial Services 10,964,466
------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.7% (2.3% OF TOTAL INVESTMENTS)
6,000 Cebridge III LLC., Term Loan C 7.739% 11/05/13 B+ 5,968,392
1,000 Choice One Communications, Term Loan B 9.500% 6/27/12 B 1,007,501
3,950 Intelsat Limited 7.758% 7/01/13 B1 3,966,458
6,000 Level 3 Communications Incorporated, Term Loan 8.413% 12/16/11 Caa1 6,009,999
2,000 Madison River Capital LLC, Term Loan 7.730% 7/30/12 B+ 2,003,750
5,500 Qwest Corporation, Term Loan B 6.950% 6/30/10 Ba3 5,471,356
------------------------------------------------------------------------------------------------------------------------------
24,450 Total Diversified Telecommunication Services 24,427,456
------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 0.9% (0.6% OF TOTAL INVESTMENTS)
6,063 Mueller Group, Inc., Term Loan 7.650% 10/03/12 B+ 6,100,716
------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.1% (0.1% OF TOTAL INVESTMENTS)
1,000 Sensata Technologies B.V., Term Loan 7.240% 4/27/13 B1 995,804
------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.1% (0.1% OF TOTAL INVESTMENTS)
1,002 Petroleum Geo-Services, Term Loan 8.000% 12/15/12 B+ 1,008,026
------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 2.6% (1.6% OF TOTAL INVESTMENTS)
9,885 Jean Coutu Group, Inc., Term Loan B 8.000% 7/30/11 B2 9,913,215
6,983 Supervalu 7.063% 9/08/06 BB- 6,966,981
------------------------------------------------------------------------------------------------------------------------------
16,868 Total Food & Staples Retailing 16,880,196
------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.7% (0.5% OF TOTAL INVESTMENTS)
465 Dole Foods Company Inc., Deposit-Funded Commitment 5.370% 4/12/13 BB- 456,185
1,044 Dole Foods Company Inc., Term Loan B 7.170% 4/12/13 BB- 1,023,851
3,480 Dole Foods Company Inc., Term Loan C 7.200% 4/12/13 B+ 3,412,836
------------------------------------------------------------------------------------------------------------------------------
4,989 Total Food Products 4,892,872
------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.6% (0.4% OF TOTAL INVESTMENTS)
3,925 Kinetic Concepts Inc., Term Loan B-2 7.250% 8/11/10 Ba3 3,949,688
------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 9.6% (6.0% OF TOTAL INVESTMENTS)
13,903 Davita Inc., Term Loan B 7.440% 10/05/12 B1 13,947,530
10,973 Fresenius Medical Care AG & Co. KGaA, Term Loan 6.850% 3/31/13 BB 10,889,449
4,000 HealthSouth Corporation, Term Loan 8.520% 3/10/13 B2 3,997,778
13,719 IASIS Healthcare LLC, Term Loan B 7.730% 6/22/11 B+ 13,804,346
3,970 LifeCare Holdings Inc., Term Loan B 7.650% 8/11/12 B 3,791,350
1,042 LifePoint Hospitals Holdings, Inc., Term Loan B 7.125% 4/18/12 Ba3 1,039,085
2,963 Select Medical Corporation, Term Loan 6.940% 2/24/12 B1 2,925,839
12,836 Vanguard Health Holding Company, LLC, Replacement 7.870% 9/23/11 B 12,902,604
Term Loan
------------------------------------------------------------------------------------------------------------------------------
63,406 Total Health Care Providers & Services 63,297,981
------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 11.0% (6.8% OF TOTAL INVESTMENTS)
7,980 24 Hour Fitness Worldwide, Inc., Term Loan B 8.050% 6/08/12 B 8,029,875
3,173 Ameristar Casinos, Inc., Term Loan B 6.727% 11/10/12 Ba3 3,184,175
5,880 Boyd Gaming Corporation, Term Loan B 6.804% 6/30/11 BB 5,885,389
1,405 Burger King Corporation, Term Loan B 7.000% 6/30/12 B+ 1,401,139
122 Cracker Barrel, Term B-2 Delayed Draw, (5) (7) 0.750% 4/28/13 BB (877)
20
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE (continued)
$ 876 Cracker Barrel, Term Loan B-1 6.630% 4/28/13 BB $ 871,460
2,932 Jack in the Box Inc., Term Loan 6.840% 1/08/11 BB 2,946,381
14,452 OpBiz, LLC, Term Loan A+ 8.508% 8/31/10 B- 13,993,529
38 OpBiz, LLC, Term Loan B, (PIK) 8.990% 8/31/10 B- 37,280
7,935 Penn National Gaming, Inc., Term Loan B 7.130% 10/03/12 BB 7,963,790
8,049 Resorts International Hotel and Casino Inc., Term 9.500% 4/26/12 CCC+ 8,112,166
Loan B
9,800 Universal City Development Partners, Ltd., Term 7.370% 6/09/11 BB- 9,815,313
Loan
1,709 Venetian Casino Resort, LLC, Delayed Term Loan 7.250% 6/15/11 BB- 1,709,535
8,291 Venetian Casino Resort, LLC, Term Loan 7.250% 6/15/11 BB- 8,291,245
------------------------------------------------------------------------------------------------------------------------------
72,642 Total Hotels, Restaurants & Leisure 72,240,400
------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 2.1% (1.3% OF TOTAL INVESTMENTS)
14,088 Sealy Mattress Company, Term Loan D 7.110% 4/06/12 BB- 14,112,433
------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.5% (0.9% OF TOTAL INVESTMENTS)
9,900 Prestige Brands, Inc., Term Loan B 7.280% 4/06/11 B+ 9,932,376
------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.4% (0.3% OF TOTAL INVESTMENTS)
1,561 Covanta Energy Corporation, Letter of Credit 7.710% 6/24/12 B+ 1,569,756
1,119 Covanta Energy Corporation, Tranche C 7.700% 6/24/12 B- 1,124,890
------------------------------------------------------------------------------------------------------------------------------
2,680 Total Independent Power Producers & Energy Traders 2,694,646
------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES - 0.1% (0.1% OF TOTAL INVESTMENTS)
722 Walter Industries Inc., Term Loan B 6.920% 10/03/12 B+ 723,189
------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.6% (1.6% OF TOTAL INVESTMENTS)
16,813 Conseco, Inc., Term Loan 7.119% 6/22/10 BB- 16,851,373
------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 6.4% (4.0% OF TOTAL INVESTMENTS)
17,204 Fidelity National Information Services, Term Loan 7.099% 3/09/13 BB+ 17,226,503
B
1,371 Infor Global Solutions, Term Loan, Delayed Draw, TBD TBD B 1,373,358
WI/DD
2,629 Infor Global Solutions, Term Loan, WI/DD TBD TBD B 2,632,268
20,797 SunGard Data Systems Inc., Term Loan B 7.660% 2/11/13 B+ 20,914,429
------------------------------------------------------------------------------------------------------------------------------
42,001 Total IT Services 42,146,558
------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.7% (1.0% OF TOTAL INVESTMENTS)
11,000 Bombardier Recreational Products, Term Loan 8.240% 6/07/13 B1 10,993,125
------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,141 Dresser-Rand Group, Inc., Term Loan 7.270% 10/10/10 B+ 1,150,156
2,500 Navistar International Corporation, Bridge Loan, 9.255% 1/22/09 N/R 2,199,433
(5)
------------------------------------------------------------------------------------------------------------------------------
3,641 Total Machinery 3,349,589
------------------------------------------------------------------------------------------------------------------------------
MARINE - 0.8% (0.5% OF TOTAL INVESTMENTS)
4,900 Horizon Lines, LLC, Term Loan B 7.750% 7/11/11 B 4,933,688
------------------------------------------------------------------------------------------------------------------------------
MEDIA - 31.6% (19.5% OF TOTAL INVESTMENTS)
1,990 AMC Entertainment Inc., Term Loan 7.525% 1/26/13 B+ 1,998,593
2,000 American Media Operations, Inc., Term Loan 8.120% 1/30/13 B 2,018,250
1,833 Blockbuster, Inc., Term Loan B 9.220% 8/20/11 B- 1,838,890
9,975 Cablevision Systems Corporation, Incremental Term 7.030% 3/29/13 Ba3 9,927,285
Loan
17,000 Century Cable Holdings, LLC, Discretionary Term 9.250% 12/31/09 N/R 16,316,456
Loan, (6)
7,000 Century Cable Holdings, LLC, Revolver, (6) 9.250% 10/25/10 N/R 6,643,151
2,000 Century Cable Holdings, LLC, Term Loan, (6) 10.250% 12/31/09 N/R 1,923,571
2,000 Century Theatres Inc., Term Loan 7.106% 2/22/13 B+ 2,004,250
26,798 Charter Communications Inc., Term Loan 8.125% 4/28/13 B 26,869,826
6,965 Clear Channel Entertainment, Term Loan 7.750% 6/20/13 B+ 6,972,258
2,173 Dex Media East LLC, Term Loan B 6.772% 11/10/08 BB 2,163,101
8,226 Dex Media West, LLC, Term Loan B 6.800% 3/09/10 BB 8,189,325
4,655 DirecTV Group, Term Loan B 6.900% 4/13/13 BB 4,656,527
4,604 Emmis Operating Company, Term Loan 7.140% 11/10/11 B+ 4,617,789
993 Entravision Communications Corporation, Term Loan 7.010% 3/29/13 B+ 993,224
B
24,938 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 7.749% 4/08/12 B+ 25,008,946
1,220 Nextmedia Operating Group, Delayed Draw Term Loan, 7.334% 11/15/12 B 1,217,915
DD1
2,750 Nextmedia Operating Inc., First Lien Term Loan, 7.370% 11/15/12 B 2,745,263
DD1
17,000 Panamsat Corporation 8.008% 12/15/03 B1 17,088,035
5,000 Philadelphia Newspapers, Term Loan 8.090% 6/29/13 B 5,018,750
21
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------
MEDIA (continued)
$ 6,435 Primedia Inc., Term Loan 7.625% 9/30/13 N/R $ 6,353,758
4,304 R. H. Donnelley Inc., Tranche D 6.900% 6/30/11 Ba3 4,276,779
16,398 Regal Cinemas Corporation, Term Loan 7.238% 11/10/10 BB- 16,329,867
988 Spanish Broadcasting System Inc., Term Loan 7.250% 6/11/12 B+ 986,677
5,500 UPC Broadband Holding BV, Term Loan J2 7.640% 3/29/13 B 5,494,893
5,500 UPC Broadband Holding BV, Term Loan K2 7.640% 12/31/13 B 5,494,893
20,490 WMG Acquisition Corp., Term Loan 7.310% 2/28/11 B+ 20,560,766
------------------------------------------------------------------------------------------------------------------------------
208,735 Total Media 207,709,038
------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 0.6% (0.4% OF TOTAL INVESTMENTS)
2,775 Amsted Industries Incorporated, Delayed Term Loan, 2.000% 4/05/11 B1 (27,748)
(5) (7)
3,860 Amsted Industries Incorporated, Term Loan 7.460% 4/05/13 B1 3,882,874
------------------------------------------------------------------------------------------------------------------------------
6,635 Total Metals & Mining 3,855,126
------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 1.8% (1.1% OF TOTAL INVESTMENTS)
9,494 Neiman Marcus Group Inc., Term Loan 7.770% 4/06/13 B+ 9,581,881
2,494 Sears Canada Inc., Term Loan 7.249% 12/22/12 BB+ 2,498,426
------------------------------------------------------------------------------------------------------------------------------
11,988 Total Multiline Retail 12,080,307
------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 2.0% (1.2% OF TOTAL INVESTMENTS)
2,414 NRG Energy Inc., Credit-Linked Deposit 7.499% 2/01/13 BB- 2,421,012
10,560 NRG Energy Inc., Term Loan 7.231% 2/01/13 BB- 10,602,265
------------------------------------------------------------------------------------------------------------------------------
12,974 Total Multi-Utilities 13,023,277
------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 3.3% (2.0% OF TOTAL INVESTMENTS)
2,985 Citgo Petroleum Corporation, Term Loan 6.695% 11/15/12 Ba1 2,987,985
800 Coffeyville Resources LLC, Letter of Credit 8.000% 7/08/11 B1 804,750
1,188 Coffeyville Resources LLC, Term Loan B 7.940% 7/08/12 B1 1,195,099
3,970 Complete Production Services, Term Loan 7.660% 9/12/12 B 3,984,268
1,875 El Paso Corporation, Deposit-Funded Commitment 8.844% 11/23/09 B+ 1,880,742
1,200 El Paso Corporation, Letter of Credit, WI/DD TBD TBD B+ 1,206,750
7,045 El Paso Corporation, Term Loan 8.250% 11/23/09 B+ 7,068,715
484 Targa Resources Inc., Synthetic Letter of Credit 7.624% 10/31/12 B+ 485,296
2,001 Targa Resources Inc., Term Loan B 7.390% 10/31/12 B+ 2,006,903
------------------------------------------------------------------------------------------------------------------------------
21,548 Total Oil, Gas & Consumable Fuels 21,620,508
------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 4.5% (2.8% OF TOTAL INVESTMENTS)
1,152 Bluegrass Container Company, LLC, Delayed Draw, 0.000% 6/30/13 Ba3 6,116
1st Lien, (5)
3,848 Bluegrass Container Company, LLC, Term Loan B 7.650% 6/30/13 BB- 3,868,926
4,079 Boise Cascade Corporation, Term Loan D 7.200% 3/29/11 Ba3 4,090,621
11,940 Georgia-Pacific Corporation, Term Loan B 7.350% 12/20/12 BB- 11,940,442
6,000 Georgia-Pacific Corporation, Term Loan C 8.300% 12/23/13 B+ 6,059,196
2,322 NewPage Corporation, Term Loan B 8.499% 5/02/11 B 2,339,764
1,000 White Birch Paper Company, Second Lien Term Loan 13.000% 4/08/13 CCC+ 1,012,083
------------------------------------------------------------------------------------------------------------------------------
30,341 Total Paper & Forest Products 29,317,148
------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 1.4% (0.8% OF TOTAL INVESTMENTS)
4,938 Talecris Biotherapeutics Inc., Term Loan B 8.440% 3/31/10 N/R 4,937,500
86 Warner Chilcott Corporation, Dovobet Delayed Draw 7.630% 1/18/12 B 86,622
Term
432 Warner Chilcott Corporation, Dovonex Delayed Draw 7.800% 1/18/12 B 432,871
Term Commitment
2,148 Warner Chilcott Corporation, Tranche B 7.490% 1/18/12 B 2,152,979
865 Warner Chilcott Corporation, Tranche C 7.860% 1/18/12 B 867,545
400 Warner Chilcott Corporation, Tranche D 7.860% 1/18/12 B 400,781
------------------------------------------------------------------------------------------------------------------------------
8,869 Total Pharmaceuticals 8,878,298
------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 6.6% (4.1% OF TOTAL INVESTMENTS)
9,768 Capital Automotive LP., Term Loan 7.100% 12/16/10 BB+ 9,778,717
1,259 Lion Gables, Term Loan 7.100% 9/30/06 Ba2 1,260,639
16,000 LNR Property Corporation, Term Loan B 8.110% 7/12/11 B2 16,096,672
8,000 Macerich Company, Term Loan 6.875% 4/25/10 N/R 7,986,668
8,000 Trizec Properties Inc., Bridge Loan 6.775% 5/02/07 Ba2 7,996,252
------------------------------------------------------------------------------------------------------------------------------
43,027 Total Real Estate Management & Development 43,118,948
------------------------------------------------------------------------------------------------------------------------------
22
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.9% (0.6% OF TOTAL INVESTMENTS)
$ 667 Hertz Corporation, Letter of Credit 7.674% 12/21/12 Ba2 $ 670,737
5,310 Hertz Corporation, Term Loan 7.540% 12/21/12 BB 5,342,456
------------------------------------------------------------------------------------------------------------------------------
5,977 Total Road & Rail 6,013,193
------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 2.2% (1.4% OF TOTAL INVESTMENTS)
1,754 J. Crew Operating Corporation, Term Loan 7.740% 5/15/13 B 1,754,751
9,000 Toys "R" Us, Inc., Term Loan 8.346% 12/09/08 B 8,960,621
3,000 Toys "R" Us, Inc., Term Loan B 9.620% 7/01/12 B 3,033,750
995 TravelCenters of America Inc., Term Loan 7.020% 12/01/11 B1 995,871
------------------------------------------------------------------------------------------------------------------------------
14,749 Total Specialty Retail 14,744,993
------------------------------------------------------------------------------------------------------------------------------
TEXTILES APPAREL & LUXURY GOODS - 0.8% (0.5% OF TOTAL INVESTMENTS)
998 Burlington Coat Factory Warehouse Corporation, 7.530% 5/28/13 B 971,393
Term Loan
4,118 Visant Holding Corporation, Term Loan C 7.068% 7/29/10 B+ 4,142,690
------------------------------------------------------------------------------------------------------------------------------
5,116 Total Textiles Apparel & Luxury Goods 5,114,083
------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 2.0% (1.2% OF TOTAL INVESTMENTS)
2,970 Ashtead Group Public Limited Company, Term Loan B 6.938% 11/12/09 Ba3 2,971,856
393 Brenntag Holdings, Acquisition Facility 8.080% 1/20/14 B2 398,618
1,607 Brenntag Holdings, Term Loan B2 8.080% 1/20/14 B- 1,616,916
1,219 United Rentals Inc., Credit-Linked Deposit Tranche 5.340% 2/13/11 B2 1,222,257
B
6,963 United Rentals Inc., Term Loan B 7.400% 2/14/11 B2 6,982,674
------------------------------------------------------------------------------------------------------------------------------
13,152 Total Trading Companies & Distributors 13,192,321
------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.5% (0.3% OF TOTAL INVESTMENTS)
3,000 Crown Castle International Corporation, Term Loan 7.650% 6/01/14 B2 3,016,875
------------------------------------------------------------------------------------------------------------------------------
$ 922,727 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 917,401,846
$916,871,518)
==============================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 15.3% (9.5% OF TOTAL INVESTMENTS)
CONTAINERS & PACKAGING - 0.2% (0.1% OF TOTAL INVESTMENTS)
$ 1,500 Owens-Illinois Inc. 8.100% 5/15/07 B $ 1,522,500
------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,000 Qwest Corporation, Floating Rate Note, 3.250% plus 8.716% 6/15/13 BB 5,375,000
three-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,000 Williams Companies Inc., Floating Rate Note, 7.466% 10/01/10 Ba2 5,100,000
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 1,466,880
1,780 Dole Foods Company 8.875% 3/15/11 B 1,673,200
------------------------------------------------------------------------------------------------------------------------------
3,308 Total Food Products 3,140,080
------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 6.1% (3.8% OF TOTAL INVESTMENTS)
9,505 Aztar Corporation 9.000% 8/15/11 Ba3 9,980,250
5,425 MGM Grand, Inc. 9.750% 6/01/07 Ba3 5,594,531
2,000 Mirage Resorts 7.250% 10/15/06 BB 2,010,000
7,900 Mohegan Tribal Gaming Authority 8.000% 4/01/12 Ba3 8,097,500
2,000 Park Place Entertainment 8.500% 11/15/06 BBB- 2,014,312
12,076 Park Place Entertainment 9.375% 2/15/07 BB+ 12,272,235
------------------------------------------------------------------------------------------------------------------------------
38,906 Total Hotels, Restaurants & Leisure 39,968,828
------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 2.6% (1.6% OF TOTAL INVESTMENTS)
2,000 Beazer Homes USA, Inc. 8.375% 4/15/12 Ba1 1,970,000
8,000 K. Hovnanian Enterprises Inc. 8.000% 4/01/12 Ba1 7,800,000
2,000 K. Hovnanian Enterprises Inc. 10.500% 10/01/07 Ba1 2,090,000
5,000 KB Home 7.750% 2/01/10 Ba2 4,981,250
------------------------------------------------------------------------------------------------------------------------------
17,000 Total Household Durables 16,841,250
------------------------------------------------------------------------------------------------------------------------------
MEDIA - 1.6% (1.0% OF TOTAL INVESTMENTS)
10,000 Cablevision Systems Corporation, Floating Rate 10.010% 4/01/09 B+ 10,700,000
Note, 4.500% plus six-month LIBOR, 144A
------------------------------------------------------------------------------------------------------------------------------
23
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS July 31, 2006
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
-----------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 1.5% (0.9% OF TOTAL INVESTMENTS)
$ 5,000 Georgia Pacific Corporation, Notes 8.125% 5/15/11 B $ 5,012,500
500 Verso Paper Holdings LLC, WI/DD 9.125% 8/01/14 B+ 502,500
4,000 Verso Paper Holdings LLC, Floating Rate Note, 9.216% 8/01/14 B+ 4,045,000
3.750% plus three-month LIBOR, WI/DD
-----------------------------------------------------------------------------------------------------------------------------
9,500 Total Paper & Forest Products 9,560,000
-----------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.1% (0.7% OF TOTAL INVESTMENTS)
7,000 Avago Technologies Finance Pte. Ltd., Floating 10.966% 6/01/13 B 7,385,000
Rate Note, 5.500% plus three-month LIBOR, 144A
-----------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.1% (0.1% OF TOTAL INVESTMENTS)
1,000 Dobson Communications Corporation, Floating Rate 9.716% 10/15/12 CCC 1,020,000
Note, 4.250% plus three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
$ 98,214 TOTAL CORPORATE BONDS (COST $102,483,340) 100,612,658
=============================================================================================================================
SHARES DESCRIPTION (1) VALUE
-----------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.2% (0.1% OF TOTAL INVESTMENTS)
74,200 Eaton Vance Floating-Rate Income Trust Fund $ 1,361,570
-----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT COMPANIES (COST $1,260,676) 1,361,570
==============================================================================================================
SHARES DESCRIPTION (1) VALUE
-----------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
36,521 Reliant Energy Inc. $ 237,387
-----------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $257,912) 237,387
==============================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
-----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 6.6% (4.1% OF TOTAL INVESTMENTS)
$ 43,330 Repurchase Agreement with State Street Bank, dated 4.910% 8/01/06 $ 43,330,016
7/31/06, repurchase price $43,335,926,
collateralized by $37,315,000, U.S. Treasury
Bonds, 7.250%, due 5/15/16, value $44,201,297
========== --------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $43,330,016) 43,330,016
==============================================================================================================
TOTAL INVESTMENTS (COST $1,064,203,462) - 161.7% 1,062,943,477
==============================================================================================================
OTHER ASSETS LESS LIABILITIES - (0.9)% (5,426,856)
==============================================================================================================
PREFERRED SHARES, AT LIQUIDATION VALUE - (60.8)% (400,000,000)
==============================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $657,516,621
==============================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans in which the Fund invests generally pay interest at rates which are
periodically adjusted by reference to a base short-term, floating lending rate plus an
assigned fixed rate. These floating lending rates are generally (i) the lending rate
referenced by the London Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate offered
by one or more major United States banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(3) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(4) Ratings (not covered by the report of independent registered public accounting firm):
Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard &
Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below
investment grade.
(5) Portion of position represents an unfunded Senior Loan commitment outstanding at July 31,
2006.
(6) At or subsequent to July 31, 2006, this issue was under the protection of the Federal
Bankruptcy Court.
(7) Negative value represents unrealized depreciation on Senior Loan commitment at July 31,
2006.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
DD1 Portion of investment purchased on a 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.
(PIK) In lieu of cash payment, interest accrued on "Payment in Kind" investment increases
principal outstanding.
See accompanying notes to financial statements.
24
Nuveen Floating Rate Income Opportunity Fund (JRO)
Portfolio of
INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 136.6% (85.3% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 2.5% (1.6% OF TOTAL INVESTMENTS)
$ 8,938 K&F Industries, Inc., Term Loan C 7.400% 11/18/12 B2 $ 8,952,864
1,000 Transdigm Inc. 7.449% 6/23/13 B+ 1,003,594
----------------------------------------------------------------------------------------------------------------------------------
9,938 Total Aerospace & Defense 9,956,458
----------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 2.3% (1.4% OF TOTAL INVESTMENTS)
1,125 United Air Lines Inc., Delayed Draw Term Loan 9.188% 2/01/12 B+ 1,139,180
7,875 United Air Lines Inc., Term Loan B 8.625% 2/12/12 B+ 7,974,257
----------------------------------------------------------------------------------------------------------------------------------
9,000 Total Airlines 9,113,437
----------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 3.5% (2.2% OF TOTAL INVESTMENTS)
1,895 Accuride Corporation, Term Loan B 7.313% 1/31/12 B+ 1,900,439
5,486 Federal-Mogul Corporation, Revolver, (5) (6) 6.900% 2/05/05 N/R 5,096,568
4,000 Goodyear Tire & Rubber Company, Second Lien Term 7.954% 4/30/10 B2 4,022,916
Loan
1,000 Goodyear Tire & Rubber Company, Term Loan 3.764% 4/30/10 B1 1,002,054
2,000 Lear Corporation, Term Loan 7.978% 4/25/12 B2 1,988,958
----------------------------------------------------------------------------------------------------------------------------------
14,381 Total Auto Components 14,010,935
----------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 5.1% (3.2% OF TOTAL INVESTMENTS)
219 Atrium Companies Inc., Delayed Term Loan, (5) 0.750% 12/21/06 B 274
1,781 Atrium Companies Inc. Term Loan 8.220% 5/31/12 B 1,783,402
9,825 Nortek, Inc., Term Loan B 7.400% 8/27/11 B 9,811,186
3,000 Stile Acquisition Corporation, Canadian Bridge 11.000% 10/06/15 B2 2,870,000
Loan, WI/DD
2,960 Stile Acquisition Corporation, Canadian Term Loan 7.490% 4/05/13 B2 2,907,386
2,965 Stile Acquisition Corporation, Term Loan B 7.490% 4/05/13 B2 2,912,339
----------------------------------------------------------------------------------------------------------------------------------
20,750 Total Building Products 20,284,587
----------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,993 Ameritrade Holdings Corporation, Term Loan 6.900% 12/31/12 BB 2,988,759
----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 6.7% (4.2% OF TOTAL INVESTMENTS)
4,126 Celanese Holdings LLC, Term Loan B 7.499% 4/06/11 B+ 4,138,330
1,298 Headwaters Inc., Term Loan B 7.490% 4/30/11 BB- 1,300,305
2,465 Hexion Specialty Chemicals, Term Loan C1 7.563% 5/05/13 B2 2,443,818
535 Hexion Specialty Chemicals, Term Loan C2 7.500% 5/05/13 B2 530,867
7,066 Huntsman International LLC, Term Loan 7.150% 8/16/12 BB- 7,041,259
1,272 JohnsonDiversey Inc., Delayed Term Loan 7.860% 12/16/10 B1 1,279,216
2,000 Lucite International, Term Loan B, WI/DD TBD TBD B+ 2,017,500
7,880 Rockwood Specialties Group, Inc., Term Loan E 7.485% 7/30/12 B+ 7,906,268
----------------------------------------------------------------------------------------------------------------------------------
26,642 Total Chemicals 26,657,563
----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 3.2% (2.0% OF TOTAL INVESTMENTS)
2,812 Allied Waste North America, Inc., Letter of Credit 7.084% 1/15/12 B1 2,801,767
7,243 Allied Waste North America, Inc., Term Loan B 7.150% 1/15/12 B1 7,216,862
1,000 Cenveo Inc., Term Loan B 7.424% 6/01/13 BB- 1,003,125
1,463 Workflow Management, Inc., Term Loan 9.459% 11/30/11 B2 1,475,297
----------------------------------------------------------------------------------------------------------------------------------
12,518 Total Commercial Services & Supplies 12,497,051
----------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 2.0% (1.3% OF TOTAL INVESTMENTS)
3,000 Aspect Software, Term Loan B, WI/DD TBD TBD B2 3,002,813
956 IPC Acquisition Corporation First Lien Term Loan 8.030% 8/05/11 B2 962,560
4,000 IPC Acquisition Corporation Second Lien Term Loan 12.520% 8/05/12 B- 4,059,166
----------------------------------------------------------------------------------------------------------------------------------
7,956 Total Communications Equipment 8,024,539
----------------------------------------------------------------------------------------------------------------------------------
25
Nuveen Floating Rate Income Opportunity Fund (JRO) (continued)
Portfolio of INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 5.3% (3.3% OF TOTAL INVESTMENTS)
$ 998 Amscan Holdings Inc., Term Loan B 8.280% 12/23/12 B+ $ 1,000,825
12,805 Graham Packaging Company, L.P., Term Loan B 7.813% 10/07/11 B 12,855,689
1,429 Graham Packaging Company, L.P., Term Loan C 9.750% 4/07/12 CCC+ 1,450,000
611 Smurfit-Stone Container Corporation, 7.584% 11/01/10 B+ 614,834
Deposit-Funded Commitment
3,165 Smurfit-Stone Container Corporation, Term Loan B 7.590% 11/01/11 B+ 3,183,339
1,481 Smurfit-Stone Container Corporation, Term Loan C 7.540% 11/01/11 B+ 1,489,207
465 Smurfit-Stone Container Corporation, Tranche C-1 7.625% 11/01/11 B+ 467,320
----------------------------------------------------------------------------------------------------------------------------------
20,954 Total Containers & Packaging 21,061,214
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 1.0% (0.6% OF TOTAL INVESTMENTS)
4,022 Alderwoods Group, Inc., Term Loan B-2 7.390% 9/29/09 B1 4,027,543
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 6.2% (3.9% OF TOTAL INVESTMENTS)
8,000 Cebridge III LLC., Term Loan B 7.739% 11/05/13 B+ 7,957,856
1,000 Choice One Communications, Term Loan B 9.500% 6/27/12 B 1,007,501
1,975 Intelsat Limited, Term Loan 7.758% 7/01/13 B1 1,983,229
6,500 Iowa Telecommunications Services, Inc., Term Loan 7.238% 11/23/11 BB- 6,511,508
B
4,000 Level 3 Communications Incorporated, Term Loan 8.413% 12/01/11 Caa1 4,006,666
3,200 Qwest Corporation, Term Loan A 12.000% 6/30/07 Ba3 3,257,200
----------------------------------------------------------------------------------------------------------------------------------
24,675 Total Diversified Telecommunication Services 24,723,960
----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,975 Murray Energy Corporation, Term Loan C 13.188% 1/28/11 N/R 2,054,000
----------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,000 Sensata Technologies B.V., Term Loan 7.240% 4/27/13 B1 1,991,607
----------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.2% (0.1% OF TOTAL INVESTMENTS)
501 Petroleum Geo-Services, Term Loan 8.000% 12/15/12 B+ 504,013
----------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 1.6% (1.0% OF TOTAL INVESTMENTS)
6,304 Jean Coutu Group, Inc., Term Loan B 8.000% 7/30/11 B2 6,322,459
----------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 1.7% (1.1% OF TOTAL INVESTMENTS)
651 Dole Foods Company Inc., Deposit-Funded Commitment 5.370% 4/12/13 BB- 638,659
1,461 Dole Foods Company Inc., Term Loan B 7.170% 4/12/13 BB- 1,433,391
4,872 Dole Foods Company Inc., Term Loan C 7.200% 4/12/13 B+ 4,777,970
----------------------------------------------------------------------------------------------------------------------------------
6,984 Total Food Products 6,850,020
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.5% (0.2% OF TOTAL INVESTMENTS)
1,873 Kinetic Concepts Inc., Term Loan B-2 7.250% 8/11/10 Ba3 1,884,519
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 11.1% (6.9% OF TOTAL INVESTMENTS)
7,202 Community Health Systems, Inc., Term Loan 6.970% 8/19/11 BB- 7,212,068
5,469 Davita Inc., Term Loan B 7.440% 10/05/12 B1 5,486,644
5,985 Fresenius Medical Care AG & Co. KGaA, Term Loan 6.850% 3/31/13 BB 5,939,700
4,000 HealthSouth Corporation, Term Loan 8.520% 3/10/13 B2 3,997,778
5,390 IASIS Healthcare LLC, Term Loan B 7.730% 6/22/11 B+ 5,423,688
1,042 LifePoint Hospitals Holdings, Inc., Term Loan B 7.125% 4/18/12 Ba3 1,039,085
14,784 Vanguard Health Holding Company, LLC, Replacement 7.870% 9/23/11 B 14,860,567
Term Loan
----------------------------------------------------------------------------------------------------------------------------------
43,872 Total Health Care Providers & Services 43,959,530
----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 8.4% (5.3% OF TOTAL INVESTMENTS)
2,993 24 Hour Fitness Worldwide, Inc., Term Loan B 8.050% 6/08/12 B 3,011,203
488 Cracker Barrel, Term B-2 Delayed Draw, (5) (7) 0.750% 4/28/13 B (3,509)
3,502 Cracker Barrel, Term Loan B-1 6.630% 4/28/18 B 3,485,839
9,968 OpBiz, LLC, Term Loan A 8.508% 8/31/10 B- 9,651,791
13 OpBiz, LLC, Term Loan B (PIK) 8.990% 8/31/10 B- 12,842
1,985 Penn National Gaming, Inc., Term Loan B 7.130% 10/03/12 BB 1,992,196
7,636 Resorts International Hotel and Casino Inc., Term 9.500% 4/26/12 CCC+ 7,696,512
Loan B, DD1
1,282 Venetian Casino Resort, LLC, Delayed Term Loan 7.250% 6/15/11 BB- 1,282,151
6,218 Venetian Casino Resort, LLC, Term Loan 7.250% 6/15/11 BB- 6,218,434
----------------------------------------------------------------------------------------------------------------------------------
34,085 Total Hotels, Restaurants & Leisure 33,347,459
----------------------------------------------------------------------------------------------------------------------------------
26
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 3.4% (2.1% OF TOTAL INVESTMENTS)
$ 7,654 Jarden Corporation, Term Loan 7.499% 1/24/12 B+ $ 7,658,713
5,911 Sealy Mattress Company, Term Loan D 7.110% 4/06/12 BB- 5,920,660
----------------------------------------------------------------------------------------------------------------------------------
13,565 Total Household Durables 13,579,373
----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 2.5% (1.5% OF TOTAL INVESTMENTS)
9,799 Prestige Brands, Inc., Term Loan B 7.230% 4/06/11 B+ 9,832,160
----------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 1.4% (0.9% OF TOTAL INVESTMENTS)
5,445 Conseco, Inc., Term Loan 7.119% 6/22/10 BB- 5,457,415
----------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 6.0% (3.7% OF TOTAL INVESTMENTS)
12,621 Fidelity National Information Services, Term Loan 7.099% 3/09/13 BB+ 12,637,380
B
343 Infor Global Solutions, Term Loan, Delayed Draw, TBD TBD B3 343,339
WI/DD
657 Infor Global Solutions, Term Loan, WI/DD TBD TBD B 658,067
9,900 SunGard Data Systems Inc., Term Loan B 7.660% 2/11/13 B+ 9,955,688
----------------------------------------------------------------------------------------------------------------------------------
23,521 Total IT Services 23,594,474
----------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.5% (0.9% OF TOTAL INVESTMENTS)
6,000 Bombardier Recreational Products, Term Loan 8.240% 6/07/13 B1 5,996,250
----------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.6% (1.0% OF TOTAL INVESTMENTS)
3,232 Dresser-Rand Group, Inc., Term Loan 7.270% 10/10/10 B+ 3,258,775
2,500 Navistar International Corporation, Bridge Loan, 9.255% 1/22/09 N/R 2,199,433
(5)
1,000 Rexnord Corporation, Replacement Term Loan 8.062% 7/19/13 B+ 1,003,438
----------------------------------------------------------------------------------------------------------------------------------
6,732 Total Machinery 6,461,646
----------------------------------------------------------------------------------------------------------------------------------
MEDIA - 25.9% (16.2% OF TOTAL INVESTMENTS)
10,863 Alliance Atlantis Communications Inc., Term Loan C 6.999% 12/20/11 B 10,855,711
1,990 AMC Entertainment Inc., Term Loan 7.525% 1/26/13 B+ 1,998,593
2,500 American Lawyer Media, Inc., Second Lien Term Loan 11.249% 3/07/11 CCC 2,504,166
958 Blockbuster, Inc., Term Loan A 8.870% 8/20/09 B- 956,948
989 Blockbuster, Inc., Term Loan B 9.220% 8/20/11 B- 992,074
7,500 Century Cable Holdings, LLC, Discretionary Term 9.250% 12/31/09 N/R 7,198,436
Loan (6)
9,000 Century Cable Holdings, LLC, Revolver (6) 9.250% 10/25/10 N/R 8,541,194
13,953 Charter Communications Inc., Term Loan 8.125% 4/28/13 B 13,990,028
4,975 Clear Channel Entertainment, Term Loan 7.750% 6/20/13 B+ 4,980,184
1,000 Cumulus Media Inc, Term Loan 7.460% 6/06/13 B 1,002,188
2,000 HIT Entertainment Inc., Second Lien Term Loan 10.950% 2/24/13 CCC+ 2,018,750
3,960 HIT Entertainment Inc., Term Loan B 7.700% 3/20/12 B 3,979,800
4,988 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 7.749% 4/08/12 B+ 5,001,789
3,000 NextMedia Operating Inc., Second Lien Term Loan 10.010% 11/15/12 CCC+ 3,042,500
11,000 Panamsat Corporation, Term Loan 8.008% 1/03/14 B1 11,056,964
3,000 Philadelphia Newspapers, Mezzanine Term Loan A 16.000% 6/29/12 B 3,060,000
8,609 R. H. Donnelley Inc., Term Loan D 6.897% 6/30/11 Ba3 8,553,558
3,920 Regal Cinemas Corporation, Term Loan 7.240% 11/10/10 BB- 3,904,139
2,000 UPC Broadband Holding BV, Term Loan J2 7.640% 3/29/13 B 1,998,143
2,000 UPC Broadband Holding BV, Term Loan K2 7.640% 12/31/13 B 1,998,143
4,882 WMG Acquisition Corp., Term Loan 7.310% 2/28/11 B+ 4,899,146
----------------------------------------------------------------------------------------------------------------------------------
103,087 Total Media 102,532,454
----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 0.9% (0.6% OF TOTAL INVESTMENTS)
2,541 Amsted Industries Incorporated, Delayed Term Loan, 2.000% 4/05/11 B1 (25,407)
(5) (7)
3,534 Amsted Industries Incorporated, Term Loan B 7.460% 4/05/13 B1 3,555,236
----------------------------------------------------------------------------------------------------------------------------------
6,075 Total Metals & Mining 3,529,829
----------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,995 Sears Canada Inc., Term Loan 7.249% 12/22/12 BB+ 1,998,741
----------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 2.0% (1.3% OF TOTAL INVESTMENTS)
1,485 NRG Energy Inc., Credit-Linked Deposit 7.499% 2/01/13 BB- 1,489,853
6,498 NRG Energy Inc., Term Loan 7.231% 2/01/13 BB- 6,524,470
----------------------------------------------------------------------------------------------------------------------------------
7,983 Total Multi-Utilities 8,014,323
----------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 4.3% (2.7% OF TOTAL INVESTMENTS)
800 Coffeyville Resources LLC, Letter of Credit 8.000% 7/08/11 B1 804,750
1,188 Coffeyville Resources LLC, Term Loan B 7.940% 7/08/12 B1 1,195,099
5,625 El Paso Corporation, Deposit-Funded Commitment 8.844% 11/23/09 B+ 5,642,227
27
Nuveen Floating Rate Income Opportunity Fund (JRO) (continued)
Portfolio of INVESTMENTS July 31, 2006
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS (continued)
$ 2,000 El Paso Corporation, Letter of Credit, WI/DD TBD TBD B+ $ 2,011,250
7,238 El Paso Corporation, Term Loan 8.250% 11/23/09 B+ 7,262,379
----------------------------------------------------------------------------------------------------------------------------------
16,851 Total Oil, Gas & Consumable Fuels 16,915,705
----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 5.6% (3.5% OF TOTAL INVESTMENTS)
691 Bluegrass Container Company, LLC, Delayed Draw, 0.000% 6/30/13 Ba3 3,670
1st Lien, (5)
970 Bluegrass Container Company, LLC, Delayed Draw, 0.000% 12/31/13 BB- 13,333
2nd Lien, (5)
2,309 Bluegrass Container Company, LLC, Term Loan B 7.650% 6/30/13 BB- 2,321,356
3,030 Bluegrass Container Company, LLC, Term Loan, 2nd 10.400% 12/31/13 B- 3,071,970
Lien, DD1
3,557 Boise Cascade Corporation, Term Loan D 7.200% 3/29/11 Ba3 3,567,083
7,960 Georgia-Pacific Corporation, Term Loan B 7.350% 12/20/12 BB- 7,960,295
4,000 Georgia-Pacific Corporation, Term Loan C 8.300% 12/23/13 B+ 4,039,464
1,000 White Birch Paper Company, Second Lien Term Loan 13.000% 4/08/13 CCC+ 1,012,083
----------------------------------------------------------------------------------------------------------------------------------
23,517 Total Paper & Forest Products 21,989,254
----------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.7% (0.5% OF TOTAL INVESTMENTS)
2,963 Talecris Biotherapeutics Inc., Term Loan B 8.440% 4/01/11 N/R 2,962,500
----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 6.4% (4.0% OF TOTAL INVESTMENTS)
4,791 Capital Automotive LP., Term Loan 7.100% 12/16/10 BB+ 4,796,399
9,500 LNR Property Corporation, Term Loan B 8.110% 7/12/11 B2 9,557,399
1,985 Promontory Club, First Lien Term Loan 8.150% 8/31/10 B+ 1,968,458
3,000 Promontory Club, Second Lien Term Loan 11.900% 8/31/11 B- 2,986,250
6,000 Trizec Properties Inc., Bridge Loan 6.775% 5/02/07 Ba2 5,997,189
----------------------------------------------------------------------------------------------------------------------------------
25,276 Total Real Estate Management & Development 25,305,695
----------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 1.0% (0.6% OF TOTAL INVESTMENTS)
444 Hertz Corporation, Letter of Credit 7.674% 12/21/12 Ba2 447,158
3,540 Hertz Corporation, Term Loan 7.540% 12/21/12 BB 3,561,631
----------------------------------------------------------------------------------------------------------------------------------
3,984 Total Road & Rail 4,008,789
----------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,995 Corel Corporation, First Lien Term Loan B 8.596% 5/02/12 B3 1,990,013
----------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 3.5% (2.2% OF TOTAL INVESTMENTS)
4,000 FGX International Inc., Term Loan 9.396% 12/09/12 B 4,010,000
7,000 Toys "R" Us, Inc., Term Loan 8.346% 12/09/08 B 6,969,375
3,000 Toys "R" Us, Inc., Term Loan B 9.620% 7/01/12 B 3,033,750
----------------------------------------------------------------------------------------------------------------------------------
14,000 Total Specialty Retail 14,013,125
----------------------------------------------------------------------------------------------------------------------------------
TEXTILES APPAREL & LUXURY GOODS - 3.3% (2.0% OF TOTAL INVESTMENTS)
998 Burlington Coat Factory Warehouse Corporation, 7.530% 5/28/13 B 971,393
Term Loan
11,942 Visant Holding Corporation, Term Loan C 7.068% 7/29/10 B+ 12,013,812
----------------------------------------------------------------------------------------------------------------------------------
12,940 Total Textiles Apparel & Luxury Goods 12,985,205
----------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.7% (1.1% OF TOTAL INVESTMENTS)
6,900 Ashtead Group Public Limited Company, Term Loan 6.938% 11/12/09 Ba3 6,904,613
----------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
3,000 Crown Castle International Corporation, Term Loan 7.650% 6/01/14 B2 3,016,875
----------------------------------------------------------------------------------------------------------------------------------
$ 547,051 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 541,348,092
$542,066,386)
==================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 18.0% (11.2% OF TOTAL INVESTMENTS)
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.0% (2.5% OF TOTAL INVESTMENTS)
$ 5,000 Intelsat Subsidiary Holding Company Limited, 10.385% 1/15/12 B+ $ 5,100,000
Floating Rate Note, 4.875% plus six-month LIBOR
10,000 Qwest Corporation, Floating Rate Note, 3.250% plus 8.716% 6/15/13 BB 10,750,000
three-month LIBOR, 144A
----------------------------------------------------------------------------------------------------------------------------------
15,000 Total Diversified Telecommunication Services 15,850,000
----------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 2.6% (1.6% OF TOTAL INVESTMENTS)
10,000 Stater Brothers Holdings Inc., Floating Rate Note, 8.966% 6/15/10 B+ 10,200,000
3.500% plus three-month LIBOR
----------------------------------------------------------------------------------------------------------------------------------
28
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
-------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 3.3% (2.1% OF TOTAL INVESTMENTS)
$ 3,785 MGM Grand, Inc. 9.750% 6/01/07 Ba3 $ 3,903,281
4,815 Mirage Resorts 7.250% 10/15/06 BB 4,839,075
4,440 Park Place Entertainment 8.500% 11/15/06 BBB- 4,471,773
-------------------------------------------------------------------------------------------------------------------------------
13,040 Total Hotels, Restaurants & Leisure 13,214,129
-------------------------------------------------------------------------------------------------------------------------------
MEDIA - 4.9% (3.0% OF TOTAL INVESTMENTS)
18,000 Cablevision Systems Corporation, Floating Rate 10.010% 4/01/09 B+ 19,260,000
Note, 4.500% plus six-month LIBOR, 144A
-------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.6% (0.4% OF TOTAL INVESTMENTS)
2,000 Verso Paper Holdings LLC 9.125% 8/01/14 B+ 2,010,000
-------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.3% (0.8% OF TOTAL INVESTMENTS)
5,000 Avago Technologies Finance Pte. Ltd., Floating 10.966% 6/01/13 B 5,275,000
Rate Note, 5.500% plus three-month LIBOR, 144A
-------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.3% (0.8% OF TOTAL INVESTMENTS)
3,000 Neff Rental LLC/Neff Finance Corporation, Series 11.250% 6/15/12 B- 3,255,000
144A
2,000 Penhall International Corporation, 2nd Lien Term 12.000% 8/01/14 B3 2,075,000
Loan Convertible
-------------------------------------------------------------------------------------------------------------------------------
5,000 Total Trading Companies & Distributors 5,330,000
-------------------------------------------------------------------------------------------------------------------------------
$ 68,040 TOTAL CORPORATE BONDS (COST $69,177,066) 71,139,129
===============================================================================================================================
SHARES DESCRIPTION (1) VALUE
-------------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.7% (0.5% OF TOTAL INVESTMENTS)
369,650 ING Prime Rate Trust $ 2,624,515
-------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT COMPANIES (COST $2,516,171) 2,624,515
================================================================================================================
SHARES DESCRIPTION (1) VALUE
-------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
26,182 Reliant Energy Inc. $ 170,183
-------------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $184,678) 170,183
================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
-------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.8% (3.0% OF TOTAL INVESTMENTS)
$ 19,150 Repurchase Agreement with State Street Bank, dated 4.910% 8/01/06 $ 19,150,105
7/31/06, repurchase price $19,152,717,
collateralized by $16,490,000, U.S. Treasury
Bonds, 7.250%, due 5/15/16, value $19,533,147
========== ----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $19,150,105) 19,150,105
================================================================================================================
TOTAL INVESTMENTS (COST $633,094,406) - 160.1% 634,432,024
================================================================================================================
OTHER ASSETS LESS LIABILITIES - 0.5% 1,762,482
================================================================================================================
PREFERRED SHARES, AT LIQUIDATION VALUE - (60.6)% (240,000,000)
================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 396,194,506
================================================================================================================
29
Nuveen Floating Rate Income Opportunity Fund (JRO) (continued)
Portfolio of INVESTMENTS July 31, 2006
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable
to Common shares unless otherwise noted.
(2) Senior Loans in which the Fund invests generally pay interest at rates which are
periodically adjusted by reference to a base short-term, floating lending rate plus an
assigned fixed rate. These floating lending rates are generally (i) the lending rate
referenced by the London Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate offered
by one or more major United States banks.
Senior Loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(3) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of
these mandatory prepayment conditions and because there may be significant economic
incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result,
the actual remaining maturity of Senior Loans held may be substantially less than the
stated maturities shown.
(4) Ratings (not covered by the report of independent registered public accounting firm):
Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard &
Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below
investment grade.
(5) Portion of position represents an unfunded Senior Loan commitment outstanding at July 31,
2006.
(6) At or subsequent to July 31, 2006, this issue was under the protection of the Federal
Bankruptcy Court.
(7) Negative value represents unrealized depreciation on Senior Loan commitment at July 31,
2006.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
DD1 Portion of investment purchased on a 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.
(PIK) In lieu of cash payment, interest accrued on "Payment in Kind" investment increases
principal outstanding.
See accompanying notes to financial statements.
30
Statement of
ASSETS AND LIABILITIES July 31, 2006
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $410,751,914, $1,064,203,462
and $633,094,406, respectively) $400,405,325 $1,062,943,477 $634,432,024
Receivables:
Interest 3,321,318 9,239,163 5,434,390
Investments sold 5,921,146 4,979,809 11,300,900
Other assets 83,906 46,322 19,021
---------------------------------------------------------------------------------------------------------------
Total assets 409,731,695 1,077,208,771 651,186,335
---------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Borrowings 103,000,000 -- --
Investments purchased 11,542,977 18,709,987 14,422,749
Accrued expenses:
Management fees 198,374 452,257 287,690
Interest on borrowings 468,026 -- --
Other 178,656 280,546 158,405
Preferred share dividends payable 72,726 249,360 122,985
---------------------------------------------------------------------------------------------------------------
Total liabilities 115,460,759 19,692,150 14,991,829
---------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 46,000,000 400,000,000 240,000,000
---------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $248,270,936 $ 657,516,621 $396,194,506
---------------------------------------------------------------------------------------------------------------
Common shares outstanding 29,809,917 47,286,920 28,397,051
---------------------------------------------------------------------------------------------------------------
Net asset value per Common share outstanding (net assets
applicable to
Common shares, divided by Common shares outstanding) $ 8.33 $ 13.90 $ 13.95
---------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
---------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 298,099 $ 472,869 $ 283,971
Paid-in surplus 282,966,875 667,328,897 400,573,708
Undistributed (Over-distribution of) net investment income 1,510,476 (498,871) 182,787
Accumulated net realized gain (loss) from investments and
SAMI transactions (26,157,925) (8,526,289) (6,183,578)
Net unrealized appreciation (depreciation) of investments (10,346,589) (1,259,985) 1,337,618
---------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $248,270,936 $ 657,516,621 $396,194,506
---------------------------------------------------------------------------------------------------------------
Authorized shares:
Common Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited
---------------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
31
Statement of
OPERATIONS Year Ended July 31, 2006
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
-------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends and Interest $27,642,210 $ 68,610,422 $43,204,423
Fees 597,356 659,102 588,466
-------------------------------------------------------------------------------------------------------------
Total investment income 28,239,566 69,269,524 43,792,889
-------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 3,354,750 8,768,994 5,323,567
Preferred shares - auction fees 114,022 985,878 591,985
Preferred shares - dividend disbursing agent fees 6,000 22,212 16,396
Shareholders' servicing agent fees and expenses 5,968 1,349 732
Interest expense 4,634,445 -- --
Commitment fees 355,129 -- --
Custodian's fees and expenses 151,222 457,821 284,256
Trustees' fees and expenses 6,988 22,904 13,876
Professional fees 80,340 92,106 63,773
Shareholders' reports - printing and mailing expenses 58,035 128,796 72,383
Stock exchange listing fees 11,213 25,764 10,621
Investor relations expense 39,955 131,008 70,393
Other expenses 7,716 61,330 34,180
-------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense
reimbursement 8,825,783 10,698,162 6,482,162
Custodian fee credit (760) (4,564) (2,018)
Expense reimbursement (1,100,446) (3,403,228) (1,915,291)
-------------------------------------------------------------------------------------------------------------
Net expenses 7,724,577 7,290,370 4,564,853
-------------------------------------------------------------------------------------------------------------
Net investment income 20,514,989 61,979,154 39,228,036
-------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments (586,687) (613,927) (899,739)
Net realized gain (loss) from SAMIs -- 63,959 --
Change in net unrealized appreciation (depreciation) of
investments (3,741,140) (7,633,568) (2,806,257)
Change in net unrealized appreciation (depreciation) of
SAMIs -- (46,786) --
-------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (4,327,827) (8,230,322) (3,705,996)
-------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (1,963,968) (16,418,103) (9,837,234)
-------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common
shares from operations $14,223,194 $ 37,330,729 $25,684,806
-------------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
32
Statement of
CHANGES IN NET ASSETS
FLOATING RATE FLOATING RATE
SENIOR INCOME (NSL) INCOME (JFR) INCOME OPPORTUNITY (JRO)
----------------------------- ---------------------------- -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/06 7/31/05 7/31/06 7/31/05 7/31/06 7/31/05
---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 20,514,989 $ 19,794,415 $ 61,979,154 $ 47,143,136 $ 39,228,036 $ 22,734,221
Net realized gain (loss) from
investments (586,687) 1,525,914 (613,927) 117,910 (899,739) 1,024,549
Net realized gain (loss) from
SAMIs -- -- 63,959 70,815 -- --
Change in net unrealized
appreciation (depreciation) of
investments (3,741,140) (1,775,441) (7,633,568) 4,701,658 (2,806,257) 4,143,874
Change in net unrealized
appreciation (depreciation) of
SAMIs -- -- (46,786) 39,985 -- --
Distributions to Preferred
Shareholders from net
investment income (1,963,968) (1,124,957) (16,418,103) (9,665,000) (9,837,234) (5,249,687)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares from operations 14,223,194 18,419,931 37,330,729 42,408,504 25,684,806 22,652,957
---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON
SHAREHOLDERS
From net investment income (18,614,747) (17,279,906) (47,003,199) (40,630,441) (29,277,360) (23,729,737)
---------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets
applicable to Common shares
from distributions to Common
shareholders (18,614,747) (17,279,906) (47,003,199) (40,630,441) (29,277,360) (23,729,737)
---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common shares:
Net proceeds from sale of
shares and offering costs
adjustments, net -- -- (2,399) 149,633 (2,491) 22,239,818
Net proceeds from shares
issued to shareholders due
to reinvestment of
distributions 64,606 179,443 -- 1,573,023 -- 522,315
Preferred shares offering costs
and adjustments, net -- -- (2,399) 83,802 (2,491) (5,105,746)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares from capital share
transactions 64,606 179,443 (4,798) 1,806,458 (4,982) 17,656,387
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets applicable to Common
shares (4,326,947) 1,319,468 (9,677,268) 3,584,521 (3,597,536) 16,579,607
Net assets applicable to Common
shares at the beginning of
year 252,597,883 251,278,415 667,193,889 663,609,368 399,792,042 383,212,435
---------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of year $248,270,936 $252,597,883 $657,516,621 $667,193,889 $396,194,506 $399,792,042
---------------------------------------------------------------------------------------------------------------------------------
Undistributed (Over-distribution
of) net investment income at
the end of year $ 1,510,476 $ 1,581,358 $ (498,871) $ (4,083,203) $ 182,787 $ (3,500,993)
---------------------------------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
33
Statement of
CASH FLOWS Year Ended July 31, 2006
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 $ 14,223,194 $ 37,330,729 $ 25,684,806
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 (216,501,723) (532,901,121) (312,580,270)
Proceeds from sales of investments 215,322,650 515,572,652 324,532,330
Proceeds from (Purchases of) short-term investments, net 16,633,504 49,921,336 6,073,378
Proceeds from closed SAMIs -- 62,879 --
Amortization/(Accretion) of premiums and discounts, net 936,305 2,676,402 1,884,857
(Increase) Decrease in receivable for interest (567,622) (585,763) (667,960)
(Increase) Decrease in receivable for investments sold (3,984,875) 1,634,805 (5,864,400)
(Increase) Decrease in other assets 2,218 50,616 (9,351)
Increase (Decrease) in payable for investments purchased (11,999,523) (36,861,263) (14,577,251)
Increase (Decrease) in interest on borrowings 175,972 -- --
Increase (Decrease) in accrued management fees 31,401 (9,850) (6,945)
Increase (Decrease) in accrued other liabilities (31,542) 1,643 (12,617)
Increase (Decrease) in Preferred share dividends payable 32,299 60,463 12,210
Net realized (gain) loss from investments 586,687 613,927 899,739
Net realized (gain) loss from SAMIs -- (63,959) --
Net realized (gain) loss from paydowns (7,156) 1,824,147 1,107,559
Change in net unrealized (appreciation) depreciation of
investments 3,741,140 7,633,568 2,806,257
Change in net unrealized (appreciation) depreciation of
SAMIs -- 46,786 --
Taxes paid on undistributed capital gains (42,788) -- --
-----------------------------------------------------------------------------------------------------------
Net cash provided by (used in) operating activities 18,550,141 47,007,997 29,282,342
-----------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (18,550,141) (47,003,199) (29,277,360)
Common shares offering costs adjustments -- (2,399) (2,491)
Preferred shares offering costs adjustments -- (2,399) (2,491)
-----------------------------------------------------------------------------------------------------------
Net cash provided by (used in) financing activities (18,550,141) (47,007,997) (29,282,342)
-----------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN CASH -- -- --
Cash at the beginning of year -- -- --
-----------------------------------------------------------------------------------------------------------
CASH AT THE END OF YEAR $ -- $ -- $ --
-----------------------------------------------------------------------------------------------------------
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid by Senior Income (NSL) for interest on bank borrowings during the year
ended July 31, 2006, was $4,458,473.
Non-cash financing activities not included herein consist of reinvestments of
Common share distributions of $64,606 for Senior Income (NSL).
See accompanying notes to financial statements.
34
Notes to
FINANCIAL STATEMENTS
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The funds (the "Funds") covered in this report and their corresponding Common
share New York Stock Exchange symbols are Nuveen Senior Income Fund (NSL),
Nuveen Floating Rate Income Fund (JFR) and Nuveen Floating Rate Income
Opportunity Fund (JRO). The Funds are registered under the Investment Company
Act of 1940, as amended, as closed-end management investment companies.
Each Fund seeks to provide a high level of current income by investing primarily
in senior loans whose interest rates float or adjust periodically based on a
benchmark interest rate index.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with U.S.
generally accepted accounting principles.
Investment Valuation
The prices of senior loans, bonds and other securities in the Funds' investment
portfolios, other than subordinated loans issued by middle market companies, are
generally provided by one or more independent pricing services approved by the
Funds' Board of Trustees. Floating Rate Income Opportunity (JRO) currently
expects that the independent pricing services will be unable to provide a market
based price for certain of the privately negotiated subordinated loans issued by
middle market companies. The pricing services, with input from Symphony Asset
Management, LLC ("Symphony"), an indirect wholly owned subsidiary of Nuveen, 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 or delayed delivery basis may have extended
settlement periods. Any investments so purchased are subject to market
fluctuation during this period. The Funds maintain liquid assets with a current
value at least equal to the amount of the when-issued/delayed delivery purchase
commitments. At July 31, 2006, Senior Income (NSL), Floating Rate Income (JFR)
and Floating Rate Income Opportunity (JRO) had outstanding when-issued/delayed
delivery purchase commitments of $11,542,977, $16,709,987 and $12,412,749,
respectively.
Investment Income
Dividend income is recorded on the ex-dividend date. Interest income, which
includes the amortization of premiums and accretion of discounts for financial
reporting purposes, is recorded on an accrual basis. Interest income also
includes paydown gains and losses on senior and subordinated loans. Fee income,
if any, consists primarily of amendment fees. Amendment fees are earned as
compensation for evaluating and accepting changes to the original loan agreement
and are recognized when received.
35
Notes to
FINANCIAL STATEMENTS (continued)
Professional Fees
Professional fees presented in the Statement of Operations consist of legal fees
incurred in the normal course of operations, audit fees, tax consulting fees
and, in some cases, workout expenditures. Workout expenditures are incurred in
an attempt to protect or enhance an investment, or to pursue other claims or
legal actions on behalf of Fund shareholders.
Federal Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund
intends to distribute substantially all net investment income and net capital
gains to shareholders and to otherwise comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies. Therefore, no federal income tax provision is required.
Dividends and Distributions to Common Shareholders
Distributions to Common shareholders are recorded on the ex-dividend date. The
amount and timing of distributions are determined in accordance with federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles.
Each Fund declares monthly income distributions to Common shareholders. Net
realized capital gains from investment transactions, if any, are distributed to
shareholders not less frequently than annually. Furthermore, capital gains are
distributed only to the extent they exceed available capital loss carryforwards.
Preferred Shares
Senior Income (NSL) has issued and outstanding 1,840 shares of Series TH,
Taxable Auctioned Preferred shares, $25,000 stated value per share, as a means
of effecting financial leverage. The dividend rate paid by the Fund is
determined every 28 days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period. Senior Income
(NSL) has also effected financial leverage by borrowing, as described in
footnote 8.
Floating Rate Income (JFR) has issued and outstanding 4,000 shares of each
Series M, T, W and F, FundPreferred shares, $25,000 stated value per share, as a
means of effecting financial leverage. The dividend rate paid by the Fund is
determined every seven days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period.
Floating Rate Income Opportunity (JRO) issued 3,200 shares of each Series M, TH
and F, FundPreferred shares, $25,000 stated value per share, as a means of
effecting financial leverage. The dividend rate paid by the Fund is determined
every seven days, pursuant to a dutch auction process overseen by the auction
agent, and is payable at the end of each rate period.
Select Aggregate Market Index
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) may invest
in Select Aggregate Market Indexes ("SAMI") to synthetically increase their
exposure to the senior secured loan market during a period when the Funds
otherwise would have excess uninvested cash. The SAMI is designed to replicate
the performance and risk of the CSFB Leveraged Loan Index. An investment in a
SAMI, when combined with high-grade short-term investments such as repurchase
agreements related to U.S. government securities in an amount equal to the
notional amount of the SAMI, is designed to provide an aggregate return
equivalent to an investment in a basket of senior secured bank loan debt
("Reference Obligations"), less certain costs.
Upon entering into a SAMI, the Funds may pay the counterparty a premium based on
the notional amount. The premium, if any, will be amortized over the life of the
SAMI and recorded in "Other assets" in the Statement of Assets and Liabilities.
The Funds will receive from the counterparty a fixed-rate interest payment based
on the notional amount of the contract. In exchange for the interest payment,
the Funds protect the counterparty from the risk of loss at the time of a credit
event, such as a bankruptcy or default, affecting any of the Reference
Obligations. Interest is recorded on an accrual basis and included in the
Statement of Operations. The Funds are required to provide collateral to the
counterparty based on a percentage of the notional amount of the SAMI and has
instructed the custodian to segregate liquid assets with a current value at
least equal to the remaining notional amount of the SAMI. The SAMI is valued
daily and any change in value is recorded in "Change in net unrealized
appreciation (depreciation) of SAMI." Upon termination of a SAMI, net realized
gain (loss) is recorded in "Net realized gain (loss) from SAMI." Although there
are economic advantages of entering into SAMI transactions, there are also
additional risks, including but not limited to senior loan credit risk and the
inability of the counterparty to meet its interest payment obligations. JFR did
not hold any SAMI positions as of July 31, 2006.
36
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 credits earned on the Funds' cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Organization and Offering Costs
Nuveen Investments, LLC agreed to reimburse all organization expenses
(approximately $11,500 per Fund) and pay all Common share offering costs (other
than the sales load) that exceeded $.03 per Common share for Floating Rate
Income (JFR) and Floating Rate Income Opportunity (JRO). Floating Rate Income's
(JFR) and Floating Rate Income Opportunity's (JRO) share of Common share
offering costs ($1,066,755 and $814,831, respectively) were recorded as
reductions of the proceeds from the sale of Common shares.
Costs incurred by Floating Rate Income (JFR) and Floating Rate Income
Opportunity (JRO) in connection with their offering of FundPreferred shares
($8,343,597 and $5,108,237, respectively) were recorded as a reduction to
paid-in surplus.
Indemnifications
Under the Funds' organizational documents, their Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Funds. In addition, in the normal course of business, the Funds
enter into contracts that provide general indemnifications to other parties. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds have not had prior claims or losses pursuant to
these contracts and expect the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets applicable to Common shares from operations during the
reporting period. Actual results may differ from those estimates.
2. FUND SHARES
Transactions in Common and Preferred shares were as follows:
FLOATING RATE INCOME
SENIOR INCOME (NSL) FLOATING RATE INCOME (JFR) OPPORTUNITY (JRO)
---------------------------- ---------------------------- ---------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
7/31/06 7/31/05 7/31/06 7/31/05 7/31/06 7/31/05
-----------------------------------------------------------------------------------------------------------------
Common shares:
Shares sold -- -- -- -- -- 1,553,100
Shares issued to
shareholders due
to reinvestment
of
distributions 7,631 20,084 -- 111,210 -- 36,951
-----------------------------------------------------------------------------------------------------------------
7,631 20,084 -- 111,210 -- 1,590,051
-----------------------------------------------------------------------------------------------------------------
Preferred shares sold -- -- -- -- -- 9,600
-----------------------------------------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Purchases and sales (excluding short-term investments and SAMIs) during the
fiscal year ended July 31, 2006, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
----------------------------------------------------------------------------------------------------------------
Purchases $216,501,723 $532,901,121 $312,580,270
Sales and maturities 215,322,650 515,572,652 324,532,330
----------------------------------------------------------------------------------------------------------------
37
Notes to
FINANCIAL STATEMENTS (continued)
4. INCOME TAX INFORMATION
The following information is presented on an income tax basis. Differences
between amounts for financial statement and federal income tax purposes are
primarily due to the treatment of paydown gains and losses, timing differences
in recognizing certain gains and losses on investment transactions and for
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO)
recognition of premium amortization. To the extent that differences arise that
are permanent in nature, such amounts are reclassified within the capital
accounts on the Statement of Assets and Liabilities, based on their Federal tax
basis treatment and have no impact on the net asset value of the Funds.
Temporary differences do not require reclassification.
At July 31, 2006, the cost of investments was as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Cost of investments $410,751,914 $1,067,967,343 $634,689,501
--------------------------------------------------------------------------------------------------------------------
Gross unrealized appreciation and gross unrealized depreciation of investments
at July 31, 2006, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $3,210,778 $4,516,260 $3,353,155
Depreciation (13,557,367) (9,540,126) (3,610,632)
--------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of
investments $(10,346,589) $(5,023,866) $(257,477)
--------------------------------------------------------------------------------------------------------------------
The tax components of undistributed net ordinary income and net long-term
capital gains at July 31, 2006, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Undistributed net ordinary income * $3,178,033 $7,665,614 $4,596,621
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
3, 2006, paid on August 1, 2006.
The tax character of distributions paid during the tax years ended July 31, 2006
and July 31, 2005, was designated for purposes of the dividends paid deduction
as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
2006 (NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Distributions from net ordinary income * $20,471,502 $62,698,822 $38,562,840
Distributions from net long-term capital gains ** -- -- --
--------------------------------------------------------------------------------------------------------------------
38
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
2005 (NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Distributions from net ordinary income * $18,143,299 $49,780,115 $26,710,473
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.
** The Funds designated as a long-term capital gain dividend, pursuant to the
Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the
earnings and profits of the Funds related to net capital gain to zero for the
tax year ended July 31, 2006.
At July 31, 2006, 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
--------------------------------------------------------------------------------------------------------------------
Total $25,572,036 $3,753,415 $2,181,954
--------------------------------------------------------------------------------------------------------------------
The following Funds elected to defer net realized losses from investments
incurred from November 1, 2005 through July 31, 2006 ("post-October losses") in
accordance with Federal income tax regulations. Post-October losses were treated
as having arisen on the first day of the following tax year.
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
$585,890 $4,668,296 $3,999,658
--------------------------------------------------------------------------------------------------------------------
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 Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc. ("Nuveen"), 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
--------------------------------------------------------------------------------------------------------------
39
Notes to
FINANCIAL STATEMENTS (continued)
The annual complex-level fee, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of July 31, 2006, the complex-level fee was .1875%.
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
----------------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion (2) .1400
----------------------------------------------------------------------------------------
(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
all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds in
the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level fee
rate for such complex-wide Managed Assets shall be .1400% until such time as
a different rate or rates is determined.
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 portfolio of the Funds. Symphony is compensated for its services to
the Funds from the management fee paid to the Adviser.
The Funds pay no compensation directly to those of its Trustees who are
affiliated with the Adviser or to their 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.
40
The Adviser has not agreed to reimburse Senior Income (NSL) for any portion of
its fees and expenses beyond October 31, 2009.
For the first eight years of Floating Rate Income's (JFR) operations, the
Adviser has agreed to reimburse the Fund, as a percentage of average daily
Managed Assets, for fees and expenses in the amounts and for the time periods
set forth below:
YEAR ENDING YEAR ENDING
MARCH 31, MARCH 31,
---------------------------------------------------------------------------------------
2004 * .32% 2009 .32%
2005 .32 2010 .24
2006 .32 2011 .16
2007 .32 2012 .08
2008 .32
---------------------------------------------------------------------------------------
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income (JFR) for any
portion of its fees and expenses beyond March 31, 2012.
For the first eight years of Floating Rate Income Opportunity's (JRO)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily Managed Assets, for fees and expenses in the amounts and for the
time periods set forth below:
YEAR ENDING YEAR ENDING
JULY 31, JULY 31,
---------------------------------------------------------------------------------------
2004 * .30% 2009 .30%
2005 .30 2010 .22
2006 .30 2011 .14
2007 .30 2012 .07
2008 .30
---------------------------------------------------------------------------------------
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO)
for any portion of its fees and expenses beyond July 31, 2012.
6. COMMITMENTS
Pursuant to the terms of certain of the variable rate senior loan agreements,
the Funds may have unfunded senior loan commit-ments. Each Fund will maintain
with the custodian, cash, liquid securities and/or liquid senior loans having an
aggregate value at least equal to the amount of unfunded senior loan
commitments. At July 31, 2006, Senior Income (NSL), Floating Rate Income (JFR)
and Floating Rate Income Opportunity (JRO) had unfunded senior loan commitments
of $3,218,249, $4,592,281 and $5,489,301, 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.
Senior Income (NSL) had the following participation commitments outstanding at
July 31, 2006:
COMMITMENT
COUNTERPARTY AMOUNT VALUE
-------------------------------------------------------------------------------------------------------
Bear, Stearns & Co., Inc. $2,000,000 $1,898,043
Morgan Stanley 1,640,000 1,556,395
-------------------------------------------------------------------------------------------------------
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had no
such participation commitments outstanding at July 31, 2006.
8. BORROWINGS
In accordance with Senior Income's (NSL) current investment policies, the Fund
may utilize financial leverage for investment purposes in an amount currently
anticipated to represent approximately 40% of the Fund's total assets, and in no
event exceeding 50% of the Fund's total assets.
Senior Income (NSL) has entered into a commercial paper program ($110 million
maximum) with Bank One's conduit financing agency, Falcon Asset Securitization
Corp. ("Falcon"), whose sole purpose is the issuance of high grade commercial
paper. Falcon uses the proceeds to makes advances to Senior Income (NSL) and to
many other borrowers who comprise Falcon's total borrowing base. For the fiscal
year ended July 31, 2006, the average daily balance of borrowings under the
commercial paper program agreement was $103 million. The average annualized
interest rate for funding and program usage fees on such borrowings was 4.50%.
41
Notes to
FINANCIAL STATEMENTS (continued)
Senior Income (NSL) has also entered into a $110 million liquidity facility. If
the facility is utilized, interest on the borrowings would be charged a variable
interest rate. An unused commitment fee of .095% on 102% of the unused portion
of the $110 million facility is charged. There were no borrowings under the
revolving credit agreement during the fiscal year ended July 31, 2006.
9. NEW ACCOUNTING PRONOUNCEMENT
Financial Accounting Standards Board Interpretation No. 48
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 Accounting for Uncertainty in Income Taxes (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Fund's tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. At this time, management is
evaluating the implications of FIN 48 and does not expect the adoption of FIN 48
will have a significant impact on the net assets or results of operations of the
Funds.
10. SUBSEQUENT EVENT
Distributions to Common Shareholders
The Funds declared Common share dividend distributions from their net investment
income which was paid on September 1, 2006, to shareholders of record on August
15, 2006, as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Dividend per share $.0535 $.0900 $.0950
--------------------------------------------------------------------------------------------------------------------
42
Financial
HIGHLIGHTS
43
Financial
HIGHLIGHTS
Selected data for a Common share outstanding throughout each period:
Investment Operations
----------------------------------------------------------------
Distributions
from Net Distributions
Beginning Investment from Capital
Common Net Income to Gains to
Share Net Realized/ Preferred Preferred
Net Asset Investment Unrealized Share- Share-
Value Income(a) Gain (Loss) holders+ holders+ Total
----------------------------------------------------------------------------------------------------
SENIOR INCOME (NSL)
----------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006 $ 8.48 $ .69 $ (.15) $ (.07) $ -- $0.47
2005 8.44 .66 -- (.04) -- .62
2004 7.84 .64 .50 (.02) -- 1.12
2003 7.38 .60 .41 (.02) -- .99
2002 8.13 .68 (.71) (.04) -- (.07)
FLOATING RATE INCOME (JFR)
----------------------------------------------------------------------------------------------------
Year Ended 7/31:
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:
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:
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
2002 (.68) -- (.68) -- 7.38 7.20
FLOATING RATE INCOME
---------------------
Year Ended 7/31:
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
---------------------
Year Ended 7/31:
2006 (1.03) -- (1.03) -- 13.95 13.30
2005 (.84) -- (.84) (.18) 14.08 13.41
2004(c) -- -- -- (.03) 14.30 15.01
---------------------
Preferred Stock at End of Period Borrowings at End of Period
------------------------------------------------------- ----------------------------------
Aggregate Aggregate
Amount Liquidation Asset Amount Asset
Outstanding and Market Coverage Outstanding Coverage
(000) Value Per Share Per Share (000) Per $1,000
--------------------------------------------------------------------------------------------------------------
SENIOR INCOME (NSL)
--------------------------------------------------------------------------------------------------------------
Year Ended
7/31:
2006 $ 46,000 $ 25,000 $ 159,930 $ 103,000 $ 3,857
2005 46,000 25,000 162,281 103,000 3,899
2004 46,000 25,000 161,564 103,000 3,886
2003(d) 46,000 25,000 151,750 103,000 3,711
2002(d) 46,000 25,000 144,271 103,000 3,577
FLOATING RATE INCOME (JFR)
--------------------------------------------------------------------------------------------------------------
Year Ended
7/31:
2006 400,000 25,000 66,095 -- --
2005 400,000 25,000 66,700 -- --
2004(b) 400,000 25,000 66,476 -- --
FLOATING RATE INCOME OPPORTUNITY (JRO)
--------------------------------------------------------------------------------------------------------------
Year Ended
7/31:
2006 240,000 25,000 66,270 -- --
2005 240,000 25,000 66,645 -- --
2004(c) -- -- -- -- --
--------------------------------------------------------------------------------------------------------------
44
Ratios/Supplemental Data
----------------------------------------------------------------------------------------
Total Returns Before Credit/Reimbursement After Credit/Reimbursement***
----------------- ---------------------------- ------------------------------
Ratio of Net Ratio of Net
Based Ratio of Investment Ratio of Investment
on Expenses Income to Expenses Income to
Common Ending Net to Average Average to Average Average
Based Share Assets Net Assets Net Assets Net Assets Net Assets
on Net Applicable Applicable Applicable Applicable Applicable Portfolio
Market Asset to Common to Common to Common to Common to Common Turnover
Value** Value** Shares (000) Shares++ Shares++ Shares++ Shares++ Rate
-----------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------
(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
(21.16) (.65) 219,459 3.12 8.20 2.37 8.95 64
-----------------------------------------------------------------------------------------------------------------
3.70 5.72 657,517 1.61 8.83 1.10 9.34 50
(1.99) 6.56 667,194 1.60 6.56 1.09 7.07 74
.40 (.39) 663,609 1.37* 2.46* .93* 2.90* 14
-----------------------------------------------------------------------------------------------------------------
7.32 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* --
-----------------------------------------------------------------------------------------------------------------
---
---
---
---
---
* 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. 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. Total returns are not
annualized.
*** After custodian fee credit and expense reimbursement
from the Adviser, where applicable.
+ The amounts shown are based on Common share
equivalents.
++ - Ratios do not reflect the effect of dividend
payments to Preferred shareholders.
- Income ratios reflect income earned on assets
attributable to Preferred shares and bank
borrowings, where applicable.
- With respect to Senior Income (NSL), each ratio
includes the effect of the interest expense paid
on bank borrowings as follows:
Ratio of Interest
Expense to Average
Net Assets Applicable to
Common Shares
---------------------------------
2006 1.85%
2005 1.00
2004 .48
2003 .74
2002 1.09
(a) Per share Net Investment Income is calculated using the average daily
shares method.
(b) For the period March 25, 2004 (commencement of operations) through July
31, 2004.
(c) For the period July 27, 2004 (commencement of operations) through July 31,
2004.
(d) Unaudited.
See accompanying notes to financial statements.
45
Board Members
AND OFFICERS
The management of the Funds, including general supervision of the duties
performed for the Funds by the Adviser, is the responsibility of the Board
Members of the Funds. The number of board members of the Fund is currently set
at nine. None of the board members who are not "interested" persons of the Funds
has ever been a director or employee of, or consultant to, Nuveen or its
affiliates. The names and business addresses of the board members and officers
of the Funds, their principal occupations and other affiliations during the past
five years, the number of portfolios each oversees and other directorships they
hold are set forth below.
NUMBER OF PORTFOLIOS
PRINCIPAL OCCUPATION(S) IN FUND COMPLEX
NAME, BIRTHDATE POSITION(S) HELD YEAR FIRST ELECTED INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY
AND ADDRESS WITH THE FUNDS OR APPOINTED(2) DURING PAST 5 YEARS BOARD MEMBER
-------------------------------------------------------------------------------------------------------------------------------
BOARD MEMBER WHO IS AN INTERESTED PERSON OF THE FUNDS:
-------------------------------------------------------------------------------------------------------------------------------
Timothy R. Chairman of 1994 Chairman (since 1996) and Director 167
Schwertfeger(1) the Board of Nuveen Investments, Inc., Nuveen
3/28/49 and Board Member Investments, LLC, Nuveen Advisory
333 W. Wacker Drive Corp. and Nuveen Institutional
Chicago, IL 60606 Advisory Corp.(3); formerly,
Director (1996-2006) of
Institutional Capital Corporation;
Chairman and Director (since 1997)
of Nuveen Asset Management;
Chairman and Director of
Rittenhouse Asset Management, Inc.
(since 1999); Chairman of Nuveen
Investments Advisers Inc. (since
2002).
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS:
-------------------------------------------------------------------------------------------------------------------------------
Robert P. Bremner Lead Independent 1997 Private Investor and Management 167
8/22/40 Board member Consultant.
333 W. Wacker Drive
Chicago, IL 60606
-------------------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown Board member 1993 Retired (since 1989) as Senior Vice 167
7/29/34 President of The Northern Trust
333 W. Wacker Drive Company; Director (since 2002)
Chicago, IL 60606 Community Advisory Board for
Highland Park and Highwood, United
Way of the North Shore.
-------------------------------------------------------------------------------------------------------------------------------
Jack B. Evans Board member 1999 President, The Hall-Perrine 167
10/22/48 Foundation, a private philanthropic
333 W. Wacker Drive corporation (since 1996); Director
Chicago, IL 60606 and Vice Chairman, United Fire
Group, a publicly held company;
Adjunct Faculty Member, University
of Iowa; Director, Gazette
Companies; Life Trustee of Coe
College and Iowa College
Foundation; formerly, Director,
Alliant Energy; formerly, Director,
Federal Reserve Bank of Chicago;
formerly, President and Chief
Operating Officer, SCI Financial
Group, Inc., a regional financial
services firm.
-------------------------------------------------------------------------------------------------------------------------------
William C. Hunter Board member 2004 Dean, Tippie College of Business, 167
3/6/48 University of Iowa (since June
333 W. Wacker Drive 2006); formerly, Dean and
Chicago, IL 60606 Distinguished Professor of Finance,
School of Business at the
University of Connecticut
(2003-2006); previously, Senior
Vice President and Director of
Research at the Federal Reserve
Bank of Chicago (1995-2003);
Director (since 1997), Credit
Research Center at Georgetown
University; Director (since 2004)
of Xerox Corporation; Director,
SS&C Technologies, Inc. (May 2005-
October 2005).
-------------------------------------------------------------------------------------------------------------------------------
David J. Kundert Board member 2005 Retired (since 2004) as Chairman, 165
10/28/42 JPMorgan Fleming Asset Management,
333 W. Wacker Drive President and CEO, Banc One
Chicago, IL 60606 Investment Advisors Corporation,
and President, One Group Mutual
Funds; prior thereto, Executive
Vice President, Banc One
Corporation and Chairman and CEO,
Banc One Investment Management
Group; Board of Regents, Luther
College; member of the Wisconsin
Bar Association; member of Board of
Directors, Friends of Boerner
Botanical Gardens.
46
NUMBER OF PORTFOLIOS
PRINCIPAL OCCUPATION(S) IN FUND COMPLEX
NAME, BIRTHDATE POSITION(S) HELD YEAR FIRST ELECTED INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY
AND ADDRESS WITH THE FUNDS OR APPOINTED(2) DURING PAST 5 YEARS BOARD MEMBER
-------------------------------------------------------------------------------------------------------------------------------
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS (CONTINUED):
-------------------------------------------------------------------------------------------------------------------------------
William J. Schneider Board member 1997 Chairman of Miller-Valentine 167
9/24/44 Partners Ltd., a real estate
333 W. Wacker Drive investment company; formerly,
Chicago, IL 60606 Senior Partner and Chief Operating
Officer (retired, 2004), of
Miller-Valentine Group; formerly,
Vice President, Miller-Valentine
Realty; Board Member, Chair of the
Finance Committee and member of the
Audit Committee of Premier Health
Partners, the not-for-profit
company of Miami Valley Hospital;
Vice President, Dayton Philharmonic
Orchestra Association; Board
Member, Regional Leaders Forum,
which promotes cooperation on
economic development issues;
Director, Dayton Development
Coalition; formerly, Member,
Community Advisory Board, National
City Bank, Dayton, Ohio and
Business Advisory Council,
Cleveland Federal Reserve Bank.
-------------------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale Board member 1997 Executive Director, Gaylord and 167
12/29/47 Dorothy Donnelley Foundation (since
333 W. Wacker Drive 1994); prior thereto, Executive
Chicago, IL 60606 Director, Great Lakes Protection
Fund (from 1990 to 1994).
-------------------------------------------------------------------------------------------------------------------------------
Eugene S. Sunshine Board member 2005 Senior Vice President for Business 167
1/22/50 and Finance, Northwestern
333 W. Wacker Drive University (since 1997); Director
Chicago, IL 60606 (since 2003), Chicago Board Options
Exchange; formerly, Director (2003-
2006), National Mentor Holdings, a
privately-held, national provider
of home and community-based
services; Chairman (since 1997),
Board of Directors, Rubicon, a pure
captive insurance company owned by
Northwestern University; Director
(since 1997), Evanston Chamber of
Commerce and Evanston Inventure, a
business development organization.
NUMBER OF PORTFOLIOS
NAME, BIRTHDATE POSITION(S) HELD YEAR FIRST ELECTED PRINCIPAL OCCUPATION(S) IN FUND COMPLEX
AND ADDRESS WITH THE FUNDS OR APPOINTED(4) DURING PAST 5 YEARS OVERSEEN BY OFFICER
-------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS:
-------------------------------------------------------------------------------------------------------------------------------
Gifford R. Zimmerman Chief 1988 Managing Director (since 2002), 167
9/9/56 Administrative Assistant Secretary and Associate
333 W. Wacker Drive Officer General Counsel, formerly, Vice
Chicago, IL 60606 President and Assistant General
Counsel, of Nuveen Investments,
LLC; Managing Director (2002-2004),
General Counsel (1998-2004) and
Assistant Secretary, formerly, Vice
President of Nuveen Advisory Corp.
and Nuveen Institutional Advisory
Corp.(3); Managing Director (since
2002) and Assistant Secretary and
Associate General Counsel,
formerly, Vice President (since
1997), of Nuveen Asset Management;
Managing Director (since 2004) and
Assistant Secretary (since 1994) of
Nuveen Investments, Inc.; Assistant
Secretary of NWQ Investment
Management Company, LLC. (since
2002); Vice President and Assistant
Secretary of Nuveen Investments
Advisers Inc. (since 2002);
Managing Director, Associate
General Counsel and Assistant
Secretary of Rittenhouse Asset
Management, Inc. and Symphony Asset
Management LLC (since 2003);
Assistant Secretary of Tradewinds
NWQ Global Investors, LLC, (since
2006); Chartered Financial Analyst.
47
Board Members
AND OFFICERS (CONTINUED)
NUMBER OF PORTFOLIOS
NAME, BIRTHDATE POSITION(S) HELD YEAR FIRST ELECTED PRINCIPAL OCCUPATION(S) IN FUND COMPLEX
AND ADDRESS WITH THE FUNDS OR APPOINTED(4) DURING PAST 5 YEARS OVERSEEN BY OFFICER
-------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUND (CONTINUED):
-------------------------------------------------------------------------------------------------------------------------------
Julia L. Antonatos Vice President 2004 Managing Director (since 2005), 167
9/22/63 formerly Vice President (since
333 W. Wacker Drive 2002); formerly, Assistant Vice
Chicago, IL 60606 President (since 2000) of Nuveen
Investments, LLC; Chartered
Financial Analyst.
-------------------------------------------------------------------------------------------------------------------------------
Michael T. Atkinson Vice President 2000 Vice President (since 2002), 167
2/3/66 and Assistant formerly, Assistant Vice President
333 W. Wacker Drive Secretary (since 2000) of Nuveen Investments,
Chicago, IL 60606 LLC.
-------------------------------------------------------------------------------------------------------------------------------
Peter H. D'Arrigo Vice President 1999 Vice President and Treasurer of 167
11/28/67 Nuveen Investments, LLC and of
333 W. Wacker Drive Nuveen Investments, Inc. (since
Chicago, IL 60606 1999); Vice President and Treasurer
of Nuveen Asset Management (since
2002) and of Nuveen Investments
Advisers Inc. (since 2002);
Assistant Treasurer of NWQ
Investment Management Company, LLC.
(since 2002); Vice President and
Treasurer of Nuveen Rittenhouse
Asset Management, Inc. and Symphony
Asset Management LLC (since 2003);
Treasurer, Tradewinds NWQ Global
Investors, LLC (since 2006);
formerly, Vice President and
Treasurer (1999-2004) of Nuveen
Advisory Corp. and Nuveen
Institutional Advisory Corp.(3);
Chartered Financial Analyst.
-------------------------------------------------------------------------------------------------------------------------------
John N. Desmond Vice President 2005 Vice President, Director of 167
8/24/61 Investment Operations, Nuveen
333 W. Wacker Drive Investments, LLC (since January
Chicago, IL 60606 2005); formerly, Director, Business
Manager, Deutsche Asset Management
(2003- 2004), Director, Business
Development and Transformation,
Deutsche Trust Bank Japan
(2002-2003); previously, Senior
Vice President, Head of Investment
Operations and Systems, Scudder
Investments Japan, (2000-2002),
Senior Vice President, Head of Plan
Administration and Participant
Services, Scudder Investments
(1995-2002).
-------------------------------------------------------------------------------------------------------------------------------
Jessica R. Droeger Vice President 1998 Vice President (since 2002), 167
9/24/64 and Secretary Assistant Secretary and Assistant
333 W. Wacker Drive General Counsel (since 1998)
Chicago, IL 60606 formerly, Assistant Vice President
(since 1998) of Nuveen Investments,
LLC; Vice President (2002-2004) and
Assistant Secretary (1998-2004)
formerly, Assistant Vice President
of Nuveen Advisory Corp. and Nuveen
Institutional Advisory Corp.(3);
Vice President and Assistant
Secretary (since 2005) of Nuveen
Asset Management.
-------------------------------------------------------------------------------------------------------------------------------
Lorna C. Ferguson Vice President 1998 Managing Director (since 2004), 167
10/24/45 formerly, Vice President of Nuveen
333 W. Wacker Drive Investments, LLC, Managing Director
Chicago, IL 60606 (2004) formerly, Vice President
(1998-2004) of Nuveen Advisory
Corp. and Nuveen Institutional
Advisory Corp.(3); Managing
Director (since 2005) of Nuveen
Asset Management.
-------------------------------------------------------------------------------------------------------------------------------
William M. Fitzgerald Vice President 1995 Managing Director (since 2002), 167
3/2/64 333 formerly, Vice President of Nuveen
W. Wacker Drive Investments; Managing Director
Chicago, IL 60606 (1997-2004) of Nuveen Advisory
Corp. and Nuveen Institutional
Advisory Corp.(3); Managing
Director (since 2001) of Nuveen
Asset Management; Vice President
(since 2002) of Nuveen Investments
Advisers Inc.; Chartered Financial
Analyst.
48
NUMBER OF PORTFOLIOS
NAME, BIRTHDATE POSITION(S) HELD YEAR FIRST ELECTED PRINCIPAL OCCUPATION(S) IN FUND COMPLEX
AND ADDRESS WITH THE FUNDS OR APPOINTED(4) DURING PAST 5 YEARS OVERSEEN BY OFFICER
-------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUND (CONTINUED):
-------------------------------------------------------------------------------------------------------------------------------
Stephen D. Foy Vice President 1998 Vice President (since 1993) and 167
5/31/54 and Controller Funds Controller (since 1998) of
333 W. Wacker Drive Nuveen Investments, LLC; formerly,
Chicago, IL 60606 Vice President and Funds Controller
(1998-2004) of Nuveen Investments,
Inc.; Certified Public Accountant.
-------------------------------------------------------------------------------------------------------------------------------
David J. Lamb Vice President 2000 Vice President (since 2000) of 167
3/22/63 Nuveen Investments, LLC; Certified
333 W. Wacker Drive Public Accountant.
Chicago, IL 60606
-------------------------------------------------------------------------------------------------------------------------------
Tina M. Lazar Vice President 2002 Vice President of Nuveen 167
8/27/61 Investments, LLC (since 1999).
333 W. Wacker Drive
Chicago, IL 60606
-------------------------------------------------------------------------------------------------------------------------------
Larry W. Martin Vice President 1988 Vice President, Assistant Secretary 167
7/27/51 and Assistant and Assistant General Counsel of
333 W. Wacker Drive Secretary Nuveen Investments, LLC; formerly,
Chicago, IL 60606 Vice President and Assistant
Secretary of Nuveen Advisory Corp.
and Nuveen Institutional Advisory
Corp.(3); Vice President (since
2005) and Assistant Secretary of
Nuveen Investments, Inc.; Vice
President (since 2005) and
Assistant Secretary (since 1997) of
Nuveen Asset Management; Vice
President (since 2000), Assistant
Secretary and Assistant General
Counsel (since 1998) of Rittenhouse
Asset Management, Inc.; Vice
President and Assistant Secretary
of Nuveen Investments Advisers Inc.
(since 2002); Assistant Secretary
of NWQ Investment Management
Company, LLC (since 2002), Symphony
Asset Management LLC (since 2003)
and Tradewinds NWQ Global
Investors, LLC (since 2006).
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the
Investment Company Act of 1940, because he is an officer and board member of
the Adviser.
(2) Board members serve an indefinite term until his/her successor is elected.
The year first elected or appointed represents the year in which the board
member was first elected or appointed to any fund in the Nuveen Complex.
(3) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. were
reorganized into Nuveen Asset Management, effective January 1, 2005.
(4) Officers serve one year terms through July of each year. The year first
elected or appointed represents the year in which the Officer was first
elected or appointed to any fund in the Nuveen Complex.
49
Annual Investment
MANAGEMENT AGREEMENT APPROVAL PROCESS
The Board of Trustees is responsible for overseeing the performance of the
investment adviser to the Funds and determining whether to continue the advisory
arrangements. At a meeting held on May 23-25, 2006 (the "May Meeting"), the
Board of Trustees of the Funds, including the independent Trustees, unanimously
approved the continuance of the Investment Management Agreement between each
Fund and NAM and the Sub-Advisory Agreement between NAM and Symphony (the
"Sub-Adviser"). NAM and the Sub-Adviser are each a "Fund Adviser."
THE APPROVAL PROCESS
During the course of the year, the Board received a wide variety of materials
relating to the services provided by the Fund Advisers and the performance of
each Fund. To assist the Board in its evaluation of the advisory contract with a
Fund Adviser at the May Meeting, the independent Trustees received extensive
materials in advance of their meeting which outlined, among other things:
- the nature, extent and quality of services provided by the Fund Adviser;
- the organization and business operations of the Fund Adviser, including
the responsibilities of various departments and key personnel;
- the Fund's past performance, the Fund's performance compared to funds of
similar investment objectives compiled by an independent third party and
with recognized and/or customized benchmarks (as appropriate);
- the profitability of the Fund Adviser and certain industry profitability
analyses for unaffiliated advisers;
- the expenses of the Fund Adviser in providing the various services;
- the advisory fees (gross and net management fees) and total expense ratios
of the Fund, including comparisons of such fees and expenses with those of
comparable, unaffiliated funds based on information and data provided by
Lipper (the "Peer Universe") as well as compared to a subset of funds
within the Peer Universe (the "Peer Group") to the respective Fund (as
applicable);
- the advisory fees the Fund Adviser assesses to other types of investment
products or clients;
- the soft dollar practices of the Fund Adviser, if any; and
- from independent legal counsel, a legal memorandum describing, among other
things, the duties of the Trustees under the Investment Company Act of
1940 (the "1940 Act") as well as the general principles of relevant state
law in reviewing and approving advisory contracts; the requirements of the
1940 Act in such matters; an adviser's fiduciary duty with respect to
advisory agreements and compensation; the standards used by courts in
determining whether investment company boards of directors have fulfilled
their duties; and factors to be considered by the Board in voting on
advisory agreements.
At the May Meeting, NAM made a presentation to and responded to questions from
the Board. After the presentations and after reviewing the written materials,
the independent Trustees met privately with their legal counsel to review the
Board's duties in reviewing advisory contracts and consider the renewal of the
advisory contracts. It is with this background that the Trustees considered each
advisory contract (which includes the Sub-Advisory Agreements) with the
respective Fund Adviser. The independent Trustees, in consultation with
independent counsel, reviewed the factors set out in judicial decisions and SEC
directives relating to the renewal of advisory contracts. As outlined in more
detail below, the Trustees considered all factors they believed relevant with
respect to each Fund, including the following: (a) the nature, extent and
quality of the services to be provided by the Fund Adviser; (b) the investment
performance of the Fund and the Fund Adviser; (c) the costs of the services to
be provided and profitability of the Fund Adviser and its affiliates; (d) the
extent to which economies of scale would be realized as the Fund grows; and (e)
whether fee levels reflect these economies of scale for the benefit of Fund
investors.
A. NATURE, EXTENT AND QUALITY OF SERVICES
In reviewing the Fund Advisers, the Trustees considered the nature, extent and
quality of the respective Fund Adviser's services. The Trustees reviewed
materials outlining, among other things, the Fund Adviser's organization and
business; the types of services that the Fund Adviser or its affiliates provide
and are expected to provide to the Funds; the performance record of the
applicable Fund (as described in further detail below); and any initiatives
Nuveen has taken for its fund product line. In connection with their continued
service as Trustees, the Trustees also have a good understanding of each Fund
Adviser's organization, operations and personnel. In this regard, the Trustees
are familiar with and have evaluated the professional experience, qualifications
and credentials of the Fund Adviser's personnel. With respect to the
Sub-Adviser, the Trustees also received and reviewed an evaluation of the
Sub-Adviser from NAM. Such evaluation outlined, among other things, the
Sub-Adviser's organizational history,
50
client base, product mix, investment team and any changes thereto, investment
process and any changes to its investment strategy, the Fund's investment
objectives and performance (as applicable). The Trustees noted that NAM
recommended the renewal of the Sub-Advisory Agreements and considered the basis
for such recommendation and any qualifications in connection therewith. Given
the Trustees' experience with the Funds (including any other Nuveen funds
advised by a Fund Adviser) and each Fund Adviser, the Trustees recognized and
considered the quality of their investment processes in making portfolio
management decisions as well as any refinements or improvements thereto. In this
regard, the Trustees considered the continued quality of the Fund Adviser's
investment process in making portfolio management decisions as well as any
additional refinements and improvements adopted to the portfolio management
processes.
In addition to advisory services, the independent Trustees considered the
quality of any administrative or non-advisory services provided. With respect to
the Sub-Adviser, the independent Trustees noted that the Sub-Advisory Agreements
were essentially agreements for portfolio management services only and the
Sub-Adviser was not expected to supply other significant administrative services
to the Funds.
With respect to NAM, NAM provides the Funds with such administrative and other
services (exclusive of, and in addition to, any such services provided by others
for the Funds) and officers and other personnel as are necessary for the
operations of the respective Fund. In connection with the review of the
Investment Management Agreement, the Trustees considered the extent and quality
of these other services which include, among other things, providing: product
management (e.g., product positioning, performance benchmarking, risk
management); fund administration (e.g., daily net asset value pricing and
reconciliation, tax reporting, fulfilling regulatory filing requirements);
oversight of third party service providers; administration of board relations
(e.g., organizing board meetings and preparing related materials); compliance
(e.g., monitoring compliance with investment policies and guidelines and
regulatory requirements); and legal support (e.g., helping prepare and file
registration statements, amendments thereto, proxy statements and responding to
regulatory requests and/or inquiries). As the Funds operate in a highly
regulated industry and given the importance of compliance, the Trustees
considered, in particular, the additions of experienced personnel to the
compliance teams and the enhancements to technology and related systems to
support the compliance activities for the Funds (including a new reporting
system for quarterly portfolio holdings). In addition to the above, because the
Funds utilize a Sub-Adviser, the Trustees also considered NAM's ability and
procedures to monitor the Sub-Adviser's performance, business practices and
compliance policies and procedures. In this regard, the Trustees noted the
enhancements in the investment oversight process, including increased site
visits and departments participating in investment oversight.
In addition to the foregoing, the Trustees also noted the additional services
that the Fund Adviser or its affiliates provide to closed-end funds, including,
in particular, secondary market support activities. The Trustees recognized
Nuveen's continued commitment to supporting the secondary market for the common
shares of its closed-end funds through a variety of initiatives designed to
raise investor and analyst awareness and understanding of closed-end funds.
These efforts include providing advertising and other media relations programs,
continued contact with analysts, maintaining and enhancing its website for
closed-end funds, and targeted advisor communication programs. With respect to
Funds that utilize leverage through the issuance of preferred shares, the
Trustees noted Nuveen's continued support for the preferred shares by
maintaining, among other things, an in-house preferred trading desk; designating
a product manager whose responsibilities include creating and disseminating
product information and managing relations in connection with the preferred
share auction; and maintaining systems necessary to test compliance with rating
agency requirements.
Based on their review, the Trustees found that, overall, the nature, extent and
quality of services provided (and expected to be provided) to the respective
Funds under the Investment Management Agreement or Sub-Advisory Agreement, as
applicable, were of a high level and were satisfactory.
B. THE INVESTMENT PERFORMANCE OF THE FUND AND FUND ADVISERS
The Board considered the investment performance for each Fund, including the
Fund's historic performance as well as its performance compared to funds with
similar investment objectives identified by an independent third party (the
"Performance Peer Group") and recognized and/or customized benchmarks (as
applicable). In evaluating the performance information, in certain instances,
the Trustees noted that the closest Performance Peer Group for a Fund still may
not adequately reflect such Fund's investment objectives, strategies and
portfolio duration, thereby limiting the usefulness of the comparisons of such
Fund's performance with that of the Performance Peer Group (such as, the Nuveen
Diversified Dividend and Income Fund, Nuveen Preferred and Convertible Income
Fund, Nuveen Preferred and Convertible Income Fund 2, Nuveen Tax-Advantaged
Floating Rate Fund, and Nuveen Real Estate Income Fund).
In reviewing performance, the Trustees reviewed performance information
including, among other things, total return information compared with the Fund's
Performance Peer Group as well as recognized and/or customized benchmarks (as
appropriate) for the one-, three- and five-year periods (as applicable) ending
December 31, 2005. This information supplements the Fund performance information
provided to the Board at each of their quarterly meetings. Based on their
review, the Trustees determined that the respective Fund's absolute and relative
investment performance over time had been satisfactory.
C. FEES, EXPENSES AND PROFITABILITY
1. FEES AND EXPENSES
In evaluating the management fees and expenses of a Fund, the Board reviewed,
among other things, the Fund's advisory fees (net and gross management fees)
and total expense ratios (before and after expense reimbursements and/or
waivers) in absolute terms as well as comparisons to the gross management fees
(before waivers), net management fees (after waivers) and total expense ratios
(before and after waivers) of comparable funds in the Peer Universe and the
Peer Group. The Trustees reviewed data regarding the construction of Peer
Groups as well as the methods of measurement for the fee and expense
51
Annual Investment
MANAGEMENT AGREEMENT APPROVAL PROCESS (continued)
analysis and the performance analysis. In certain cases, due to the small
number of peers in the Peer Universe, the Peer Universe and the Peer Group may
be the same. Further, the Trustees recognized that in certain cases the
closest Peer Universe and/or Peer Group may not adequately reflect the Fund's
investment objectives and strategies limiting the usefulness of comparisons.
In reviewing comparisons, the Trustees also considered the size of the Peer
Universe and/or Peer Group, the composition of the Peer Group (including
differences in the use of leverage) as well as differing levels of fee waivers
and/or expense reimbursements. In this regard, the Trustees considered the
fund-level and complex-wide breakpoint schedules (described in further detail
below) and any fee waivers and reimbursements provided by Nuveen (applicable,
in particular, for certain funds launched since 1999). Based on their review
of the fee and expense information provided, the Trustees determined that each
Fund's net total expense ratio was within an acceptable range compared to
peers.
2. COMPARISONS WITH THE FEES OF OTHER CLIENTS
The Trustees further reviewed data comparing the advisory fees of NAM with
fees NAM charges to other clients (such as separate managed accounts and
funds that are not offered by Nuveen Investments but are sub-advised by one
of Nuveen's investment management teams). In general, the advisory fees
charged for separate accounts are somewhat lower than the advisory fees
assessed to the Funds. The Trustees recognized that the differences in fees
are attributable to a variety of factors, including the differences in
services provided, product distribution, portfolio investment policies,
investor profiles, account sizes and regulatory requirements. The Trustees
noted, in particular, that the range of services provided to the Funds is
more extensive than that provided to managed separate accounts. As described
in further detail above, such additional services include, but are not
limited to, providing: product management, fund administration, oversight of
third party service providers, administration of board relations, and legal
support. Funds further operate in a highly regulated industry requiring
extensive compliance functions compared to the other investment products. In
addition to the costs of the additional services, administrative costs may
also be greater for funds as the average account size for separate accounts
is notably larger than the retail accounts of funds. Given the differences in
the product structures, particularly the extensive services provided to
closed-end funds, the Trustees believe such facts justify the different
levels of fees.
In considering the advisory fees of the Sub-Adviser, the Trustees also
considered the pricing schedule that the Sub-Adviser charges for similar
investment management services for other sponsors or clients. With respect to
Symphony, the Trustees reviewed the generally higher fees for hedge funds and
accounts it manages, which includes performance fees.
3. PROFITABILITY OF FUND ADVISERS
In conjunction with its review of fees, the Trustees also considered the
profitability of Nuveen Investments for advisory activities (which
incorporated Nuveen's wholly-owned affiliated sub-advisers). The Trustees
reviewed data comparing Nuveen's profitability with other fund sponsors
prepared by three independent third party service providers as well as
comparisons of the revenues, expenses and profits margins of various
unaffiliated management firms with similar amounts of assets under management
prepared by Nuveen. The Trustees further reviewed the 2005 Annual Report for
Nuveen Investments. In considering profitability, the Trustees recognized the
inherent limitations in determining profitability as well as the difficulties
in comparing the profitability of other unaffiliated advisers. Profitability
may be affected by numerous factors, including the methodology for allocating
expenses, the adviser's business mix, the types of funds managed, the
adviser's capital structure and cost of capital. Further, individual fund or
product line profitability of other sponsors is generally not publicly
available. Accordingly, the profitability information that is publicly
available from various investment advisory or management firms may not be
representative of the industry.
Notwithstanding the foregoing, in reviewing profitability, the Trustees reviewed
Nuveen's methodology and assumptions for allocating expenses across product
lines to determine profitability. In this regard, the methods of allocation used
appeared reasonable. The Trustees also, to the extent available, compared
Nuveen's profitability margins (including pre- and post-marketing profit
margins) with the profitability of various unaffiliated management firms. The
Trustees noted that Nuveen's profitability is enhanced due to its efficient
internal business model. The Trustees also recognized that while a number of
factors affect profitability, Nuveen's profitability may change as fee waivers
and/or expense reimbursement commitments of Nuveen to various funds in the
Nuveen complex expire. To keep apprised of profitability and developments that
may affect profitability, the Trustees have requested profitability analysis be
provided periodically during the year. Based on their review, the Trustees were
satisfied that the level of profitability was reasonable in light of the
services provided.
In evaluating the reasonableness of the compensation, the Trustees also
considered any other revenues paid to a Fund Adviser as well as any indirect
benefits (such as soft dollar arrangements, if any) the Fund Adviser and its
affiliates are expected to receive that are directly attributable to their
management of the Funds, if any. See Section E below for additional information.
Based on
52
their review of the overall fee arrangements of the applicable Fund, the
Trustees determined that the advisory fees and expenses of the respective Fund
were reasonable.
D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE
With respect to economies of scale, the Trustees recognized the potential
benefits resulting from the costs of a fund being spread over a larger asset
base as a fund grows. To help ensure the shareholders share in these benefits,
the Trustees have reviewed and considered the breakpoints in the advisory fee
schedules that reduce advisory fees as the applicable Fund's assets grow. In
addition to advisory fee breakpoints as assets in a respective Fund rise, after
lengthy discussions with management, the Board also approved a complex-wide fee
arrangement that was introduced on August 1, 2004. Pursuant to the complex-wide
fee arrangement, the fees of the funds in the Nuveen complex, including the
Funds, are reduced as the assets in the fund complex reach certain levels. In
evaluating the complex-wide fee arrangement, the Trustees considered, among
other things, the historic and expected fee savings to shareholders as assets
grow, the amount of fee reductions at various asset levels, and that the
arrangement would extend to all funds in the Nuveen complex. The Trustees noted
that 2005 was the first full year to reflect the fee reductions from the complex
wide fee arrangement. The Trustees also considered the impact, if any, the
complex-wide fee arrangement may have on the level of services provided. Based
on their review, the Trustees concluded that the breakpoint schedule and
complex-wide fee arrangement currently was acceptable and desirable in providing
benefits from economies of scale to shareholders.
E. INDIRECT BENEFITS
In evaluating fees, the Trustees also considered any indirect benefits or
profits the Fund Adviser or its affiliates may receive as a result of its
relationship with each Fund. In this regard, the Trustees considered revenues
received by affiliates of the Fund Adviser for serving as agent at Nuveen's
preferred trading desk and for serving as a co-manager in the initial public
offering of new closed-end exchange traded funds.
In addition to the above, the Trustees considered whether the Fund Adviser
received any benefits from soft dollar arrangements. With respect to NAM, the
Trustees noted that NAM does not currently have any soft dollar arrangements and
does not pay excess brokerage commissions (or spreads on principal transactions)
in order to receive research services; however, NAM may from time to time
receive and have access to research generally provided to institutional clients.
The Trustees also considered the soft dollar arrangements, if any, of the
Sub-Adviser. With respect to Symphony, Symphony currently does not enter into
soft dollar arrangements; however, it has adopted a soft dollar policy in the
event it does so in the future.
The Trustees did not identify any single factor discussed previously as
all-important or controlling. The Trustees, including a majority of independent
Trustees, concluded that the terms of the Investment Management Agreement and
Sub-Advisory Agreements were fair and reasonable, that the respective Fund
Adviser's fees are reasonable in light of the services provided to each Fund,
and that the renewal of the respective Investment Management Agreement and
Sub-Advisory Agreement should be approved.
53
Reinvest Automatically
EASILY AND CONVENIENTLY
NUVEEN EXCHANGE-TRADED CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN
Your Nuveen Exchange-Traded 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 compounding.
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
NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO
SET UP YOUR REINVESTMENT ACCOUNT.
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. 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.
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.
54
AUTOMATIC DIVIDEND
REINVESTMENT PLAN
NOTICE OF AMENDMENT TO THE TERMS AND CONDITIONS
These Funds are amending the terms and conditions of their Automatic Dividend
Reinvestment Plan (the "Plan") as further described below effective with the
close of business on December 1, 2006. THESE CHANGES ARE INTENDED TO ENABLE PLAN
PARTICIPANTS UNDER CERTAIN CIRCUMSTANCES TO REINVEST FUND DISTRIBUTIONS AT A
LOWER AGGREGATE COST THAN IS POSSIBLE UNDER THE EXISTING PLAN. Shareholders who
do not wish to continue as participants under the amended Plan may withdraw from
the Plan by notifying the Plan Agent prior to the effective date of the
amendments. Participants should refer to their Plan document for notification
instructions, or may simply call Nuveen at (800) 257-8787.
Fund shareholders who elect to participate in the Plan are able to have Fund
distributions consisting of income dividends, realized capital gains and returns
of capital automatically reinvested in additional Fund shares. Under the Plan's
existing terms, the Plan Agent purchases Fund shares in the open market if the
Fund's shares are trading at a discount to their net asset value on the payable
date for the distribution. If the Fund's shares are trading at or above their
net asset value on the payable date for the distribution, the Plan Agent
purchases newly-issued Fund shares directly from the Fund at a price equal to
the greater of the shares' net asset value or 95% of the shares' market value.
Under the Plan's amended terms, 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. This change will permit Plan
participants under these circumstances to reinvest Fund distributions at a lower
aggregate cost than is possible under the existing Plan.
55
Notes
56
Notes
57
Notes
58
OTHER USEFUL
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
The Funds' (i) quarterly portfolio of investments, (ii) information regarding
how the Funds voted proxies relating to portfolio securities held during the
most recent 12-month period ended June 30, 2006, and (iii) a description of the
policies and procedures that the Fund 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.
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: 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 Funds'
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 MuniPreferred 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.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Eugene S. Sunshine
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
59
(back cover photo)
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 more than $149 billion in assets, 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 NWQ, 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.
- Share prices
- Fund details
- Daily financial news
- Investor education
- Interactive planning tools
LEARN MORE
ABOUT NUVEEN FUNDS AT
WWW.NUVEEN.COM/CEF
EAN-C-0706D
NUVEEN LOGO
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a
code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions. [There were no amendments to or waivers
from the Code during the period covered by this report.] The registrant has
posted the code of ethics on its website at www.nuveen.com/etf. (To view the
code, click on the Investor Resources drop down menu box, click on Fund
Governance and then click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Directors or Trustees determined that the registrant
has at least one "audit committee financial expert" (as defined in Item 3 of
Form N-CSR) serving on its Audit Committee. The registrant's audit committee
financial expert is Jack B. Evans, Chairman of the Audit Committee, who is
"independent" for purposes of Item 3 of Form N-CSR.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial
Group, Inc., a full service registered broker-dealer and registered investment
adviser ("SCI"). As part of his role as President and Chief Operating Officer,
Mr. Evans actively supervised the Chief Financial Officer (the "CFO") and
actively supervised the CFO's preparation of financial statements and other
filings with various regulatory authorities. In such capacity, Mr. Evans was
actively involved in the preparation of SCI's financial statements and the
resolution of issues raised in connection therewith. Mr. Evans has also served
on the audit committee of various reporting companies. At such companies, Mr.
Evans was involved in the oversight of audits, audit plans, and the preparation
of financial statements. Mr. Evans also formerly chaired the audit committee of
the Federal Reserve Bank of Chicago.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Nuveen Floating Rate Income Opportunity Fund
The following tables show the amount of fees that Ernst & Young LLP, the Fund's
auditor, billed to the Fund during the Fund's last two full fiscal years. For
engagements with Ernst & Young LLP the Audit Committee approved in advance all
audit services and non-audit services that Ernst & Young LLP provided to the
Fund, except for those non-audit services that were subject to the pre-approval
exception under Rule 2-01 of Regulation S-X (the "pre-approval exception"). The
pre-approval exception for services provided directly to the Fund waives the
pre-approval requirement for services other than audit, review or attest
services if: (A) the aggregate amount of all such services provided constitutes
no more than 5% of the total amount of revenues paid by the Fund to its
accountant during the fiscal year in which the services are provided; (B) the
Fund did not recognize the services as non-audit services at the time of the
engagement; and (C) the services are promptly brought to the Audit Committee's
attention, and the Committee (or its delegate) approves the services before the
audit is completed.
The Audit Committee has delegated certain pre-approval responsibilities to its
Chairman (or, in his absence, any other member of the Audit Committee).
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES
FISCAL YEAR ENDED TO FUND (1) BILLED TO FUND (2) BILLED TO FUND (3) BILLED TO FUND (4)
==========================================================================================================================
July 31, 2006 $ 44,864 $ 0 $ 800 $ 1,550
--------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0% 0%
pursuant to
pre-approval
exception
--------------------------------------------------------------------------------------------------------------------------
July 31, 2005 $ 48,364 $ 0 $ 860 $ 1,550
--------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0% 0%
pursuant to
pre-approval
exception
--------------------------------------------------------------------------------------------------------------------------
(1) "Audit Fees" are the aggregate fees billed for professional services for the
audit of the Fund's annual financial statements and services provided in
connection with statutory and regulatory filings or engagements.
(2) "Audit Related Fees" are the aggregate fees billed for assurance and related
services reasonably related to the performance of the audit or review of
financial statements and are not reported under "Audit Fees".
(3) "Tax Fees" are the aggregate fees billed for professional services for tax
advice, tax compliance, and tax planning.
(4) "All Other Fees" are the aggregate fees billed for products and services
other than "Audit Fees", "Audit Related Fees", and "Tax Fees".
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE
ADVISER AND AFFILIATED FUND SERVICE PROVIDERS
The following tables show the amount of fees billed by Ernst & Young LLP to
Nuveen Asset Management ("NAM" or the "Adviser"), and any entity controlling,
controlled by or under common control with NAM ("Control Affiliate") that
provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for
engagements directly related to the Fund's operations and financial reporting,
during the Fund's last two full fiscal years.
The tables also show the percentage of fees subject to the pre-approval
exception. The pre-approval exception for services provided to the Adviser and
any Affiliated Fund Service Provider (other than audit, review or attest
services) waives the pre-approval requirement if: (A) the aggregate amount of
all such services provided constitutes no more than 5% of the total amount of
revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund
Service Providers during the fiscal year in which the services are provided that
would have to be pre-approved by the Audit Committee; (B) the Fund did not
recognize the services as non-audit services at the time of the engagement; and
(C) the services are promptly brought to the Audit Committee's attention, and
the Committee (or its delegate) approves the services before the Fund's audit is
completed.
FISCAL YEAR ENDED AUDIT-RELATED FEES TAX FEES BILLED TO ALL OTHER FEES
BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER
AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND
SERVICE PROVIDERS SERVICE PROVIDERS (1) SERVICE PROVIDERS
=================================================================================================================
July 31, 2006 $ 0 $ 4,950 $ 0
-----------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
-----------------------------------------------------------------------------------------------------------------
July 31, 2005 $ 0 $ 4,950 $ 0
-----------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
-----------------------------------------------------------------------------------------------------------------
(1) The amounts reported for the Fund under the column heading "Tax Fees"
represents amounts billed to the Adviser exclusively for the preparation for the
Fund's tax return, the cost of which is borne by the Adviser. In the aggregate,
for all Nuveen funds for which Ernst & Young LLP serves as independent
registered public accounting firm, these fees amounted to $275,000 in 2006 and
$282,575 in 2005.
NON-AUDIT SERVICES
The following table shows the amount of fees that Ernst & Young LLP billed
during the Fund's last two full fiscal years for non-audit services. The Audit
Committee is required to pre-approve non-audit services that Ernst & Young LLP
provides to the Adviser and any Affiliated Fund Services Provider, if the
engagement related directly to the Fund's operations and financial reporting
(except for those subject to the de minimis exception described above). The
Audit Committee requested and received information from Ernst & Young LLP about
any non-audit services that Ernst & Young LLP rendered during the Fund's last
fiscal year to the Adviser and any Affiliated Fund Service Provider. The
Committee considered this information in evaluating Ernst & Young LLP's
independence.
FISCAL YEAR ENDED TOTAL NON-AUDIT FEES
BILLED TO ADVISER AND
AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES
PROVIDERS (ENGAGEMENTS BILLED TO ADVISER AND
RELATED DIRECTLY TO THE AFFILIATED FUND SERVICE
TOTAL NON-AUDIT FEE OPERATIONS AND FINANCIAL PROVIDERS (ALL OTHER
BILLED TO FUND REPORTING OF THE FUND) ENGAGEMENTS) TOTAL
=================================================================================================================================
July 31, 2006 $ 2,350 $ 4,950 $ 0 $ 7,300
July 31, 2005 $ 2,410 $ 4,950 $ 0 $ 7,360
"Non-Audit Fees billed to Adviser" for both fiscal year ends represent "Tax
Fees" billed to Adviser in their respective amounts from the previous table.
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit
Committee must approve (i) all non-audit services to be performed for the Fund
by the Fund's independent accountants and (ii) all audit and non-audit services
to be performed by the Fund's independent accountants for the Affiliated Fund
Service Providers with respect to operations and financial reporting of the
Fund. Regarding tax and research projects conducted by the independent
accountants for the Fund and Affiliated Fund Service Providers (with respect to
operations and financial reports of the Fund) such engagements will be (i)
pre-approved by the Audit Committee if they are expected to be for amounts
greater than $10,000; (ii) reported to the Audit Committee chairman for his
verbal approval prior to engagement if they are expected to be for amounts under
$10,000 but greater than $5,000; and (iii) reported to the Audit Committee at
the next Audit Committee meeting if they are expected to be for an amount under
$5,000.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant's Board of Directors or Trustees has a separately designated
Audit Committee established in accordance with Section 3(a)(58)(A) of the
Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The
members of the audit committee are Robert P. Bremner, Lawrence H. Brown, Jack B.
Evans, William J. Schneider and Eugene S. Sunshine.
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.
The Adviser has engaged Symphony Asset Management, LLC ("Symphony"), an
affiliate of the Adviser, as Sub-Adviser to provide discretionary investment
advisory services. As part of these services, the Adviser has also delegated to
the Sub-Adviser the full responsibility for proxy voting and related duties in
accordance with the Sub-Adviser's policies and procedures. The Adviser will
periodically monitor the Sub-Adviser's voting to ensure that the Sub-Adviser is
carrying out its duties. The Sub-Adviser's proxy voting policies and procedures
are summarized in the following paragraphs.
Symphony uses the proxy voting services of Institutional Shareholder Services
("ISS"). The ISS Proxy Voting Services provide Symphony and its clients with an
independent source of proxy voting research and services. The use of ISS is
designed to offer client-centered proxy voting which minimizes conflicts of
interests between Symphony's interests and those of its clients.
In order to monitor how ISS votes client proxies, Symphony has established a
Proxy Voting Review Committee (the "Committee"). The Committee is composed of
Symphony's Chief Operating Officer and its Chief Investment Officer. Each year,
the Committee reviews ISS proxy voting policies and practices to determine
whether such policies and practices are consistent with Symphony's fiduciary
duty to the clients for whom Symphony is responsible for voting proxies. During
the year, the Committee reviews how ISS votes on specific issues. From time to
time, the Committee discusses the proxy voting process with representatives of
ISS in order to ensure that Symphony's client interests are being protected.
When Symphony disagrees with ISS' policies with respect to certain issues,
Symphony will direct the voting of its clients' proxies according to what
Symphony believes is the best interests of its clients.
Clients who have questions about how particular proxies are voted for their
account may request such information from Symphony by calling (800) 847-6369.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
The Adviser has engaged Symphony Asset Management also referred to as
"Sub-Adviser") as Sub-Adviser to provide discretionary investment advisory
services. The following section provides information on the portfolio managers
of the Sub-Adviser.
SYMPHONY ASSET MANAGEMENT
A. PORTFOLIO MANAGER BIOGRAPHIES
Gunther Stein, Director of Fixed Income Strategies, Portfolio Manager
Gunther Stein is the lead portfolio manager for high yield strategies at
Symphony Asset Management and is the lead portfolio manager of Nuveen's senior
loan asset management team. Prior to joining Symphony in 1999, Stein was a high
yield portfolio manager at Wells Fargo Bank, where he was responsible for
investing in public high yield bonds and bank loans and also managed a team of
credit analysts. Stein joined Wells Fargo in 1993 as an Associate in its Loan
Syndications/Leveraged Finance Group. Previously, Stein worked for four years as
a euro-currency deposit trader with First Interstate Bank. He has also worked
for Standard Chartered Bank, Mexico City and Citibank Investment Bank, London.
He completed Wells Fargo's Credit Management Training program and holds an
M.B.A. from the University of Texas, Austin. He graduated from the University of
California at Berkeley with a B.A. in Economics.
Lenny Mason, Portfolio Manager
Lenny Mason is a high yield portfolio manager for Symphony Asset Management and
is also a portfolio manager on the Nuveen's senior loan asset management team.
Prior to joining Symphony in 2001, Mason was a Managing Director in
FleetBoston's Technology & Communications Group, where he headed its five member
Structuring and Advisory Team. He joined FleetBoston in 1995 as an Assistant
Vice President in its Media & Communications Group. Previously, Mason worked for
Wells Fargo Bank's Corporate Banking Group dealing primarily with leveraged
transactions and for Coopers & Lybrand as an auditor. He holds an M.B.A. in
Finance from the University of Chicago, a B.S. in Accounting from Babson College
and is also a C.P.A.
B. OTHER ACCOUNTS
OTHER ACCOUNTS MANAGED BY SYMPHONY AS OF 7/31/06
GUNTHER STEIN LENNY MASON
(a) Registered Investment Companies
Number of accts 4 4
Assets ($000s) $ 824.7 $ 824.7
(b) Other pooled accts
Non-performance fee accts
Number of accts 2 2
Assets ($000s) $ 0.5 $ 0.5
Performance fee accts
Number of accts 8 6
Assets ($000s) $1,102.5 $ 453.8
(c) Other
Non-performance fee accts
Number of accts 5 5
Assets ($000s) $ 2.0 $ 1.5
Performance fee accts
Number of accts 2 0
Assets ($000s) $ 315.8
Dollar amounts are in millions
C. POTENTIAL MATERIAL CONFLICTS OF INTEREST
As described above, the portfolio managers may manage other accounts with
investment strategies similar to the Fund, including other investment companies
and separately managed accounts. Fees earned by the Sub-adviser may vary among
these accounts and the portfolio managers may personally invest in some but not
all of these accounts. These factors could create conflicts of interest because
a portfolio manager may have incentives to favor certain accounts over others,
resulting in other accounts outperforming the Fund. A conflict may also exist if
a portfolio manager identified a limited investment opportunity that may be
appropriate for more than one account, but the Fund is not able to take full
advantage of that opportunity due to the need to allocate that opportunity among
multiple accounts. In addition, the portfolio managers may execute transactions
for another account that may adversely impact the value of securities held by
the Fund. However, the Sub-adviser believes that these risks are mitigated by
the fact that accounts with like investment strategies managed by a particular
portfolio manager are generally managed in a similar fashion, subject to
exceptions to account for particular investment restrictions or policies
applicable only to certain accounts, differences in cash flows and account
sizes, and other factors. In addition, the Sub-adviser has adopted trade
allocation procedures that require equitable allocation of trade orders for a
particular security among participating accounts.
D. FUND MANAGER COMPENSATION
Symphony investment professionals receive competitive base salaries and
participate in a bonus pool which is tied directly to the firm's operating
income with a disproportionate amount paid to the managers responsible for
generating the alpha. The bonus paid to investment personnel is based on acumen,
overall contribution and strategy performance. However, there is no fixed
formula which guides bonus allocations. Bonuses are paid on an annual basis. In
addition, investment professionals may participate in an equity-based
compensation pool.
E. OWNERSHIP OF JRO SECURITIES AS JULY 31, 2006.
------------------------------------------------------------------------------------------------------------------------------------
Portfolio Manager None $1-$10,000 $10,001-$50,000 $50,001-$100,000 $100,001-$500,000 $500,001 - over
$1,000,000 $1,000,000
------------------ ---- ---------- --------------- ---------------- ----------------- ----------- ----------
Gunther Stein X
------------------ ---- ---------- --------------- ---------------- ----------------- ----------- ----------
Lenny Mason X
------------------ ---- ---------- --------------- ---------------- ----------------- ----------- ----------
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
During this reporting period, the registrant's Board of Trustees implemented a
change to the procedures by which shareholders may recommend nominees to the
registrant's board of trustees by amending the registrant's by-laws to include a
provision specifying the date by which shareholder nominations for election as
trustee at a subsequent meeting must be submitted to the registrant.
Shareholders must deliver or mail notice to the registrant not less than
forty-five days nor more than sixty days prior to the first anniversary date of
the date on which the registrant first mailed its proxy materials for the prior
year's annual meeting; provided, however, if and only if the annual meeting is
not scheduled to be held within a period that commences thirty days before the
first anniversary date of the annual meeting for the preceding year and ends
thirty days after such anniversary date (an annual meeting date outside such
period being referred to as an "Other Annual Meeting Date" hereafter), the
shareholder notice must be given no later than the close of business on the date
forty-five days prior to such Other Annual Meeting Date or the tenth business
day following the date such Other Annual Meeting Date is first publicly
announced or disclosed. The shareholder's notice must be in writing and set
forth the name, age, date of birth, business address, residence address and
nationality of the person(s) being nominated and the class or series, number of
all shares of the registrant owned of record or beneficially be each such
person(s), any other information regarding such person required by Item 401 of
Regulation S-K or Item 22 of Rule 14a-101 (Schedule 14A) under the Securities
Exchange Act of 1934, as amended, any other information regarding the person(s)
to be nominated that would be required to be disclosed in a proxy statement or
other filings required to be made in connection with solicitation of proxies for
election of trustees, and whether such shareholder believes any nominee is or
will be an "interested person" (as that term is defined in the Investment
Company Act of 1940, as amended) of the registrant or sufficient information to
enable the registrant to make that determination and the written and signed
consent of the person(s) to be nominated.
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. Letter or number the
exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable
because the code is posted on registrant's website at www.nuveen.com/etf and
there were no amendments during the period covered by this report. (To view the
code, click on the Investor Resources drop down menu box, click on Fund
Governance and then Code of Conduct.)
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
Attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons. Not applicable.
(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
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By (Signature and Title)* /s/ Jessica R. Droeger
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Jessica R. Droeger
Vice President and Secretary
Date: October 6, 2006
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: October 6, 2006
By (Signature and Title)* /s/ Stephen D. Foy
------------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: October 6, 2006
* Print the name and title of each signing officer under his or her signature.