N-CSRS 1 dncsrs.htm NUVEEN INVESTMENT TRUST III Nuveen Investment Trust III

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 811-09037

Nuveen Investment Trust III

(Exact name of registrant as specified in charter)

 

Nuveen Investments

333 West Wacker Drive Chicago, IL 60606

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy

Nuveen Investments

333 West Wacker Drive Chicago, IL 60606

(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: March 31, 2008

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


 

NUVEEN INVESTMENTS MUTUAL FUNDS

 

Semi-Annual Report  

dated March 31, 2008  

   Attractive Monthly Income and Portfolio Diversification Potential

 

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Nuveen Investments

Taxable Bond Funds

Nuveen Short Duration Bond Fund

Nuveen Multi-Strategy Income Fund

Nuveen High Yield Bond Fund

 

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Must be preceded by or accompanied by a prospectus.   NOT FDIC INSURED   MAY LOSE VALUE   NO BANK GUARANTEE


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“No one knows what the future will bring, which is why we think a well balanced portfolio that is structured and carefully monitored with the help of an investment professional is an important component in achieving your long term financial goals.”

Dear Shareholder:

I am pleased to report that over the six-month period covered by this report your Fund continued to provide you with attractive monthly income. For more details about the performance and management strategy of your Fund, please read the Portfolio Manager’s Comments and Fund Spotlight sections of this report.

With the recent volatility in the stock market, many have begun to wonder which way the market is headed, and whether they need to adjust their holdings of investments. No one knows what the future will bring, which is why we think a well-balanced portfolio that is structured and carefully monitored with the help of an investment professional is an important component in achieving your long term financial goals. A well diversified portfolio may actually help to reduce your overall investment risk, and we believe that investments like your Nuveen Investments Fund can be important building blocks in a portfolio crafted to perform well through a variety of market conditions.

As you look through this report, be sure to review the inside front cover. This contains information on how you can receive future Fund reports and other Fund information faster by using e-mails and the internet. You may also help your Fund reduce expenses. Sign up is quick and easy – just follow the step-by-step instructions.

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,

LOGO

Timothy R. Schwertfeger

Chairman of the Board

May 15, 2008

 

 

Semi-Annual Report    Page 1


Portfolio Manager’s Comments for the Nuveen Short Duration Bond Fund,

the Nuveen Multi-Strategy Income Fund1 and the Nuveen High Yield Bond Fund

These Funds feature portfolio management by the Taxable Fixed Income group of Nuveen Asset Management. We recently spoke with Andrew Stenwall, Chief Investment Officer and Co-Director of Taxable Fixed Income at Nuveen Asset Management, and the Funds’ portfolio manager, about the economic environment, performance and management of the Funds during the six-month reporting period ended March 31, 2008.

 

 

 

How did the Funds perform during the six-month period ended March 31, 2008?

The table on page three provides performance information for the Funds’ Class A shares for the six-month, one-year, and since inception periods ended March 31, 2008. Each Fund’s returns are compared with a comparative index and Lipper peer fund category.

The six-month total returns on net asset value (NAV) of the Nuveen Short Duration Bond Fund and the Nuveen Multi-Strategy Income Fund underperformed their respective unmanaged benchmark indexes and exceeded their Lipper peer group averages. The Nuveen High Yield Bond Fund outperformed both its unmanaged benchmark index and Lipper peer group average during the reporting period.

What strategies were used to manage the Funds during the period? How did these strategies influence performance?

We continued to manage the Nuveen Short Duration Bond Fund and the Nuveen Multi-Strategy Income Fund with similar strategies. Both Funds invested principally in U.S. government securities; mortgage-related securities issued by governments, or their agencies, or instrumentalities; corporate debt securities; foreign debt securities; and asset-backed securities. In addition, in an effort to enhance returns and manage risk, both Funds employed a variety of strategies that might at various times include the use of futures, options, swaps, and other derivative instruments to create debt or foreign currency exposures, with each position designed to take advantage of the current global economic environment and the expected relative performance of different sectors of the fixed-income market.

Our exposure to U.S. Treasury securities, which performed well during the six-month period, provided the portfolios with their largest component of absolute return. The Funds also benefited from a relative lack of exposure to securities issued by U.S. government agencies, and from some foreign currency positions as the U.S. dollar weakened. In addition, the Funds exposure to U.K. debt did relatively well as the Bank of England cut rates as expected in early December – although not as much or as quickly as some had hoped.

On the negative side, one of the largest detractors to relative performance came from the Funds’ exposure to foreign interest rates and credit markets. As one example, our long exposure to Brazilian government and corporate debt lost ground as Brazilian futures unexpectedly rose sharply, implying potential rate hikes as inflationary pressures grew faster than anticipated. Inflation concerns were also an issue in New Zealand, where our two- and ten-year positions did not perform as anticipated.

Later in the period, the Funds’ net exposure to high yield bonds, which significantly underperformed U.S. Treasuries, was a large detractor to relative performance.

 

 

Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The views expressed herein represent those of the portfolio manager as of the date of this report and are subject to change at any time, based on market conditions and other factors. The Funds disclaim any obligation to advise shareholders of such changes.

 

1 Effective August 1, 2007, the Nuveen Core Bond Fund changed its name to Nuveen Multi-Strategy Income Fund to better reflect the investment process of the manager. There have been no changes in the Fund’s investment objectives, policies or portfolio management personnel.

 

Semi-Annual Report    Page 2


Class A Shares—

Total Returns as of 3/31/08

 

        Average Annual
    Cumulative
6-Month
  1-Year   Since
Inception
(12/20/2004)

Nuveen Short Duration Bond Fund
A Shares at NAV
A Shares at Offer

  3.73%

1.63%

  6.70%

4.59%

  4.00%

3.36%

Lipper Short Investment Grade Debt Funds Index2

  1.33%   3.46%   3.40%

Citigroup 1-3 Year Treasury Index3

  5.46%   9.01%   4.82%

Nuveen Multi-Strategy
Income Fund
A Shares at NAV
A Shares at Offer

  3.26%

-0.61%

  5.29%

1.32%

  3.77%

2.57%

Lipper Intermediate Investment Grade Debt Funds Index4

  2.20%   4.01%   3.77%

Citigroup Broad Investment Grade Bond Index5

  5.86%   8.41%   5.33%

Nuveen High Yield Bond Fund
A Shares at NAV
A Shares at Offer

  -2.89%

-7.48%

  -1.48%

-6.17%

  4.53%

3.00%

Lipper High Current Yield
Funds Index
6

  -4.65%   -4.05%   3.57%

Citigroup High Yield BB/B Index7

  -3.11%   -2.31%   4.34%

 

Returns quoted represent past performance, which is no guarantee of future results. Returns at NAV would be lower if the sales charge were included. Returns less than one year are cumulative. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Maximum sales charges for Class A shares of each Fund are 2.00% for Nuveen Short Duration Bond Fund, 3.75% for Nuveen Multi-Strategy Income Fund, and 4.75% for Nuveen High Yield Bond Fund. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance, visit www.nuveen.com or call (800) 257-8787.

Please see each Fund’s Spotlight Page later in this report for more complete performance data and expense ratios.

Despite no direct exposure to sub-prime mortgages, the Funds’ were relatively overweight in higher-coupon 30-year fixed mortgage-backed securities. These holdings suffered along with other mortgage-related securities which detracted from the Funds’ performance.

In the Nuveen High Yield Bond Fund, we generally invested at least 80% of the Fund’s assets in both domestic and foreign corporate high-yield debt securities. Generally, these securities were rated BB or below, or were unrated, at the time of purchase. The Fund focused primarily on BB and B rated credits while limiting exposure to CCC rated bonds to 10%. At times, in an effort to hedge risk, enhance returns, or substitute for a position, the Fund also invested in futures, total return swaps, credit derivatives or other fixed income derivative instruments.

 

 

2 The Lipper Short Investment Grade Debt Funds Index represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper Short Investment Grade Debt Funds Category for the period ended March 31, 2008. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

 

3 The Citigroup 1-3 Year Treasury Index is an index comprised of U.S. Treasury Notes and Bonds with maturities of one year or greater, but less than three years (minimum amount outstanding is $1 billion per issue). The since inception data for the Index represents returns for the period 12/31/04 – 3/31/08, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

 

4 The Lipper Intermediate Investment Grade Debt Funds Index represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper Intermediate Investment Grade Debt Funds Category for the period ended March 31, 2008. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

 

5 The Citigroup Broad Investment Grade Bond Index (the “BIG” Index) is an unmanaged index generally considered representative of the U.S. investment grade bond market. The since inception data for the Index represents returns for the period 12/31/04 – 3/31/08, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

 

6 The Lipper High Current Yield Funds Index represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper High Current Yield Funds Category for the period ended March 31, 2008. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

 

7 The Citigroup High Yield BB/B Index is a market capitalization-weighted index that comprises all high-yield issues rated BB or B by Standard & Poor’s for which Citigroup calculates a monthly return. The since inception data for the Index represents returns for the period 12/31/04 – 3/31/08, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

 

Semi-Annual Report    Page 3


In general, high yield securities did not perform as well as higher-rated or government issues, but their yields did tend to cushion some of their price volatility.

The Fund benefited from both sector and individual security selection. For example, the Fund had relative underweights in some of the period’s worst performing sectors such as autos, finance, forest & paper products and gaming. Conversely, it had relative overweights in better performing sectors such as aerospace, health care, utilities and chemicals. The portfolio also continued to benefit from investments in total return swaps.

On the negative side, the Fund also had relative overweights to sectors such as the retail, transportation, broadcasting and cable, which underperformed the broader high yield market. In addition, a relative underweight to energy and electric utilities sectors was a negative contributor to relative performance.

Dividend Information

Each Fund seeks to pay dividends at a rate that reflects the past and projected performance of the Fund. To permit a Fund to maintain a more stable monthly dividend, the 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 the Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if the Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders.

As of March 31, 2008, the Nuveen Short Duration Bond Fund, the Nuveen Multi-Strategy Income Fund, and the Nuveen High Yield Bond Fund had a negative UNII balance for financial statement purposes and a positive UNII balance, based upon our best estimate, for tax purposes.

During this reporting period, the Short Duration Bond Fund’s A and R shares had no change in their regular monthly dividends, while the C shares had one monthly decrease. The Multi-Strategy Income Fund’s A and R shares had no change in their regular monthly dividends, while the B and C shares each had one monthly decrease. The High Yield Bond Fund’s A and R shares had one increase and one decrease in their regular monthly dividends, while the B and C share classes had no change.

 

 

Semi-Annual Report    Page 4


Fund Spotlight as of 3/31/08 Nuveen Short Duration Bond Fund

 

 

 

 

Quick Facts            
     A Shares   C Shares   R Shares6

NAV

  $19.68   $19.70   $19.66

Latest Monthly Dividend1

  $0.0730   $0.0605   $0.0770

Inception Date

  12/20/04   12/20/04   12/20/04

Returns quoted represent past performance which is no guarantee of future results. Returns without sales charges would be lower if the sales charge were included. Returns less than one year are cumulative. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 2% maximum sales charge. Class C shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

 

Average Annual Total Returns as of 3/31/08

A Shares    NAV      Offer

1-Year

   6.70%      4.59%

Since Inception

   4.00%      3.36%
C Shares    NAV        

1-Year

   5.97%       

Since Inception

   3.24%       
R Shares    NAV        

1-Year

   7.03%       

Since Inception

   4.23%       
Yields            
A Shares    NAV      Offer

Dividend Yield4

   4.45%      4.36%

30-Day Yield4

   2.72%     

SEC 30-Day Yield5

        2.66%
C Shares    NAV        

Dividend Yield4

   3.69%       

SEC 30-Day Yield5

   1.95%       
R Shares    NAV        

Dividend Yield4

   4.70%       

SEC 30-Day Yield5

   3.01%       

Portfolio Credit Quality 2

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Portfolio Allocation3

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Net Assets ($000)

   $26,460

 

Expense Ratios                   
Share Class    Gross
Expense
Ratios
     Net
Expense
Ratios
     As of
Date

Class A

   1.93%      0.58%      9/30/07

Class C

   2.42%      1.34%      9/30/07

Class R

   1.34%      0.34%      9/30/07

The expense ratios shown factor in Total Annual Fund Operating Expenses including management fees and other fees and expenses. The Net Expense Ratios reflect a contractual commitment by the Fund’s investment adviser to waive fees and reimburse certain expenses through January 31, 2009, and a custodian fee credit whereby certain fees and expenses are reduced by credits earned of the Fund’s cash on deposit with the bank. Absent the waiver, reimbursement and credit, expenses would be higher and total returns would be less.

 

 

1 Paid April 1, 2008. This is the latest monthly dividend declared during the period ended March 31, 2008.

 

2 As a percentage of total investments (excluding repurchase agreements, call swaptions written and derivative transactions) as of March 31, 2008. The ratings disclosed are using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade. Holdings are subject to change.

 

3 As a percentage of total investments (excluding call swaptions written and derivative transactions) as of March 31, 2008. Holdings are subject to change.

 

4 Dividend Yield is the most recent dividend per share (annualized) divided by the appropriate price per share. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. The 30-Day Yield is computed under the same formula but is based on the Net Asset Value (NAV) per share. The Dividend Yield may differ from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

 

5 The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.

 

6 Effective May 1, 2008, Class R Shares will be renamed Class I Shares. See the Fund’s prospectus for more information.

 

Semi-Annual Report    Page 5


Fund Spotlight as of 3/31/08 Nuveen Short Duration Bond Fund

 

 

 

 

Corporate Debt: Industries1     

Electric Utilities

   12.9%

Diversified Telecommunications Services

   7.9%

Commercial Banks

   6.7%

Aerospace & Defense

   6.1%

Commercial Services & Supplies

   5.6%

Multi-Utilities

   5.0%

Computers & Peripherals

   4.8%

Diversified Financial Services

   4.5%

Media

   4.2%

Wireless Telecommunications Services

   4.0%

Beverages

   3.2%

Oil, Gas & Consumable Fuels

   3.1%

Food Products

   2.9%

Road & Rail

   2.2%

Energy Equipment & Services

   2.2%

Household Products

   2.1%

Electrical Equipment

   1.9%

Communications Equipment

   1.9%

Industrial Conglomerates

   1.8%

Software

   1.8%

Other

   15.2%
1 As a percentage of total corporate debt holdings as of March 31, 2008. Corporate debt holdings include corporate bonds (high-yield investment grade rated), senior loans, and any other debt instruments issued by a corporation (or that references a corporation) held by the Fund at the end of the reporting period. Other corporate debt represents the total of all corporate debt industries that recalculated to less than 1.5% of total corporate debt holdings. Holdings are subject to change.

 

 

 

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including front and back end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.

The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.

The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front and back end sales charges (loads) or redemption fees, where applicable. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transactional costs were included, your costs would have been higher.

 

                Hypothetical Performance
    Actual Performance   (5% return before expenses)
     A Shares   C Shares   R Shares   A Shares   C Shares   R Shares

Beginning Account Value (10/01/07)

  $ 1,000.00   $ 1,000.00   $ 1,000.00   $ 1,000.00   $ 1,000.00   $ 1,000.00

Ending Account Value (3/31/08)

  $ 1,037.30   $ 1,033.40   $ 1,038.60   $ 1,021.90   $ 1,018.20   $ 1,023.20

Expenses Incurred During Period

  $ 3.16   $ 6.91   $ 1.83   $ 3.13   $ 6.86   $ 1.82

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .62%, 1.36% and .36% for Classes A, C and R, respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

 

Semi-Annual Report    Page 6


Fund Spotlight as of 3/31/08 Nuveen Multi-Strategy Income Fund

 

 

 

 

Quick Facts                
     A Shares   B Shares6   C Shares   R Shares6

NAV

  $19.45   $19.51   $19.47   $19.45

Latest Monthly Dividend1

  $0.0775   $0.0650   $0.0650   $0.0815

Inception Date

  12/20/04   12/20/04   12/20/04   12/20/04

Returns quoted represent past performance which is no guarantee of future results. Returns without sales charges would be lower if the sales charge were included. Returns less than one year are cumulative. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 3.75% maximum sales charge. Class B shares have a contingent deferred sales charge (CDSC), also known as a back-end sales charge, that for redemptions begins at 5% and declines periodically until after 6 years when the charge becomes 0%. Class B shares automatically convert to Class A shares eight years after purchase. Class C shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

 

Average Annual Total Returns as of 3/31/08

A Shares    NAV      Offer

1-Year

   5.29%      1.32%

Since Inception

   3.77%      2.57%
B Shares    w/o CDSC      w/CDSC

1-Year

   4.60%      0.60%

Since Inception

   3.08%      2.24%
C Shares    NAV        

1-Year

   4.50%       

Since Inception

   3.02%       
R Shares    NAV        

1-Year

   5.61%       

Since Inception

   4.04%       
Yields
A Shares    NAV      Offer

Dividend Yield4

   4.78%      4.60%

30-Day Yield4

   4.48%     

SEC 30-Day Yield5

        4.31%
B Shares    NAV        

Dividend Yield4

   4.00%       

SEC 30-Day Yield5

   3.72%       
C Shares    NAV        

Dividend Yield4

   4.01%       

SEC 30-Day Yield5

   3.73%       
R Shares    NAV        

Dividend Yield4

   5.03%       

SEC 30-Day Yield5

   4.74%       

 

Portfolio Credit Quality2

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Portfolio Allocation3

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Net Assets ($000)

   $20,010

 

Expense Ratios                   
Share Class    Gross
Expense
Ratios
     Net
Expense
Ratios
     As of
Date

Class A

   2.32%      0.72%      9/30/07

Class B

   3.14%      1.41%      9/30/07

Class C

   2.98%      1.47%      9/30/07

Class R

   1.86%      0.47%      9/30/07

The expense ratios shown factor in Total Annual Fund Operating Expenses including management fees and other fees and expenses. The Net Expense Ratios reflect a contractual commitment by the Fund’s investment adviser to waive fees and reimburse certain expenses through January 31, 2009, and a custodian fee credit whereby certain fees and expenses are reduced by credits earned of the Fund’s cash on deposit with the bank. Absent the waiver, reimbursement and credit, expenses would be higher and total returns would be less.

 

 

 

1 Paid April 1, 2008. This is the latest monthly dividend declared during the period ended March 31, 2008.

 

2 As a percentage of total investments (excluding repurchase agreements, call swaptions written and derivative transactions) as of March 31, 2008. The ratings disclosed are using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade. Holdings are subject to change.

 

3 As a percentage of total investments (excluding call swaptions written and derivative transactions) as of March 31, 2008. Holdings are subject to change.

 

4 Dividend Yield is the most recent dividend per share (annualized) divided by the appropriate price per share. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. The 30-Day Yield is computed under the same formula but is based on the Net Asset Value (NAV) per share. The Dividend Yield may differ from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

 

5 The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.

 

6 Effective May 1, 2008 Class B Shares will only be issued upon exchange of Class B Shares from another Nuveen fund or for purposes of dividend reinvestment. Effective December 31, 2008 the reinstatement privilege for Class B Shares will no longer be available. Effective May 1, 2008, Class R Shares will be renamed Class I Shares. See the Fund’s prospectus for more information.

 

Semi-Annual Report    Page 7


Fund Spotlight as of 3/31/08 Nuveen Multi-Strategy Income Fund

 

 

 

 

Corporate Debt: Industries1     

Electric Utilities

   9.2%

Media

   7.5%

Metals & Mining

   7.4%

Diversified Telecommunications Services

   7.0%

Oil, Gas & Consumable Fuels

   5.9%

Road & Rail

   4.9%

Wireless Telecommunications Services

   4.2%

Aerospace & Defense

   4.2%

Commercial Banks

   4.0%

Commercial Services & Supplies

   3.9%

Paper & Forest Products

   3.7%

Diversified Financial Services

   3.0%

Energy Equipment & Services

   3.0%

Health Care Providers & Services

   2.4%

Multi-Line Retail

   2.3%

Thrifts & Mortgage Finance

   2.2%

Insurance

   2.1%

Capital Markets

   1.9%

Chemicals

   1.8%

Independent Power Producers & Energy Traders

   1.7%

Pharmaceuticals

   1.7%

Hotels, Restaurants & Leisure

   1.6%

Containers & Packaging

   1.5%

Other

   12.9%

 

 

1 As a percentage of total corporate debt holdings as of March 31, 2008. Corporate debt holdings include corporate bonds (high-yield investment grade rated), senior loans, and any other debt instruments issued by a corporation (or that references a corporation) held by the Fund at the end of the reporting period. Other corporate debt represents the total of all corporate debt industries that recalculated to less than 1.5% of total corporate debt holdings. Holdings are subject to change.

 

 

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including front and back end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.

The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.

The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front and back end sales charges (loads) or redemption fees, where applicable. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transactional costs were included, your costs would have been higher.

 

            Hypothetical Performance
    Actual Performance       (5% return before expenses)
     A Shares   B Shares   C Shares   R Shares        A Shares   B Shares   C Shares   R Shares

Beginning Account Value (10/01/07)

  $ 1,000.00   $ 1,000.00   $ 1,000.00   $ 1,000.00       $ 1,000.00   $ 1,000.00   $ 1,000.00   $ 1,000.00

Ending Account Value (3/31/08)

  $ 1,032.60   $ 1,029.20   $ 1,029.20   $ 1,034.40       $ 1,021.35   $ 1,017.55   $ 1,017.60   $ 1,022.65

Expenses Incurred During Period

  $ 3.71   $ 7.56   $ 7.51   $ 2.39       $ 3.69   $ 7.52   $ 7.47   $ 2.38

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .73%, 1.49%, 1.48% and .47% for Classes A, B, C and R, respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

 

Semi-Annual Report    Page 8


 

Fund Spotlight as of 3/31/08 Nuveen High Yield Bond Fund

 

 

 

 

Quick Facts                
     A Shares   B Shares6   C Shares   R Shares6

NAV

  $18.27   $18.26   $18.23   $18.26

Latest Monthly Dividend1

  $0.1220   $0.1105   $0.1105   $0.1260

Inception Date

  12/20/04   12/20/04   12/20/04   12/20/04

Returns quoted represent past performance which is no guarantee of future results. Returns without sales charges would be lower if the sales charge were included. Returns less than one year are cumulative. Current performance may be higher or lower than the performance shown. Investment returns and principal value will flu’ctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 4.75% maximum sales charge. Class B shares have a contingent deferred sales charge (CDSC), also known as a back-end sales charge, that for redemptions begins at 5% and declines periodically until after 6 years when the charge becomes 0%. Class B shares automatically convert to Class A shares eight years after purchase. Class C shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Average Annual Total Returns as of 3/31/08

A Shares    NAV      Offer

1-Year

   -1.48%      -6.17%

Since Inception

   4.53%      3.00%
B Shares    w/o CDSC      w/CDSC

1-Year

   -2.17%      -5.83%

Since Inception

   3.72%      2.95%
C Shares    NAV        

1-Year

   -2.23%       

Since Inception

   3.68%       
R Shares    NAV        

1-Year

   -1.24%       

Since Inception

   4.76%       
Yields
A Shares    NAV      Offer

Dividend Yield4

   8.01%      7.63%

30-Day Yield4

   11.32%     

SEC 30-Day Yield5

        10.77%
B Shares    NAV        

Dividend Yield4

   7.26%       

SEC 30-Day Yield5

   10.55%       
C Shares    NAV        

Dividend Yield4

   7.27%       

SEC 30-Day Yield5

   10.55%       
R Shares    NAV        

Dividend Yield4

   8.28%       

SEC 30-Day Yield5

   11.57%       

Portfolio Credit Quality 2

LOGO

Portfolio Allocation3

LOGO

 

Net Assets ($000)

   $77,692

 

Expense Ratios                   
Share Class    Gross
Expense
Ratios
     Net
Expense
Ratios
     As of
Date

Class A

   1.83%      0.82%      9/30/07

Class B

   2.50%      1.57%      9/30/07

Class C

   2.54%      1.57%      9/30/07

Class R

   1.43%      0.56%      9/30/07

The expense ratios shown factor in Total Annual Fund Operating Expenses including management fees and other fees and expenses. The Net Expense Ratios reflect a contractual commitment by the Fund’s investment adviser to waive fees and reimburse certain expenses through January 31, 2009, and a custodian fee credit whereby certain fees and expenses are reduced by credits earned of the Fund’s cash on deposit with the bank. Absent the waiver, reimbursement and credit, expenses would be higher and total returns would be less.

 

 

 

1 Paid April 1, 2008. This is the latest monthly dividend declared during the period ended March 31, 2008.

 

2 As a percentage of total investments (excluding repurchase agreements and derivative transactions) as of March 31, 2008. The ratings disclosed are using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade. Holdings are subject to change.

 

3 As a percentage of total investments (excluding derivative transactions) as of March 31, 2008. Holdings are subject to change.

 

4 Dividend Yield is the most recent dividend per share (annualized) divided by the appropriate price per share. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. The 30-Day Yield is computed under the same formula but is based on the Net Asset Value (NAV) per share. The Dividend Yield may differ from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

 

5 The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.

 

6 Effective May 1, 2008 Class B Shares will only be issued upon exchange of Class B Shares from another Nuveen fund or for purposes of dividend reinvestment. Effective December 31, 2008 the reinstatement privilege for Class B Shares will no longer be available. Effective May 1, 2008, Class R Shares will be renamed Class I Shares. See the Fund’s prospectus for more information.

 

Semi-Annual Report    Page 9


Fund Spotlight as of 3/31/08 Nuveen High Yield Bond Fund

 

 

 

 

Corporate Debt: Industries1     

Media

   7.4%

Wireless Telecommunications Services

   7.3%

Diversified Telecommunications Services

   7.2%

Energy Equipment & Services

   6.9%

Consumer Finance

   5.4%

Metals & Mining

   5.0%

Road & Rail

   4.8%

Health Care Providers & Services

   4.6%

Computers & Peripherals

   3.9%

Hotels, Restaurants & Leisure

   3.5%

Diversified Financial Services

   3.4%

Containers & Packaging

   3.2%

Commercial Services & Supplies

   3.2%

Oil, Gas & Consumable Fuels

   3.2%

Aerospace & Defense

   3.0%

Electric Utilities

   2.9%

Multi-Utilities

   2.6%

IT Services

   2.2%

Diversified Consumer Services

   2.0%

Paper & Forest Products

   2.0%

Auto Components

   1.8%

Independent Power Producers & Energy Traders

   1.8%

Pharmaceuticals

   1.6%

Thrifts & Mortgage Finance

   1.6%

Real Estate Investment Trust

   1.5%

Other

   8.0%
1 As a percentage of total corporate debt holdings as of March 31, 2008. Corporate debt holdings include corporate bonds (high-yield investment grade rated), senior loans, and any other debt instruments issued by a corporation (or that references a corporation) held by the Fund at the end of the reporting period. Other corporate debt represents the total of all corporate debt industries that recalculated to less than 1.5% of total corporate debt holdings. Holdings are subject to change.

 

 

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including front and back end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.

The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.

The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front and back end sales charges (loads) or redemption fees, where applicable. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transactional costs were included, your costs would have been higher.

 

            Hypothetical Performance
    Actual Performance       (5% return before expenses)
     A Shares   B Shares   C Shares   R Shares        A Shares   B Shares   C Shares   R Shares

Beginning Account Value (10/01/07)

  $ 1,000.00   $ 1,000.00   $ 1,000.00   $ 1,000.00       $ 1,000.00   $ 1,000.00   $ 1,000.00   $ 1,000.00

Ending Account Value (3/31/08)

  $ 971.10   $ 967.40   $ 967.40   $ 972.30       $ 1,020.90   $ 1,017.15   $ 1,017.15   $ 1,022.15

Expenses Incurred During Period

  $ 4.04   $ 7.72   $ 7.72   $ 2.81       $ 4.14   $ 7.92   $ 7.92   $ 2.88

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .82%, 1.57%, 1.57% and .57% for Classes A, B, C and R, respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

 

Semi-Annual Report    Page 10


Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   CORPORATE BONDS – 26.7%                 
   Aerospace & Defense – 1.6%                 
$ 50   

DI Finance/DynCorp International, Series B

  9.500%      2/15/13      B      $ 51,125
  150   

Honeywell International Inc.

  7.500%      3/01/10      A        161,743
  200   

Lockheed Martin Corporation

  8.200%      12/01/09      A–        214,638
  400   

Total Aerospace & Defense

                         427,506
   Auto Components – 0.1%                 
  50   

Goodyear Tire & Rubber Company

  8.663%      12/01/09      BB–        49,938
   Beverages – 0.9%                 
  125   

Diageo Fiannce BV

  3.875%      4/01/11      A–        125,525
  100   

Miller Brewing Company, 144A

  4.250%      8/15/08      BBB+        100,412
  225   

Total Beverages

                         225,937
   Commercial Banks – 1.8%                 
  125   

Nationsbank Corporation

  6.600%      5/15/10      Aa2        131,943
  100   

US Bank National Association

  6.300%      7/15/08      AA        100,778
  100   

Wachovia Corporation

  6.250%      8/04/08      A+        100,654
  135   

Wells Fargo & Company

  4.200%      1/15/10      AA+        137,312
  460   

Total Commercial Banks

                         470,687
   Commercial Services & Supplies – 1.5%                 
  60   

Allied Waste North America

  6.500%      11/15/10      BB        60,300
  50   

Interface, Inc.

  10.375%      2/01/10      BB–        52,500
  150   

International Lease Finance Corporation, Commercial Paper Notes

  6.375%      3/15/09      AA–        151,808
  125   

Waste Management Inc.

  7.375%      8/01/10      BBB        131,758
  385   

Total Commercial Services & Supplies

                         396,366
   Communications Equipment – 0.5%                 
  125   

Cisco Systems, Inc.

  5.250%      2/22/11      A+        130,573
   Computers & Peripherals – 1.3%                 
  50   

GSC Holdings Corporation, 144A

  8.000%      10/01/12      BB        53,125
  100   

Hewlett Packard Company

  6.500%      7/01/12      A        109,275
  125   

International Business Machines Corporation (IBM)

  4.950%      3/22/11      A+        130,857
  50   

Seagate Technology HDD Holdings

  5.569%      10/01/09      BB+        48,500
  325   

Total Computers & Peripherals

                         341,757
   Consumer Finance – 0.1%                 
  50   

SLM Corporation

  4.000%      1/15/09      Baa2        45,029
   Diversified Financial Services – 1.2%                 
  153   

Bank One Corporation

  7.875%      8/01/10      Aa3        163,584
  150   

General Electric Capital Corporation

  4.125%      9/01/09      AAA        151,994
  303   

Total Diversified Financial Services

                         315,578
   Diversified Telecommunication Services – 2.1%                 
  225   

BellSouth Corporation

  4.200%      9/15/09      A        226,567
  125   

GTE Corporation – Verizon

  7.510%      4/01/09      A        129,296
  50   

Qwest Capital Funding Inc.

  7.000%      8/03/09      B+        50,000
  100   

Sprint Capital Corporation, Unsecured Note

  6.125%      11/15/08      BBB–        99,265
  50   

US West Communications Inc.

  5.625%      11/15/08      BBB–        50,000
  550   

Total Diversified Telecommunication Services

                         555,128

 

 

11


Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Electric Utilities – 3.4%                 
$ 150   

American Electric Power

  5.375%      3/15/10      BBB      $ 153,543
  100   

Cinergy Corporation

  6.530%      12/16/08      BBB+        101,903
  100   

FirstEnergy Corporation

  6.450%      11/15/11      BBB–        104,760
  100   

Niagara Mohawk Power Corporation, Series 1998G

  7.750%      10/01/08      A3        101,768
  100   

Ohio Edison Company

  4.000%      5/01/08      Baa2        99,995
  150   

Pacific Gas and Electric Company

  3.600%      3/01/09      A3        149,662
  100   

Public Service Electric & Gas Company, Series 2003C

  4.000%      11/01/08      A–        100,082
  100   

Puget Sound Energy Inc.

  3.363%      6/01/08      BBB+        99,909
  900   

Total Electric Utilities

                         911,622
   Electrical Equipment – 0.5%                 
  125   

Emerson Electric Company, Note

  7.125%      8/15/10      A        135,629
   Energy Equipment & Services – 0.6%                 
  150   

El Paso Energy Corporation

  6.750%      5/15/09      BB–        152,291
   Food Products – 0.8%                 
  100   

Campbell Soup Company

  5.875%      10/01/08      A        101,557
  100   

Kellogg Company

  2.875%      6/01/08      A3        99,895
  200   

Total Food Products

                         201,452
   Hotels, Restaurants & Leisure – 0.4%                 
  100   

Tricon Global Restaurants Inc.

  7.650%      5/15/08      Baa2        100,534
   Household Durables – 0.3%                 
  50   

KB Home

  7.750%      2/01/10      Ba2        48,063
  25   

Toll Corporation

  8.250%      2/01/11      BB+        22,813
  75   

Total Household Durables

                         70,876
   Household Products – 0.6%                 
  150   

Clorox Company

  4.200%      1/15/10      BBB+        150,587
   Industrial Conglomerates – 0.5%                 
  125   

Textron Financial Corporation

  5.125%      2/03/11      A–        130,085
   Insurance – 0.4%                 
  100   

Prudential Financial Inc.

  3.750%      5/01/08      A+        99,992
   IT Services – 0.4%                 
  100   

First Data Corporation (3)

  3.375%      8/01/08      Caa1        97,620
   Machinery – 0.4%                 
  100   

John Deere Capital Corporation, Series 2005D

  4.500%      8/25/08      A        100,498
   Media – 1.1%                 
  50   

Echostar DBS Corporation

  5.750%      10/01/08      BB–        49,875
  40   

Sinclair Broadcasting Group

  8.000%      3/15/12      BB–        40,500
  75   

Valassis Communications Inc.

  6.625%      1/15/09      BB        74,063
  125   

Walt Disney Company

  5.700%      7/15/11      A        132,680
  290   

Total Media

                         297,118
   Multi-Line Retail – 0.4%                 
  100   

Federated Department Stores, Inc.

  6.625%      9/01/08      Baa2        100,475

 

 

12


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Multi-Utilities – 1.3%                 
$ 100   

Duke Energy Corporation

  4.200%      10/01/08      A–      $ 100,364
  100   

MidAmerican Energy Holdings Company

  3.500%      5/15/08      BBB+        99,983
  150   

Sempra Energy

  4.750%      5/15/09      BBB+        151,389
  350   

Total Multi-Utilities

                         351,736
   Oil, Gas & Consumable Fuels – 0.8%                 
  50   

Alpha Natural Resources, Inc.

  10.000%      6/01/12      B        52,500
  150   

Phillips Petroleum Company

  8.750%      5/25/10      A1        167,492
  200   

Total Oil, Gas & Consumable Fuels

                         219,992
   Paper & Forest Products – 0.1%                 
  40   

Rock-Tenn Company

  8.200%      8/15/11      BB        41,200
   Pharmaceuticals – 0.4%                 
  100   

Bristol-Myers Squibb Company

  4.000%      8/15/08      A+        100,060
   Real Estate Investment Trust – 0.1%                 
  50   

Istar Financial Inc.

  8.750%      8/15/08      BBB        47,629
   Road & Rail – 0.6%                 
  150   

Kansas City Southern Railway Company

  9.500%      10/01/08      BB–        152,813
   Software – 0.5%                 
  125   

Oracle Corporation

  5.000%      1/15/11      A        128,315
   Thrifts & Mortgage Finance – 0.4%                 
  100   

Washington Mutual Bank

  5.187%      8/25/08      BBB+        96,139
   Tobacco – 0.3%                 
  75   

Reymolds American Inc.

  6.500%      7/15/10      BBB        76,875
   Trading Companies & Distributors – 0.2%                 
  50   

GATX Financial Corporation

  5.125%      4/15/10      BBB+        50,566
   Wireless Telecommunication Services – 1.1%                 
  100   

Airtouch Communications Inc.

  6.650%      5/01/08      A–        100,165
  50   

Rogers Wireless Communications Inc.

  8.000%      12/15/12      BB+        52,000
  125   

Vodafone Group PLC

  5.500%      6/15/11      A–        127,210
  275   

Total Wireless Telecommunication Services

                         279,375
$ 6,903    Total Corporate Bonds (cost $7,035,055)                          7,051,978
Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
   U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 42.9%                 
   U.S. Treasury Bonds/Notes – 42.9%                 
$ 1,000   

United States of America Treasury Bonds/Notes

  4.500%      2/28/11      AAA      $ 1,077,891
  3,450   

United States of America Treasury Bonds/Notes

  4.750%      11/15/08      AAA        3,521,429
  1,200   

United States of America Treasury Bonds/Notes

  4.875%      1/31/09      AAA        1,233,095
  3,350   

United States of America Treasury Bonds/Notes

  3.500%      11/15/09      AAA        3,453,381
  1,000   

United States of America Treasury Bonds/Notes

  6.500%      2/15/10      AAA        1,089,376
  920   

United States of America Treasury Bonds/Notes

  4.375%      12/15/10      AAA        985,334
$ 10,920    Total U.S. Government and Agency Obligations (cost $11,144,534)                          11,360,506

 

 

13


Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2008

 

Principal
Amount (000)
     Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   ASSET-BACKED SECURITIES – 17.4%                 
   Autos – 8.6%                 
$ 300     

Banc of America Securities Auto Trust 2006-G1

  5.180%      6/18/10      AAA      $ 303,026
  230     

Capital Auto Receivables Asset Trust, Series 2007-2-A3A

  5.020%      9/15/11      AAA        234,459
  340     

Daimler Chrysler Auto Trust 2008-A A3

  3.700%      6/08/12      AAA        339,438
  8     

Daimler Chrysler Auto Trust, Class A3, Series 2005B

  4.040%      9/08/09      AAA        7,552
  400     

Ford Credit Auto Owner Trust, 2008A-3A

  3.960%      4/15/12      AAA        401,641
  450     

Harley-Davidson Motorcycle Trust, Series 2007-2A3

  5.100%      5/15/12      AAA        457,028
  100     

Hyundai Auto Receivables Trust 2007A, Class A3A

  5.040%      1/17/12      AAA        101,317
  270     

USAA Auto Owner Trust 2006-2

  5.370%      2/15/12      AAA        276,623
  160     

USAA Auto Owner Trust 2007-2

  5.070%      6/15/13      AAA        163,319
  2,258     

Total Autos

                         2,284,403
   Cards – 7.7%                 
  310     

Bank One Issuance Trust, 2003 Class A9

  3.860%      6/15/11      AAA        311,163
  160     

Citibank Credit Card Issuance Trust, 2006 Class B2

  5.150%      3/07/11      A        160,643
  270     

Citibank Credit Card Issuance Trust, Series 2007

  5.000%      11/08/12      A        266,716
  300     

General Electric Master Credit Card Note Trust, Class A, Series 2006-1

  5.080%      9/15/12      AAA        307,288
  300     

Household Credit Card Master Note Trust, Class A, Series 2006-1

  5.100%      6/15/12      AAA        305,055
  450     

MBNA Master Credit Card Trust 1999-B A

  5.900%      8/15/11      AAA        461,503
  210     

MBNA Master Credit Card Trust Class 99-J

  7.000%      2/15/12      AAA        221,275
  2,000     

Total Cards

                         2,033,643
   Home Equity – 1.1%                 
  289     

Federal National Mortgage Association Pool 838948

  5.080%      8/01/35      AAA        294,787
  (4)          —      

Master Asset Backed Securities Trust 2005-WMC1, Mortgage Pass Through Certificates, Class N-1

  4.940%      3/26/35      A+       
  289     

Total Home Equity

                         294,787
$ 4,547      Total Asset-Backed Securities (cost $4,581,424)                          4,612,833
Principal
Amount (000)
     Description (1)   Coupon      Maturity      Ratings (2)      Value
   SOVEREIGN DEBT – 2.3%                 
   Turkey – 2.3%                 
$ 200     

Republic of Turkey, Government Bond

  14.000%      1/19/11      Ba3      $ 139,624
  400     

Republic of Turkey, Government Bond

  10.840%      2/15/12      BB        324,037
  200     

Republic of Turkey, Government Bond

  16.000%      3/07/12      BB        141,273
  800     

Total Turkey

                         604,934
$ 800      Total Sovereign Debt (cost $563,179)                          604,934
Principal
Amount (000)
     Description (1)   Coupon      Maturity      Ratings (2)      Value
   SHORT-TERM INVESTMENTS – 10.8%                 
   U.S. Government and Agency Obligations – 10.0%                 
$ 600     

Federal Home Loan Banks, Discount Notes

  0.000%      4/09/08      AAA      $ 599,471
  600     

Federal Home Loan Banks, Discount Notes

  0.000%      4/23/08      AAA        599,219
  1,450     

Federal National Mortgage Association

  0.000%      4/16/08      AAA        1,448,731
  2,650     

Total U.S. Government and Agency Obligations

                         2,647,421

 

 

14


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Value
              
   Repurchase Agreements – 0.8%            
$ 206   

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $205,697, collateralized by $145,000 U.S. Treasury Bonds, 8.750%, due 8/15/20, value $213,875

  1.100%      4/01/08      $ 205,691
$ 2,856    Total Short-Term Investments (cost $2,853,112)                   2,853,112
   Total Investments (cost $26,177,304) – 100.1%               26,483,363
    
Description         Counterparty   Floating Rate
Index
   Pay/Receive
Floating
Rate
   Exercise
Rate
   Expiration
Date
   Notional
Amount
   Premium    Value  
     Call Swaptions Written – 0.0%                    
OTC-10-Year Interest Rate Swap  

Lehman Brothers

  6-Month LIBOR    Receive    4.890%    4/14/08    (1,300,000)   GBP    (3,120)  GBP    $ (1,318)  
   Total Call Swaptions Written (premiums received $6,334)                     (1,318 )
      
   Other Assets Less Liabilities – (0.1)%                       (22,509 )
      
   Net Assets – 100.0%                     $     26,459,536  
      

 

 

15


Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2008

 

Forward Foreign Currency Exchange Contracts outstanding at March 31, 2008:

 

Currency Contracts to Deliver    Amount
(Local Currency)
   In Exchange For
Currency
   Amount
(Local Currency)
   Settlement
Date
   Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
 
Australian Dollar    200,000    Canadian Dollar    182,028    4/22/08    $ (5,013 )
Brazilian Real    458,600    U.S. Dollar    269,369    4/02/08      8,116  
Canadian Dollar    200,000    Swiss Franc    220,448    4/08/08      27,170  
Canadian Dollar    180,316    Australian Dollar    200,000    4/22/08              6,680  
Czech Koruna    3,914,550    Euro    157,464    4/22/08      3,642  
Euro    150,000    Czech Koruna    3,914,550    4/22/08      8,132  
Euro    40,000    Iceland Krona    3,886,800    9/24/08      (12,689 )
Euro    84,608    Iceland Krona    8,119,800    9/24/08      (28,143 )
Iceland Krona    12,006,600    Euro    105,256    9/24/08      10,557  
Indian Rupee    8,092,000    U.S. Dollar    200,000    6/09/08      (587 )
Indonesian Rupiah    1,728,780,000    U.S. Dollar    181,690    4/04/08      (6,058 )
Indonesian Rupiah    1,827,000,000    U.S. Dollar    195,401    6/10/08      (1,467 )
Japanese Yen    21,260,000    U.S. Dollar    200,000    5/01/08      (13,705 )
Mexican Peso    1,990,533    U.S. Dollar    183,481    4/24/08      (2,953 )
New Taiwan Dollar    2,415,000    U.S. Dollar    75,000    4/07/08      (4,634 )
New Taiwan Dollar    3,951,000    U.S. Dollar    122,626    4/15/08      (7,918 )
New Turkish Lira    128,530    U.S. Dollar    100,000    5/14/08      5,233  
New Turkish Lira    127,290    U.S. Dollar    100,000    5/14/08      6,147  
New Turkish Lira    669,433    U.S. Dollar    530,791    5/14/08      37,208  
New Zealand Dollar    250,000    U.S. Dollar    195,254    5/05/08      (89 )
Singapore Dollar    250,000    U.S. Dollar    176,900    5/14/08      (5,093 )
South African Rand    800,000    U.S. Dollar    98,436    4/21/08      324  
South Korean Won    159,613,000    U.S. Dollar    170,673    4/22/08      9,421  
Swiss Franc    245,110    Canadian Dollar    220,448    4/08/08      (32,086 )
U.S. Dollar    273,334    Brazilian Real    458,600    4/02/08      (12,081 )
U.S. Dollar    38,000    Indonesian Rupiah    358,530,000    4/04/08      937  
U.S. Dollar    150,000    Indonesian Rupiah    1,370,250,000    4/04/08      (1,189 )
U.S. Dollar    79,245    New Taiwan Dollar    2,415,000    4/07/08      388  
U.S. Dollar    129,882    New Taiwan Dollar    3,951,000    4/15/08      662  
U.S. Dollar    191,616    Colombian Peso    372,118,900    4/18/08      10,870  
U.S. Dollar    100,000    South African Rand    778,200    4/21/08      (4,561 )
U.S. Dollar    102,640    South African Rand    800,000    4/21/08      (4,528 )
U.S. Dollar    183,527    Mexican Peso    1,990,533    4/24/08      2,907  
U.S. Dollar    212,818    Japanese Yen    21,260,000    5/01/08      888  
U.S. Dollar    194,655    New Zealand Dollar    250,000    5/05/08      688  
U.S. Dollar    181,806    Singapore Dollar    250,000    5/14/08      187  
U.S. Dollar    200,000    Indonesian Rupiah    1,827,000,000    6/10/08      (3,132 )
U.S. Dollar    125,000    Argentine Peso    397,375    6/17/08      (715 )
                         $ (6,484 )

Interest Rate Swaps outstanding at March 31, 2008:

 

Counterparty   Notional
Amount
  Fund
Pay/Receive
Floating Rate
  Floating Rate
Index
  Fixed Rate
(Annualized)
  Fixed Rate
Payment
Frequency
    Termination
Date
  Value at
March 31, 2008
    Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
 
BNP Paribas        900,000  USD   Pay   12-Month CPI-U   2.840%   3/04/15 (5)   3/04/15   $ (1,177 )   $       (1,177 )
BNP Paribas        900,000 USD   Receive   12-Month CPI-U   2.650   3/04/10 (5)   3/04/10     (1,762 )     (1,762 )
Deutsche Bank AG     1,300,000  GBP   Pay   6-Month LIBOR   4.800   Semi-Annually     1/24/10     (13,008 )     (13,008 )
Goldman Sachs     1,550,000 EUR   Pay   6-Month EURIBOR   4.021   Annually     1/26/14     (5,661 )     (5,661 )
Goldman Sachs        650,000 EUR   Receive   6-Month EURIBOR   4.410   Annually     1/26/19     914       914  
Goldman Sachs        900,000 EUR   Receive   6-Month EURIBOR   3.675   Annually     1/26/11     6,027       6,027  
Morgan Stanley   12,250,000  NOK   Pay   6-Month NIBOR   5.625   Annually     11/12/09     (15,361 )     (15,215 )
Morgan Stanley     2,500,000 NOK   Pay   6-Month NIBOR   5.500   Annually     11/12/17     9,179       9,179  
Morgan Stanley     2,625,000 USD   Pay   3-Month USD-LIBOR   3.198   Semi-Annually     1/21/11     17,991       17,991  
Morgan Stanley     3,000,000 BRL   Pay   1-Day BZDIRA   12.720   1/05/10 (6)   1/04/10     (210 )     (210 )
Morgan Stanley     4,000,000 BRL   Pay   1-Day BZDIRA   11.270   1/05/10 (6)   1/04/10     (60,097 )     (60,097 )
Morgan Stanley        625,000 USD   Receive   3-Month USD-LIBOR   4.490   Semi-Annually     1/21/19     (8,047 )     (8,047 )
Morgan Stanley     9,750,000   NOK   Receive   6-Month NIBOR   5.423   Annually     11/12/12     (3,168 )     (3,168 )
                                        $ (74,234 )

 

 

16


 

Credit Default Swaps outstanding at March 31, 2008:

 

Counterparty    Referenced Entity    Buy/Sell
Protection
   Notional
Amount
   Fixed
Rate
    Termination
Date
   Value at
March 31, 2008
   Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
Bank of America    Macy’s Inc.    Buy    $ 125,000    2.800 %   3/20/13    $ 153    $ 153
Goldman Sachs    DJ Investment Grade CDX    Sell      742,500    3.750     12/20/12      (78,775)      (76,920)
Lehman Brothers    Harrah’s Entertainment Inc.    Sell      125,000    3.750     9/20/08      (1,609)      (1,611)
                                        $     (78,378)

Futures Contracts outstanding at March 31, 2008:

 

Type    Contract
Position
   Number of
Contracts
    Contract
Expiration
   Value at
March 31,2008
(U.S. Dollars)
    Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
 
U.S. 2-Year Treasury Note    Long    33     6/08    $ 7,083,656     $ 32,901  
U.S. 5-Year Treasury Note    Long    9     6/08      1,028,109       (1,644 )
U.S. 10-Year Treasury Note    Short    (10 )   6/08      (1,189,531 )     (14,093 )
                             $       17,164  

 

 

(1)   All percentages shown in the Portfolio of Investments are based on net assets.

 

(2)   Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.

 

(3)   Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.

 

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

 

(5)   Fixed Rate Payment due upon contract termination.

 

(6)   Fixed Rate Payment due one business day subsequent to contract termination.

 

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.

 

OTC   Over-The-Counter market transaction.

 

BRL   Brazil Real

 

GBP   British Pound

 

EUR   Euro

 

NOK   Norwegian Krone

 

USD   United States Dollar

 

BZDIRA   Brazil Inter-Bank Deposit Rate Annualized

 

CPI-U   USA-Non-Revised Consumer Price Index-Urban

 

EURIBOR   Europe Inter-Bank Offered Rate

 

LIBOR   London Inter-Bank Offered Rate

 

NIBOR   Norwegian Inter-Bank Offered Rate

 

See accompanying notes to financial statements.

 

 

17


Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   CORPORATE BONDS – 22.4%                 
   Aerospace & Defense – 0.9%                 
$ 12   

Boeing Capital Corporation

  5.800%      1/15/13      A+      $ 12,963
  50   

DI Finance/DynCorp International, Series B

  9.500%      2/15/13      B        51,125
  40   

Hawker Beechcraft Acquistion Company

  9.750%      4/01/17      B–        40,000
  20   

Honeywell International Inc.

  7.500%      3/01/10      A        21,566
  40   

L-3 Communications Corporation

  6.125%      1/15/14      BB+        39,200
  10   

Lockheed Martin Corporation

  7.650%      5/01/16      A–        11,758
  8   

United Technologies Corporation

  7.500%      9/15/29      A        9,618
  180   

Total Aerospace & Defense

                         186,230
   Auto Components – 0.1%                 
  20   

Lear Corporation

  8.750%      12/01/16      B–        17,175
   Beverages – 0.1%                 
  7   

Coca-Cola Enterprises Inc.

  6.750%      9/15/28      A        7,714
  5   

Diageo Capital, PLC

  5.750%      10/23/17      A–        5,130
  10   

Pepsi Bottling Group LLC

  5.500%      4/01/16      A        10,410
  22   

Total Beverages

                         23,254
   Building Products – 0.3%                 
  40   

Dayton Superior Corporation

  13.000%      6/15/09      CCC+        34,900
  4   

Masco Corporation

  5.875%      7/15/12      BBB+        4,036
  20   

Norcraft Holdings LP

  9.750%      9/01/12      B–        17,600
  64   

Total Building Products

                         56,536
   Capital Markets – 0.4%                 
  80   

JP Morgan Chase & Company

  5.375%      10/01/12      Aa2        83,149
  1   

Merril Lynch & Company

  3.700%      4/21/08      A+        999
  81   

Total Capital Markets

                         84,148
   Chemicals – 0.4%                 
  6   

Dow Chemical Company

  7.375%      11/01/29      A–        6,455
  30   

Equistar Chemicals LP

  7.550%      2/15/26      B+        19,350
  30   

MacDermid, Inc.

  9.500%      4/15/17      CCC+        27,000
  30   

NOVA Chemicals Corporation

  7.863%      11/15/13      Ba3        25,275
  2   

Praxair, Inc.

  6.375%      4/01/12      A        2,173
  98   

Total Chemicals

                         80,253
   Commercial Banks – 0.9%                 
  50   

Bank of America Corporation

  6.000%      9/01/17      Aa1        52,663
  6   

Charter One Bank FSB

  6.375%      5/15/12      Aa3        6,304
  4   

Key Bank NA

  7.000%      2/01/11      A2        4,222
  25   

National City Bank

  6.200%      12/15/11      A        23,506
  18   

PNC Funding Corporation

  7.500%      11/01/09      A        18,914
  6   

SunTrust Banks Inc.

  6.375%      4/01/11      Aa3        6,236
  9   

US Bank NA Minnesota

  6.375%      8/01/11      AA        9,752
  39   

Wachovia Corporation

  5.250%      8/01/14      A+        38,573
  20   

Wells Fargo & Company

  5.250%      10/23/12      AA+        20,762
  177   

Total Commercial Banks

                         180,932

 

 

18


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Commercial Services & Supplies – 0.9%                 
$ 30   

Ahern Rentals Inc.

  9.250%      8/15/13      B+      $ 23,925
  50   

Browning Ferris-Allied Waste

  9.250%      5/01/21      BB        52,000
  40   

Interface, Inc.

  10.375%      2/01/10      BB–        42,000
  35   

Quebecor Media Inc.

  7.750%      3/15/16      B2        32,113
  30   

Rental Service Corporation

  9.500%      12/01/14      B–        25,200
  185   

Total Commercial Services & Supplies

                         175,238
   Communications Equipment – 0.1%                 
  10   

Cisco Systems, Inc.

  5.500%      2/22/16      A+        10,363
  1   

Motorola, Inc.

  7.625%      11/15/10      Baa1        1,037
  3   

Motorola, Inc.

  7.500%      5/15/25      Baa1        2,623
  14   

Total Communications Equipment

                         14,023
   Computers & Peripherals – 0.2%                 
  35   

International Business Machines Corporation (IBM)

  4.750%      11/29/12      A+        36,261
   Consumer Finance – 0.0%                 
  12   

SLM Corporation

  5.375%      1/15/13      Baa2        9,206
   Containers & Packaging – 0.3%                 
  50   

Caraustar Industries

  7.375%      6/01/09      B–        34,250
  40   

Intertape Polymer US Inc.

  8.500%      8/01/14      CCC+        33,400
  90   

Total Containers & Packaging

                         67,650
   Diversified Financial Services – 0.7%                 
  35   

Citigroup Inc.

  6.000%      10/31/33      A+        29,993
  65   

General Electric Capital Corporation, Medium Term Notes

  5.625%      9/15/17      AAA        66,633
  20   

International Lease Finance Corporation

  5.650%      6/01/14      AA–        19,230
  18   

Sanwa Finance Aruba AEC

  8.350%      7/15/09      Aa3        18,956
  138   

Total Diversified Financial Services

                         134,812
   Diversified Telecommunication Services – 1.6%                 
  50   

AT&T, Inc.

  6.800%      5/15/36      A        51,540
  40   

Cincinnati Bell Inc.

  7.000%      2/15/15      Ba3        36,400
  40   

Citizens Communications Company

  9.000%      8/15/31      BB+        35,200
  50   

FairPoint Communications Inc.

  13.125%      4/01/18      B+        48,250
  50   

Sprint Capital Corporation

  6.900%      5/01/19      BBB–        39,445
  55   

Verizon Communications

  6.250%      4/01/37      A        52,677
  50   

Windstream Corporation, 144A

  8.625%      8/01/16      BB        49,375
  335   

Total Diversified Telecommunication Services

                         312,887
   Electric Utilities – 2.1%                 
  35   

American Electric Power

  5.250%      6/01/15      BBB        34,679
  20   

Carolina Power and Light Company

  5.125%      9/15/13      A2        20,999
  20   

Dominion Resources Inc.

  6.250%      6/30/12      A–        21,302
  14   

Duke Capital LLC

  5.668%      8/15/14      Baa1        14,095
  55   

Duke Energy Corporation

  6.250%      1/15/12      A–        59,115
  50   

Edison Mission Energy

  7.000%      5/15/17      BB–        50,000
  40   

Energy Future Holdings

  10.875%      11/01/17      B–        40,600

 

 

19


Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Electric Utilities (continued)                 
$ 40   

Exelon Corporation

  4.900%      6/15/15      Baa1      $ 38,162
  45   

FirstEnergy Corporation

  6.450%      11/15/11      BBB–        47,142
  5   

FirstEnergy Corporation

  7.375%      11/15/31      BBB–        5,455
  16   

Pacific Gas and Electric Company

  6.050%      3/01/34      A3        15,736
  10   

Progress Energy, Inc.

  7.000%      10/30/31      BBB        10,895
  5   

PSE&G Power LLC

  8.625%      4/15/31      Baa1        6,150
  25   

Reliant Energy Inc.

  7.875%      6/15/17      B        25,000
  11   

Reliant Energy, Centerpoint Energy Inc.

  7.750%      2/15/11      BBB        11,891
  9   

Virginia Electric and Power Company

  4.750%      3/01/13      A–        9,220
  400   

Total Electric Utilities

                         410,441
   Electrical Equipment – 0.1%                 
  15   

UCAR Finance Inc.

  10.250%      2/15/12      B+        15,600
   Energy Equipment & Services – 0.7%                 
  40   

Allis Chalmers Energy Inc., 144A

  8.500%      3/01/17      B        35,400
  50   

Helix Energy Solutions

  9.500%      1/15/16      BB–        50,250
  50   

Kinder Morgan Finance

  5.700%      1/05/16      BB        47,625
  140   

Total Energy Equipment & Services

                         133,275
   Food & Staples Retailing – 0.0%                 
  2   

Kroger Co.

  7.500%      4/01/31      Baa2        2,173
   Food Products – 0.3%                 
  27   

Kellogg Company

  7.450%      4/01/31      A3        31,382
  35   

Pinnacle Foods Finance LLC, 144A

  10.625%      4/01/17      CCC        29,925
  62   

Total Food Products

                         61,307
   Gas Utilities – 0.1%                 
  2   

Consolidated Natural Gas Company

  5.000%      12/01/14      A–        1,944
  10   

Duke Energy Field Services Corporation

  7.875%      8/16/10      BBB+        10,726
  12   

Total Gas Utilities

                         12,670
   Health Care Providers & Services – 0.5%                 
  50   

HealthSouth Corporation

  10.750%      6/15/16      CCC+        52,750
  55   

Tenet Healthcare Corporation

  9.875%      7/01/14      B        53,488
  105   

Total Health Care Providers & Services

                         106,238
   Hotels, Restaurants & Leisure – 0.3%                 
  50   

Harrah’s Operating Company, Inc.

  10.750%      2/01/16      B+        42,375
  30   

Mohegan Tribal Gaming Authority

  8.000%      4/01/12      Ba2        27,600
  80   

Total Hotels, Restaurants & Leisure

                         69,975
   Household Durables – 0.2%                 
  12   

Pulte Homes, Inc.

  4.875%      7/15/09      BB+        11,400
  25   

Toll Corporation

  8.250%      2/01/11      BB+        22,813
  37   

Total Household Durables

                         34,213
   Household Products – 0.1%                 
  20   

Procter and Gamble Company

  4.850%      12/15/15      AA–        20,966

 

 

20


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Independent Power Producers & Energy Traders – 0.4%                 
$ 25   

Intergen NV, 144A

  9.000%      6/30/17      BB–      $ 26,250
  50   

NRG Energy Inc.

  7.375%      2/01/16      B1        49,125
  75   

Total Independent Power Producers & Energy Traders

                         75,375
   Industrial Conglomerates – 0.3%                 
  50   

SPX Corporation

  7.625%      12/15/14      BB        51,563
   Insurance – 0.5%                 
  35   

Allstate Corporation

  7.200%      12/01/09      A+        37,039
  55   

Prudential Financial Inc.

  4.750%      4/01/14      A+        54,588
  90   

Total Insurance

                         91,627
   IT Services – 0.1%                 
  40   

First Data Corporation

  9.875%      9/24/15      B        32,950
   Machinery – 0.3%                 
  40   

American Railcar Industries

  7.500%      3/01/14      BB–        35,400
  5   

Caterpillar Inc.

  6.050%      8/15/36      A        5,134
  15   

Deere & Company

  6.950%      4/25/14      A        16,661
  60   

Total Machinery

                         57,195
   Media – 1.7%                 
  100   

AOL Time Warner

  6.875%      5/01/12      BBB+        103,325
  55   

Comcast Corporation

  6.450%      3/15/37      BBB+        51,992
  40   

Echostar DBS Corporation

  7.125%      2/01/16      BB–        37,500
  40   

News America, Inc., 144A

  6.150%      3/01/37      BBB+        37,909
  40   

Sinclair Broadcasting Group

  8.000%      3/15/12      BB–        40,500
  35   

Time Warner Cable Inc.

  6.550%      5/01/37      BBB+        33,143
  25   

Walt Disney Company

  6.000%      7/17/17      A        26,828
  2   

Walt Disney Company

  7.000%      3/01/32      A        2,293
  337   

Total Media

                         333,490
   Metals & Mining – 1.6%                 
  40   

California Steel Industries Inc.

  6.125%      3/15/14      BB–        31,400
  30   

Claymont Steel Inc., 144A

  8.875%      2/15/15      B3        31,650
  30   

Freeport McMoran Copper & Gold, Inc.

  8.375%      4/01/17      BB        31,913
  30   

Noranda Aluminum Acquisition Corporation

  8.738%      5/15/15      B–        23,700
  30   

Russel Metals Inc.

  6.375%      3/01/14      BB        27,900
  40   

Steel Dynamics, Inc.

  7.375%      11/01/12      BB+        40,600
  50   

Steel Dynamics, Inc. (WI/DD)

  7.750%      4/15/16      BB+        50,313
  40   

Tube City IMS Corporation

  9.750%      2/01/15      B–        35,400
  60   

United States Steel Corporation

  6.050%      6/01/17      Baa3        55,593
  350   

Total Metals & Mining

                         328,469
   Multi-Line Retail – 0.5%                 
  8   

Federated Department Stores, Inc.

  6.900%      4/01/29      Baa2        6,787
  35   

J.C. Penney Corporation Inc.

  5.750%      2/15/18      BBB–        32,374
  65   

Target Corporation

  5.375%      5/01/17      A+        64,628
  108   

Total Multi-Line Retail

                         103,789

 

 

21


Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Multi-Utilities – 0.2%                 
$ 50   

Dynegy Holdings, Inc.

  7.750%      6/01/19      B      $ 47,000
   Oil, Gas & Consumable Fuels – 1.3%                 
  40   

Apache Corporation

  6.000%      1/15/37      A–        40,519
  10   

Devon Energy Corporation

  7.950%      4/15/32      BBB+        12,368
  18   

Halliburton Company

  5.500%      10/15/10      A        18,963
  10   

Occidental Petroleum Corporation

  6.750%      1/15/12      A–        11,076
  50   

Premcor Refining Group Inc.

  7.500%      6/15/15      BBB        52,360
  10   

Tosco Corporation

  8.125%      2/15/30      A1        12,618
  10   

Valero Energy Corporation

  7.500%      4/15/32      BBB        10,440
  100   

W&T Offshore, Inc.

  8.250%      6/15/14      B        93,250
  10   

XTO Energy, Inc.

  6.250%      4/15/13      BBB        10,880
  258   

Total Oil, Gas & Consumable Fuels

                         262,474
   Paper & Forest Products – 0.8%                 
  43   

Buckeye Technologies Inc.

  8.000%      10/15/10      B        43,161
  30   

Mercer International Inc.

  9.250%      2/15/13      B        25,050
  40   

Rock-Tenn Company

  8.200%      8/15/11      BB        41,200
  50   

Rock-Tenn Company

  5.625%      3/15/13      BB        46,250
  8   

Westvaco Corporation

  8.200%      1/15/30      BBB        8,244
  171   

Total Paper & Forest Products

                         163,905
   Pharmaceuticals – 0.4%                 
  40   

Axcan Intermediate Holdings

  9.250%      3/01/15      Ba2        39,700
  10   

Schering-Plough Corporation

  6.000%      9/15/17      A–        10,068
  3   

Schering-Plough Corporation

  6.750%      12/01/33      A–        2,957
  20   

Wyeth

  5.500%      3/15/13      A+        21,201
  73   

Total Pharmaceuticals

                         73,926
   Real Estate Investment Trust – 0.2%                 
  50   

Istar Financial Inc.

  8.750%      8/15/08      BBB        47,629
   Real Estate Management & Development – 0.1%                 
  12   

ERP Operating LP

  6.625%      3/15/12      BBB+        12,204
   Road & Rail – 1.1%                 
  18   

Burlington Northern Santa Fe Corporation

  6.750%      7/15/11      Baa1        19,257
  13   

Canadian National Railways Company

  6.250%      8/01/34      A–        12,658
  10   

CSX Corporation

  5.600%      5/01/17      BBB–        9,518
  50   

Kansas City Southern de Mexico, RL de CV

  7.375%      6/01/14      BB–        46,250
  100   

Kansas City Southern Railway Company

  9.500%      10/01/08      BB–        101,875
  17   

Norfolk Southern Corporation

  7.700%      5/15/17      BBB+        19,701
  10   

Union Pacific Corporation

  5.650%      5/01/17      BBB        9,996
  218   

Total Road & Rail

                         219,255
   Software – 0.1%                 
  14   

Computer Associates International, Inc.

  4.750%      12/01/09      Ba1        14,163
   Thrifts & Mortgage Finance – 0.5%                 
  100   

Washington Mutual Bank

  5.187%      8/25/08      BBB+        96,139

 

 

22


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Trading Companies & Distributors – 0.1%                 
$ 50   

Neff Corporation

  10.000%      6/01/15      B–      $ 24,000
   Wireless Telecommunication Services – 0.9%                 
  50   

Metro Wireless Inc.

  9.250%      11/01/14      B–        46,250
  60   

Rogers Wireless Communications Inc.

  6.375%      3/01/14      BBB–        59,560
  80   

Vodafone Group PLC

  5.350%      2/27/12      A–        81,079
  190   

Total Wireless Telecommunication Services

                         186,889
$ 4,620    Total Corporate Bonds (cost $4,639,197)                          4,467,505

Principal

Amount (000)

   Description (1)   Coupon      Maturity      Ratings (2)      Value
   U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 15.5%                 
   U.S. Treasury Bond/Notes – 15.5%                 
$ 60   

United States of America Treasury Bonds/Notes

  0.000%      11/15/08      AAA      $ 59,408
  1,525   

United States of America Treasury Bonds/Notes

  0.000%      11/15/10      AAA        1,459,166
  425   

United States of America Treasury Bonds/Notes

  0.000%      11/15/12      AAA        380,104
  950   

United States of America Treasury Bonds/Notes

  0.000%      5/15/17      AAA        673,892
  395   

United States of America Treasury Bonds/Notes

  0.000%      2/15/25      AAA        182,775
  965   

United States of America Treasury Bonds/Notes

  0.000%      2/15/31      AAA        347,288
$ 4,320    Total U.S. Government and Agency Obligations (cost $2,938,540)                          3,102,633
Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
   ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 59.5%                 
   Autos – Asset-Backed Securities – 6.1%                 
$ 300   

Banc of America Securities Auto Trust 2006-G1

  5.180%      6/18/10      AAA      $ 303,026
  230   

Capital Auto Receivables Asset Trust, Series 2007-2-A3A

  5.020%      9/15/11      AAA        234,459
  180   

Daimer Chrysler Auto Trust, Series 2006D

  4.980%      2/08/11      AAA        182,209
  8   

Daimler Chrysler Auto Trust, Class A3, Series 2005B

  4.040%      9/08/09      AAA        7,552
  400   

Ford Credit Auto Owner Trust, 2008A-3A

  3.960%      4/15/12      AAA        401,641
  100   

Hyundai Auto Receivables Trust 2007A, Class A3A

  5.040%      1/17/12      AAA        101,317
  1,218   

Total Autos

                         1,230,204
   Cards – Asset-Backed Securities – 9.3%                 
  175   

American Express Credit Card Master Trust, Class C Series 2007-6

  3.208%      1/15/13      BBB        159,791
  86   

Bank of America Alternative Loan Trust, Series 2005-5 2 CB1

  6.000%      6/25/35      Aaa        87,542
  100   

Bank One Issuance Trust 03-A3 A3

  2.928%      12/15/10      AAA        100,000
  310   

Bank One Issuance Trust, 2003 Class A9

  3.860%      6/15/11      AAA        311,163
  160   

Chase Issuance Trust 05- A3 A

  2.838%      10/17/11      AAA        158,810
  200   

Citibank Credit Card Issuance Trust, 2006 Class B2

  5.150%      3/07/11      A        200,804
  300   

General Electric Master Credit Card Note Trust, Class A, Series 2006-1

  5.080%      9/15/12      AAA        307,288
  300   

Household Credit Card Master Note Trust, Class A, Series 2006-1

  5.100%      6/15/12      AAA        305,055
  217   

MBNA Master Credit Card Trust Class 99-J

  7.000%      2/15/12      AAA        228,650
  1,848   

Total Cards

                         1,859,103

 

 

23


Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Home Equity – Asset-Backed Securities – 0.0%                 
$   (3)      —   

Master Asset Backed Securities Trust 2005-WMC1, Mortgage Pass Through Certificates, Class N-1

  4.940%      3/26/35      A+      $
   Other – Asset-Backed Securities – 0.7%                 
  145   

SLM Student Loan Trust 2007-7 Class A1

  3.471%      10/25/12      AAA        143,770
   Commercial – Mortgage-Backed Securities – 1.7%                 
  350   

Banc of America Commercial Mortgage Pass-Through Certificates, Series 2005

  4.933%      7/10/45      AAA        343,127
   Residential – Mortgage-Backed Securities – 41.7%                 
  56   

Federal National Mortgage Association Pool 255814

  5.500%      8/01/35      AAA        56,302
  685   

Federal National Mortgage Association Pool 735060

  6.000%      11/01/34      AAA        704,352
  323   

Federal National Mortgage Association Pool 735606

  4.443%      5/01/35      AAA        328,081
  343   

Federal National Mortgage Association Pool 824163

  5.500%      4/01/35      AAA        347,041
  289   

Federal National Mortgage Association Pool 838948

  5.080%      8/01/35      AAA        294,787
  299   

Federal National Mortgage Association Pool 847681

  6.241%      12/01/36      AAA        307,451
  353   

Federal National Mortgage Association Pool 905597

  6.088%      12/01/36      AAA        360,036
  825   

Federal National Mortgage Association Pool 946228

  6.172%      9/01/37      AAA        828,718
  1,200   

Federal National Mortgage Association Pool (MDR) (WI/DD)

  6.000%      TBA      AAA        1,229,437
  1,700   

Federal National Mortgage Association Pool (MDR) (WI/DD)

  5.500%      TBA      AAA        1,716,203
  1,220   

Federal National Mortgage Association Pool (MDR) (WI/DD)

  5.000%      TBA      AAA        1,207,610
  127   

Federal Home Loan Mortgage Corporation, Mortgage Pool 1B3220

  5.936%      1/01/37      AAA        129,128
  800   

Government National Mortgage Association (MDR) (WI/DD)

  6.000%      TBA      AAA        825,625
  8,220   

Total Residential

                         8,334,771
$ 11,781    Total Asset-Backed and Mortgage-Backed Securities (cost $11,792,716)                          11,910,975
Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
   CAPITAL PREFERRED SECURITIES – 0.0%                 
   Capital Markets – 0.0%                 
$ 8   

First Union Institutional Capital Securities I

  8.040%      12/01/26      A1      $ 8,062
$ 8    Total Capital Preferred Securities (cost $8,635)                          8,062
Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
   SOVEREIGN DEBT – 5.5%                 
   Colombia – 0.1%                 
$ 10   

Republic of Colombia

  8.250%      12/22/14      BBB–      $ 11,650
   Hungary – 0.3%                 
  60   

Republic of Hungary

  4.750%      2/03/15      A2        61,706
   Israel – 0.3%                 
  65   

State of Israel

  5.500%      11/09/16      A        68,382
   Malaysia – 0.6%                 
  100   

Republic of Malaysia

  7.500%      7/15/11      A–        111,964
   Mexico – 0.4%                 
  65   

United Mexican States

  6.625%      3/03/15      BBB+        72,800

 

 

24


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Poland – 0.3%                 
$ 60   

Republic of Poland

  5.000%      10/19/15      A2      $ 63,099
   South Korea – 0.5%                 
  100   

Republic of Korea

  5.125%      12/07/16      A        102,242
   Turkey – 3.0%                 
  200   

Republic of Turkey, Government Bond

  14.000%      1/19/11      Ba3        139,624
  400   

Republic of Turkey, Government Bond

  10.840%      2/15/12      BB        324,037
  200   

Republic of Turkey, Government Bond

  16.000%      3/07/12      BB        141,273
  800   

Total Turkey

                         604,934
$ 1,260    Total Sovereign Debt (cost $1,028,944)                          1,096,777
Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
   SHORT-TERM INVESTMENTS – 22.1%                 
   U.S. Government and Agency Obligations – 17.0%                 
$ 3,000   

Federal Home Loan Banks, Discount Notes

  0.000%      4/07/08      AAA      $ 2,999,000
  400   

Federal Home Loan Banks, Discount Notes

  0.000%      4/09/08      AAA        399,747
  3,400   

Total U.S. Government and Agency Obligations (cost $3,398,747)

                         3,398,747
   Repurchase Agreements – 5.1%                 
  1,018   

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $1,017,722, collateralized by $995,000 U.S. Treasury Bonds, 4.500%, due 2/15/36, value $1,041,019

  1.100%      4/01/08      N/A        1,017,691
$ 4,418    Total Short-Term Investments (cost $4,416,438)                          4,416,438
   Total Investments (cost $24,824,470) – 125.0%                    25,002,390
    
Description   Counterparty   Floating Rate
Index
   Pay/Receive
Floating
Rate
   Exercise
Rate
   Expiration
Date
   Notional
Amount
   Premium    Value  
  Call Swaptions Written – 0.0%               
OTC-10-Year Interest Rate Swap  

Lehman Brothers

  6-Month LIBOR    Receive    4.890%    4/14/08    (1,300,000)   GBP    (3,120) GBP    $ (1,318 )
   Total Call Swaptions Written (premiums received $6,334)    (1,318 )
     
   Other Assets Less Liabilities – (25.0)%    (4,991,399 )
     
   Net Assets – 100%    $     20,009,673
     

 

 

25


Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

March 31, 2008

 

Forward Foreign Currency Exchange Contracts outstanding at March 31, 2008:

 

Currency Contracts to Deliver    Amount
(Local Currency)
   In Exchange For
Currency
   Amount
(Local Currency)
   Settlement
Date
   Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
 
Australian Dollar    200,000    Canadian Dollar    182,028    4/22/08    $       (5,013 )
Brazilian Real    458,600    U.S. Dollar    269,369    4/02/08      8,116  
Canadian Dollar    200,000    Swiss Franc    220,448    4/08/08      27,170  
Canadian Dollar    180,316    Australian Dollar    200,000    4/22/08      6,680  
Czech Koruna    3,914,550    Euro    157,464    4/22/08      3,642  
Euro    150,000    Czech Koruna    3,914,550    4/22/08      8,132  
Euro    40,000    Iceland Krona    3,886,800    9/24/08      (12,689 )
Euro    84,608    Iceland Krona    8,119,800    9/24/08      (28,143 )
Iceland Krona    12,006,600    Euro    105,256    9/24/08      10,557  
Indian Rupee    8,092,000    U.S. Dollar    200,000    6/09/08      (587 )
Indonesian Rupiah    1,917,480,000    U.S. Dollar    201,522    4/04/08      (6,719 )
Indonesian Rupiah    1,827,000,000    U.S. Dollar    195,401    6/10/08      (1,467 )
Japanese Yen    21,260,000    U.S. Dollar    200,000    5/01/08      (13,705 )
Mexican Peso    2,231,024    U.S. Dollar    205,649    4/24/08      (3,310 )
New Taiwan Dollar    2,511,600    U.S. Dollar    78,000    4/07/08      (4,819 )
New Taiwan Dollar    3,951,000    U.S. Dollar    122,626    4/15/08      (7,918 )
New Turkish Lira    128,530    U.S. Dollar    100,000    5/14/08      5,233  
New Turkish Lira    127,290    U.S. Dollar    100,000    5/14/08      6,147  
New Turkish Lira    669,433    U.S. Dollar    530,791    5/14/08      37,208  
New Zealand Dollar    250,000    U.S. Dollar    195,254    5/05/08      (89 )
Singapore Dollar    250,000    U.S. Dollar    176,900    5/14/08      (5,093 )
South African Rand    800,000    U.S. Dollar    98,436    4/21/08      324  
South Korean Won    159,613,000    U.S. Dollar    170,673    4/22/08      9,421  
Swiss Franc    245,110    Canadian Dollar    220,448    4/08/08      (32,086 )
U.S. Dollar    273,334    Brazilian Real    458,600    4/02/08      (12,081 )
U.S. Dollar    58,000    Indonesian Rupiah    547,230,000    4/04/08      1,430  
U.S. Dollar    150,000    Indonesian Rupiah    1,370,250,000    4/04/08      (1,189 )
U.S. Dollar    82,415    New Taiwan Dollar    2,511,600    4/07/08      404  
U.S. Dollar    129,882    New Taiwan Dollar    3,951,000    4/15/08      662  
U.S. Dollar    193,739    Colombian Peso    376,241,000    4/18/08      10,990  
U.S. Dollar    100,000    South African Rand    778,200    4/21/08      (4,561 )
U.S. Dollar    102,640    South African Rand    800,000    4/21/08      (4,528 )
U.S. Dollar    205,700    Mexican Peso    2,231,024    4/24/08      3,258  
U.S. Dollar    212,818    Japanese Yen    21,260,000    5/01/08      888  
U.S. Dollar    194,655    New Zealand Dollar    250,000    5/05/08      688  
U.S. Dollar    181,806    Singapore Dollar    250,000    5/14/08      187  
U.S. Dollar    200,000    Indonesian Rupiah    1,827,000,000    6/10/08      (3,132 )
U.S. Dollar    100,000    Argentine Peso    371,900    6/17/08      (572 )
                         $ (6,564 )

Interest Rate Swaps outstanding at March 31, 2008:

 

Counterparty   Notional
Amount
  Fund
Pay/Receive
Floating Rate
  Floating Rate
Index
  Fixed Rate
(Annualized)
    Fixed Rate
Payment
Frequency
    Termination
Date
  Value at
March 31, 2008
    Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
 
BNP Paribas        900,000  USD   Pay   12-Month CPI-U   2.840 %   3/04/15 (4)   3/04/15   $ (1,777 )   $       (1,177 )
BNP Paribas        900,000 USD   Receive   12-Month CPI-U   2.650     3/04/10 (4)   3/04/10     (1,762 )     (1,762 )
Deutsche Bank AG     1,300,000  GBP   Pay   6-Month LIBOR   4.800     Semi-Annually     1/24/10     (13,008 )     (13,008 )
Goldman Sachs     1,550,000 EUR   Pay   6-Month EURIBOR   4.021     Annually     1/26/14     (5,661 )     (5,661 )
Goldman Sachs        650,000 EUR   Receive   6-Month EURIBOR   4.410     Annually     1/26/19     914       914  
Goldman Sachs        900,000 EUR   Receive   6-Month EURIBOR   3.675     Annually     1/26/11     6,027       6,027  
Morgan Stanley   12,250,000  NOK   Pay   6-Month NIBOR   5.625     Annually     11/12/09     (15,361 )     (15,215 )
Morgan Stanley     2,500,000 NOK   Pay   6-Month NIBOR   5.500     Annually     11/12/17     9,179       9,179  
Morgan Stanley     2,625,000 USD   Pay   3-Month USD-LIBOR   3.198     Semi-Annually     1/21/11     17,991       17,991  
Morgan Stanley     3,000,000 BRL   Pay   1-Day BZDIRA   12.720     1/05/10 (5)   1/04/10     (210 )     (210 )
Morgan Stanley     4,000,000 BRL   Pay   1-Day BZDIRA   11.270     1/05/10 (5)   1/04/10     (60,097 )     (60,097 )
Morgan Stanley        625,000 USD   Receive   3-Month USD-LIBOR   4.490     Semi-Annually     1/21/19     (8,047 )     (8,047 )
Morgan Stanley     9,750,000   NOK   Receive   6-Month NIBOR   5.423     Annually     11/12/12     (3,168 )     (3,168 )
                                          $ (74,234 )

 

 

26


 

Credit Default Swaps outstanding at March 31, 2008:

 

Counterparty    Referenced Entity    Buy/Sell
Protection
   Notional
Amount
   Fixed
Rate
    Termination
Date
   Value at
March 31, 2008
   Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
Bank of America    Macy’s Inc.    Buy    $ 125,000    2.800 %   3/20/13    $ 153    $ 153
Goldman Sachs    DJ Investment Grade CDX    Sell      742,500    3.750     12/20/12      (78,775)      (76,920)
Lehman Brothers    Harrah’s Entertainment Inc.    Sell      125,000    3.750     9/20/08      (1,609)      (1,611)
                                        $     (78,378)

Futures Contracts outstanding at March 31, 2008:

 

Type    Contract
Position
   Number of
Contracts
   Contract
Expiration
   Value at
March 31, 2008
(U.S. Dollars)
   Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
U.S. Treasury Bond    Long    1    6/08    $ 118,797    $ 247
U.S. 2-Year Treasury Note    Long    6    6/08      1,287,938      7,013
U.S. 5-Year Treasury Note    Long    6    6/08      685,406          (1,096)
U.S. 10-Year Treasury Note    Long    2    6/08      237,906      (475)
                           $ 5,689

 

(1)   All percentages shown in the Portfolio of Investments are based on net assets.

 

(2)   Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.

 

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

 

(4)   Fixed Rate Payment is due upon contract termination.

 

(5)   Fixed Rate Payment due one business day subsequent to contract termination.

 

MDR   Denotes investment is subject to dollar roll transactions.

 

N/A   Not applicable.

 

OTC   Over-The-Counter market transaction.

 

TBA   To be announced. Maturity date not known prior to the settlement of the transaction.

 

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.

 

WI/DD   Purchased on a when-issued or delayed delivery basis.

 

BRL   Brazil Real

 

GBP   British Pound

 

EUR   Euro

 

NOK   Norwegian Krone

 

USD   United States Dollar

 

BZDIRA   Brazil Inter-Bank Deposit Rate Annualized

 

CPI-U   USA-Non-Revised Consumer Price Index-Urban

 

EURIBOR   Europe Inter-Bank Offered Rate

 

LIBOR   London Inter-Bank Offered Rate

 

NIBOR   Norwegian Inter-Bank Offered Rate

 

See accompanying notes to financial statements.

 

 

27


Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   CORPORATE BONDS – 79.3%                 
   Aerospace & Defense – 2.4%                 
$ 125   

Bombardier Inc., 144A

  6.750%      5/01/12      BB      $ 124,375
  991   

DI Finance/DynCorp International, Series B

  9.500%      2/15/13      B        1,013,298
  460   

Hawker Beechcraft Acquistion Company

  9.750%      4/01/17      B–        460,000
  260   

L-3 Communications Corporation

  6.125%      1/15/14      BB+        254,800
  1,836   

Total Aerospace & Defense

                         1,852,473
   Auto Components – 1.5%                 
  950   

Goodyear Tire & Rubber Company

  8.663%      12/01/09      BB–        948,813
  220   

Lear Corporation

  8.750%      12/01/16      B–        188,925
  1,170   

Total Auto Components

                         1,137,738
   Building Products – 0.7%                 
  425   

Dayton Superior Corporation

  13.000%      6/15/09      CCC+        370,813
  205   

Norcraft Holdings LP

  9.750%      9/01/12      B–        180,400
  630   

Total Building Products

                         551,213
   Capital Markets – 0.7%                 
  565   

Lehman Brothers Holdings Inc.

  3.500%      8/07/08      A+        556,391
   Chemicals – 0.9%                 
  175   

Equistar Chemicals LP

  7.550%      2/15/26      B+        112,875
  220   

MacDermid, Inc.

  9.500%      4/15/17      CCC+        198,000
  100   

Methanex Corporation

  8.750%      8/15/12      BBB–        107,750
  365   

NOVA Chemicals Corporation

  7.863%      11/15/13      Ba3        307,513
  860   

Total Chemicals

                         726,138
   Commercial Services & Supplies – 2.5%                 
  100   

Ahern Rentals Inc.

  9.250%      8/15/13      B+        79,750
  350   

Aramark Corproation

  6.739%      2/01/15      B        310,625
  400   

Browning Ferris-Allied Waste

  9.250%      5/01/21      BB        416,000
  375   

Interface, Inc.

  10.375%      2/01/10      BB–        393,750
  500   

International Lease Finance Corporation, Commercial Paper Notes

  6.375%      3/15/09      AA–        506,027
  180   

Quebecor Media Inc., 144A

  7.750%      3/15/16      B2        165,150
  130   

Rental Service Corporation

  9.500%      12/01/14      B–        109,200
  2,035   

Total Commercial Services & Supplies

                         1,980,502
   Computers & Peripherals – 3.1%                 
  950   

GSC Holdings Corporation, 144A

  8.000%      10/01/12      BB        1,009,375
  1,450   

Seagate Technology HDD Holdings

  5.569%      10/01/09      BB+        1,406,500
  2,400   

Total Computers & Peripherals

                         2,415,875
   Construction Materials – 0.1%                 
  40   

Texas Industries Inc.

  7.250%      7/15/13      BB–        39,100
   Consumer Finance – 4.3%                 
  750   

Ford Motor Credit Company

  6.625%      6/16/08      B1        741,562
  925   

Ford Motor Credit Company

  6.750%      8/15/08      B1        912,038
  85   

Ford Motor Credit Company

  5.625%      10/01/08      B1        83,576
  750   

GMAC LLC

  3.749%      9/23/08      BB+        707,663

 

 

28


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Consumer Finance (continued)                 
$ 470   

SLM Corporation, Series MTNA

  5.294%      7/25/08      Baa2      $ 461,980
  450   

SLM Corporation

  4.000%      1/15/09      Baa2        405,264
  3,430   

Total Consumer Finance

                         3,312,083
   Containers & Packaging – 2.6%                 
  200   

Caraustar Industries

  7.375%      6/01/09      B–        137,000
  425   

Intertape Polymer US Inc.

  8.500%      8/01/14      CCC+        354,875
  1,500   

Owens-Illinois Inc.

  7.350%      5/15/08      B+        1,505,625
  2,125   

Total Containers & Packaging

                         1,997,500
   Diversified Consumer Services – 1.6%                 
  500   

Carriage Services Inc.

  7.875%      1/15/15      B1        488,750
  835   

CIT Group Inc.

  5.019%      8/15/08      A–        770,901
  1,335   

Total Diversified Consumer Services

                         1,259,651
   Diversified Financial Services – 2.7%                 
  1,000   

Bear Stearns Co Inc.

  2.755%      12/04/08      AA–        990,908
  100   

CIT Group Inc.

  4.000%      5/08/08      A–        98,189
  1,000   

GMAC LLC Notes

  5.125%      5/09/08      B+        994,157
  2,100   

Total Diversified Financial Services

                         2,083,254
   Diversified Telecommunication Services – 5.8%                 
  50   

Cincinnati Bell Inc.

  8.375%      1/15/14      B2        47,125
  510   

Cincinnati Bell Inc.

  7.000%      2/15/15      Ba3        464,100
  760   

Citizens Communications Company

  9.000%      8/15/31      BB+        668,800
  700   

FairPoint Communications Inc.

  13.125%      4/01/18      B+        675,500
  40   

Hughes Network Systems LLC, 144A

  9.500%      4/15/14      B1        40,000
  1,000   

PanAmSat Corporation

  9.000%      8/15/14      BB–        1,012,500
  950   

Qwest Capital Funding Inc.

  7.000%      8/03/09      B+        950,000
  200   

US West Communications Inc.

  5.625%      11/15/08      BBB–        200,000
  415   

Windstream Corporation, 144A

  8.625%      8/01/16      BB        409,813
  4,625   

Total Diversified Telecommunication Services

                         4,467,838
   Electric Utilities – 2.3%                 
  300   

Edison Mission Energy

  7.000%      5/15/17      BB–        300,000
  670   

Energy Future Holdings

  10.875%      11/01/17      B–        680,050
  325   

Reliant Energy Inc.

  7.875%      6/15/17      B        325,000
  500   

Texas Competitive Electric Holdings Company LLC., Series B

  10.250%      11/01/15      B3        500,625
  1,795   

Total Electric Utilities

                         1,805,675
   Electrical Equipment – 0.7%                 
  541   

UCAR Finance Inc.

  10.250%      2/15/12      B+        562,640
   Energy Equipment & Services – 5.5%                 
  700   

Allis Chalmers Energy Inc., 144A

  8.500%      3/01/17      B        619,500
  1,850   

El Paso Energy Corporation

  6.750%      5/15/09      BB–        1,878,250
  950   

Helix Energy Solutions

  9.500%      1/15/16      BB–        954,750
  665   

Kinder Morgan Finance

  5.700%      1/05/16      BB        633,413
  100   

Seitel Inc.

  9.750%      2/15/14      B–        84,750
  90   

Targa Resources Inc.

  8.500%      11/01/13      B3        83,250
  4,355   

Total Energy Equipment & Services

                         4,253,913

 

 

29


Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Food Products – 0.4%                 
$ 330   

Pinnacle Foods Finance LLC, 144A

  10.625%      4/01/17      CCC      $ 282,150
   Health Care Providers & Services – 3.6%                 
  500   

Community Health Systems, Inc.

  8.875%      7/15/15      B        504,375
  380   

HCA Inc.

  8.750%      9/01/10      B–        381,900
  250   

HCA Inc.

  9.250%      11/15/16      BB–        260,000
  500   

HealthSouth Corporation

  10.829%      6/15/14      CCC+        485,000
  700   

HealthSouth Corporation

  10.750%      6/15/16      CCC+        738,500
  450   

Tenet Healthcare Corporation

  9.875%      7/01/14      B        437,625
  2,780   

Total Health Care Providers & Services

                         2,807,400
   Hotels, Restaurants & Leisure – 2.7%                 
  930   

Harrah’s Operating Company, Inc.

  10.750%      2/01/16      B+        788,175
  1,000   

Mandalay Resort

  9.500%      8/01/08      BB        1,005,000
  100   

MGM Mirage Inc.

  6.625%      7/15/15      BB        87,500
  270   

Mohegan Tribal Gaming Authority

  8.000%      4/01/12      Ba2        248,400
  2,300   

Total Hotels, Restaurants & Leisure

                         2,129,075
   Household Durables – 0.4%                 
  250   

KB Home

  7.750%      2/01/10      Ba2        240,313
  90   

Toll Corporation

  8.250%      2/01/11      BB+        82,125
  340   

Total Household Durables

                         322,438
   Independent Power Producers & Energy Traders – 1.4%                 
  312   

AES Corporation

  8.750%      5/15/13      BB+        326,040
  275   

Intergen NV, 144A

  9.000%      6/30/17      BB–        288,750
  515   

NRG Energy Inc.

  7.375%      2/01/16      B1        505,988
  1,102   

Total Independent Power Producers & Energy Traders

                         1,120,778
   Industrial Conglomerates – 0.6%                 
  430   

SPX Corporation

  7.625%      12/15/14      BB        443,438
   IT Services – 1.7%                 
  900   

First Data Corporation (3)

  3.375%      8/01/08      Caa1        878,582
  420   

First Data Corporation

  9.875%      9/24/15      B        345,975
  130   

Sungard Data Systems Inc.

  3.750%      1/15/09      B+        127,725
  1,450   

Total IT Services

                         1,352,282
   Machinery – 0.6%                 
  420   

American Railcar Industries

  7.500%      3/01/14      BB–        371,700
  100   

Columbus McKinnon Corporation

  8.875%      11/01/13      B+        104,000
  520   

Total Machinery

                         475,700
   Media – 5.9%                 
  1,250   

Cablevision Systems Corporation

  7.250%      7/15/08      BB        1,253,125
  100   

CMP Susquehanna Corporation

  9.875%      5/15/14      Caa1        69,500
  90   

Dex Media Inc.

  9.000%      11/15/13      B        65,250
  895   

Echostar DBS Corporation

  5.750%      10/01/08      BB–        892,763
  260   

Echostar DBS Corporation

  7.125%      2/01/16      BB–        243,750
  25   

Jones Intercable

  7.625%      4/15/08      BBB+        25,030

 

 

30


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Media (continued)                 
$ 600   

Mediacom LLC

  9.500%      1/15/13      B–      $ 555,000
  50   

Paxson Communications Corporation, 144A

  10.508%      1/15/13      Caa1        37,625
  515   

Sinclair Broadcasting Group

  8.000%      3/15/12      BB–        521,438
  925   

Valassis Communications Inc.

  6.625%      1/15/09      BB        913,438
  4,710   

Total Media

                         4,576,919
   Metals & Mining – 4.0%                 
  250   

Algoma Acquisition Corporation, 144A

  9.875%      6/15/15      B–        217,500
  200   

California Steel Industries Inc.

  6.125%      3/15/14      BB–        157,000
  220   

Claymont Steel Inc., 144A

  8.875%      2/15/15      B3        232,100
  220   

Freeport McMoran Copper & Gold, Inc.

  8.375%      4/01/17      BB        234,025
  100   

Nalco Finance Holdings Inc.

  9.000%      2/01/14      B–        90,500
  220   

Noranda Aluminum Acquisition Corporation

  8.738%      5/15/15      B–        173,800
  250   

PNA Intermediate Holding Corporation

  10.065%      2/15/13      B–        195,625
  100   

Russel Metals Inc.

  6.375%      3/01/14      BB        93,000
  625   

Steel Dynamics, Inc.

  7.375%      11/01/12      BB+        634,375
  700   

Steel Dynamics, Inc. (WI/DD)

  7.750%      4/15/16      BB+        704,375
  425   

Tube City IMS Corporation

  9.750%      2/01/15      B–        376,125
  3,310   

Total Metals & Mining

                         3,108,425
   Multi-Utilities – 2.1%                 
  750   

Aquila, Inc.

  14.875%      7/01/12      BB–        928,125
  750   

Dynegy Holdings, Inc., Term Loan

  7.750%      6/01/19      B        705,000
  1,500   

Total Multi-Utilities

                         1,633,125
   Oil, Gas & Consumable Fuels – 2.5%                 
  150   

Alpha Natural Resources, Inc.

  10.000%      6/01/12      B        157,500
  250   

Energy Partners Limited, 144A

  9.750%      4/15/14      B–        207,500
  100   

Mariner Energy Corporation

  8.000%      5/15/17      B        96,000
  240   

Markwest Energy Partners LP, Series B

  8.500%      7/15/16      B        243,000
  250   

Massey Energy Company, Global Notes

  6.625%      11/15/10      B+        249,063
  250   

Plains Exploration and Production

  7.750%      6/15/15      BB–        250,625
  110   

Sabine Energy LNG LP

  7.500%      11/30/16      BB        106,700
  250   

Southwestern Energy Company

  7.500%      2/01/18      BB+        260,000
  400   

W&T Offshore, Inc.

  8.250%      6/15/14      B        373,000
  2,000   

Total Oil, Gas & Consumable Fuels

                         1,943,388
   Paper & Forest Products – 1.6%                 
  217   

Buckeye Technologies Inc.

  8.000%      10/15/10      B        217,814
  220   

Mercer International Inc.

  9.250%      2/15/13      B        183,700
  200   

Millar Western Forest Products Ltd

  7.750%      11/15/13      B2        136,000
  380   

Rock-Tenn Company

  8.200%      8/15/11      BB        391,400
  250   

Rock-Tenn Company

  5.625%      3/15/13      BB        231,250
  100   

Verso Paper Holdings LLC., Series B

  9.125%      8/01/14      B+        97,000
  1,367   

Total Paper & Forest Products

                         1,257,164

 

 

31


Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2008

 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   Pharmaceuticals – 1.3%                 
$ 460   

Axcan Intermediate Holdings

  9.250%      3/01/15      Ba2      $ 456,550
  550   

Valeant Pharmaceuticals International

  7.000%      12/15/11      Ba3        526,625
  1,010   

Total Pharmaceuticals

                         983,175
   Real Estate Investment Trust – 1.2%                 
  1,000   

Istar Financial Inc.

  8.750%      8/15/08      BBB        952,587
   Road & Rail – 3.8%                 
  200   

Kansas City Southern de Mexico, RL de CV

  7.375%      6/01/14      BB–        185,000
  2,700   

Kansas City Southern Railway Company

  9.500%      10/01/08      BB–        2,750,624
  2,900   

Total Road & Rail

                         2,935,624
   Semiconductors & Equipment – 0.3%                 
  300   

Freescale Semiconductor Inc., 144A

  10.125%      12/15/16      B–        204,000
   Textiles, Apparel & Luxury Goods – 0.3%                 
  250   

HBI Branded Apparel Limited, Inc., Term Loan, Second Lien

  8.204%      12/15/14      B2        223,125
   Thrifts & Mortgage Finance – 1.2%                 
  1,000   

Washington Mutual Bank

  5.187%      8/25/08      BBB+        961,394
   Trading Companies & Distributors – 0.5%                 
  100   

H&E Equipment Limited, 144A

  8.375%      7/15/16      BB–        83,000
  700   

Neff Corporation

  10.000%      6/01/15      B–        336,000
  800   

Total Trading Companies & Distributors

                         419,000
   Wireless Telecommunication Services – 5.8%                 
  415   

Metro Wireless Inc.

  9.250%      11/01/14      B–        383,875
  950   

Rogers Wireless Communications Inc.

  8.000%      12/15/12      BB+        988,000
  537   

Rural Cellular Corporation

  8.250%      3/15/12      Ba3        553,110
  1,000   

Rural Cellular Corporation

  8.124%      6/01/13      CCC        1,005,000
  1,500   

Triton PCS Inc.

  8.500%      6/01/13      A–        1,569,369
  4,402   

Total Wireless Telecommunication Services

                         4,499,354
$ 63,643    Total Corporate Bonds (cost $63,283,338)                          61,632,525
Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
   ASSET-BACKED SECURITIES – 6.8%                 
   Autos – 4.2%                 
$ 1,325   

Capital Auto Receivables Asset Trust, Series 2006-2, Class A3B

  2.878%      5/15/11      AAA      $ 1,315,615
  1,000   

Fifth Third Auto Trust 2008-1a-2B (3)

  3.954%      2/15/11      AAA        1,000,250
  1,000   

Nissna Auto Receivables Owner Trust, Series 2008-A2

  3.318%      5/17/10      AAA        996,993
  3,325   

Total Autos

                         3,312,858
   Cards – 2.6%                 
  1,020   

Citibank Credit Card Issuance Trust, Series 2004-A3

  3.788%      7/25/11      AAA        1,009,920
  1,000   

MBNA Credit Card Master Note Trust, Class A4, Series 2006

  2.808%      9/15/11      AAA        991,107
  2,020   

Total Cards

                         2,001,027
$ 5,345    Total Asset-Backed Securities (cost $5,308,376)                          5,313,885

 

 

32


 

Principal
Amount (000)
   Description (1)   Coupon      Maturity      Ratings (2)      Value
                   
   SHORT-TERM INVESTMENTS – 16.6%                 
   U.S. Government and Agency Obligations – 15.6%                 
$ 4,000   

Federal Farm Credit Bank Discount Notes

  0.000%      4/04/08      AAA      $ 3,999,333
  1,100   

Federal Home Loan Banks, Discount Notes

  0.000%      4/04/08      AAA        1,099,799
  5,000   

Federal Home Loan Banks, Discount Notes

  0.000%      4/15/08      AAA        4,996,014
  2,000   

Federal National Mortgage Association (4)

  0.000%      4/07/08      AAA        1,999,333
  12,100   

Total U.S. Government and Agency Obligations (cost $12,094,479)

                         12,094,479
   Repurchase Agreements – 1.0%                 
  768   

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $768,465, collateralized by $750,000 U.S. Treasury Bonds, 4.500%, due 2/15/36, value $784,688

  1.100%      4/01/08      N/A        768,442
$ 12,868    Total Short-Term Investments (cost $12,862,921)                          12,862,921
   Total Investments (cost $81,454,635) – 102.7%                    79,809,331
    
   Other Assets Less Liabilities – (2.7)%                    (2,117,210)
    
   Net Assets – 100%                  $ 77,692,121
    

Credit Default Swaps outstanding at March 31, 2008:

 

Counterparty    Referenced Entity    Buy/Sell
Protection
   Notional
Amount
   Fixed
Rate
    Termination
Date
   Value at
March 31, 2008
   Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
Bank of America    Freescale Seminconductor, Inc.    Sell    $ 1,000,000    3.250 %   12/20/08    $ (15,114)    $ (15,114)
Bank of America    Macy’s Inc.    Buy      750,000    2.800     3/20/13      916      916
Citibank    GMAC LLC    Sell      1,000,000    8.400     3/20/09      (56,299)      (56,299)
Goldman Sachs    DJ Investment Grade CDX    Sell      8,265,000    3.750     12/20/12      (877,099)      (520,671)
JPMorgan    Ford Motor Credit Company LLC    Sell      1,000,000    6.500     3/20/09      (33,280)      (33,297)
Lehman Brothers    Harrah’s Entertainment Inc.    Sell      750,000    3.750     9/20/08      (9,655)      (9,667)
                                        $     (634,132)

Total Return Swaps outstanding at March 31, 2008:

 

Counterparty    Receive    Pay    Expiration
Date
   Notional
Amount
   Unrealized
Appreciation
(Depreciation)
 
Bear Stearns International, Ltd. (3)    Lehman Brothers U.S. High Yield Index    1-Month USD-LIBOR-BBA
less 35 basis points
   11/30/08    $ 15,000,000    $ (49,610 )
Bear Stearns International, Ltd. (3)    Lehman Brothers U.S. High Yield Index    1-Month USD-LIBOR-BBA
less 35 basis points
   3/01/09      15,000,000      (49,609 )
                           $     (99,219 )

Futures Contracts outstanding at March 31, 2008:

 

Type    Contract
Position
   Number of
Contracts
   Contract
Expiration
   Value at
March 31, 2008
(U.S. Dollars)
   Unrealized
Appreciation
(Depreciation)
(U.S. Dollars)
U.S. 5-Year Treasury Note    Long    50    6/08    $ 5,711,719    $     94,772

 

 

33


Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2008

 

 

 

 

 

(1)   All percentages shown in the Portfolio of Investments are based on net assets.

 

(2)   Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.

 

(3)   Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.

 

(4)   Portion of investment, with an aggregate market value of $1,699,433, has been pledged to collateralize the net payment obligations under credit default swap contracts.
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.

 

N/A   Not applicable.

 

WI/DD   Purchased on a when-issued or delayed delivery basis.

 

USD-LIBOR-BBA   United States Dollar-London Inter-Bank Offered Rate-British Bankers’ Association.

 

See accompanying notes to financial statements.

 

 

34


Statement of Assets and Liabilities

March 31, 2008 (Unaudited)

 

      Short Duration     Multi-Strategy
Income
    High Yield  

Assets

      

Investments, at value (cost $23,324,192, $20,408,032 and $68,591,714, respectively)

   $ 23,630,251     $ 20,585,952     $ 66,946,410  

Short-term investments (at cost, which approximates value)

     2,853,112       4,416,438       12,862,921  

Cash denominated in foreign currencies (cost $328, $424 and $ –, respectively)

     272       337       —    

Deposits with brokers for open futures contracts (cost $258,984, $205,341 and $638,809, respectively)

     258,984       205,335       638,809  

Unrealized appreciation on forward foreign currency exchange contracts

     140,157       141,137       —    

Unrealized appreciation on interest rate swaps

     1,280       1,280       —    

Unrealized appreciation on credit default swaps

     153       153       —    

Credit default swaps premiums paid

     —         —         29  

Receivables:

      

Reimbursement from Adviser

     30,547       46,929       71,876  

Interest

     256,773       130,456       1,250,735  

Investments sold

     80,899       36,360       1,310,938  

Shares sold

     21,241       3,613       156,320  

Variation margin on futures contracts

     3,337       2,948       11,719  

Other assets

     83       89       167  

Total assets

     27,277,089       25,571,027       83,249,924  

Liabilities

      

Call swaptions written, at value (premiums received $6,334, $6,334 and $ –, respectively)

     1,318       1,318       —    

Unrealized depreciation on forward foreign currency exchange contracts

     146,641       147,701       —    

Unrealized depreciation on interest rate swaps

     75,514       75,514       —    

Unrealized depreciation on credit default swaps

     78,531       78,531       634,132  

Unrealized depreciation on total return swaps

     —         —         99,219  

Credit default swaps premiums received

     2,001       2,001       356,428  

Payables:

      

Investments purchased

     287,673       5,085,611       3,873,368  

Shares redeemed

     136,544       70,498       200,085  

Accrued expenses:

      

12b-1 distribution and service fees

     7,023       4,592       15,833  

Other

     27,978       37,861       65,822  

Dividends payable

     54,330       57,727       312,916  

Total liabilities

     817,553       5,561,354       5,557,803  

Net assets

   $ 26,459,536     $ 20,009,673     $ 77,692,121  

Class A Shares

      

Net assets

   $ 8,775,142     $ 6,250,268     $ 13,436,572  

Shares outstanding

     445,835       321,300       735,279  

Net asset value per share

   $ 19.68     $ 19.45     $ 18.27  

Offering price per share (net asset value per share plus
maximum sales charge of 2.00%, 3.75% and 4.75%, respectively, of offering price)

   $ 20.08     $ 20.21     $ 19.18  

Class B Shares

      

Net assets

     N/A     $ 1,550,608     $ 2,584,723  

Shares outstanding

     N/A       79,479       141,532  

Net asset value and offering price per share

     N/A     $ 19.51     $ 18.26  

Class C Shares

      

Net assets

   $ 6,322,542     $ 2,299,644     $ 13,162,001  

Shares outstanding

     320,947       118,109       721,816  

Net asset value and offering price per share

   $ 19.70     $ 19.47     $ 18.23  

Class R Shares

      

Net assets

   $ 11,361,852     $ 9,909,153     $ 48,508,825  

Shares outstanding

     577,841       509,519       2,657,027  

Net asset value and offering price per share

   $ 19.66     $ 19.45     $ 18.26  

Net Assets Consist of:

                        

Capital paid-in

   $ 26,511,136     $ 20,220,329     $ 82,143,102  

Undistributed (Over-distribution of) net investment income

     (98,149 )     (45,467 )     (386,650 )

Accumulated net realized gain (loss) from investments and derivative transactions

     (122,538 )     (194,545 )     (1,780,448 )

Net unrealized appreciation (depreciation) of investments and derivative transactions

     169,087       29,356       (2,283,883 )

Net assets

   $ 26,459,536     $ 20,009,673     $ 77,692,121  

N/A – Short Duration is not authorized to issue Class B shares.

 

See accompanying notes to financial statements.

 

 

35


Statement of Operations

Six Months Ended March 31, 2008 (Unaudited)

 

      Short Duration     Multi-Strategy
Income
    High Yield  

Investment Income

   $ 459,732     $ 502,504     $ 2,085,765  

Expenses

      

Management fees

     37,967       44,314       166,736  

12b-1 service fees – Class A

     7,222       6,678       13,151  

12b-1 distribution and service fees – Class B

     N/A       4,936       10,899  

12b-1 distribution and service fees – Class C

     17,903       10,334       56,026  

Shareholders’ servicing agent fees and expenses

     1,944       4,149       15,843  

Custodian’s fees and expenses

     20,299       31,729       28,274  

Trustees’ fees and expenses

     199       264       541  

Professional fees

     17,854       17,707       37,360  

Shareholders’ reports – printing and mailing expenses

     2,404       7,795       25,165  

Federal and state registration fees

     34,156       45,457       47,828  

Other expenses

     150       182       505  

Total expenses before custodian fee credit and expense reimbursement

     140,098       173,545       402,328  

Custodian fee credit

     (2,385 )     (742 )     (3,580 )

Expense reimbursement

     (77,005 )     (107,284 )     (155,514 )

Net expenses

     60,708       65,519       243,234  

Net investment income

     399,024       436,985       1,842,531  

Realized and Unrealized Gain (Loss)

      

Net realized gain (loss) from:

      

Investments

     80,779       65,301       (689,883 )

Forwards

     (64,308 )     (63,855 )      

Futures

     228,193       148,008       818,994  

Swaps

     26,896       25,888       (1,707,767 )

Foreign currencies

     (19,273 )     (19,410 )      

Change in net unrealized appreciation (depreciation) of:

      

Investments

     104,974       65,033       (1,124,630 )

Forwards

     55,214       55,134        

Futures

     (3,667 )     (4,456 )     94,772  

Swaps

     (145,233 )     (145,233 )     (854,511 )

Call swaptions written

     5,016       5,016        

Foreign currencies

     (107 )     (102 )      

Net realized and unrealized gain (loss)

     268,484       131,324       (3,463,025 )

Net increase (decrease) in net assets from operations

   $ 667,508     $ 568,309     $ (1,620,494 )

N/A – Short Duration is not authorized to issue Class B Shares.

 

See accompanying notes to financial statements.

 

 

36


Statement of Changes in Net Assets (Unaudited)

 

     Short Duration     Multi-Strategy Income     High Yield  
      Six Months Ended
3/31/08
    Year Ended
9/30/07
    Six Months Ended
3/31/08
    Year Ended
9/30/07
    Six Months Ended
3/31/08
    Year Ended
9/30/07
 

Operations

            

Net investment income

   $ 399,024     $ 561,484     $ 436,985     $ 642,173     $ 1,842,531     $ 1,565,971  

Net realized gain (loss) from:

            

Investments

     80,779       6,611       65,301       2,534       (689,883 )     153,907  

Forwards

     (64,308 )     (48,734 )     (63,855 )     (48,639 )            

Futures

     228,193       24,783       148,008       (146 )     818,994       65,944  

Swaps

     26,896       (30,427 )     25,888       (30,102 )     (1,707,767 )     (28,110 )

Call options written

           (2,476 )           (2,476 )            

Foreign currencies

     (19,273 )     5,971       (19,410 )     6,035              

Change in net unrealized appreciation (depreciation) of:

            

Investments

     104,974       220,666       65,033       134,521       (1,124,630 )     (484,710 )

Forwards

     55,214       (59,326 )     55,134       (59,326 )            

Futures

     (3,667 )     17,097       (4,456 )     1,980       94,772       2,403  

Swaps

     (145,233 )     (12,090 )     (145,233 )     (12,090 )     (854,511 )     92,502  

Call swaptions written

     5,016             5,016                    

Foreign currencies

     (107 )     (309 )     (102 )     (385 )            

Net increase (decrease) in net assets from operations

     667,508       683,250       568,309       634,079       (1,620,494 )     1,367,907  

Distributions to Shareholders

            

From undistributed net investment income:

            

Class A

     (139,691 )     (48,349 )     (129,384 )     (79,802 )     (422,462 )     (358,595 )

Class B

     N/A       N/A       (21,303 )     (6,419 )     (78,329 )     (82,930 )

Class C

     (71,213 )     (49,880 )     (42,167 )     (39,516 )     (404,273 )     (322,597 )

Class R

     (245,995 )     (461,428 )     (248,392 )     (489,073 )     (1,458,714 )     (775,076 )

Decrease in net assets from distributions to shareholders

     (456,899 )     (559,657 )     (441,246 )     (614,810 )     (2,363,778 )     (1,539,198 )

Fund Share Transactions

            

Proceeds from sale of shares

     13,635,356       7,140,810       6,380,271       5,378,109       65,613,947       23,979,450  

Proceeds from shares issued to shareholders due
to reinvestment of distributions

     174,341       31,208       114,863       38,228       948,310       251,687  
     13,809,697       7,172,018       6,495,134       5,416,337       66,562,257       24,231,137  

Cost of shares redeemed

     (3,638,186 )     (2,326,533 )     (1,633,721 )     (1,636,087 )     (14,994,973 )     (4,975,626 )

Net increase (decrease) in net assets from Fund share transactions

     10,171,511       4,845,485       4,861,413       3,780,250       51,567,284       19,255,511  

Net increase (decrease) in net assets

     10,382,120       4,969,078       4,988,476       3,799,519       47,583,012       19,084,220  

Net assets at the beginning of period

     16,077,416       11,108,338       15,021,197       11,221,678       30,109,109       11,024,889  

Net assets at the end of period

   $ 26,459,546     $ 16,077,416     $ 20,009,683     $ 15,021,197     $ 77,692,121     $ 30,109,109  

Undistributed (Over-distribution of) net investment income at the end of period

   $ (98,149 )   $ (40,274 )   $ (45,467 )   $ (41,206 )   $ (386,650 )   $ 134,597  

N/A – Short Duration is not authorized to issue Class B Shares.

 

See accompanying notes to financial statements.

 

 

37


Notes to Financial Statements (Unaudited)

1. General Information and Significant Accounting Policies

The Nuveen Investment Trust III (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Trust comprises the Nuveen Short Duration Bond Fund (“Short Duration”), Nuveen Multi-Strategy Income Fund (“Multi-Strategy Income”) and Nuveen High Yield Bond Fund (“High Yield”) (collectively, the “Funds”). The Trust was organized as a Massachusetts business trust in 1998.

As previously approved by the Fund’s Board of Trustees effective August 1, 2007, the Nuveen Core Bond Fund changed its name to Nuveen Multi-Strategy Income Fund.

Short Duration ordinarily invests at least 80% of its net assets in income producing short-term securities with the objective of providing high current income consistent with minimal fluctuations of principal.

Multi-Strategy Income ordinarily invests at least 80% of its net assets in fixed income securities with the objective of providing total return.

High Yield ordinarily invests at least 80% of its net assets in domestic and foreign corporate high yield debt securities, including zero coupon, payment in-kind, corporate loans and convertible bonds with the objective of maximizing total return.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States.

Investment Valuation

The prices of bonds and other securities in the Funds’ investment portfolios are generally provided by one or more independent pricing services approved by the Funds’ Board of Trustees. 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 bid and asked prices when current quotations are readily available. Futures contracts are valued using the closing settlement price or, in the absence of such a price, at the mean of the bid and asked prices. Prices of interest rate swaps are provided by and independent pricing service approved by each Fund’s Board of Trustees. Credit default swaps are valued using a market quote provided by a major broker/dealer in such investments. Total return swaps are valued by comparing the return of the underlying index at the valuation date with the value at the original effective date of the contract. The value of put options and options written are based on the last sale price in the case of exchange-traded options or, in the case of options traded in the OTC market, the last asked price. 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. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, and there could be a material effect on the Funds’ NAV, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Funds’ Board of Trustees. Short-term investments are valued at amortized cost, which approximates market value.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At March 31, 2008, Multi-Strategy Income and High Yield had outstanding when-issued/delayed delivery purchase commitments of $4,931,902 and $700,000, respectively. There were no such outstanding purchase commitments in Short Duration.

Investment Income

Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also includes paydown gains and losses, if any.

Federal Income Taxes

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.

Effective March 31, 2008, the Funds adopted Financial Accounting Standards Board (FASB) Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not,” (i.e., a greater than 50-percent likelihood) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year.

 

 

38


Implementation of FIN 48 required management of the Funds to analyze all open tax years, as defined by the status of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). The Funds have no examinations in progress.

For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds has reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded the adoption of FIN 48 resulted in no impact to the Funds’ net assets or results of operations as of and during the six months ended March 31, 2008.

The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Dividends and Distributions to Shareholders

Dividends from net investment income are declared monthly. Net realized capital gains from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.

Distributions to 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 accounting principles generally accepted in the United States.

Flexible Sales Charge Program

Each Fund offers Class A, C and R Shares. Multi-Strategy Income and High Yield also offer Class B Shares. Class A Shares are generally sold with an up-front sales charge and incur a .25% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (“CDSC”) if redeemed within 18 months of purchase. Class B Shares are sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .25% annual 12b-1 service fee. An investor purchasing Class B Shares agrees to pay a CDSC of up to 5% depending upon the length of time the shares are held by the investor (CDSC is reduced to 0% at the end of six years). Class C Shares are sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .25% annual 12b-1 service fee. An investor purchasing Class C Shares agrees to pay a CDSC of 1% if Class C Shares are redeemed within one year of purchase. Class R Shares are not subject to any sales charge or 12b-1 distribution or service fees. Class R Shares are available only under limited circumstances.

Expense Allocation

Expenses of the Funds that are not directly attributable to a specific class of shares are prorated among the classes based on the relative net assets of each class. Expenses directly attributable to a class of shares, which presently only include 12b-1 distribution and service fees, are recorded to the specific class.

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.

Futures Contracts

Each Fund is authorized to invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract.

During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into. Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized on the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable or payable for the variation margin when applicable.

Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.

Swap Contracts

Each Fund is authorized to enter into swap contracts consistent with their investment objectives and policies to obtain a desired return at a lower cost than if the Funds had invested directly in the asset that yielded the desired return. In connection with these contracts, securities in the Funds’ portfolios may be identified as collateral in accordance with the terms of the respective swap contract.

Interest rate swap contracts involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, (i.e., an exchange of floating rate payments for fixed rate payments with respect to a specified notional amount of principal).

 

 

39


Notes to Financial Statements (Unaudited) (continued)

 

Total return swap contracts involve commitments to pay interest in exchange for a market-linked return, both based on specified notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of offsetting the interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.

Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party. A Fund may enter into a credit default contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. As a purchaser of a credit default swap contract, the Fund pays a periodic interest fee on the notional amount to the counterparty. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized loss upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund is obligated to deliver that security, or an equivalent amount of cash, to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain. Payments received or made at the beginning of the measurement period are reflected on the Statement of Assets Liabilities. As a seller of a credit default contract, the Fund generally receives a periodic interest fee on the notional amount from the counterparty. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized gain upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund receives that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty. The difference between the value of the security received and the notional amount paid is recorded as a realized loss.

Swap contracts are valued daily. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. Income received or paid by the Fund on a swap contract is reported as a realized gain or loss on the Statement of Operations. Additionally, realized gains or losses are recorded upon the termination of a swap contract and are equal to the difference between the Fund’s basis in the swap and the proceeds from (or cost of) the closing transaction. Notional principal amounts are used to express the extent of involvement in these transactions, reducing the amounts potentially subject to counterparty credit risk are generally much smaller, except with respect to credit default swaps.

Entering into these contracts involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that there may be unfavorable changes in interest rates, and default by the counterparty on its obligation to perform or disagree as to the meaning of the contractual terms in the contracts. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the contracts related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in, or prevented from, obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk.

Dollar Rolls

Each Fund is authorized to enter into “dollar rolls” in which a Fund purchases or sells mortgage-backed securities for delivery in the future and simultaneously contracts to sell or repurchase substantially similar (same type, coupon, and maturity) securities on a different specified future date. Dollar rolls are identified in the Portfolio of Investments as “MDR” for each of the Funds, when applicable. During the roll period, the Fund foregoes principal and interest paid on the mortgage-backed securities. The Fund is compensated by fee income or the difference between the current sales price and the lower forward price for the future purchase. Such compensation is amortized over the life of the dollar rolls and included in Investment Income on the Statement of Operations. Dollar rolls are valued daily. Multi-Strategy Income was the only Fund to invest in dollar rolls during the six-months ended March 31, 2008.

Short Sales

Each Fund is authorized to make short sales of debt securities. To secure its obligation to deliver securities sold short, the Funds have instructed the custodian to segregate assets in an equivalent amount of the securities sold short. The Funds are obligated to pay to the parties to which the securities were sold short, interest earned on the debt securities and records such amounts as an expense in the Statement of Operations. Short sales are valued daily and the corresponding unrealized gains or losses are included in “Change in net unrealized appreciation (depreciation) of investments” in the Statement of Operations. None of the Funds invested in short sales during the six months ended March 31, 2008.

Options Transactions

Each Fund is authorized to purchase put options and write (sell) call options on securities, swaps or currencies. The purchase of put options involves the risk of loss of all or a part of the cash paid for the options. Put options purchased are accounted for in the same manner as portfolio securities. The risk associated with purchasing put options is limited to the premium paid. When a Fund writes a call option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value of the written option until the option expires or a Fund enters into a closing purchase transaction. When a call option expires or a Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated

 

 

40


as a net realized gain on option contracts written or, if the net premium received is less than the amount paid, as a net realized loss on option contracts written. The Fund, as a writer of a call option, bears the risk of an unfavorable change in the market value of the security, swap or currency underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. High Yield did not enter into option transactions during the six months ended March 31, 2008.

Foreign Currency Transactions

Each Fund is authorized to engage in foreign currency exchange transactions, including foreign currency forward, swap, options and futures contracts. To the extent that a Fund invests in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Fund will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Fund’s investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions. The gains or losses resulting from changes in foreign exchange rates are included in “Net realized gain (loss) from foreign currencies” and “Change in net unrealized appreciation (depreciation) of foreign currencies” in the Statement of Operations.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern time. Investments and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received.

Forward Foreign Currency Exchange Contracts

Each Fund is authorized to enter into forward foreign currency exchange contracts. Generally, each Fund may enter into forward foreign currency exchange contracts only under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency to “lock in” the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when Nuveen Asset Management (the “Adviser”), a wholly owned subsidiary of Nuveen Investments, Inc. (“Nuveen”), believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar or against another foreign currency. Forward foreign currency contracts are valued daily at the forward rate. The change in market value is recorded as an unrealized gain or loss by a Fund. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset.

Forward foreign currency contracts will generally not be entered into for terms greater than three months. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund’s investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of Assets and Liabilities. In addition, a Fund could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. High Yield did not enter into any forward foreign currency exchange contracts during the six months ended March 31, 2008.

Custodian Fee Credit

Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.

Zero Coupon Securities

Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the Portfolios of Investments with a 0.000% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

Indemnifications

Under the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts that provide general indemnifications to other parties. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

 

 

41


Notes to Financial Statements (Unaudited) (continued)

 

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States 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 from operations during the reporting period. Actual results may differ from those estimates.

2. Fund Shares

Transactions in Fund shares were as follows:

 

     Short Duration  
     Six Months Ended
3/31/08
       Year Ended
9/30/07
 
      Shares        Amount        Shares        Amount  

Shares sold:

                 

Class A

   326,927        $  6,449,103        266,251        $ 5,129,398  

Class C

   270,925          5,347,537        102,474          1,977,713  

Class R

   93,387          1,838,716        1,748          33,699  

Shares issued to shareholders due to reinvestment
of distributions:

                 

Class A

   6,717          131,850        1,348          26,049  

Class C

   1,507          29,656        246          4,744  

Class R

   652          12,835        22          415  
     700,115          13,809,697        372,089          7,172,018  

Shares redeemed:

                 

Class A

   (99,208 )        (1,955,530 )      (79,036 )        (1,518,522 )

Class C

   (67,853 )        (1,334,734 )      (41,757 )        (805,880 )

Class R

   (17,608 )        (347,922 )      (110 )        (2,131 )
     (184,669 )        (3,638,186 )      (120,903 )        (2,326,533 )

Net increase (decrease)

   515,446        $  10,171,511        251,186        $ 4,845,485  
     Multi-Strategy Income  
     Six Months Ended
3/31/08
       Year Ended
9/30/07
 
      Shares        Amount        Shares        Amount  

Shares sold:

                 

Class A

   202,351        $  3,943,660        172,467        $ 3,309,211  

Class B

   62,657          1,225,537        27,876          536,200  

Class C

   52,113          1,014,635        76,524          1,476,814  

Class R

   10,051          196,439        2,921          55,884  

Shares issued to shareholders due to reinvestment
of distributions:

                 

Class A

   3,852          75,002        1,076          20,725  

Class B

   757          14,795        79          1,516  

Class C

   1,081          21,054        784          15,125  

Class R

   206          4,012        45          862  
     333,068          6,495,134        281,772          5,416,337  

Shares redeemed:

                 

Class A

   (55,059 )        (1,074,417 )      (69,873 )        (1,339,777 )

Class B

   (8,447 )        (165,070 )      (6,071 )        (117,155 )

Class C

   (16,820 )        (328,549 )      (9,342 )        (179,155 )

Class R

   (3,329 )        (65,685 )                
     (83,655 )        (1,633,721 )      (85,286 )        (1,636,087 )

Net increase (decrease)

   249,413        $ 4,861,413        196,486        $ 3,780,250  

 

 

42


     High Yield  
     Six Months Ended
3/31/08
       Year Ended
9/30/07
 
      Shares        Amount        Shares        Amount  

Shares sold:

                 

Class A

   425,172        $  8,007,197        584,929        $ 11,523,605  

Class B

   48,723          915,686        112,044          2,216,388  

Class C

   373,736          7,060,285        475,139          9,391,628  

Class R

   2,605,409          49,630,779        42,711          847,829  

Shares issued to shareholders due to reinvestment
of distributions:

                 

Class A

   11,207          211,661        7,423          146,461  

Class B

   1,345          25,362        1,310          25,834  

Class C

   6,709          125,936        3,422          67,280  

Class R

   31,542          585,351        619          12,112  
     3,503,843          66,562,257        1,227,597          24,231,137  

Shares redeemed:

                 

Class A

   (166,590 )        (3,182,641 )      (149,463 )        (2,903,480 )

Class B

   (3,510 )        (66,347 )      (29,580 )        (575,728 )

Class C

   (100,520 )        (1,876,411 )      (71,712 )        (1,403,784 )

Class R

   (519,325 )        (9,869,574 )      (4,811 )        (92,634 )
     (789,945 )        (14,994,973 )      (255,566 )        (4,975,626 )

Net increase (decrease)

   (2,713,898        $ 51,567,284        972,031        $ 19,255,511  

3. Investment Transactions

Purchases and sales (including maturities but excluding put options purchased, call swaptions written, dollar roll and derivative transactions and short-term investments) for the six months ended March 31, 2008, were as follows:

 

     

Short

Duration

   Multi-
Strategy
Income
   High
Yield

Purchases:

        

Investment securities

   $ 7,779,829    $ 19,668,054    $ 66,161,869

U.S. Government and agency obligations

     10,120,090      3,262,206     

Sales and maturities:

        

Investment securities

     1,725,401      15,261,139      21,897,213

U.S. Government and agency obligations

     5,353,227      1,802,751     

Transactions in call swaptions written for Short Duration and Multi-Strategy Income during the six months ended March 31, 2008, were as follows:

 

     Short Duration    Multi-Strategy Income
      Number of
Contracts
   Premiums
Received
   Number of
Contracts
   Premiums
Received

Outstanding, beginning of period

           

Call swaptions written

   1,300,000    6,334    1,300,000    6,334

Outstanding, end of the period

   1,300,000    6,334    1,300,000    6,334

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 foreign currency transaction gains and losses, paydown gains and losses, amortization of premium and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds.

 

 

43


Notes to Financial Statements (Unaudited) (continued)

 

At March 31, 2008, the cost of investments was as follows:

 

      Short
Duration
   Multi-
Strategy
Income
   High
Yield

Cost of investments

   $ 26,239,579    $ 24,852,410    $ 81,546,649

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2008, were as follows:

 

     

Short

Duration

    Multi-
Strategy
Income
    High Yield  

Gross unrealized:

      

Appreciation

   $ 315,061     $ 422,480     $ 265,568  

Depreciation

     (71,277 )     (272,500 )     (2,002,886 )

Net unrealized appreciation (depreciation) of investments

   $ 243,784     $ 149,980     $ (1,737,318 )

The tax components of undistributed net ordinary income and net long-term capital gains at September 30, 2007, the Funds’ last tax year end, were as follows:

 

      Short
Duration
   Multi-
Strategy
Income
   High
Yield

Undistributed net ordinary income*

   $ 190,573    $ 193,788    $ 472,351

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.

The tax character of distributions paid during the Funds’ last tax year ended September 30, 2007, was designated for purposes of the dividends paid deduction as follows:

 

      Short
Duration
   Multi-
Strategy
Income
   High
Yield

Distributions from net ordinary income*

   $ 543,810    $ 598,765    $ 1,427,691

Distributions from net long-term capital gains

              

* Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

At September 30, 2007, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:

 

      Short
Duration
   Multi-
Strategy
Income
   High
Yield

Expiration Year:

        

2014

   $ 178,461    $ 114,399    $ 64,821

2015

     141,618      161,925      144,218

Total

   $ 320,079    $ 276,324    $ 209,039

The Funds elected to defer net realized losses from investments incurred from November 1, 2006 through September 30, 2007, the Funds’ last tax year end, (“post-October losses”) in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the following current year:

 

      Short
Duration
   Multi-
Strategy
Income
     $ 36,073    $ 63,924

 

 

44


5. Management Fees and Other Transactions with Affiliates

Each Fund’s management fee is separated into two components – a complex-level component, based on the aggregate amount of all fund assets managed by the Adviser, and a specific fund-level component, based only on the amount of assets within each individual Fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual fund-level fee, payable monthly, for each Fund is based upon the average daily net assets of each Fund as follows:

 

Average Daily Net Assets   

Short Duration

Fund-Level Fee Rate

   

Multi-Strategy Income

Fund-Level Fee Rate

   

High Yield

Fund-Level Fee Rate

 

For the first $125 million

   .2000 %   .3000 %   .4000 %

For the next $125 million

   .1875     .2875     .3875  

For the next $250 million

   .1750     .2750     .3750  

For the next $500 million

   .1625     .2625     .3625  

For the next $1 billion

   .1500     .2500     .3500  

For net assets over $2 billion

   .1250     .2250     .3250  

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 September 30, 2007, the complex-level fee rate was .1870%.

The complex-level fee schedule is as follows:

 

Complex-Level Asset Breakpoint Level (1)    Effective Rate at Breakpoint Level  

$55 billion

   .2000 %

$56 billion

   .1996  

$57 billion

   .1989  

$60 billion

   .1961  

$63 billion

   .1931  

$66 billion

   .1900  

$71 billion

   .1851  

$76 billion

   .1806  

$80 billion

   .1773  

$91 billion

   .1691  

$125 billion

   .1599  

$200 billion

   .1505  

$250 billion

   .1469  

$300 billion

   .1445  

 

(1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets (“Managed Assets” means the average daily net assets of each fund including assets attributable to preferred stock issued by or borrowings by the Nuveen funds) of Nuveen-sponsored funds in the U.S.

The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Trust pays no compensation directly to those of its Trustees who are affiliated with the Adviser or to its Officers, all of whom receive remuneration for their services to the Trust 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.

The Adviser agreed to reimburse all expenses other than management fees, 12b-1 distribution and service fees, interest expenses taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses for each of the Funds through January 31, 2009. The Adviser may also voluntarily reimburse additional expenses from time to time in any of the Funds. Voluntary reimbursements may be terminated at any time at the Adviser’s discretion.

During the six months ended March 31, 2008, Nuveen Investments, LLC (the “Distributor”), a wholly owned subsidiary of Nuveen, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to financial intermediaries as follows:

 

      Short
Duration
   Multi-
Strategy
Income
  

High

Yield

Sales charges collected

   $ 1,115    $ 6,817    $ 116,350

Paid to financial intermediaries

     895      6,003      102,815

 

 

45


Notes to Financial Statements (Unaudited) (continued)

 

The Distributor also received 12b-1 service fees on Class A Shares, substantially all of which were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.

During the six months ended March 31, 2008, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:

 

      Short
Duration
   Multi-
Strategy
Income
  

High

Yield

Commission advances

   $ 2,536    $ 5,032    $ 65,802

To compensate for commissions advanced to financial intermediaries, all 12b-1 service fees collected on Class B Shares during the first year following a purchase, all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service and distribution fees collected on Class C Shares during the first year following a purchase are retained by the Distributor. During the six months ended March 31, 2008, the Distributor retained such 12b-1 fees as follows:

 

      Short
Duration
   Multi-
Strategy
Income
  

High

Yield

12b-1 fees retained

   $ 5,385    $ 7,608    $ 48,279

The remaining 12b-1 fees charged to the Funds were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.

The Distributor also collected and retained CDSC on share redemptions during the six months ended March 31, 2008, as follows:

 

      Short
Duration
   Multi-
Strategy
Income
  

High

Yield

CDSC retained

   $ 2,261    $ 2,022    $ 4,850

At March 31, 2008, Nuveen owned 499,500 shares of Class R of Short Duration and Multi-Strategy Income. At March 31, 2008, the Adviser owned 125, 125 and 250 shares of Short Duration Class A, C and R, respectively, and 125 shares of each of Multi-Strategy Income’s Class A, B, C and R.

6. New Accounting Pronouncements

Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157

In September 2006, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 157, “Fair Value Measurements.” This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this standard relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of March 31, 2008, management does not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements included within the Statement of Operations for the period.

Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161

In March 2008, the FASB issued SFAS No. 161, “Disclosures about Derivative Instruments and Hedging Activities.” This standard is intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative instruments, b) how derivative instruments and related hedge items are accounted for, and c) how derivative instruments and related hedge items affect a fund’s financial position, results of operations and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years beginning after November 15, 2008, and interim periods within those fiscal years. As of March 31, 2008, management does not believe the adoption of SFAS No. 161 will impact the financial statement amounts; however, additional footnote disclosures may be required about the use of derivative instruments and hedging items.

 

 

46


7. Subsequent Events

Distributions to Shareholders

The Funds declared dividend distributions from their net investment income which were paid on May 1, 2008, to shareholders of record on April 29, 2008, as follows:

 

      Short
Duration
   Multi-
Strategy
Income
   High
Yield

Dividend per share:

        

Class A

   $ .0730    $ .0775    $ .1220

Class B

     N/A      .0650      .1105

Class C

     .0605      .0650      .1105

Class R

     .0770      .0815      .1260

N/A – Short Duration is not authorized to issue Class B shares.

Recent Fund Policy Changes

On March 31, 2008, the Nuveen mutual funds announced the following policy changes applicable to the Funds effective May 1, 2008:

 

 

The period after purchase for which a 1% CDSC is imposed on Class A Share purchases of $1 million or more will be reduced from 18 months to 12 months for all purchases occurring on or after May 1, 2007. Class A Shares purchased prior to May 1, 2007 that have not been redeemed prior to May 1, 2008, will no longer be subject to a CDSC;

 

 

Multi-Strategy Income and High Yield will cease offering new Class B Shares to the public and will only issue Class B Shares upon exchange of Class B shares from another Nuveen fund or for purposes of dividend reinvestment; and

 

 

Class R Shares will be renamed Class I Shares.

 

 

47


Financial Highlights (Unaudited)

 

Class (Commencement Date)                                                                                    
        Investment Operations     Less Distributions               Ratios/Supplemental Data  
SHORT DURATION                                                     Ratios to Average
Net Assets
Before Credit/
Reimbursement
    Ratios to Average
Net Assets After
Reimbursement(c)
    Ratios to Average
Net Assets
After Credit/
Reimbursement(d)
       
Year Ended
September 30,
  Beginning
Net
Asset
Value
  Net
Invest-
ment
Income(a)
  Net
Realized/
Unrealized
Gain
(Loss)
    Total     Net
Invest-
ment
Income
    Capital
Gains
  Total     Ending
Net
Asset
Value
  Total
Return(b)
    Ending
Net
Assets
(000)
  Expenses     Net
Invest-
ment
Income
    Expenses     Net
Invest-
ment
Income
    Expenses     Net
Invest-
ment
Income
    Portfolio
Turnover
Rate(e)
 
Class A (12/04)                                

2008(g)

  $ 19.40   $ .40   $ .32     $ .72     $ (.44 )   $   —   $ (.44 )   $ 19.68   3.73 %   $ 8,775   1.45 %*   3.22 %*   .63 %*   4.03 %*   .62 %*   4.05 %*   41 %

2007

    19.24     .91     .12       1.03       (.87 )         (.87 )     19.40   5.49       4,101   1.93     3.37     .62     4.67     .58     4.71     138  

2006

    19.69     .77     (.14 )     .63       (1.08 )         (1.08 )     19.24   3.29       439   3.41     1.25     .64     4.02     .61     4.05     234  

2005(f)

    20.00     .43     (.53 )     (.10 )     (.21 )         (.21 )     19.69   .66              2   1.52 *   2.15 *   .91 *   2.75 *   .89 *   2.77 *   140  
Class C (12/04)                                

2008(g)

    19.42     .32     .33       .65       (.37 )         (.37 )     19.70   3.34       6,323   2.25 *   2.38 *   1.38 *   3.25 *   1.36 *   3.27 *   41  

2007

    19.26     .73     .16       .89       (.73 )         (.73 )     19.42   4.71       2,260   2.42     2.71     1.38     3.76     1.34     3.80     138  

2006

    19.69     .63     (.14 )     .49       (.92 )         (.92 )     19.26   2.54       1,067   3.52     1.09     1.36     3.25     1.33     3.28     234  

2005(f)

    20.00     .31     (.48 )     (.17 )     (.14 )         (.14 )     19.69   .09       2   2.27 *   1.40 *   1.66 *   2.00 *   1.64 *   2.02 *   140  
Class R (12/04)                                

2008(g)

    19.38     .42     .32       .74       (.46 )         (.46 )     19.66   3.86       11,362   1.12 *   3.55 *   .38 *   4.29 *   .36 *   4.31 *   41  

2007

    19.21     .92     .17       1.09       (.92 )         (.92 )     19.38   5.82       9,717   1.34     3.76     .38     4.72     .34     4.76     138  

2006

    19.68     .77     (.11 )     .66       (1.13 )         (1.13 )     19.21   3.46       9,602   1.44     3.07     .53     3.97     .51     4.00     234  

2005(f)

    20.00     .47     (.56 )     (.09 )     (.23 )         (.23 )     19.68   .79       9,835   1.27 *   2.40 *   .66 *   3.00 *   .64 *   3.02 *   140  

 

* Annualized.
(a) Per share Net Investment Income is calculated using the average daily shares method.
(b) Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.
(c) After expense reimbursement from the Adviser.
(d) After custodian fee credit and expense reimbursement.
(e) Excluding dollar roll transactions.
(f) For the period December 20, 2004 (commencement of operations) through September 30, 2005.
(g) For the six months ended March 31, 2008.

 

See accompanying notes to financial statements.

 

 

48


 

Class (Commencement Date)                                                                                    
        Investment Operations     Less Distributions           Ratios/Supplemental Data  
MULTI-STRATEGY INCOME                                             Ratios to Average
Net Assets
Before Credit/
Reimbursement
    Ratios to Average
Net Assets After
Reimbursement(c)
    Ratios to Average
Net Assets
After Credit/
Reimbursement(d)
       
Year Ended
September 30,
  Beginning
Net
Asset
Value
  Net
Invest-
ment
Income(a)
  Net
Realized/
Unrealized
Gain
(Loss)
    Total     Net
Invest-
ment
Income
    Capital
Gains
  Total     Ending
Net
Asset
Value
  Total
Return(b)
    Ending
Net
Assets
(000)
  Expenses     Net
Invest-
ment
Income
    Expenses     Net
Invest-
ment
Income
    Expenses     Net
Invest-
ment
Income
    Portfolio
Turnover
Rate(e)
 
Class A (12/04)                                

2008(g)

  $ 19.28   $ .47   $ .17     $ .64     $ (.47 )   $   —   $ (.47 )   $ 19.45   3.26 %   $ 6,250   1.94 %*   3.56 %*   .73 %*   4.75 %*   .73 %*   4.76 %*   91 %

2007

    19.29     1.00     (.08 )     .92       (.93 )         (.93 )     19.28   4.92       3,281   2.32     3.59     .73     5.17     .72     5.18     278  

2006

    19.73     .88     (.34 )     .54       (.98 )         (.98 )     19.29   2.86       1,282   4.46     .90     .75     4.62     .71     4.66     241  

2005(f)

    20.00     .54     (.55 )     (.01 )     (.26 )         (.26 )     19.73   1.37       2   1.76 *   2.69 *   1.02 *   3.43 *   1.00 *   3.46 *   155  
Class B (12/04)                                

2008(g)

    19.34     .39     .17       .56       (.39 )         (.39 )     19.51   2.92       1,551   2.84 *   2.62 *   1.48 *   3.98 *   1.49 *   3.98 *   91  

2007

    19.30     .88     (.06 )     .82       (.78 )         (.78 )     19.34   4.35       474   3.14     2.85     1.42     4.57     1.41     4.58     278  

2006

    19.73     .74     (.35 )     .39       (.82 )         (.82 )     19.30   2.06       51   3.54     1.68     1.38     3.84     1.34     3.88     241  

2005(f)

    20.00     .42     (.49 )     (.07 )     (.20 )         (.20 )     19.73   .81       2   2.51 *   1.94 *   1.77 *   2.69 *   1.75 *   2.71 *   155  
Class C (12/04)                                

2008(g)

    19.30     .39     .17       .56       (.39 )         (.39 )     19.47   2.92       2,300   2.67 *   2.84 *   1.48 *   4.02 *   1.48 *   4.03 *   91  

2007

    19.29     .84     (.05 )     .79       (.78 )         (.78 )     19.30   4.19       1,578   2.98     2.85     1.48     4.34     1.47     4.36     278  

2006

    19.73     .73     (.35 )     .38       (.82 )         (.82 )     19.29   2.01       266   3.65     1.69     1.44     3.90     1.39     3.94     241  

2005(f)

    20.00     .42     (.49 )     (.07 )     (.20 )         (.20 )     19.73   .81       2   2.51 *   1.94 *   1.77 *   2.69 *   1.75 *   2.71 *   155  
Class R (12/04)                                

2008(g)

    19.28     .49     .17       .66       (.49 )         (.49 )     19.45   3.44       9,909   1.62 *   3.88 *   .48 *   5.02 *   .47 *   5.03 *   91  

2007

    19.26     1.01     (.01 )     1.00       (.98 )         (.98 )     19.28   5.29       9,689   1.86     3.87     .48     5.24     .47     5.26     278  

2006

    19.72     .86     (.29 )     .57       (1.03 )         (1.03 )     19.26   3.03       9,623   1.84     3.24     .63     4.44     .59     4.48     241  

2005(f)

    20.00     .58     (.58 )     (.00 )     (.28 )         (.28 )     19.72   1.51       9,854   1.51 *   2.94 *   .77 *   3.68 *   .75 *   3.71 *   155  

 

* Annualized.
(a) Per share Net Investment Income is calculated using the average daily shares method.
(b) Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.
(c) After expense reimbursement from the Adviser.
(d) After custodian fee credit and expense reimbursement.
(e) Excluding dollar roll transactions.
(f) For the period December 20, 2004 (commencement of operations) through September 30, 2005.
(g) For the six months ended March 31, 2008.

 

See accompanying notes to financial statements.

 

 

49


Financial Highlights (Unaudited) (continued)

 

Class (Commencement Date)                                                                                    
        Investment Operations     Less Distributions           Ratios/Supplemental Data  
HIGH YIELD                                                     Ratios to Average
Net Assets
Before Credit/
Reimbursement
    Ratios to Average
Net Assets After
Reimbursement(c)
    Ratios to Average
Net Assets
After Credit/
Reimbursement(d)
       
Year Ended
September 30,
  Beginning
Net
Asset
Value
  Net
Invest-
ment
Income(a)
  Net
Realized/
Unrealized
Gain
(Loss)
    Total     Net
Invest-
ment
Income
    Capital
Gains
  Total     Ending
Net
Asset
Value
  Total
Return(b)
    Ending
Net
Assets
(000)
  Expenses     Net
Invest-
ment
Income
    Expenses     Net
Invest-
ment
Income
    Expenses     Net
Invest-
ment
Income
    Portfolio
Turnover
Rate
 
Class A (12/04)                                

2008(f)

  $ 19.55   $ .62   $ (1.16 )   $ (.54 )   $ (.74 )   $   —   $ (.74 )   $ 18.27   (2.89 )%   $ 13,437   1.38 %*   6.00 %*   .83 %*   6.55 %*   .82 %*   6.56 %*   54 %

2007

    19.37     1.55     .08       1.63       (1.45 )         (1.45 )     19.55   8.61       9,100   1.83     6.85     .83     7.85     .82     7.87     160  

2006

    19.39     1.33     .16       1.49       (1.51 )         (1.51 )     19.37   8.01       438   1.94     5.87     .85     6.96     .78     7.03     115  

2005(e)

    20.00     .86     (1.04 )     (.18 )     (.43 )         (.43 )     19.39   1.56       2   1.68 *   5.10 *   1.17 *   5.61 *   1.14 *   5.63 *   69  
Class B (12/04)                                

2008(f)

    19.53     .55     (1.16 )     (.61 )     (.66 )         (.66 )     18.26   (3.26 )     2,585   2.11 *   5.31 *   1.58 *   5.84 *   1.57 *   5.85 *   54  

2007

    19.36     1.34     .14       1.48       (1.31 )         (1.31 )     19.53   7.82       1,855   2.50     5.86     1.58     6.78     1.57     6.79     160  

2006

    19.39     1.13     .19       1.32       (1.35 )         (1.35 )     19.36   7.07       217   2.69     4.86     1.57     5.97     1.51     6.04     115  

2005(e)

    20.00     .75     (.99 )     (.24 )     (.37 )         (.37 )     19.39   .99       2   2.43 *   4.35 *   1.92 *   4.86 *   1.89 *   4.88 *   69  
Class C (12/04)                                

2008(f)

    19.51     .55     (1.17 )     (.62 )     (.66 )         (.66 )     18.23   (3.26 )     13,162   2.10 *   5.30 *   1.58 *   5.81 *   1.57 *   5.83 *   54  

2007

    19.35     1.38     .09       1.47       (1.31 )         (1.31 )     19.51   7.72       8,620   2.54     6.06     1.58     7.02     1.57     7.03     160  

2006

    19.39     1.13     .18       1.31       (1.35 )         (1.35 )     19.35   7.01       678   2.69     4.89     1.59     5.99     1.52     6.05     115  

2005(e)

    20.00     .75     (.99 )     (.24 )     (.37 )         (.37 )     19.39   .99       2   2.43 *   4.35 *   1.92 *   4.86 *   1.89 *   4.88 *   69  
Class R (12/04)                                

2008(f)

    19.53     .64     (1.15 )     (.51 )     (.76 )         (.76 )     18.26   (2.77 )     48,509   1.14 *   6.12 *   .58 *   6.68 *   .57 *   6.69 *   54  

2007

    19.35     1.45     .23       1.68       (1.50 )         (1.50 )     19.53   8.89       10,534   1.43     6.51     .58     7.35     .56     7.37     160  

2006

    19.40     1.37     .14       1.51       (1.56 )         (1.56 )     19.35   8.14       9,692   1.44     6.39     .76     7.06     .70     7.13     115  

2005(e)

    20.00     .90     (1.05 )     (.15 )     (.45 )         (.45 )     19.40   1.79       9,692   1.43 *   5.35 *   .92 *   5.85 *   .89 *   5.88 *   69  

 

* Annualized.
(a) Per share Net Investment Income is calculated using the average daily shares method.
(b) Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.
(c) After expense reimbursement from the Adviser.
(d) After custodian fee credit and expense reimbursement.
(e) For the period December 20, 2004 (commencement of operations) through September 30, 2005.
(f) For the six months ended March 31, 2008.

 

See accompanying notes to financial statements.

 

 

50


Notes

 

 

51


Fund Information

 

 

 

 

Fund Manager

Nuveen Asset Management

333 West Wacker Drive

Chicago, IL 60606

 

Legal Counsel

Chapman and Cutler LLP

Chicago, IL

 

Independent Registered

Public Accounting Firm

PricewaterhouseCoopers LLP

Chicago, IL

 

Custodian

State Street Bank & Trust Company

Boston, MA

 

Transfer Agent and Shareholder Services

Boston Financial

Data Services, Inc.

 

Nuveen Investor Services

P.O. Box 8530

Boston, MA 02266-8530

(800) 257-8787

 

 

Quarterly Portfolio of Investments and Proxy Voting information: You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30, 2007, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments at (800) 257-8787 or on Nuveen’s website at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission (“SEC”). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.

 

 

 

 

The Financial Industry Regulatory Authority (FINRA) provides a Public Disclosure Program which supplies certain information regarding the disciplinary history of FINRA members and their associated persons in response to either telephone inquiries at (800) 289-9999 or written inquiries at www.finra.org. Financial Industry Regulatory Authority also provides an investor brochure that includes information describing the Public Disclosure Program.

 

 

52


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 offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

Average Effective Maturity: The average of the number of years to maturity of the bonds in a Fund’s portfolio, computed by weighting each maturity date (the date the security comes due) by the market value of the security. This figure does not account for the likelihood of prepayments or the exercise of call provisions unless an escrow account has been established to redeem the bond before maturity.

Average Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s (or bond fund’s) value to changes when market interest rates change. Generally, the longer a bond or Fund’s duration, the more the price of the bond or Fund will change as interest rates change.

Dividend Yield (also known as Market Yield or Current Yield): An investment’s current annualized dividend divided by its current offering price.

 

Net Asset Value (NAV): A Fund’s NAV is the dollar value of one share in the Fund. It is calculated by subtracting the liabilities of 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.

SEC 30-Day Yield: A standardized measure of a Fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the Fund’s portfolio.

 

 

53


Learn more

about Nuveen Funds at

www.nuveen.com/mf

 

Nuveen Investments:

SERVING Investors

For GENERATIONS

Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. Over this time, 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 can be integral parts of 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 approximately $153 billion in assets as of March 31, 2008, 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: NWQ, specializing in value-style equities; Nuveen, managing fixed-income investments; Santa Barbara, committed to growth equities; Tradewinds, specializing in global value equities; Rittenhouse, focused on “blue-chip” growth equities; and Symphony, with expertise in alternative investments as well as equity and income portfolios.

Find out how we can help you reach your financial goals.

An investor should carefully consider the Fund’s objectives, risks, charges and expenses before investing. For a prospectus containing this and other information about the Fund, please contact your financial advisor or Nuveen Investments at (800) 257-8787. Read the prospectus carefully before you invest or send money.

 

 

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MSA-INV3-0308D


Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants

Not applicable to this registrant.

Item 6. Schedule of Investments

See Portfolio of Investments in Item 1

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

Item 11. Controls and Procedures.

 

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: EX-99.CERT Attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable to this registrant.

(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 registration 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 Investment Trust III

 

By   (Signature and Title)*   /s/ Kevin J. McCarthy  
   

Kevin J. McCarthy

Vice President and Secretary

 

Date June 6, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By   (Signature and Title)*   /s/ Gifford R. Zimmerman  
   

Gifford R. Zimmerman

Chief Administrative Officer

(principal executive officer)

 

Date June 6, 2008

 

By   (Signature and Title)*   /s/ Stephen D. Foy  
   

Stephen D. Foy

Vice President and Controller

(principal financial officer)

 

Date June 6, 2008

 

* Print the name and title of each signing officer under his or her signature.