N-CSR 1 d23591dncsr.htm NUVEEN SENIOR INCOME FUND Nuveen Senior Income Fund

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    

 

811-09571

Nuveen Senior Income Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Address of principal executive offices) (Zip code)

Mark L. Winget

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Name and address of agent for service)

 

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

 

Date of fiscal year end:       July 31

 

Date of reporting period:       July 31, 2021

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

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


ITEM 1.

REPORTS TO STOCKHOLDERS.


LOGO

 

Closed-End Funds

 

31 July 2021

 

Nuveen

Closed-End Funds

 

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

 

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will not be sent to you by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive shareholder reports and other communications from the Funds electronically at any time by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.

You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, by calling 800-257-8787 and selecting option #2 or (ii) by logging into your Investor Center account at www.computershare.com/investor and clicking on “Communication Preferences”. Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.

 

Annual Report


Life is Complex.

 

Nuveen makes things e-simple.

It only takes a minute to sign up for e-Reports. Once enrolled, you’ll receive an e-mail as soon as your Nuveen Fund information is ready—no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish.

 

Free e-Reports right to your email!

www.investordelivery.com

If you receive your Nuveen Fund dividends and statements from your financial professional or brokerage account.

or

www.nuveen.com/client-access

If you receive your Nuveen Fund dividends and statements directly from Nuveen.

NOT FDIC INSURED  MAY LOSE VALUE  NO BANK GUARANTEE

 

LOGO


Table of Contents

 

Chair’s Letter to Shareholders

     4  

Portfolio Managers’ Comments

     5  

Fund Leverage

     7  

Common Share Information

     10  

Performance Overview and Holding Summaries

     12  

Shareholder Meeting Report

     22  

Report of Independent Registered Public Accounting Firm

     23  

Portfolios of Investments

     24  

Statement of Assets and Liabilities

     94  

Statement of Operations

     95  

Statement of Changes in Net Assets

     96  

Statement of Cash Flows

     99  

Financial Highlights

     100  

Notes to Financial Statements

     107  

Shareholder Update

     124  

Additional Fund Information

     162  

Glossary of Terms Used in this Report

     163  

Annual Investment Management Agreement Approval Process

     164  

Board Members & Officers

     175  

 

3


Chair’s Letter to Shareholders

 

LOGO

Dear Shareholders,

More than a year has passed since the World Health Organization declared COVID-19 a global pandemic in March 2020, resulting in a year marked by a global economic downturn, financial market turbulence and some immeasurable losses of life. Although the health crisis persists, with the widespread distribution of vaccines in the U.S. and extraordinary economic interventions by governments and central banks around the world, we collectively look forward to what our “new normal” might be.

Rebounding global economic activity has driven both gross domestic product growth and inflation higher, especially in the U.S. Vaccinations have enabled a further reopening of economies while governments and central banks have taken extraordinary measures to support the recoveries. Since the crisis began, the U.S. government has enacted six relief measures totaling $5.3 trillion to support individuals and families, small and large businesses, state and local governments, education, public health and vaccinations. Currently, Congress is working on an infrastructure spending plan, although its final shape and whether it passes remains to be seen. The U.S. Federal Reserve (Fed) and other central banks around the world have acknowledged the economic progress to date but remain committed to sustaining the recovery by maintaining accommodative monetary conditions. However, as economies have reopened, the surge in consumer demand has outpaced supply chain capacity, resulting in a jump in inflation indicators in recent months. Whether inflation persists is a subject of debate by economists and some market observers, while the Fed and other central banks believe it to be more transitory. Additionally, the recent impact of the COVID-19 delta variant is likely to be factored into central bank forecasts, which could complicate the timing of monetary policy changes.

While the markets’ longer-term outlook has brightened, we expect intermittent bouts of volatility to continue. There are some signs that the first economies to recover – including China, the U.S. and Europe not far behind – have reached their growth peaks and are moving toward stabilization, while the delta variant is adding caution to the growth outlook. Markets are closely monitoring central bank signals, particularly if inflation remains elevated, as a sooner-than-expected shift to monetary tightening could slow the economic recovery. Additionally, as more virulent strains of COVID-19 such as the delta variant have spread, both case counts and hospitalizations are rising again, and vaccination rollouts have been uneven around the country and around the world. The recovery hinges on controlling the virus, and estimates vary considerably on when economic activity might be fully restored and what level of public inoculation would be sufficient to contain the spread of the virus, particularly in light of new variants. On the political front, the Biden administration’s full policy agenda and the potential for Congressional gridlock remain to be seen, either of which could cause investment outlooks to shift. Short-term market fluctuations can provide your Fund opportunities to invest in new ideas as well as upgrade existing positioning while providing long-term value for shareholders. For more than 120 years, the careful consideration of risk and reward has guided Nuveen’s focus on delivering long-term results to our shareholders.

If you have concerns about what’s coming next, it may be an opportune time to assess your portfolio. We encourage you to review your time horizon, risk tolerance and investment goals with your financial professional.

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

 

LOGO

Terence J. Toth

Chair of the Board

September 22, 2021

 

 

4


Portfolio Managers’ Comments

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

The Funds’ are sub-advised by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser (the “Adviser”). On December 31, 2020, the Funds’ previous sub-adviser, Symphony Asset Management, LLC (“Symphony”), also an affiliate of the Adviser, was merged with and into NAM (the “Reorganization”). Effective as of the date of the Reorganization, NAM assumed the portfolio management responsibilities for the Funds’ investment portfolio and, as previously approved by the Fund’s Board of Trustees, the Funds’ entered into an amended and restated sub-advisory agreement with NAM, the terms of which were substantially identical to the prior sub-advisory agreement with Symphony. Scott Caraher and Kevin Lorenz, CFA, continue as portfolio managers for the Funds.

Here the portfolio management team discusses economic and market conditions, key investment strategies and the Funds’ performance for the twelve-month reporting period ended July 31, 2021. For more information on the Funds’ investment objectives and policies, please refer to the Shareholder Update section of the report.

What factors affected the economy and the markets during the twelve-month annual reporting period ended July 31, 2021?

Supported by massive fiscal and monetary stimulus and economic reopening, the U.S. economy rebounded more quickly than expected from the deep downturn caused by the COVID-19 crisis and containment measures. The federal government’s relief measures have totaled approximately $5.3 trillion across six aid packages that have allocated direct payments to individuals and families, expanded unemployment insurance, provided loans to large and small businesses, funded hospitals and health agencies, and supported state and local governments, education and public health/vaccination. (Additionally, in August 2021, after the close of this reporting period, the Senate approved a $1 trillion infrastructure and jobs plan, which moves to the House for consideration.) The U.S. Federal Reserve (Fed) has maintained short-term interest rates near zero and enacted credit facilities to help keep the financial system stable, lowering borrowing costs for businesses and individuals. Gross domestic product (GDP) expanded at an annualized rate of 6.3% in the first quarter and 6.5% in the second quarter, according to the “advance” estimate released by the Bureau of Economic Analysis, after shrinking 3.5% (annualized) in 2020 compared to 2019’s annual level.

By the start of this reporting period, markets had largely stabilized from the initial health crisis shock. In March 2020, equity and commodity markets sold off and safe-haven assets rallied as countries initiated quarantines, restricted travel and shuttered factories and businesses, while an ill-timed oil price war between the Organization of the Petroleum Exporting Countries (OPEC) and non-OPEC member Russia amplified price volatility. In late 2020, the announcement of high efficacy rates in several COVID-19 vaccine trials, followed by regulatory authorizations and public vaccination drives across Western countries, improved the outlook for 2021, which contributed to risk-on sentiment in the markets. Increasing vaccination rates and certain surprisingly strong economic readings in the first few months of 2021 led to rising inflation concerns. However, recent Fed commentary pointed to Fed Fund rate hikes by 2023, calming market fears of inaction.

The loan market enjoyed solid performance during the twelve-month reporting period, supported by healthy economic data, better-than-expected corporate earnings and further improvement in credit fundamentals. Loans also benefited

 

5


Portfolio Managers’ Comments (continued)

 

from an improving supply and demand backdrop in the second half of the reporting period. On the supply side, issues brought to market were generally absorbed given the level of demand for loans amid the global search for yield. In terms of demand, following heavy outflows during the first five months of the reporting period (August 1, 2020 – December 31, 2020), loan mutual funds and exchange-traded funds (ETFs) garnered a combined $32 billion of inflows over the next seven months ending July 31, 2021. Meanwhile, collateralized loan obligations (CLO) demand also remained robust. It’s notable that investor demand for loans stayed strong despite a fairly benign rate backdrop, an indication that longer-term investors continued to maintain a positive outlook for growth while preparing themselves for potentially higher rates.

For the reporting period, lower quality, discounted and higher spread assets outperformed. These assets tend to have more price appreciation potential and higher coupons to drive returns.

What key strategies were used to manage the Funds during this twelve-month reporting period ended July 31, 2021?

The Funds invested predominantly in first-lien, senior secured corporate loans. NAM generally focuses on loans of issuers with businesses in defensive sectors that have strong asset coverage, as well as loans of larger issuance and facility sizes. These loans are generally referred to as broadly syndicated loans. Consistent with their investment policies, the Funds also invest opportunistically in below investment grade corporate bonds to seek relative value opportunities across the capital structure.

How did the Funds perform during this twelve-month reporting period ended July 31, 2021?

For the twelve-month reporting period ended July 31, 2021, all five Funds outperformed the Credit Suisse Leveraged Loan Index. For purposes of this Performance Commentary references to relative performance are in comparison to the Credit Suisse Leveraged Loan Index.

For the reporting period, relative outperformance for the NSL, JFR, JRO and JSD portfolios was driven by increased allocations to B-rated senior loans. Select exposure to energy-related companies given higher energy prices also contributed to relative performance. In particular, the post-reorganization equity of exploration and production (E&P) company California Resources notched gains due to the energy rally and the firm’s earnings. Similarly, loans issued by Fieldwood Energy found favor in the “risk-on” market environment and on approval of its debt restructuring plan. Lastly, the term loans of deep-water marine transportation specialist Harvey Gulf International Marine, Inc. also contributed. The Funds’ portfolios continue to maintain exposure to these companies.

Offsetting some of the portfolios’ relative outperformance were individual positions that included Diamond Sports Group LLC, a media and entertainment company. Its loans were volatile due to potential restructuring talks and disappointing earnings results during the reporting period. The portfolios’ exposure to the specialty pharmaceutical company, Endo Health Solutions, Inc., also hurt relative performance as the company faced continued costs from opioid lawsuits. The Funds’ portfolios continue to maintain exposure to these companies.

The Funds noted above (NSL, JFR, JRO and JSD) are managed in a similar manner. However, JQC has a different mandate, and therefore, has a relatively higher credit quality profile in its loan portfolio compared to the other Funds. During the reporting period, the JQC portfolio’s relative outperformance was driven by select exposure to some of the same energy-related companies previously mentioned. Among the most notable contributors was the post-reorganization equity of E&P company California Resources and loans issued by Fieldwood Energy. Additionally, the portfolio’s overweight to and security selection within Transportation, including exposure to the loans of American Airlines, aided relative performance during the reporting period. The Fund’s portfolio continues to maintain exposure to these companies.

 

6


Fund Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

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

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

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

The Funds’ use of leverage had a positive impact on total return performance during this reporting period.

During the current fiscal period, JFR and JRO used cancellable interest rate swaps to partially hedge the interest cost of leverage. Each Fund received payments based upon pre-determined fixed rates and paid one-month LIBOR plus a fixed spread. After a non-callable period, the swap counterparty owns the right on future monthly dates to terminate the swap at par. The purpose of the cancellable interest rate swap is to convert a fixed rate Term Preferred Share issuance to floating rate, and the cancellation dates of the swap correspond to dates on which the Funds can call the Term Preferred Share issue. Collectively, these interest rate swap contracts had a negligible impact on the Funds’ total return performance during the period.

As of July 31, 2021, the Funds’ percentages of leverage are as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    36.35        36.47        36.52        36.38        36.72

Regulatory Leverage*

    36.35        36.47        36.52        36.38        30.01
*

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

 

7


Fund Leverage (continued)

 

THE FUNDS’ LEVERAGE

Bank Borrowings

As noted previously, the Funds employ leverage through the use of bank borrowings. The Funds’ bank borrowing activities are as shown in the accompanying table. Paydowns reflect on-going leverage management activity that seeks to maintain each Fund’s leverage ratio within a specified internal operating range.

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   Outstanding
Balance as of
August 1, 2020
    Draws     Paydowns     Outstanding
Balance as of
July 31, 2021
    Average
Balance
Outstanding
           Draws     Paydowns     Outstanding
Balance as of
September 28, 2021
 

NSL

  $ 86,200,000     $ 33,100,000     $ (25,000,000   $ 94,300,000     $ 91,798,082             $     —     $     —     $ 94,300,000  

JFR

  $ 208,100,000     $ 80,300,000     $ (50,000,000   $ 238,400,000     $ 227,504,384             $     —     $     —     $ 238,400,000  

JRO

  $ 164,900,000     $ 44,600,000     $ (45,000,000   $ 164,500,000     $ 160,261,096             $     —     $     —     $ 164,500,000  

JSD

  $ 8,500,000     $ 11,000,000     $     $ 19,500,000     $ 14,519,178             $     —     $     —     $ 19,500,000  

JQC

  $ 402,000,000     $ 25,000,000     $ (25,000,000   $ 402,000,000     $ 399,021,918             $     —     $     —     $ 402,000,000  

Refer to Notes to Financial Statements, Note 9 – Fund Leverage for further details.

Reverse Repurchase Agreements

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

 

Current Reporting Period             Subsequent to the Close of
the Reporting Period
 
Outstanding
Balance as of
August 1, 2020
     Sales      Purchases      Outstanding
Balance as of
July 31, 2021
     Average Balance
Outstanding
             Sales      Purchases      Outstanding
Balance as of
September 28, 2021
 
  $117,000,000        $    —        $25,000,000        $142,000,000        $135,082,192                 $    —        $    —        $142,000,000  

Refer to Notes to Financial Statements, Note 9 – Fund Leverage for further details.

Term Preferred Shares

As noted previously, in addition to bank borrowings, the following Funds also issued Term Preferred. The Funds' transactions in Term Preferred are as shown in the accompanying table.

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   Outstanding
Balance as of
August 1, 2020
    Issuance     Redemptions     Outstanding
Balance as of
July 31, 2021
    Average Balance
Outstanding
           Issuance     Redemptions     Outstanding
Balance as of
September 28, 2021
 

NSL*

  $ 33,000,000     $     —     $ (33,000,000   $     —     $ 17,219,178             $     —     $     $  

JFR**

  $ 90,000,000     $     $ (90,000,000   $     $ 81,076,923             $     $     —     $  

JRO***

  $ 45,000,000     $     $ (45,000,000   $     $ 41,732,673             $     $     $     —  
*

For the period August 1, 2020 through October 12, 2020.

**

For the period August 1, 2020 through December 8, 2020.

***

For the period August 1, 2020 through November 9, 2020.

 

8


 

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

Taxable Fund Preferred Shares

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

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   Outstanding
Balance as of
August 1, 2020
    Issuance     Redemptions     Outstanding
Balance as of
July 31, 2021
    Average
Balance
Outstanding
           Issuance     Redemptions     Outstanding
Balance as of
September 27, 2021
 

NSL*

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

JFR**

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

JRO***

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

JSD

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

For the period October 5, 2020 (first issuance date of shares) through July 31, 2021.

**

For the period December 4, 2020 (first issuance date of shares) through July 31, 2021.

***

For the period November 5, 2020 (first issuance date of shares) through July 31, 2021.

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

 

9


Common Share Information

 

DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of July 31, 2021, the Funds’ fiscal and tax year end, and may differ from previously issued distribution notifications.

NSL, JFR, JRO and JSD

Effective with each Fund’s distribution payable April 1, 2021, NSL, JFR, JRO and JSD have implemented a level distribution policy. The level distribution policy is intended to provide shareholders with stable, but not guaranteed, cash flow, independent of the amount or timing of income earned or capital gains realized by the Funds. The Funds intend to distribute all or substantially all of their net investment income through their regular monthly distribution and to distribute realized capital gains at least annually. In addition, in any monthly period, in order to maintain its level distribution amount, each Fund may pay out more or less than its net investment income during the period. As a result, distributions sources may include net investment income, realized gains and return of capital. You should not draw any conclusions about the Fund’s investment performance from the amount of the distribution or from the terms of the level distribution program. A return of capital is a non-taxable distribution of a portion of a Fund’s capital. A return of capital distribution does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.”

JQC

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

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

Data as of July 31, 2021

 

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

NSL

    100.00      0.00      0.00    $ 0.3835      $ 0.3835      $ 0.0000      $ 0.0000  

JFR

    100.00      0.00      0.00    $ 0.6245      $ 0.6245      $ 0.0000      $ 0.0000  

JRO

    100.00      0.00      0.00    $ 0.6150      $ 0.6150      $ 0.0000      $ 0.0000  

JSD

    100.00      0.00      0.00    $ 0.9410      $ 0.9410      $ 0.0000      $ 0.0000  

JQC

    35.18      0.00      64.82    $ 0.8516      $ 0.2996      $ 0.0000      $ 0.5520  

 

10


 

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

Data as of July 31, 2021

 

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

NSL

    10/26/1999      $ 0.0340        6.70      17.48      4.70      6.30      17.48

JFR

    3/25/2004      $ 0.0580        6.72      17.36      4.89      6.03      17.36

JRO

    7/27/2004      $ 0.0575        6.72      17.42      4.93      5.99      17.42

JSD

    5/25/2011      $ 0.0865        6.69      18.24      4.66      6.06      18.24

JQC

    6/25/2003      $ 0.0509        8.84      13.42      4.26      12.32      13.42

NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

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

COMMON SHARE REPURCHASES

During August 2021 (subsequent to the close of the reporting period), the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding common shares.

As of July 31, 2021, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares cumulatively repurchased and retired

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

Common shares authorized for repurchase

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

During the current reporting period, the Funds did not repurchase any of their outstanding common shares.

 

OTHER COMMON SHARE INFORMATION

As of July 31, 2021, the Funds’ common share prices were trading at a premium/ (discount) to their common share NAVs and trading at an average premium/(discount) to NAV during the current reporting period, as follows:

 

     NSL        JFR        JRO        JSD        JQC  

Common share NAV

    $6.09          $10.36          $10.27          $15.52          $6.91  

Common share pirce

    $5.74          $9.76          $9.69          $14.40          $6.53  

Premium/(Discount) to NAV

    (5.75 )%         (5.79 )%         (5.65 )%         (7.22 )%         (5.50 )% 

Average premium/(discount) to NAV

    (9.77 )%         (9.86 )%         (10.12 )%         (10.49 )%         (9.15 )% 

 

11


NSL     

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of July 31, 2021

 

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

Average Annual Total Returns as of July 31, 2021

 

    Average Annual  
     1-Year        5-Year        10-Year  
NSL at Common Share NAV     17.48%          4.70%          5.25%  
NSL at Common Share Price     28.97%          5.72%          5.31%  
Credit Suisse Leveraged Loan Index     9.60%          4.75%          4.50%  

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2021 — Common Share Price

 

LOGO

 

12


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan
Interests
    139.1%  
Corporate Bonds     11.0%  
Common Stocks     3.6%  
Warrants     0.1%  
Convertible Preferred Securities     0.1%  
Common Stock Rights     0.0%  
Short-Term Investment Companies     4.4%  
Other Assets Less Liabilities     (1.4)%  
Net Assets Plus Borrowings and Taxable Fund Preferred Shares, net of deferred offering costs     156.9%  
Borrowings     (40.1)%  
Taxable Fund Preferred Shares, net of deferred offering costs     (16.8)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

B.C. Unlimited Liability Company     2.0%  
Seattle Spinco, Inc.     1.4%  
Parexel International Corporation     1.2%  
Delta 2 (LUX) S.a.r.l.     1.2%  
PetSmart, Inc.     1.1%  

Portfolio Composition

(% of total investments)

 

Media     10.8%  
Hotels, Restaurants & Leisure     10.5%  
Software     7.7%  
Health Care Providers & Services     6.0%  
Oil, Gas & Consumable Fuels     4.4%  
Pharmaceuticals     4.0%  
Commercial Services & Supplies     3.7%  
IT Services     3.3%  
Diversified Telecommunication Services     2.8%  
Life Sciences Tools & Services     2.6%  
Insurance     2.3%  
Entertainment     2.1%  
Specialty Retail     2.0%  
Communications Equipment     1.8%  
Auto Components     1.7%  
Technology Hardware, Storage & Peripherals     1.6%  
Professional Services     1.5%  
Airlines     1.5%  
Road & Rail     1.4%  
Health Care Technology     1.3%  
Building Products     1.3%  
Internet Software & Services     1.2%  
Personal Products     1.2%  
Electric Utilities     1.2%  
Other1     19.3%  
Short-Term Investment Companies     2.8%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.0%  
BB or Lower     86.1%  
N/R (not rated)     3.9%  

Total

    100%  
 

 

1

See Portfolio of Investments for details on “other” Portfolio Composition.

 

13


JFR     

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of July 31, 2021

 

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

Average Annual Total Returns as of July 31, 2021

 

    Average Annual  
     1-Year        5-Year        10-Year  
JFR at Common Share NAV     17.36%          4.89%          5.38%  
JFR at Common Share Price     30.14%          5.52%          5.82%  
Credit Suisse Leveraged Loan Index     9.60%          4.75%          4.50%  

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2021 — Common Share Price

 

LOGO

 

14


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     138.1%  
Corporate Bonds     11.0%  
Common Stocks     3.6%  
Long-Term Investment Companies     2.0%  
Asset-Backed Securities     0.6%  
Warrants     0.1%  
Convertible Preferred Securities     0.0%  
Common Stock Rights     0.0%  
Short-Term Investment Companies     6.8%  
Other Assets Less Liabilities     (5.0)%  
Net Assets Plus Borrowings and Taxable Fund Preferred Shares, net of deferred offering costs     157.2%  
Borrowings     (40.4)%  
Taxable Fund Preferred Shares, net of deferred offering costs     (16.8)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

B.C. Unlimited Liability Company     2.4%  
Parexel International Corporation     1.3%  
Clear Channel Outdoor Holdings, Inc.     1.2%  
Caesars Resort Collection, LLC     1.1%  
Seattle Spinco, Inc.     1.1%  

Portfolio Composition

(% of total investments)

 

Media     11.3%  
Hotels, Restaurants & Leisure     11.1%  
Software     6.9%  
Health Care Providers & Services     6.1%  
Oil, Gas & Consumable Fuels     4.2%  
Pharmaceuticals     4.0%  
Commercial Services & Supplies     3.4%  
Life Sciences Tools & Services     2.8%  
IT Services     2.7%  
Diversified Telecommunication Services     2.5%  
Insurance     2.4%  
Entertainment     2.1%  
Communications Equipment     2.0%  
Specialty Retail     1.9%  
Technology Hardware, Storage & Peripherals     1.6%  
Auto Components     1.4%  
Building Products     1.3%  
Road & Rail     1.3%  
Professional Services     1.3%  
Airlines     1.2%  
Health Care Technology     1.2%  
Interactive Media & Services     1.2%  
Personal Products     1.1%  
Other1     19.2%  
Long-Term Investment Companies     1.2%  
Asset-Backed Securities     0.4%  
Short-Term Investment Companies     4.2%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.5%  
BB or Lower     85.9%  
N/R (not rated)     3.6%  

Total

    100%  
 

 

1

See Portfolio of Investments for details on “other” Portfolio Composition.

 

15


JRO     

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of July 31, 2021

 

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

Average Annual Total Returns as of July 31, 2021

 

       Average Annual  
        1-Year        5-Year        10-Year  
JRO at Common Share NAV        17.42%          4.93%          5.64%  
JRO at Common Share Price        30.14%          5.42%          5.92%  
Credit Suisse Leveraged Loan Index        9.60%          4.75%          4.50%  

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2021 — Common Share Price

 

LOGO

 

16


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     138.6%  
Corporate Bonds     11.4%  
Common Stocks     3.7%  
Asset-Backed Securities     0.6%  
Warrants     0.1%  
Convertible Preferred Securities     0.0%  
Common Stock Rights     0.0%  
Short-Term Investment Companies     6.3%  
Other Assets Less Liabilities     (3.3)%  
Net Assets Plus Borrowings and Taxable Fund Preferred Shares, net of deferred offering costs     157.4%  
Borrowings     (39.5)%  
Taxable Fund Preferred Shares, net of deferred offering costs     (17.9)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

B.C. Unlimited Liability Company     2.4%  
Parexel International Corporation     1.2%  
Clear Channel Outdoor
Holdings, Inc.
    1.2%  
Caesars Resort Collection, LLC, Term Loan     1.2%  
Seattle Spinco, Inc.     1.2%  

Portfolio Composition

(% of total investments)

 

Media      11.8%  
Hotels, Restaurants & Leisure      11.1%  
Software      7.0%  
Health Care Providers & Services      6.4%  
Oil, Gas & Consumable Fuels      4.0%  
Commercial Services & Supplies      3.7%  
Pharmaceuticals      3.4%  
IT Services      3.2%  
Life Sciences Tools & Services      2.8%  
Diversified Telecommunication Services      2.5%  
Entertainment      2.3%  
Insurance      2.2%  
Communications Equipment      1.9%  
Specialty Retail      1.9%  
Technology Hardware, Storage & Peripherals      1.5%  
Road & Rail      1.5%  
Building Products      1.5%  
Auto Components      1.4%  
Health Care Technology      1.3%  
Capital Markets      1.3%  
Airlines      1.3%  
Professional Services      1.3%  
Interactive Media & Services      1.2%  
Other1      19.2%  
Asset-Backed Securities      0.4%  
Short-Term Investment Companies      3.9%  

Total

     100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.9%  
BB or Lower     86.3%  
N/R (not rated)     3.8%  

Total

    100%  
 

 

1

See Portfolio of Investments for details on “other” Portfolio Composition.

 

17


JSD     

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of July 31, 2021

 

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

Average Annual Total Returns as of July 31, 2021

 

       Average Annual  
        1-Year        5-Year        10-Year  
JSD at Common Share NAV        18.24%          4.66%          5.31%  
JSD at Common Share Price        32.61%          5.34%          5.46%  
Credit Suisse Leveraged Loan Index        9.60%          4.75%          4.50%  

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2021 — Common Share Price

 

LOGO

 

 

 

 

18


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     138.5%  
Corporate Bonds     12.2%  
Common Stocks     3.4%  
Warrants     0.1%  
Convertible Preferred Securities     0.1%  
Common Stock Rights     0.0%  
Short-Term Investment Companies     6.8%  
Other Assets Less Liabilities     (4.1)%  
Net Assets Plus Borrowings and Taxable Fund Preferred Shares, net of deferred offering costs     157.0%  
Borrowings     (12.5)%  
Taxable Fund Preferred, net of deferred offering costs     (44.5)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

PPD, Inc.     1.8%  
Caesars Resort Collection, LLC     1.6%  
Delta 2 (LUX) S.a.r.l.     1.3%  
PetSmart, Inc.     1.1%  
Seattle Spinco, Inc.     1.1%  

Portfolio Composition

(% of total investments)

 

Hotels, Restaurants & Leisure     10.0%  
Media     9.5%  
Software     7.7%  
Health Care Providers & Services     6.4%  
Pharmaceuticals     4.4%  
Oil, Gas & Consumable Fuels     4.3%  
Commercial Services & Supplies     4.0%  
IT Services     3.8%  
Life Sciences Tools & Services     3.3%  
Diversified Telecommunication Services     2.9%  
Specialty Retail     2.2%  
Entertainment     1.6%  
Insurance     1.6%  
Auto Components     1.6%  
Electric Utilities     1.6%  
Airlines     1.5%  
Road & Rail     1.4%  
Professional Services     1.4%  
Communications Equipment     1.3%  
Technology Hardware, Storage & Peripherals     1.2%  
Health Care Equipment & Supplies     1.2%  
Construction & Engineering     1.2%  
Capital Markets     1.2%  
Health Care Technology     1.2%  
Other1     19.3%  
Short-term Investment Companies     4.2%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.3%  
BB or Lower     86.9%  
N/R (not rated)     3.8%  

Total

    100%  
 

 

1

See Portfolio of Investments for details on “other” Portfolio Composition.

 

19


JQC     

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of July 31, 2021

 

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

Average Annual Total Returns as of July 31, 2021

 

       Average Annual  
        1-Year        5-Year        10-Year  
JQC at Common Share NAV        13.42%          4.26%          4.77%  
JQC at Common Share Price        26.98%          6.15%          6.58%  
Credit Suisse Leveraged Loan Index        9.60%          4.75%          4.50%  

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

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of July 31, 2021 — Common Share Price

 

LOGO

 

20


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     140.0%  
Corporate Bonds     19.3%  
Common Stocks     1.1%  
Convertible Bonds     0.2%  
Warrants     0.1%  
Common Stock Rights     0.0%  
Short-Term Investment Companies     1.4%  
Other Assets Less Liabilities     (4.0)%  
Net Assets Plus Borrowings and Reverse Repurchase Agreements     158.1%  
Borrowings     (42.9)%  
Reverse Repurchase Agreements     (15.2)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Parexel International Corporation, Term Loan B     1.5%  
Sabre GLBL, Inc., Term Loan B     1.2%  
Life Time Fitness Inc , Term Loan B     1.2%  
Quikrete Holdings, Inc., Term Loan, First Lien     1.1%  
Ziggo Financing Partnership, Term Loan I     1.1%  

Portfolio Composition

(% of total investments)

 

Hotels, Restaurants & Leisure     11.1%  
Media     10.0%  
Health Care Providers & Services     9.5%  
Software     8.2%  
Pharmaceuticals     4.1%  
Insurance     3.5%  
Commercial Services & Supplies     3.5%  
Diversified Telecommunication Services     3.4%  
Airlines     3.1%  
IT Services     2.8%  
Oil, Gas & Consumable Fuels     2.8%  
Food & Staples Retailing     2.6%  
Communications Equipment     2.6%  
Life Sciences Tools & Services     2.0%  
Machinery     1.9%  
Personal Products     1.9%  
Specialty Retail     1.8%  
Building Products     1.7%  
Leisure Products     1.4%  
Chemicals     1.4%  
Other1     19.8%  
Short-Term Investment Companies     0.9%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     14.6%  
BB or Lower     83.9%  
N/R (not rated)     1.5%  

Total

    100%  
 

 

1

See Portfolio of Investments for details on “other” Portfolio Composition.

 

21


Shareholder Meeting Report

 

The annual meeting of shareholders was held on April 6, 2021 for NSL, JFR, JRO, JSD and JQC. The meeting was held virtually due to public health concerns regarding the ongoing COVID-19 pandemic; at this meeting the shareholders were asked to elect Board members.

 

     NSL     JFR     JRO     JSD     JQC  
     Common and
Preferred
shares voting
together as a
class
    Preferred
Shares
    Common and
Preferred
shares voting
together as a
class
    Preferred
Shares
    Common and
Preferred
shares voting
together as a
class
    Preferred
Shares
    Common and
Preferred
shares voting
together as a
class
    Preferred
Shares
    Common
Shares
 

Approval of the Board Members was reached as follows:

                 

Jack B. Evans

                 

For

    15,269,981             19,925,265             12,844,141             4,221,956             79,954,539  

Withhold

    14,250,010             26,258,372             18,826,046             4,260,206             25,140,111  

Total

    29,519,991             46,183,637             31,670,187             8,482,162             105,094,650  

Matthew Thornton III

                 

For

    21,919,584             35,265,261             23,644,579             5,846,342             98,430,207  

Withhold

    7,600,407             10,918,376             8,025,608             2,635,820             6,664,443  

Total

    29,519,991             46,183,637             31,670,187             8,482,162             105,094,650  

William C. Hunter

                 

For

          40,000             66,000             75,000             47,000        

Withhold

                      34,000                         23,000        

Total

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

Albin F. Moschner

                 

For

          40,000             66,000             75,000             47,000       80,005,675  

Withhold

                      34,000                         23,000       25,088,975  

Total

          40,000             100,000             75,000             70,000       105,094,650  

 

22


Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees

Nuveen Senior Income Fund

Nuveen Floating Rate Income Fund

Nuveen Floating Rate Income Opportunity Fund

Nuveen Short Duration Credit Opportunities Fund

Nuveen Credit Strategies Income Fund:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, Nuveen Short Duration Credit Opportunities Fund and Nuveen Credit Strategies Income Fund (the Funds), including the portfolios of investments, as of July 31, 2021, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2021, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2021, by correspondence with custodians and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

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

Chicago, Illinois

September 28, 2021

 

23


NSL   

Nuveen Senior Income Fund

 

Portfolio of Investments    July 31, 2021

 

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

LONG-TERM INVESTMENTS – 153.9% (97.2% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 139.1% (87.9% of Total Investments) (2)

 

      Aerospace & Defense – 1.5% (1.0% of Total Investments)  
$ 313    

Dynasty Acquisition Co., Inc., Term Loan B1

    3.647%      3-Month LIBOR        3.500%        4/08/26        B–      $ 302,924  
  168    

Dynasty Acquisition Co., Inc., Term Loan B2

    3.647%        3-Month LIBOR        3.500%        4/08/26        B–        162,862  
  731    

Maxar Technologies Ltd., Term Loan B

    2.850%        1-Month LIBOR        2.750%        10/05/24        B        725,116  
  964    

TransDigm, Inc., Term Loan E

    2.342%        1-Month LIBOR        2.250%        5/30/25        Ba3        948,089  
  795    

TransDigm, Inc., Term Loan F

    2.342%        1-Month LIBOR        2.250%        12/09/25        Ba3        782,569  
  687    

TransDigm, Inc., Term Loan G

    2.342%        1-Month LIBOR        2.250%        8/22/24        Ba3        676,992  
  3,658    

Total Aerospace & Defense

                                                 3,598,552  
      Airlines – 2.3% (1.5% of Total Investments)  
  920    

AAdvantage Loyalty IP Ltd., Term Loan

    5.500%        3-Month LIBOR        4.750%        4/20/28        Ba2        947,493  
  189    

American Airlines, Inc., Incremental Term Loan

    2.093%        1-Month LIBOR        2.000%        12/14/23        Ba3        184,697  
  760    

American Airlines, Inc., Term Loan, First Lien

    1.840%        1-Month LIBOR        1.750%        1/29/27        Ba3        706,446  
  963    

Kestrel Bidco, Inc., Term Loan B

    4.000%        6-Month LIBOR        3.000%        12/11/26        BB–        932,275  
  1,075    

SkyMiles IP Ltd., Term Loan B

    4.750%        3-Month LIBOR        3.750%        10/20/27        Baa1        1,137,113  
  1,496    

United Airlines, Inc., Term Loan B

    4.500%        1-Month LIBOR        3.750%        4/21/28        Ba1        1,500,836  
  5,403    

Total Airlines

                                                 5,408,860  
      Auto Components – 1.7% (1.1% of Total Investments)  
  124    

Adient US LLC, Term Loan B

    3.592%        1-Month LIBOR        3.500%        4/08/28        BB–        123,882  
  1,363    

Clarios Global LP, Term Loan B

    3.342%        1-Month LIBOR        3.250%        4/30/26        B1        1,354,463  
  825    

DexKo Global Inc., Term Loan

    4.500%        1-Month LIBOR        3.500%        7/24/24        B1        825,614  
  746    

Les Schwab Tire Centers, Term Loan B

    4.000%        6-Month LIBOR        3.250%        11/02/27        B        746,873  
  898    

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

    4.092%        1-Month LIBOR        4.000%        5/23/24        Ba3        898,521  
  3,956    

Total Auto Components

                                                 3,949,353  
      Automobiles – 0.2% (0.1% of Total Investments)  
  518    

Wand NewCo 3, Inc., Term Loan

    3.092%        1-Month LIBOR        3.000%        2/05/26        B1        511,757  
      Banks – 0.1% (0.0% of Total Investments)  
  157    

iQor US, Inc., Exit Term Loan

    7.589%        1-Month LIBOR        7.500%        9/15/27        N/R        161,171  
      Beverages – 1.0% (0.6% of Total Investments)  
  617    

Arterra Wines Canada, Inc., Term Loan

    4.250%        3-Month LIBOR        3.500%        11/25/27        B1        616,900  
  469    

City Brewing Company, LLC, Term Loan

    4.250%        3-Month LIBOR        3.500%        4/05/28        B+        466,948  
  1,185    

Triton Water Holdings, Inc, Term Loan

    4.000%        3-Month LIBOR        3.500%        3/31/28        B1        1,177,740  
  2,271    

Total Beverages

                                                 2,261,588  
      Biotechnology – 0.8% (0.5% of Total Investments)  
  2,004    

Grifols Worldwide Operations USA, Inc., Term Loan B

    2.084%        1-Week LIBOR        2.000%        11/15/27        BB+        1,980,111  
      Building Products – 2.0% (1.3% of Total Investments)  
  300    

All-Star Bidco AB, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        299,625  
  1,133    

Cornerstone Building Brands, Inc., Term Loan B

    3.750%        1-Month LIBOR        3.250%        4/12/28        B+        1,132,132  
  104    

LBM Acquisition LLC, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        102,827  
  465    

LBM Acquisition LLC, Term Loan B

    4.500%        3-Month LIBOR        3.750%        12/17/27        B+        461,564  
  160    

Potters Industries, LLC, Term Loan B

    4.750%        3-Month LIBOR        4.000%        12/14/27        B        160,100  
  2,091    

Quikrete Holdings, Inc., Term Loan, First Lien

    2.592%        1-Month LIBOR        2.500%        1/31/27        BB–        2,069,238  
  427    

Resideo Funding, Inc., Term Loan

    2.750%        3-Month LIBOR        2.250%        2/12/28        BBB–        425,719  
  162    

Resideo Funding, Inc., Term Loan

    2.750%        1-Month LIBOR        2.250%        2/12/28        BBB–        160,970  
  4,842    

Total Building Products

                                                 4,812,175  
      Capital Markets – 1.3% (0.8% of Total Investments)  
  185    

RPI Intermediate Finance Trust, Term Loan B1

    1.842%        1-Month LIBOR        1.750%        2/11/27        BBB–        184,202  
  1,999    

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

    7.750%        3-Month LIBOR        6.750%        7/31/23        B–        2,028,059  

 

24


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Capital Markets (continued)  
$ 823    

Sequa Mezzanine Holdings L.L.C., Term Loan, Second Lien, (cash 5.000%, PIK 6.750%)

    11.750%        3-Month LIBOR        10.750%        7/31/24        CCC–      $ 812,850  
  3,007    

Total Capital Markets

                                                 3,025,111  
      Chemicals – 1.0% (0.7% of Total Investments)  
  323    

ASP Unifrax Holdings, Inc., Term Loan B

    3.897%        3-Month LIBOR        3.750%        12/14/25        B–        317,278  
  373    

Atotech B.V., Term Loan B

    3.000%        3-Month LIBOR        2.500%        3/18/28        B+        371,911  
  500    

INEOS Styrolution US Holding LLC, Term Loan B

    3.250%        1-Month LIBOR        2.750%        1/29/26        BB+        499,250  
  659    

Ineos US Finance LLC, Term Loan B

    2.107%        2-Month LIBOR        2.000%        3/31/24        BBB–        651,136  
  398    

Lonza Group AG, Term Loan B

    4.750%        3-Month LIBOR        4.000%        5/14/28        B2        398,498  
  177    

Sparta US HoldCo LLC, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        177,184  
  2,430    

Total Chemicals

                                                 2,415,257  
      Commercial Services & Supplies – 5.6% (3.5% of Total Investments)  
  499    

Amentum Government Services Holdings LLC, Term Loan B

    5.500%        3-Month LIBOR        4.750%        1/31/27        B1        500,620  
  523    

Brand Energy & Infrastructure Services, Inc., Term Loan

    5.250%        3-Month LIBOR        4.250%        6/21/24        B–        514,566  
  4,293    

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

    3.500%        1-Month LIBOR        2.500%        2/01/24        B+        4,267,795  
  433    

Garda World Security Corporation, Term Loan B

    4.340%        1-Month LIBOR        4.250%        10/30/26        BB+        432,851  
  1,037    

GFL Environmental, Inc., Term Loan

    3.500%        3-Month LIBOR        3.000%        5/30/25        BB–        1,037,557  
  275    

KAR Auction Services, Inc., Term Loan B6

    2.375%        1-Month LIBOR        2.250%        9/19/26        Ba3        271,649  
  500    

Madison IAQ LLC, Term Loan

    3.750%        3-Month LIBOR        3.250%        6/21/28        B1        496,383  
  506    

PAE Holding Corporation, Term Loan B

    5.250%        1-Month LIBOR        4.500%        10/19/27        B        508,444  
  144    

Prime Security Services Borrower, LLC, Term Loan

    3.500%        1-Month LIBOR        2.750%        9/23/26        BB–        143,979  
  94    

Prime Security Services Borrower, LLC, Term Loan

    3.500%        3-Month LIBOR        2.750%        9/23/26        BB–        93,257  
  187    

Prime Security Services Borrower, LLC, Term Loan

    3.500%        6-Month LIBOR        2.750%        9/23/26        BB–        186,513  
  94    

Prime Security Services Borrower, LLC, Term Loan

    3.500%        12-Month LIBOR        2.750%        9/23/26        BB–        93,257  
  680    

Robertshaw US Holding Corp, Term Loan, First Lien

    4.500%        1-Month LIBOR        3.500%        2/28/25        CCC+        655,464  
  89    

Sabert Corporation, Term Loan B

    5.500%        1-Month LIBOR        4.500%        12/10/26        B        89,499  
  748    

Spin Holdco, Inc., Term Loan

    4.750%        3-Month LIBOR        4.000%        3/04/28        B–        748,499  
  1,926    

Travelport Finance (Luxembourg) S.a.r.l., Term Loan, (cash 2.500%, PIK 6.500%), (DD1)

    2.500%        3-Month LIBOR        1.500%        2/28/25        B–        1,964,690  
  368    

West Corporation, Term Loan B1

    4.500%        3-Month LIBOR        3.500%        10/10/24        BB+        356,040  
  730    

WEX, Inc., Term Loan

    2.342%        1-Month LIBOR        2.250%        4/01/28        Ba2        722,728  
  13,126    

Total Commercial Services & Supplies

                                                 13,083,791  
      Communications Equipment – 2.4% (1.5% of Total Investments)  
  1,647    

CommScope, Inc., Term Loan B

    3.342%        1-Month LIBOR        3.250%        4/04/26        Ba3        1,633,882  
  50    

MetroNet Systems Holdings, LLC, Delayed Draw Term Loan, (5)

    4.500%        1-Month LIBOR        3.750%        6/02/28        B2        50,106  
  450    

MetroNet Systems Holdings, LLC, Term Loan, First Lien

    4.500%        1-Month LIBOR        3.750%        6/02/28        B2        450,956  
  638    

MLN US HoldCo LLC, Term Loan, First Lien

    4.603%        1-Month LIBOR        4.500%        11/30/25        B3        583,411  
  968    

Plantronics Inc, Term Loan B

    2.592%        1-Month LIBOR        2.500%        7/02/25        Ba2        948,376  
  3    

Riverbed Technology, Inc., Term Loan B

    7.000%        2-Month LIBOR        6.000%        12/31/25        B2        2,959  
  1,240    

Riverbed Technology, Inc., Term Loan B

    7.000%        3-Month LIBOR        6.000%        12/31/25        B2        1,174,929  
  878    

Univision Communications, Inc., Term Loan C5

    3.750%        1-Month LIBOR        2.750%        3/15/24        B        875,933  
  5,874    

Total Communications Equipment

                                                 5,720,552  
      Construction & Engineering – 1.6% (1.0% of Total Investments)  
  300    

AECOM Technology Corporation , Term Loan B

    1.842%        1-Month LIBOR        1.750%        4/13/28        BBB–        299,813  
  465    

Aegion Corporation, Term Loan

    5.500%        3-Month LIBOR        4.750%        5/17/28        B        469,650  
  1,124    

Brown Group Holding, LLC, Term Loan B

    3.250%        3-Month LIBOR        2.750%        6/07/28        B+        1,117,698  
  125    

FrontDoor Inc, Term Loan B

    2.342%        1-Month LIBOR        2.250%        6/17/28        Ba2        124,974  
  250    

Osmose Utilities Services, Inc., Term Loan

    3.750%        3-Month LIBOR        3.250%        6/17/28        B        248,126  
  216    

Pike Corporation, Incremental Term Loan B

    3.100%        1-Month LIBOR        3.000%        1/21/28        Ba3        215,272  
  1,218    

Traverse Midstream Partners LLC, Term Loan

    6.500%        1-Month LIBOR        5.500%        9/27/24        B        1,220,351  
  3,698    

Total Construction & Engineering

                                                 3,695,884  
      Containers & Packaging – 1.3% (0.8% of Total Investments)  
  880    

Berry Global, Inc., Term Loan Z

    1.850%        1-Month LIBOR        1.750%        7/01/26        BBB–        870,927  
  326    

Reynolds Consumer Products LLC, Term Loan

    1.842%        1-Month LIBOR        1.750%        2/04/27        BBB–        322,954  
  697    

Reynolds Group Holdings, Inc., Term Loan B2

    3.342%        1-Month LIBOR        3.250%        2/05/26        B+        689,288  

 

25


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2021

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Containers & Packaging (continued)  
$ 216    

TricorBraun Holdings, Inc., Delayed Draw Term Loan, (5)

    3.750%        3-Month LIBOR        3.250%        3/03/28        B2      $ 213,928  
  959    

TricorBraun Holdings, Inc., Term Loan

    3.750%        3-Month LIBOR        3.250%        3/03/28        B2        951,090  
  3,078    

Total Containers & Packaging

                                                 3,048,187  
      Distributors – 0.7% (0.4% of Total Investments)  
  1,000    

Core & Main LP, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Ba3        991,875  
  606    

Univar Solutions USA, Inc., Term Loan B6

    2.092%        1-Month LIBOR        2.000%        6/03/28        BBB–        601,983  
  1,606    

Total Distributors

                                                 1,593,858  
      Diversified Consumer Services – 0.9% (0.6% of Total Investments)  
  1,470    

Cengage Learning, Inc., Term Loan B

    5.750%        3-Month LIBOR        4.750%        6/29/26        B        1,471,418  
  550    

Sotheby’s, Term Loan B

    5.500%        3-Month LIBOR        4.750%        1/15/27        B+        551,253  
  2,020    

Total Diversified Consumer Services

                                                 2,022,671  
      Diversified Financial Services – 1.7% (1.1% of Total Investments)  
  160    

Avaya Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        160,291  
  1,034    

Ditech Holding Corporation, Term Loan, (6)

    0.000%        N/A        N/A        6/30/22        N/R        208,211  
  700    

Fleetcor Technologies Operating Company, LLC, Term Loan B4

    1.842%        1-Month LIBOR        1.750%        4/30/28        BB+        695,751  
  338    

GT Polaris, Inc., Term Loan

    4.500%        3-Month LIBOR        3.750%        9/24/27        BB–        338,852  
  331    

Lions Gate Capital Holdings LLC, Term Loan B

    2.342%        1-Month LIBOR        2.250%        3/24/25        Ba2        328,080  
  1,505    

Verscend Holding Corp., Term Loan B

    4.092%        1-Month LIBOR        4.000%        8/27/25        BB–        1,504,255  
  750    

Vision Solutions, Inc., Term Loan, First Lien

    5.000%        3-Month LIBOR        4.250%        3/04/28        N/R        748,185  
  4,818    

Total Diversified Financial Services

                                                 3,983,625  
      Diversified Telecommunication Services – 4.0% (2.5% of Total Investments)  
  592    

Altice France S.A., Term Loan B12

    3.814%        3-Month LIBOR        3.688%        1/31/26        B        585,497  
  2,926    

Altice France S.A., Term Loan B13

    4.155%        3-Month LIBOR        4.000%        8/14/26        B        2,923,074  
  2,922    

CenturyLink, Inc., Term Loan B

    2.342%        1-Month LIBOR        2.250%        3/15/27        BBB–        2,879,084  
  646    

Connect Finco Sarl, Term Loan B

    4.500%        1-Month LIBOR        3.500%        12/12/26        B+        646,730  
  1,548    

Frontier Communications Corp., DIP Term Loan B

    4.500%        1-Month LIBOR        3.750%        10/08/27        BB+        1,549,908  
  52    

GTT Communications, Inc., Delayed Draw Term Loan, (6)

    6.000%        1-Month LIBOR        5.000%        12/28/21        CCC+        52,992  
  236    

Intelsat Jackson Holdings S.A., Term Loan B4, (6)

    8.750%        Prime        5.500%        1/02/24        N/R        241,358  
  378    

Intelsat Jackson Holdings S.A., Term Loan B5, (6)

    8.625%        N/A        N/A        1/02/24        N/R        385,836  
  196    

Zayo Group Holdings, Inc., Term Loan

    3.092%        1-Month LIBOR        3.000%        3/09/27        B1        193,052  
  9,496    

Total Diversified Telecommunication Services

                                                 9,457,531  
      Electric Utilities – 0.7% (0.4% of Total Investments)  
  562    

ExGen Renewables IV, LLC, Term Loan

    3.500%        3-Month LIBOR        2.500%        12/15/27        BB–        561,942  
  495    

Pacific Gas & Electric Company, Term Loan

    3.500%        3-Month LIBOR        3.000%        6/23/25        BB        483,140  
  602    

Vistra Operations Company LLC, Term Loan B3, First Lien

    1.841%        1-Month LIBOR        1.750%        12/31/25        BBB–        595,115  
  1,659    

Total Electric Utilities

                                                 1,640,197  
      Electrical Equipment – 1.4% (0.9% of Total Investments)  
  1,922    

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

    2.250%        1-Month LIBOR        1.500%        2/12/27        Baa2        1,897,686  
  1,400    

Ingram Micro, Inc., Term Loan B

    4.000%        3-Month LIBOR        3.500%        7/02/28        BB        1,402,800  
  3,322    

Total Electrical Equipment

                                                 3,300,486  
      Electronic Equipment, Instruments & Components – 0.4% (0.2% of Total Investments)  
  866    

TTM Technologies, Inc., Term Loan

    2.600%        1-Month LIBOR        2.500%        9/28/24        BB+        864,969  
      Energy Equipment & Services – 0.2% (0.1% of Total Investments)  
  375    

Petroleum Geo-Services ASA, Term Loan

    7.647%        3-Month LIBOR        7.500%        3/19/24        N/R        348,106  
      Entertainment – 2.7% (1.7% of Total Investments)                                         
  236    

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

    3.103%        1-Month LIBOR        3.000%        4/22/26        B–        210,515  
  297    

Crown Finance US, Inc., Incremental Term Loan

    3.750%        6-Month LIBOR        2.750%        9/20/26        CCC        239,412  
  2,361    

Crown Finance US, Inc., Term Loan

    3.500%        6-Month LIBOR        2.500%        2/28/25        CCC        1,922,809  
  973    

Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien

    2.600%        1-Month LIBOR        2.500%        7/03/25        BB–        969,947  

 

26


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Entertainment (continued)  
$ 750    

Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien

    5.500%        1-Month LIBOR        4.500%        7/06/26        B3      $ 752,497  
  256    

NASCAR Holdings, Inc, Term Loan B

    2.842%        1-Month LIBOR        2.750%        10/18/26        BB        254,505  
  1,130    

Virgin Media Bristol LLC, Term Loan Q

    3.343%        1-Month LIBOR        3.250%        1/31/29        BB+        1,126,390  
  895    

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

    2.850%        1-Month LIBOR        2.750%        5/16/25        B        872,001  
  6,898    

Total Entertainment

                                                 6,348,076  
      Equity Real Estate Investment Trust – 0.5% (0.3% of Total Investments)  
  881    

Realogy Group LLC, Term Loan A

    1.842%        1-Month LIBOR        1.750%        2/08/25        Ba1        858,514  
  219    

Realogy Group LLC, Term Loan B

    3.000%        1-Month LIBOR        2.250%        2/08/25        Ba1        218,692  
  1,100    

Total Equity Real Estate Investment Trust

                                                 1,077,206  
      Food & Staples Retailing – 1.8% (1.1% of Total Investments)  
  336    

BJ’s Wholesale Club, Inc., Term Loan, First Lien

    2.100%        1-Month LIBOR        2.000%        2/03/24        BB+        335,742  
  29    

H Food Holdings LLC, Incremental Term Loan B3

    6.000%        1-Month LIBOR        5.000%        5/31/25        B2        29,895  
  510    

H Food Holdings LLC, Term Loan B

    3.780%        1-Month LIBOR        3.688%        5/31/25        B2        505,746  
  3,358    

US Foods, Inc., Term Loan B

    1.842%        1-Month LIBOR        1.750%        6/27/23        BB–        3,320,540  
  4,233    

Total Food & Staples Retailing

                                                 4,191,923  
      Food Products – 0.5% (0.3% of Total Investments)  
  505    

American Seafoods Group LLC, Term Loan, First Lien

    3.750%        1-Month LIBOR        2.750%        8/21/23        BB–        504,357  
  4    

American Seafoods Group LLC, Term Loan, First Lien

    3.750%        3-Month LIBOR        2.750%        8/21/23        BB–        3,371  
  173    

Froneri International Ltd., Term Loan

    2.342%        1-Month LIBOR        2.250%        1/31/27        B+        170,359  
  441    

UTZ Quality Foods, LLC, Term Loan B

    3.092%        1-Month LIBOR        3.000%        1/20/28        B1        439,930  
  1,123    

Total Food Products

                                                 1,118,017  
      Health Care Equipment & Supplies – 1.6% (1.0% of Total Investments)  
  1,472    

Carestream Health, Inc., Extended Term Loan

    7.750%        3-Month LIBOR        6.750%        5/08/23        B1        1,481,910  
  451    

Greatbatch Ltd., Term Loan B

    3.500%        1-Month LIBOR        2.500%        10/27/22        B+        451,105  
  426    

Lifescan Global Corporation, Term Loan, First Lien

    6.146%        3-Month LIBOR        6.000%        10/01/24        B        423,945  
  781    

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

    3.842%        1-Month LIBOR        3.750%        7/02/25        B3        756,466  
  707    

Vyaire Medical, Inc., Term Loan B

    5.750%        3-Month LIBOR        4.750%        4/30/25        B3        615,107  
  3,837    

Total Health Care Equipment & Supplies

                                                 3,728,533  
      Health Care Providers & Services – 8.0% (5.0% of Total Investments)  
  740    

ADMI Corp., Term Loan B2

    3.625%        1-Month LIBOR        3.125%        12/23/27        B        728,858  
  1,033    

AHP Health Partners, Inc., Term Loan

    4.750%        1-Month LIBOR        3.750%        6/30/25        B1        1,035,845  
  206    

Air Methods Corporation, Term Loan B

    4.500%        3-Month LIBOR        3.500%        4/21/24        B        202,393  
  375    

Albany Molecular Research, Inc., Term Loan, First Lien

    4.250%        3-Month LIBOR        3.250%        8/30/24        B        375,730  
  837    

BW NHHC Holdco, Inc., Term Loan, First Lien

    5.155%        3-Month LIBOR        5.000%        5/15/25        Caa1        768,453  
  337    

DaVita, Inc., Term Loan B

    1.842%        1-Month LIBOR        1.750%        8/12/26        BBB–        333,614  
  730    

Envision Healthcare Corporation, Term Loan, First Lien

    3.842%        1-Month LIBOR        3.750%        10/10/25        CCC+        626,711  
  667    

Gates Global LLC, Term Loan B3

    3.500%        1-Month LIBOR        2.750%        3/31/27        B+        664,006  
  779    

Gentiva Health Services, Inc., Term Loan

    2.875%        1-Month LIBOR        2.750%        7/02/25        B+        777,058  
  1,741    

Global Medical Response, Inc., Term Loan B

    5.750%        3-Month LIBOR        4.750%        10/02/25        B        1,746,065  
  50    

National Mentor Holdings, Inc., Delayed Draw Term Loan, (5)

    4.500%        3-Month LIBOR        3.750%        3/02/28        B1        50,128  
  240    

National Mentor Holdings, Inc., Term Loan

    4.500%        1-Month LIBOR        3.750%        3/02/28        B1        240,007  
  215    

National Mentor Holdings, Inc., Term Loan

    4.500%        3-Month LIBOR        3.750%        3/02/28        B1        214,563  
  15    

National Mentor Holdings, Inc., Term Loan C

    4.500%        3-Month LIBOR        3.750%        3/02/28        B1        15,190  
  985    

Onex TSG Intermediate Corp., Term Loan B

    5.500%        3-Month LIBOR        4.750%        2/26/28        B        994,358  
  1,071    

Phoenix Guarantor Inc, Term Loan B

    3.339%        1-Month LIBOR        3.250%        3/05/26        B1        1,058,295  
  998    

Phoenix Guarantor Inc, Term Loan B3

    3.596%        1-Month LIBOR        3.500%        3/05/26        B1        988,059  
  103    

Quorum Health Corporation, Term Loan, (6)

    7.500%        3-Month LIBOR        6.500%        4/29/25        B–        104,042  
  2,553    

RegionalCare Hospital Partners Holdings, Inc., Term Loan B, (DD1)

    3.842%        1-Month LIBOR        3.750%        11/16/25        B1        2,534,133  
  825    

Select Medical Corporation, Term Loan B

    2.350%        1-Month LIBOR        2.250%        3/06/25        Ba2        815,031  
  2,361    

Surgery Center Holdings, Inc., Term Loan

    4.500%        1-Month LIBOR        3.750%        8/31/26        B1        2,362,681  
  1,414    

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

    3.750%        1-Month LIBOR        2.750%        2/06/24        B        1,372,639  

 

27


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2021

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services (continued)  
$ 746    

US Radiology Specialists, Inc., Term Loan

    6.250%        3-Month LIBOR        5.500%        12/15/27        B–      $ 752,314  
  19,021    

Total Health Care Providers & Services

                                                 18,760,173  
      Health Care Technology – 2.1% (1.3% of Total Investments)  
  1,053    

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

    8.000%        3-Month LIBOR        8.000%        8/05/23        CCC+        1,033,630  
  78    

Change Healthcare Holdings LLC, Term Loan B

    3.500%        1-Month LIBOR        2.500%        3/01/24        B+        77,746  
  2,616    

Change Healthcare Holdings LLC, Term Loan B

    3.500%        3-Month LIBOR        2.500%        3/01/24        B+        2,614,811  
  1,133    

Zelis Healthcare Corporation, Term Loan

    3.601%        1-Month LIBOR        3.500%        9/30/26        B        1,128,350  
  4,880    

Total Health Care Technology

                                                 4,854,537  
      Hotels, Restaurants & Leisure – 16.4% (10.4% of Total Investments)  
  7,300    

B.C. Unlimited Liability Company, Term Loan B4

    1.842%        1-Month LIBOR        1.750%        11/19/26        BB+        7,169,098  
  235    

24 Hour Fitness Worldwide, Inc., Exit Term Loan, (cash 1.000%, PIK 5.000%)

    6.000%        3-Month LIBOR        5.000%        12/29/25        B3        206,290  
  298    

Alterra Mountain Co, Term Loan

    5.500%        1-Month LIBOR        4.500%        8/01/26        B        296,808  
  555    

Aramark Services, Inc., Term Loan B3

    1.842%        1-Month LIBOR        1.750%        3/11/25        BB+        546,612  
  332    

Boyd Gaming Corporation, Term Loan B3

    2.334%        1-Week LIBOR        2.250%        9/15/23        BB        331,230  
  744    

Caesars Resort Collection, LLC, Term Loan B1

    4.592%        1-Month LIBOR        4.500%        7/20/25        B+        746,020  
  3,173    

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

    2.842%        1-Month LIBOR        2.750%        12/22/24        B+        3,141,831  
  559    

Carnival Corporation, Term Loan B

    3.750%        1-Month LIBOR        3.000%        6/30/25        Ba2        556,429  
  731    

Churchill Downs Incorporated, Incremental Term Loan B1

    2.100%        1-Month LIBOR        2.000%        3/17/28        BBB–        723,484  
  2,113    

CityCenter Holdings, LLC, Term Loan B

    3.000%        1-Month LIBOR        2.250%        4/18/24        B+        2,109,608  
  2,384    

ClubCorp Holdings, Inc., Term Loan B

    2.897%        3-Month LIBOR        2.750%        9/18/24        B–        2,259,757  
  367    

Crown Finance US, Inc., Term Loan B1, (cash 7.000%, PIK 8.250%)

    7.000%        3-Month LIBOR        7.000%        5/23/24        B–        457,475  
  1,588    

Equinox Holdings, Inc., Term Loan, First Lien

    4.000%        3-Month LIBOR        3.000%        3/08/24        CCC        1,475,613  
  478    

Four Seasons Hotels Limited, New Term Loan, First Lien

    2.092%        1-Month LIBOR        2.000%        11/30/23        BB+        474,781  
  3,112    

Golden Nugget, Inc., Incremental Term Loan B

    3.250%        2-Month LIBOR        2.500%        10/04/23        B        3,086,311  
  500    

Hilton Grand Vacations Borrower LLC, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Ba1        498,875  
  1,530    

Hilton Worldwide Finance, LLC, Term Loan B2

    1.839%        1-Month LIBOR        1.750%        6/21/26        BBB–        1,513,309  
  1,766    

IRB Holding Corp, Fourth Amendment Incremental Term Loan

    4.250%        3-Month LIBOR        3.250%        12/15/27        B        1,762,813  
  1,940    

Life Time Fitness Inc , Term Loan B

    5.750%        3-Month LIBOR        4.750%        12/15/24        B–        1,941,472  
  428    

PCI Gaming Authority, Term Loan

    2.592%        1-Month LIBOR        2.500%        5/31/26        BBB–        424,954  
  2,844    

Scientific Games International, Inc., Term Loan B5

    2.842%        1-Month LIBOR        2.750%        8/14/24        B+        2,805,887  
  1,194    

SeaWorld Parks & Entertainment, Inc., Term Loan B5

    3.750%        1-Month LIBOR        3.000%        3/31/24        B2        1,185,990  
  2,444    

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

    3.647%        3-Month LIBOR        3.500%        7/10/25        BBB        2,429,184  
  1,456    

Station Casinos LLC, Term Loan B

    3.250%        1-Month LIBOR        2.250%        2/08/27        BB–        1,434,359  
  973    

Wyndham Hotels & Resorts, Inc., Term Loan B

    1.842%        1-Month LIBOR        1.750%        5/30/25        BB+        963,179  
  39,044    

Total Hotels, Restaurants & Leisure

                                                 38,541,369  
      Household Durables–0.8% (0.5% of Total Investments)  
  509    

Apex Tool Group, LLC, Term Loan B

    6.500%        1-Month LIBOR        5.250%        8/21/24        B3        510,895  
  300    

Osmosis Debt Merger Sub Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B3        300,329  
  37    

Serta Simmons Bedding, LLC, Term Loan, (6)

    8.500%        1-Month LIBOR        7.500%        8/10/23        B        37,960  
  835    

Serta Simmons Bedding, LLC, Term Loan, (6)

    8.500%        1-Month LIBOR        7.500%        8/10/23        B–        795,236  
  50    

Weber-Stephen Products LLC, Term Loan B

    5.500%        Prime        2.250%        10/30/27        B1        49,946  
  199    

Weber-Stephen Products LLC, Term Loan B

    5.500%        1-Month LIBOR        2.250%        10/30/27        B1        198,533  
  1,930    

Total Household Durables

                                                 1,892,899  
      Household Products – 0.3% (0.2% of Total Investments)  
  430    

Illuminate Merger Sub Corp, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B1        427,448  
  389    

Reynolds Group Holdings, Inc., Term Loan

    2.842%        1-Month LIBOR        2.750%        2/05/23        B+        388,363  
  819    

Total Household Products

                                                 815,811  

 

28


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)  
$ 490     WIN Waste Innovations Holdings, Inc., Term Loan B     3.250%        3-Month LIBOR        2.750%        3/25/28        B+      $ 488,649  
      Insurance – 3.6% (2.3% of Total Investments)                                         
  2,084    

Acrisure, LLC, Term Loan B

    3.607%        2-Month LIBOR        3.500%        2/15/27        B        2,050,010  
  1,776    

Alliant Holdings Intermediate, LLC, Term Loan B

    3.342%        1-Month LIBOR        3.250%        5/10/25        B        1,755,677  
  249    

Alliant Holdings Intermediate, LLC, Term Loan B3

    4.250%        1-Month LIBOR        3.750%        11/06/27        B        249,631  
  1,000    

Asurion LLC, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B        996,560  
  269    

Asurion LLC, Term Loan B6

    3.217%        1-Month LIBOR        3.125%        11/03/23        Ba3        266,271  
  1,326    

Asurion LLC, Term Loan B8

    3.342%        1-Month LIBOR        3.250%        12/23/26        Ba3        1,302,737  
  1,609    

Hub International Limited, Term Loan B

    2.875%        3-Month LIBOR        2.750%        4/25/25        B        1,587,078  
  273    

Ryan Specialty Group, LLC, Term Loan

    3.750%        1-Month LIBOR        3.000%        9/01/27        BB–        272,341  
  8,586    

Total Insurance

                                                 8,480,305  
      Interactive Media & Services – 1.8% (1.2% of Total Investments)  
  1,020    

Arches Buyer, Inc., Term Loan B

    3.750%        1-Month LIBOR        3.250%        12/06/27        B1        1,015,133  
  85    

Mission Broadcasting, Inc., Term Loan B

    2.604%        1-Month LIBOR        2.500%        6/03/28        BBB–        84,309  
  2,242    

Rackspace Technology Global, Inc., Term Loan, (DD1)

    3.500%        3-Month LIBOR        2.750%        2/09/28        B+        2,218,516  
  2    

WeddingWire, Inc., Term Loan, First Lien

    4.628%        2-Month LIBOR        4.500%        12/21/25        B+        2,478  
  963    

WeddingWire, Inc., Term Loan, First Lien

    4.628%        3-Month LIBOR        4.500%        12/21/25        B+        963,930  
  4,312    

Total Interactive Media & Services

                                                 4,284,366  
      Internet & Direct Marketing Retail – 0.4% (0.3% of Total Investments)  
  998    

CNT Holdings I Corp, Term Loan

    4.500%        3-Month LIBOR        3.750%        11/08/27        B        996,722  
      Internet Software & Services –1.9% (1.2% of Total Investments)  
  907    

Banff Merger Sub Inc, Term Loan

    3.842%        1-Month LIBOR        3.750%        10/02/25        B2        900,347  
  2,183    

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

    4.750%        1-Month LIBOR        4.000%        12/01/27        B–        2,188,469  
  1,453    

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

    3.592%        1-Month LIBOR        3.500%        4/04/25        B+        1,450,074  
  4,543    

Total Internet Software & Services

                                                 4,538,890  
      IT Services – 5.2% (3.3% of Total Investments)                
  963    

Ahead Data Blue, LLC, Term Loan B

    4.500%        3-Month LIBOR        3.750%        10/16/27        B+        964,936  
  300    

DTI Holdco, Inc., Term Loan B

    5.750%        3-Month LIBOR        4.750%        9/30/23        CCC+        291,631  
  1     DTI Holdco, Inc., Term Loan B     5.750%        2-Month LIBOR        4.750%        9/30/23        CCC+        768  
  2,316     Intrado Corporation, Term Loan     5.000%        3-Month LIBOR        4.000%        10/10/24        BB–        2,263,069  
  642     KBR, Inc., Term Loan B     2.842%        1-Month LIBOR        2.750%        2/07/27        Ba1        642,276  
  1,000     Magenta Buyer LLC, Term Loan, (WI/DD)     TBD        TBD        TBD        TBD        BB–        996,565  
  451     NeuStar, Inc., Term Loan B4     4.500%        3-Month LIBOR        3.500%        8/08/24        B+        441,297  
  79     NeuStar, Inc., Term Loan B5     5.500%        3-Month LIBOR        4.500%        8/08/24        B+        77,292  
  249     Project Ruby Ultimate Parent Corp., Term Loan     4.000%        1-Month LIBOR        3.250%        3/10/28        B        248,354  
  1,070     Sabre GLBL, Inc., Term Loan B     2.092%        1-Month LIBOR        2.000%        2/22/24        Ba3        1,047,292  
  418    

Science Applications International Corporation, Term Loan B

    1.967%        1-Month LIBOR        1.875%        10/31/25        BB+        415,370  
  2,322     Syniverse Holdings, Inc., Term Loan, First Lien     6.000%        3-Month LIBOR        5.000%        3/09/23        CCC+        2,298,168  
  1,526     Syniverse Holdings, Inc., Term Loan, Second Lien     10.000%        3-Month LIBOR        9.000%        3/11/24        CCC–        1,510,984  
  1,057     Tempo Acquisition LLC, Extended Term Loan     3.750%        1-Month LIBOR        3.250%        10/31/26        BB–        1,056,262  
  12,394     Total IT Services                                                  12,254,264  
      Leisure Products – 0.3% (0.2% of Total Investments)  
  280     Hayward Industries, Inc., Term Loan     3.250%        1-Month LIBOR        2.750%        5/28/28        BB–        277,740  
  36     SRAM, LLC , Term Loan B     3.250%        1-Month LIBOR        2.750%        5/18/28        BB–        36,227  
  91     SRAM, LLC , Term Loan B     3.250%        3-Month LIBOR        2.750%        5/18/28        BB–        90,568  
  364     SRAM, LLC , Term Loan B     3.250%        6-Month LIBOR        2.750%        5/18/28        BB–        362,273  
  771     Total Leisure Products                                                  766,808  
      Life Sciences Tools & Services – 4.1% (2.6% of Total Investments)  
  2,402     ICON Luxembourg Sarl, Term Loan, (WI/DD)     TBD        TBD        TBD        TBD        BB+        2,399,482  
  598     Indigo Merger Sub Inc, Term Loan, (WI/DD)     TBD        TBD        TBD        TBD        BB+        597,833  
  4,388     Parexel International Corporation, Term Loan B     2.842%        1-Month LIBOR        2.750%        9/27/24        B2        4,379,545  
  2,250     PPD, Inc., Initial Term Loan     2.750%        1-Month LIBOR        2.250%        1/13/28        Ba2        2,246,582  
  9,638     Total Life Sciences Tools & Services                                                  9,623,442  

 

29


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2021

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Machinery – 1.6% (1.0% of Total Investments)  
$ 738     Alliance Laundry Systems LLC, Term Loan B     4.250%        3-Month LIBOR        3.500%        10/08/27        B      $ 738,557  
  299     Blount International, Inc., Term Loan B     4.750%        1-Month LIBOR        3.750%        4/12/23        B2        299,291  
  108     Gardner Denver, Inc., Term Loan B     2.842%        1-Month LIBOR        2.750%        1/31/27        BB+        107,963  
  838     Gardner Denver, Inc., Term Loan B2     1.842%        1-Month LIBOR        1.750%        2/28/27        BB+        823,921  
  1,034     Vertical Midco GmbH, Term Loan B, (DD1)     4.404%        6-Month LIBOR        4.250%        7/31/27        B+        1,033,490  
  741     Vertiv Group Corporation, Term Loan B     2.851%        1-Month LIBOR        2.750%        3/02/27        B+        734,691  
  3,758     Total Machinery                                                  3,737,913  
      Marine – 0.3% (0.2% of Total Investments)  
  1,056     HGIM Corp., Exit Term Loan, (DD1)     7.000%        3-Month LIBOR        6.000%        7/02/23        Caa3        788,223  
      Media – 14.5% (9.2% of Total Investments)                                         
  250     Cable One, Inc., Term Loan B4     2.092%        1-Month LIBOR        2.000%        5/03/28        BB+        247,438  
  2,683    

Charter Communications Operating, LLC, Term Loan B2

    1.850%        1-Month LIBOR        1.750%        2/01/27        BBB–        2,655,644  
  196    

Checkout Holding Corp., First Out Term Loan

    8.500%        3-Month LIBOR        7.500%        2/15/23        N/R        189,720  
  335    

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

    2.000%        3-Month LIBOR        1.000%        8/15/23        N/R        185,916  
  3,344    

Clear Channel Outdoor Holdings, Inc., Term Loan B

    3.629%        3-Month LIBOR        3.500%        8/21/26        B1        3,252,411  
  3,158    

CSC Holdings, LLC, Incremental Term Loan

    2.343%        1-Month LIBOR        2.250%        1/15/26        BB        3,108,371  
  1,187    

CSC Holdings, LLC, Term Loan B1

    2.343%        1-Month LIBOR        2.250%        7/17/25        BB        1,171,049  
  2,857    

CSC Holdings, LLC, Term Loan B5

    2.593%        1-Month LIBOR        2.500%        4/15/27        BB        2,825,561  
  223    

Cumulus Media New Holdings, Inc., Term Loan B

    4.750%        3-Month LIBOR        3.750%        3/31/26        B        222,906  
  769    

Diamond Sports Group, LLC, Term Loan

    3.350%        1-Month LIBOR        3.250%        8/24/26        CCC+        425,246  
  2,347    

Directv Financing LLC, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        2,345,252  
  489    

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

    3.313%        1-Month LIBOR        2.562%        5/01/26        BB        486,418  
  129    

Entercom Media Corp., Term Loan

    2.588%        3-Month LIBOR        2.500%        11/17/24        BB–        127,637  
  233    

GCI Holdings, Inc., Term Loan B

    3.500%        1-Month LIBOR        2.750%        10/15/25        Ba2        233,230  
  415    

Gray Television, Inc., Term Loan B

    2.350%        1-Month LIBOR      2.250%        2/07/24        BB+        412,415  
  5    

Houghton Mifflin Harcourt Publishers Inc, Term Loan B

    7.250%        1-Month LIBOR      6.250%        11/22/24        BB+        4,512  
  2,248    

iHeartCommunications, Inc., Term Loan

    3.092%        1-Month LIBOR        3.000%        5/01/26        B+        2,221,052  
  1,192    

Intelsat Jackson Holdings S.A., DIP Term Loan, (6)

    3.600%        3-Month LIBOR        3.600%        7/13/21        N/R        1,205,122  
  3,422    

Intelsat Jackson Holdings S.A., Term Loan B3, (6)

    8.000%        Prime        4.750%        11/27/23        N/R        3,485,291  
  239    

LCPR Loan Financing LLC, Term Loan B

    3.843%        1-Month LIBOR        3.750%        10/15/28        BB+        239,518  
  1,000    

Mav Acquisition Corp, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B2        991,000  
  287    

Meredith Corporation, Incremental Term Loan B

    5.250%        3-Month LIBOR        4.250%        1/31/25        BB–        293,501  
  1,405    

Meredith Corporation, Term Loan B2

    2.592%        1-Month LIBOR        2.500%        1/31/25        BB–        1,397,147  
  1,130    

Nexstar Broadcasting, Inc., Term Loan B3

    2.337%        3-Month LIBOR        2.250%        1/17/24        BBB–        1,124,071  
  453    

Sinclair Television Group, Inc., Term Loan B1

    2.350%        1-Month LIBOR        2.250%        1/03/24        Ba2        447,755  
  639    

Springer Nature Deutschland GmbH, Term Loan B18

    3.750%        1-Month LIBOR        3.000%        8/14/26        B+        638,229  
  312    

Virgin Media Bristol LLC, Term Loan N

    2.593%        1-Month LIBOR        2.500%        1/31/28        BB+        307,581  
  909    

WideOpenWest Finance LLC, Term Loan B

    4.250%        1-Month LIBOR        3.250%        8/19/23        B        908,464  
  3,079    

Ziggo Financing Partnership, Term Loan I

    2.593%        1-Month LIBOR        2.500%        4/30/28        BB        3,032,205  
  34,935     Total Media                                                  34,184,662  
      Multiline Retail – 0.7% (0.5% of Total Investments)  
  247     Belk, Inc., Term Loan     8.500%        6-Month LIBOR        7.500%        7/31/25        B–        248,627  
  1,088     Belk, Inc., Term Loan, (cash 5.135%, PIK 8.000%)     13.135%        3-Month LIBOR        13.000%        7/31/25        CCC–        832,081  
  648     EG America LLC, Term Loan     4.147%        3-Month LIBOR        4.000%        2/05/25        B–        644,697  
  1,983     Total Multiline Retail                                                  1,725,405  
      Office Electronics – 0.1% (0.0% of Total Investments)  
  122     Pitney Bowes, Inc., Term Loan B     4.100%        1-Month LIBOR        4.000%        3/19/28        BBB-        122,200  
      Oil, Gas & Consumable Fuels – 3.1% (2.0% of Total Investments)  
  715    

BCP Renaissance Parent LLC, Term Loan B

    4.500%        3-Month LIBOR        3.500%        11/01/24        B+        707,406  
  913    

Buckeye Partners, L.P., Term Loan B

    2.354%        1-Month LIBOR        2.250%        11/01/26        BBB–        905,842  
  200    

DT Midstream Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Baa2        199,732  
  684    

Fieldwood Energy LLC, DIP Delayed Draw Term Loan, (5), (6)

    9.750%        1-Month LIBOR        8.750%        8/05/21        N/R        710,965  
  6,218    

Fieldwood Energy LLC, Exit Term Loan, First Lien, (DD1), (6)

    0.000%        N/A        N/A        4/11/22        N/R        3,356,772  

 

30


  
  

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels (continued)  
$ 2,186    

Fieldwood Energy LLC, Exit Term Loan, Second Lien, (6)

    0.000%        N/A        N/A        4/11/23        N/R      $ 244,121  
  1,348     Gulf Finance, LLC, Term Loan B     6.250%        1-Month LIBOR        5.250%        8/25/23        CCC+        1,134,727  
  12,264     Total Oil, Gas & Consumable Fuels                                                  7,259,565  
      Paper & Forest Products – 1.0% (0.6% of Total Investments)  
  1,072    

Asplundh Tree Expert, LLC, Term Loan B

    1.842%        1-Month LIBOR        1.750%        9/04/27        BBB–        1,062,103  
  622    

Charter Next Generation Inc, Term Loan

    4.770%        1-Month LIBOR        3.750%        12/01/27        N/R        622,133  
  663    

Post Holdings, Inc., Term Loan B

    4.750%        1-Month LIBOR        4.000%        10/21/24        B+        667,139  
  2,357     Total Paper & Forest Products                                                  2,351,375  
      Personal Products – 1.9% (1.2% of Total Investments)  
  500    

Conair Holdings, LLC, Term Loan B

    4.250%        3-Month LIBOR        3.750%        5/17/28        B1        499,297  
  81    

Coty, Inc., Term Loan B

    2.352%        1-Month LIBOR        2.250%        4/05/25        B        78,191  
  495    

Journey Personal Care Corp., Term Loan B

    5.000%        3-Month LIBOR        4.250%        3/01/28        B        496,393  
  1,454    

Kronos Acquisition Holdings, Inc., Term Loan B

    4.250%        3-Month LIBOR        3.750%        12/22/26        B2        1,440,175  
  2,547    

Revlon Consumer Products Corporation, Term Loan B, (DD1), (7)

    4.250%        3-Month LIBOR        3.500%        9/07/23        CC        2,005,844  
  5,077     Total Personal Products                                                  4,519,900  
      Pharmaceuticals – 6.2% (3.9% of Total Investments)  
  571    

Alphabet Holding Company, Inc., Term Loan, First Lien

    3.592%        1-Month LIBOR        3.500%        9/26/24        B2        570,649  
  2,565    

Bausch Health Companies, Inc., Term Loan B, (DD1)

    3.092%        1-Month LIBOR        3.000%        6/02/25        BB        2,549,744  
  1,333    

Bausch Health Companies, Inc., Term Loan B

    2.842%        1-Month LIBOR        2.750%        11/27/25        BB        1,321,415  
  735    

Catalent Pharma Solutions, Inc., Term Loan B3

    2.500%        1-Month LIBOR        2.000%        2/22/28        BBB–        737,238  
  474    

Elanco Animal Health Incorporated, Term Loan B

    1.850%        1-Month LIBOR        1.750%        8/01/27        Baa3        466,465  
  734    

Endo Luxembourg Finance Company I S.a r.l., Term Loan

    5.750%        3-Month LIBOR        5.000%        3/25/28        B        718,702  
  807    

Gainwell Acquisition Corp., Term Loan B

    4.750%        3-Month LIBOR        4.000%        10/01/27        BB–        807,857  
  2,250    

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

    4.000%        1-Month LIBOR        3.500%        4/22/28        BB+        2,255,625  
  2,972    

Mallinckrodt International Finance S.A., Term Loan B, (DD1), (6)

    6.000%        6-Month LIBOR        5.250%        9/24/24        D        2,897,417  
  757    

Mallinckrodt International Finance S.A., Term Loan B, (6)

    6.250%        1-Month LIBOR        5.500%        2/24/25        D        735,123  
  1,500    

Organon & Co, Term Loan

    3.500%        3-Month LIBOR        3.000%        6/02/28        BB        1,498,282  
  14,698     Total Pharmaceuticals                                                  14,558,517  
      Professional Services – 2.2% (1.4% of Total Investments)  
  448    

ASGN Incorporated, Term Loan B3

    1.842%        1-Month LIBOR        1.750%        4/02/25        BBB–        448,399  
  1,160    

Ceridian HCM Holding, Inc., Term Loan B

    2.584%        1-Week LIBOR        2.500%        4/30/25        B+        1,141,336  
  493    

Creative Artists Agency, LLC , Term Loan B

    3.842%        1-Month LIBOR        3.750%        11/26/26        B        487,920  
  1,328    

Dun & Bradstreet Corporation (The), Term Loan

    3.336%        1-Month LIBOR        3.250%        2/08/26        BB+        1,318,157  
  727    

EAB Global Inc, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B–        723,226  
  299    

Nielsen Consumer, Inc., Term Loan B

    4.103%        1-Month LIBOR        4.000%        3/05/28        BB        299,277  
  713    

Nielsen Finance LLC, Term Loan B4

    2.103%        1-Month LIBOR        2.000%        10/04/23        BBB–        712,176  
  5,168     Total Professional Services                                                  5,130,491  
      Real Estate Management & Development – 1.3% (0.8% of Total Investments)  
  1,293    

Brookfield Property REIT, Inc., Term Loan A2

    3.092%        1-Month LIBOR        3.000%        8/24/23        BB+        1,283,491  
  1,741    

North American Lifting Holdings, Inc., Priority Term Loan

    7.500%        3-Month LIBOR        6.500%        10/16/24        B+        1,821,783  
  3,034     Total Real Estate Management & Development                                                  3,105,274  
      Road & Rail – 2.2% (1.4% of Total Investments)  
  1,002    

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

    2.500%        1-Month LIBOR        1.750%        1/15/25        Baa2        998,066  
  1,234    

Genesee & Wyoming, Inc., Term Loan

    2.147%        3-Month LIBOR