N-Q 1 d16458dnq.htm NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND Nuveen Floating Rate Income Opportunity Fund

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21579

Nuveen Floating Rate Income Opportunity Fund

(Exact name of registrant as specified in charter)

    333 West Wacker Drive, Chicago, Illinois 60606    

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—Vice President and Secretary

    333 West Wacker Drive, Chicago, Illinois 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:  October 31, 2015  

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.

 

 

 

 

 


Item 1. Schedule of Investments

 

 


JRO

 

Nuveen Floating Rate Income Opportunity Fund

  

Portfolio of Investments

   October 31, 2015 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 151.9% (93.5% of Total Investments)

  

 

VARIABLE RATE SENIOR LOAN INTERESTS – 126.7% (78.0% of Total Investments) (4)

  

      Aerospace & Defense – 2.3% (1.4% of Total Investments)  
$ 3,049     

B/E Aerospace, Inc., Term Loan B, First Lien

    4.000%         12/16/21         BB+       $ 3,071,008   
  4,564     

Sequa Corporation, Term Loan B

    5.250%         6/19/17         CCC+         3,810,810   
  3,398     

Transdigm, Inc., Term Loan E, First Lien

    3.500%         5/16/22         Ba3         3,340,108   
  11,011     

Total Aerospace & Defense

                               10,221,926   
      Air Freight & Logistics – 0.5% (0.3% of Total Investments)  
  2,000     

XPO Logistics, Inc., Term Loan B, (WI/DD)

    TBD         TBD         Ba1         1,985,000   
      Airlines – 3.7% (2.2% of Total Investments)  
  2,449     

American Airlines, Inc., Term Loan B, First Lien

    3.250%         6/29/20         BB+         2,435,051   
  1,980     

American Airlines, Inc., Term Loan B, First Lien

    3.500%         10/10/21         BB+         1,976,040   
  5,825     

Delta Air Lines, Inc., Term Loan B1

    3.250%         10/18/18         BBB         5,828,867   
  2,918     

Delta Air Lines, Inc., Term Loan B2

    2.446%         4/18/16         BBB         2,917,803   
  2,940     

US Airways, Inc., Term Loan B1

    3.500%         5/23/19         BB+         2,931,118   
  16,112     

Total Airlines

                               16,088,879   
      Automobiles – 3.8% (2.3% of Total Investments)  
  9,850     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%         12/31/18         BB+         9,826,606   
  5,568     

Formula One Group, Term Loan, First Lien

    4.750%         7/30/21         B         5,485,355   
  1,500     

Formula One Group, Term Loan, Second Lien

    7.750%         7/29/22         CCC+         1,428,750   
  16,918     

Total Automobiles

                               16,740,711   
      Building Products – 0.7% (0.4% of Total Investments)  
  1,980     

Gates Global LLC, Term Loan

    4.250%         7/06/21         B+         1,867,799   
  1,170     

Quikrete Holdings, Inc., Term Loan, First Lien

    4.000%         9/28/20         BB–         1,168,339   
  3,150     

Total Building Products

                               3,036,138   
      Capital Markets – 1.1% (0.7% of Total Investments)  
  2,801     

Citco III Limited, Term Loan B

    4.250%         6/29/18         N/R         2,809,029   
  1,960     

Guggenheim Partners LLC, Initial Term Loan

    4.250%         7/22/20         N/R         1,962,450   
  4,761     

Total Capital Markets

                               4,771,479   
      Chemicals – 1.2% (0.8% of Total Investments)  
  2,019     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%         5/04/18         BB–         2,000,916   
  439     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%         3/31/22         BB–         433,695   
  1,521     

Mineral Technologies, Inc., Term Loan B2

    4.750%         5/07/21         BB         1,527,040   
  1,459     

PQ Corporation, Term Loan B

    4.000%         8/07/17         B+         1,456,699   
  5,438     

Total Chemicals

                               5,418,350   
      Commercial Services & Supplies – 3.7% (2.3% of Total Investments)  
  1,001     

Acosta, Inc., Term Loan B

    4.250%         9/26/21         B1         976,212   
  936     

ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2

    3.750%         10/09/19         B+         926,245   
  3,210     

CCS Income Trust, Term Loan, First Lien

    6.250%         5/12/18         B–         2,509,766   
  261     

Education Management LLC, Tranche A, Term Loan

    5.500%         7/02/20         N/R         76,270   
  457     

Education Management LLC, Tranche B, Term Loan

    8.500%         7/02/20         N/R         61,632   
  3,205     

iQor US, Inc., Term Loan, First Lien

    6.000%         4/01/21         B         2,596,361   
  333     

iQor US, Inc., Term Loan, Second Lien

    9.750%         4/01/22         CCC+         259,167   
  8,319     

Millennium Laboratories, Inc., Tranche B, Term Loan, (5)

    5.250%         4/16/21         D         3,057,287   
  2,875     

Protection One, Inc., Term Loan, First Lien

    5.000%         7/01/21         B1         2,863,140   
  99     

Universal Services of America, Delayed Draw, Term Loan, First Lien

    4.750%         7/28/22         B         96,661   
  107     

Universal Services of America, Delayed Draw, Term Loan, Second Lien

    9.500%         7/28/23         CCC+         104,152   
  1,401     

Universal Services of America, Term Loan, First Lien

    4.750%         7/28/22         B         1,370,837   

 

Nuveen Investments     1   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    October 31, 2015 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)  
$ 1,643     

Universal Services of America, Term Loan, Second Lien

    9.500%         7/28/23         CCC+       $ 1,596,994   
  23,847     

Total Commercial Services & Supplies

                               16,494,724   
      Communications Equipment – 1.9% (1.2% of Total Investments)  
  5,418     

Avaya, Inc., Term Loan B3, (DD1)

    4.823%         10/26/17         B1         4,469,683   
  1,060     

Avaya, Inc., Term Loan B6

    6.500%         3/31/18         B1         879,598   
  1,625     

Commscope, Inc., Term Loan B, First Lien

    3.750%         12/29/22         BB         1,625,508   
  1,325     

Riverbed Technology, Inc., Term Loan B, First Lien

    6.000%         4/25/22         B1         1,328,317   
  9,428     

Total Communications Equipment

                               8,303,106   
      Consumer Finance – 2.4% (1.5% of Total Investments)  
  2,000     

First Data Corporation, Term Loan B

    3.947%         7/08/22         BB         2,007,500   
  8,691     

First Data Corporation, Term Loan

    3.697%         3/23/18         BB         8,641,535   
  10,691     

Total Consumer Finance

                               10,649,035   
      Containers & Packaging – 1.1% (0.7% of Total Investments)  
  1,500     

Berry Plastics Holding Corporation, Term Loan F

    4.000%         10/03/22         BB–         1,504,584   
  3,281     

BWAY Holding Company, Term Loan B, First Lien

    5.500%         8/14/20         B2         3,291,058   
  4,781     

Total Containers & Packaging

                               4,795,642   
      Diversified Consumer Services – 7.1% (4.4% of Total Investments)  
  1,250     

AlixPartners LLP, Term Loan B, First Lien

    4.500%         7/28/22         B+         1,250,156   
  6,795     

Cengage Learning Acquisitions, Inc., Exit Term Loan

    7.000%         3/31/20         B+         6,765,528   
  2,344     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%         5/22/18         BB–         2,339,392   
  1,434     

Harland Clarke Holdings Corporation, Term Loan B4

    6.000%         8/04/19         BB–         1,430,331   
  6,437     

Hilton Hotels Corporation, Term Loan B2

    3.500%         10/25/20         BBB–         6,457,873   
  2,494     

Houghton Mifflin, Term Loan B, First Lien

    4.000%         5/28/21         BB         2,475,047   
  156     

Laureate Education, Inc., Term Loan B

    5.000%         6/15/18         B         135,091   
  2,627     

New Albertson’s, Inc., Term Loan

    4.750%         6/25/21         Ba3         2,617,784   
  7,965     

ServiceMaster Company, Term Loan

    4.250%         7/01/21         BB–         7,977,179   
  31,502     

Total Diversified Consumer Services

                               31,448,381   
      Diversified Financial Services – 1.2% (0.8% of Total Investments)  
  1,496     

MJ Acquisition Corp., Term Loan, First Lien

    4.001%         6/01/22         BB–         1,497,484   
  1,500     

Protection One, Inc., Term Loan, Second Lien

    9.750%         7/01/22         CCC+         1,479,375   
  1,489     

Transdigm, Inc., Term Loan, Second Lien

    4.750%         11/12/21         N/R         1,488,759   
  1,000     

TransFirst, Inc., Term Loan, Second Lien

    9.000%         11/11/22         CCC+         1,003,125   
  5,485     

Total Diversified Financial Services

                               5,468,743   
      Diversified Telecommunication Services – 4.8% (2.9% of Total Investments)  
  1,070     

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

    4.000%         2/08/20         B         1,064,704   
  209     

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    3.750%         6/30/19         BB–         203,304   
  761     

Level 3 Financing, Inc., Term Loan B2

    3.500%         5/31/22         Ba1         761,580   
  2,667     

Level 3 Financing, Inc., Term Loan, Tranche B3

    4.000%         8/01/19         Ba1         2,676,667   
  7,537     

WideOpenWest Finance LLC, Term Loan B

    4.500%         4/01/19         Ba3         7,441,748   
  3,328     

Ziggo N.V., Term Loan B1

    3.500%         1/15/22         BB–         3,278,943   
  2,145     

Ziggo N.V., Term Loan B2

    3.500%         1/15/22         BB–         2,113,013   
  3,527     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.500%         1/15/22         BB–         3,475,151   
  21,244     

Total Diversified Telecommunication Services

                               21,015,110   
      Electronic Equipment, Instruments & Components – 1.0% (0.6% of Total Investments)  
  2,366     

SMART Modular Technologies, Inc., Term Loan B

    8.250%         8/31/17         B         2,236,072   
  2,217     

TTM Technologies, Term Loan B

    6.000%         5/31/21         B+         2,072,583   
  4,583     

Total Electronic Equipment, Instruments & Components

                               4,308,655   
      Energy Equipment & Services – 0.8% (0.5% of Total Investments)  
  647     

Dynamic Energy Services International LLC, Term Loan

    9.500%         3/06/18         B3         598,396   
  4,022     

Drill Rigs Holdings, Inc., Tranche B1, Term Loan

    6.000%         3/31/21         B         2,342,779   
  1,896     

Offshore Group Investment Limited, Term Loan B, (5)

    5.000%         10/25/17         D         549,725   
  6,565     

Total Energy Equipment & Services

                               3,490,900   

 

  2      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Food & Staples Retailing – 7.1% (4.4% of Total Investments)  
$ 3,447     

Albertson’s LLC, Term Loan B2

    5.375%         3/21/19         BB–       $ 3,447,989   
  18,365     

Albertson’s LLC, Term Loan B4

    5.500%         8/25/21         BB–         18,388,637   
  3,281     

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

    4.500%         9/26/19         B–         3,252,026   
  2,500     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%         3/26/20         CCC         2,442,500   
  1,175     

Rite Aid Corporation, Tranche 2, Term Loan, Second Lien

    4.875%         6/21/21         BB         1,179,223   
  2,628     

Supervalu, Inc., New Term Loan

    4.500%         3/21/19         BB         2,627,895   
  31,396     

Total Food & Staples Retailing

                               31,338,270   
      Food Products – 6.2% (3.8% of Total Investments)  
  1,481     

Hearthside Group Holdings, Term Loan, First Lien

    4.500%         6/02/21         B1         1,478,880   
  5,835     

Jacobs Douwe Egberts, Term Loan B

    4.250%         7/02/22         N/R         5,822,249   
  1,925     

Pinnacle Foods Finance LLC, Term Loan G

    3.000%         4/29/20         BB+         1,925,946   
  14,053     

US Foods, Inc., Incremental Term Loan

    4.500%         3/31/19         B2         14,073,229   
  3,975     

Wilton Products, Inc., Tranche B, Term Loan

    8.500%         8/30/18         N/R         3,870,656   
  27,269     

Total Food Products

                               27,170,960   
      Health Care Equipment & Supplies – 3.5% (2.2% of Total Investments)  
  1,485     

CareCore National LLC, Term Loan

    5.500%         3/05/21         B         1,336,432   
  1,941     

ConvaTec Healthcare, Term Loan B

    4.250%         6/15/20         Ba2         1,940,016   
  1,500     

Greatbatch, Inc., Term Loan B

    5.250%         10/14/22         B+         1,506,562   
  2,218     

Kinetic Concepts, Inc., Incremental Term Loan E1

    4.500%         5/04/18         BB–         2,221,175   
  4,182     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%         6/07/19         B+         3,994,089   
  2,553     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%         12/09/19         B–         2,380,848   
  2,000     

Sterigenics International, Inc., Term Loan B

    4.250%         5/16/22         B1         1,990,000   
  15,879     

Total Health Care Equipment & Supplies

                               15,369,122   
      Health Care Providers & Services – 4.1% (2.5% of Total Investments)  
  1,387     

Community Health Systems, Inc., Term Loan G

    3.750%         12/31/19         BB         1,383,262   
  2,776     

Community Health Systems, Inc., Term Loan H

    4.000%         1/27/21         BB         2,772,114   
  5,118     

Drumm Investors LLC, Term Loan

    6.750%         5/04/18         B         5,145,407   
  867     

Genesis Healthcare LLC, Term Loan

    10.000%         12/04/17         B–         886,465   
  1,489     

Healogics, Inc., Term Loan, First Lien

    5.250%         7/01/21         B         1,284,023   
  2,203     

Heartland Dental Care, Inc., Term Loan, First Lien

    5.500%         12/21/18         B1         2,189,619   
  1,500     

Heartland Dental Care, Inc., Term Loan, Second Lien

    9.750%         6/21/19         CCC         1,501,875   
  1,201     

LHP Operations Co. LLC, Term Loan B

    9.000%         7/03/18         B2         1,158,790   
  1,782     

National Mentor Holdings, Inc., Term Loan B

    4.250%         1/31/21         B+         1,755,608   
  18,323     

Total Health Care Providers & Services

                               18,077,163   
      Health Care Technology – 0.5% (0.3% of Total Investments)  
  2,116     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%         5/20/21         BB         2,116,143   
      Hotels, Restaurants & Leisure – 6.2% (3.8% of Total Investments)  
  5,699     

Burger King Corporation, Term Loan B

    3.750%         12/10/21         Ba3         5,708,426   
  2,257     

CCM Merger, Inc., Term Loan B

    4.500%         8/08/21         BB–         2,257,353   
  3,864     

CityCenter Holdings LLC, Term Loan

    4.250%         10/16/20         BB–         3,870,415   
  391     

Extended Stay America, Inc., Term Loan

    5.000%         6/24/19         BB+         396,268   
  2,212     

Intrawest Resorts Holdings, Inc., Term Loan B, First Lien

    4.750%         12/09/20         CCC         2,211,859   
  1,746     

Life Time Fitness, Inc., Term Loan B

    4.250%         6/10/22         BB–         1,738,260   
  1,945     

MGM Resorts International, Term Loan B

    3.500%         12/20/19         BB+         1,944,018   
  2,948     

Scientific Games Corporation, Term Loan

    6.000%         10/18/20         BB–         2,887,630   
  3,477     

Scientific Games Corporation, Term Loan B2

    6.000%         10/01/21         BB–         3,405,216   
  2,719     

Station Casino LLC, Term Loan B

    4.250%         3/02/20         B+         2,722,185   
  27,258     

Total Hotels, Restaurants & Leisure

                               27,141,630   
      Household Durables – 0.2% (0.1% of Total Investments)  
  886     

Serta Simmons Holdings LLC, Term Loan

    4.250%         10/01/19         BB–         886,987   
  96     

Tempur-Pedic International, Inc., New Term Loan B

    3.500%         3/18/20         BB+         95,821   
  982     

Total Household Durables

                               982,808   
      Industrial Conglomerates – 0.2% (0.1% of Total Investments)  
  891     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%         11/26/20         B1         829,032   

 

Nuveen Investments     3   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    October 31, 2015 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Insurance – 2.1% (1.3% of Total Investments)  
$ 3,322     

Alliant Holdings I LLC, Initial Term Loan B, First Lien

    4.500%         8/12/22         B       $ 3,291,773   
  1,500     

AssuredPartners Capital, Inc., Term Loan, First Lien

    5.750%         10/16/22         B1         1,504,687   
  4,414     

Hub International Holdings, Inc., Initial Term Loan

    4.000%         10/02/20         B1         4,317,465   
  9,236     

Total Insurance

                               9,113,925   
      Internet & Catalog Retail – 1.1% (0.7% of Total Investments)  
  4,963     

Travelport LLC, Term Loan B, First Lien

    5.750%         9/02/21         B         4,935,618   
      Internet Software & Services – 2.3% (1.4% of Total Investments)  
  3,404     

Sabre Inc., Term Loan

    4.000%         2/19/19         Ba3         3,407,579   
  735     

Sabre Inc., Term Loan B2

    4.000%         2/19/19         Ba3         735,772   
  290     

Sabre Inc., Term Loan C

    3.500%         2/19/18         Ba3         289,711   
  5,804     

Tibco Software, Inc., Term Loan B

    6.500%         12/04/20         B1         5,513,958   
  10,233     

Total Internet Software & Services

                               9,947,020   
      IT Services – 0.8% (0.5% of Total Investments)  
  3,243     

EIG Investors Corp., Term Loan

    5.000%         11/09/19         B         3,245,041   
  246     

VFH Parent LLC, New Term Loan

    5.250%         11/08/19         N/R         246,614   
  65     

Zayo Group LLC, Term Loan B

    3.750%         5/06/21         BB–         64,565   
  3,554     

Total IT Services

                               3,556,220   
      Leisure Products – 2.2% (1.4% of Total Investments)  
  2,253     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%         5/28/21         Ba3         2,016,591   
  3,575     

Academy, Ltd., Term Loan B

    5.000%         7/01/22         B         3,569,801   
  1,079     

Bombardier Recreational Products, Inc., Term Loan B

    3.750%         1/30/19         BB–         1,079,484   
  2,145     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%         1/31/20         B1         2,151,087   
  1,000     

Four Seasons Holdings, Inc., Term Loan, Second Lien

    6.250%         12/27/20         B–         1,000,000   
  10,052     

Total Leisure Products

                               9,816,963   
      Machinery – 0.2% (0.1% of Total Investments)  
  990     

Rexnord LLC, Term Loan B

    4.000%         8/21/20         BB–         980,267   
      Media – 15.2% (9.3% of Total Investments)  
  1,181     

Advantage Sales & Marketing, Inc., Term Loan, First Lien

    4.250%         7/25/21         B1         1,153,846   
  1,450     

Advantage Sales & Marketing, Inc., Term Loan, Second Lien

    7.500%         7/25/22         CCC+         1,353,031   
  1,743     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%         10/31/18         Caa1         1,599,125   
  1,000     

Affinion Group Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD         TBD         B1         962,917   
  3,456     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%         4/09/21         B1         2,981,016   
  1,500     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%         4/11/22         Caa1         994,050   
  5,485     

Cequel Communications LLC, Extended Term Loan

    3.500%         12/14/22         N/R         5,418,591   
  4,000     

Charter Communications Operating Holdings LLC, Term Loan I

    3.500%         1/23/23         BBB–         4,001,252   
  1,646     

Clear Channel Communications, Inc., Term Loan E

    7.688%         7/30/19         CCC+         1,399,072   
  360     

Clear Channel Communications, Inc., Tranche D, Term Loan

    6.938%         1/30/19         CCC+         302,227   
  10,716     

Cumulus Media, Inc., Term Loan B

    4.250%         12/23/20         B2         9,142,056   
  2,508     

Emerald Expositions Holdings, Inc., Term Loan, First Lien

    4.750%         6/17/20         BB–         2,507,650   
  191     

EMI Music Publishing LLC, Term Loan B3

    4.000%         8/19/22         BB–         191,505   
  594     

Gray Television, Inc., Initial Term Loan

    3.750%         6/13/21         BB         593,101   
  1,975     

IMG Worldwide, Inc., First Lien

    5.250%         5/06/21         B1         1,974,990   
  3,209     

Interactive Data Corporation, Term Loan B

    4.750%         5/02/21         B+         3,212,706   
  1,125     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%         3/17/22         BB–         1,129,219   
  2,456     

McGraw–Hill Education Holdings LLC, Term Loan B

    6.250%         12/18/19         BB         2,458,554   
  2,503     

McGraw–Hill Education Holdings LLC, Term Loan B

    4.750%         3/22/19         B+         2,510,484   
  1,940     

Mediacom Broadband LLC, Tranche G, Term Loan

    4.000%         1/20/20         BB         1,940,000   
  1,500     

Numericable Group S.A., Term Loan, (WI/DD)

    TBD         TBD         B+         1,484,766   
  3,725     

Numericable Group S.A., Term Loan B1

    4.500%         5/21/20         B+         3,683,314   
  3,223     

Numericable Group S.A., Term Loan B2

    4.500%         5/21/20         B+         3,186,569   
  2,200     

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.750%         8/14/20         B1         2,180,478   
  8,383     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%         3/01/20         B+         8,332,045   
  1,470     

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

    3.750%         7/01/20         B1         1,433,250   
  375     

Yell Group PLC, Term Loan A2

    5.319%         3/01/19         N/R         759,035   
  33     

Yell Group PLC, Term Loan A2, (8)

    1.500%         3/03/19         N/R           

 

  4      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Media (continued)  
$ 1,286     

Yell Group PLC, Term Loan B2, PIK, (8)

    0.000%         3/03/24         N/R       $   
  71,233     

Total Media

                               66,884,849   
      Multiline Retail – 3.1% (1.9% of Total Investments)  
  1,741     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%         6/05/20         BB–         1,731,818   
  5,287     

Dollar Tree, Inc., Term Loan B1

    3.500%         7/06/22         BB+         5,302,325   
  1,650     

Dollar Tree, Inc., Term Loan B2

    4.250%         7/06/22         BB+         1,654,727   
  2,000     

Hudson’s Bay Company, Term Loan B, First Lien

    4.750%         9/30/22         BB         2,006,250   
  2,839     

J.C. Penney Corporation, Inc., Term Loan

    5.000%         6/20/19         B         2,830,190   
  13,517     

Total Multiline Retail

                               13,525,310   
      Oil, Gas & Consumable Fuels – 2.1% (1.3% of Total Investments)  
  702     

Crestwood Holdings LLC, Term Loan B

    7.000%         6/19/19         B2         571,901   
  4,384     

Energy and Exploration Partners, Term Loan

    7.750%         1/22/19         N/R         3,156,251   
  173     

EP Energy LLC, Term Loan B3, Second Lien

    3.500%         5/24/18         Ba2         156,758   
  1,630     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%         9/30/20         B–         617,112   
  2,741     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%         6/18/20         B–         1,815,680   
  2,919     

Seadrill Partners LLC, Initial Term Loan

    4.000%         2/21/21         B         1,716,251   
  305     

Southcross Holdings Borrower L.P., Holdco Term Loan

    6.000%         8/04/21         B–         230,447   
  841     

Western Refining, Inc., Term Loan B

    4.250%         11/12/20         BB–         826,789   
  13,695     

Total Oil, Gas & Consumable Fuels

                               9,091,189   
      Pharmaceuticals – 4.7% (2.9% of Total Investments)  
  4,500     

Endo Health Solutions, Inc., Term Loan B

    3.750%         9/26/22         Ba1         4,436,438   
  3,125     

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)

    0.000%         5/03/13         N/R         19,531   
  62     

Graceway Pharmaceuticals LLC, Term Loan, (5)

    0.000%         5/03/12         N/R         62,322   
  939     

Grifols, Inc., Term Loan

    3.188%         2/27/21         Ba1         938,107   
  2,963     

Patheon, Inc., Term Loan B

    4.250%         3/11/21         B1         2,908,434   
  2,473     

Pharmaceutical Product Development, Inc., Term Loan B, First Lien

    4.250%         8/18/22         B1         2,443,969   
  3,677     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%         9/23/20         BB–         3,685,521   
  1,418     

Valeant Pharmaceuticals International, Inc., Term Loan E

    3.750%         8/05/20         BB         1,321,909   
  5,377     

Valeant Pharmaceuticals International, Inc., Term Loan F

    4.000%         4/01/22         Ba1         5,009,828   
  24,534     

Total Pharmaceuticals

                               20,826,059   
      Professional Services – 0.0% (0.0% of Total Investments)  
  155     

Ceridian Corporation, Term Loan B2

    4.500%         9/15/20         Ba3         143,234   
      Real Estate Investment Trust – 4.3% (2.7% of Total Investments)  
  10,773     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%         10/24/22         BBB–         10,189,459   
  3,901     

Realogy Corporation, Initial Term Loan B

    3.750%         3/05/20         BB         3,902,331   
  1,423     

Starwood Property Trust, Inc., Term Loan B

    3.500%         4/17/20         BB         1,412,599   
  3,812     

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.750%         12/18/20         BB–         3,513,334   
  19,909     

Total Real Estate Investment Trust

                               19,017,723   
      Real Estate Management & Development – 1.3% (0.8% of Total Investments)  
  2,482     

Capital Automotive LP, Term Loan, Second Lien

    6.000%         4/30/20         B1         2,494,337   
  3,372     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%         4/10/19         Ba2         3,378,070   
  5,854     

Total Real Estate Management & Development

                               5,872,407   
      Road & Rail – 0.3% (0.2% of Total Investments)  
  1,500     

Quality Distribution, Term Loan, First Lien

    5.750%         8/18/22         B1         1,470,000   
      Semiconductors & Semiconductor Equipment – 3.1% (1.9% of Total Investments)  
  4,915     

Avago Technologies, Term Loan B

    3.750%         5/06/21         BBB         4,919,834   
  4,890     

Freescale Semiconductor, Inc., Term Loan, Tranche B4

    4.250%         2/28/20         N/R         4,892,101   
  1,960     

Freescale Semiconductor, Inc., Term Loan, Tranche B5

    5.000%         1/15/21         N/R         1,962,650   
  1,932     

NXP Semiconductor LLC, Term Loan D

    3.250%         1/11/20         BBB–         1,911,461   
  13,697     

Total Semiconductors & Semiconductor Equipment

                               13,686,046   

 

Nuveen Investments     5   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    October 31, 2015 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software – 11.0% (6.7% of Total Investments)  
$ 2,000     

Ascend Learning LLC, Term Loan, Second Lien

    9.500%         11/30/20         CCC+       $ 1,987,500   
  3,473     

Blackboard, Inc., Term Loan B3

    4.750%         10/04/18         B+         3,427,320   
  4,218     

BMC Software, Inc., Initial Term Loan

    5.000%         9/10/20         B1         3,811,286   
  1,500     

Computer Sciences Government Services, Term Loan B, First Lien, (WI/DD)

    TBD         TBD         BB+         1,505,625   
  4,480     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%         12/15/21         B         4,276,062   
  2,373     

Ellucian, Term Loan B, First Lien

    4.750%         9/30/22         B         2,372,665   
  2,899     

Emdeon Business Services LLC, Term Loan B2

    3.750%         11/02/18         Ba3         2,885,800   
  9,077     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5

    3.750%         6/03/20         B+         8,850,977   
  1,250     

Informatica Corp.,Term Loan B

    4.500%         8/05/22         B         1,238,151   
  1,228     

Micro Focus International PLC, Term Loan B

    5.250%         11/19/21         BB–         1,228,733   
  1,995     

Micro Focus International PLC, Term Loan C

    4.500%         11/20/19         BB–         1,994,378   
  4,608     

Misys PLC, Term Loan B, First Lien

    5.000%         12/12/18         B+         4,612,797   
  3,130     

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1

    4.000%         7/08/22         BB         3,143,438   
  484     

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2

    4.000%         7/08/22         BB         486,377   
  2,179     

SunGard Data Systems, Inc., Term Loan E

    4.000%         3/08/20         BB         2,180,317   
  4,223     

Zebra Technologies Corporation, Term Loan B, First Lien

    4.750%         10/27/21         BB+         4,256,900   
  49,117     

Total Software

                               48,258,326   
      Specialty Retail – 1.6% (1.0% of Total Investments)  
  1,932     

Jo-Ann Stores, Inc., Term Loan, First Lien

    4.000%         3/16/18         Ba3         1,884,070   
  2,239     

Petsmart, Inc., Term Loan B

    4.250%         3/11/22         BB–         2,241,040   
  327     

Pilot Travel Centers LLC, Term Loan B, First Lien, (WI/DD)

    TBD         TBD         BB+         328,958   
  2,600     

Staples, Inc., Term Loan B, First Lien, (WI/DD)

    TBD         TBD         BBB         2,590,900   
  7,098     

Total Specialty Retail

                               7,044,968   
      Technology Hardware, Storage & Peripherals – 2.9% (1.8% of Total Investments)  
  12,773     

Dell, Inc., Term Loan B2

    4.000%         4/29/20         BBB         12,788,423   
      Trading Companies & Distributors – 1.1% (0.7% of Total Investments)  
  3,897     

HD Supply, Inc., Term Loan B

    3.750%         8/13/21         BB–         3,890,557   
  1,250     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%         6/09/21         B–         1,143,352   
  5,147     

Total Trading Companies & Distributors

                               5,033,909   
      Transportation Infrastructure – 0.4% (0.2% of Total Investments)  
  85     

Ceva Group PLC, Canadian Term Loan

    6.500%         3/19/21         B2         75,156   
  493     

Ceva Group PLC, Dutch B.V., Term Loan

    6.500%         3/19/21         B2         435,905   
  475     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%         3/19/21         B2         419,642   
  681     

Ceva Group PLC, US Term Loan

    6.500%         3/19/21         B2         601,247   
  1,734     

Total Transportation Infrastructure

                               1,531,950   
      Wireless Telecommunication Services – 1.6% (1.0% of Total Investments)  
  2,096     

Asurion LLC, Term Loan B1

    5.000%         5/24/19         Ba3         2,006,478   
  2,168     

Asurion LLC, Term Loan B4, First Lien

    5.000%         8/04/22         Ba3         2,055,094   
  3,168     

Fairpoint Communications, Inc., Term Loan B

    7.500%         2/14/19         B         3,181,822   
  7,432     

Total Wireless Telecommunication Services

                               7,243,394   
$ 588,053     

Total Variable Rate Senior Loan Interests (cost $582,767,781)

  

                       558,029,707   
Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.7% (1.0% of Total Investments)

  

      Diversified Consumer Services – 0.4% (0.2% of Total Investments)  
  71,949     

Cengage Learning Holdings II LP, (6), (7)

           $ 1,780,737   
  3,124,035     

Education Management Corporation, (6), (7)

                               31,240   
 

Total Diversified Consumer Services

                               1,811,977   
      Hotels, Restaurants & Leisure – 0.4% (0.3% of Total Investments)  
  37,535     

BLB Worldwide Holdings Inc., (6), (7)

                               1,820,448   

 

  6      Nuveen Investments


Shares     Description (1)                           Value  
      Media – 0.9% (0.5% of Total Investments)  
  5,752     

Cumulus Media, Inc., (6)

           $ 2,641   
  23,363     

Metro-Goldwyn-Mayer, (6), (7)

             1,763,907   
  44,843     

Tribune Media Company

             1,808,518   
  36,087     

Tribune Media Company, (8)

               
  11,210     

Tribune Publishing Company

                               105,822   
 

Total Media

                               3,680,888   
      Software – 0.0% (0.0% of Total Investments)  
  496,552     

Eagle Topco LP, (6), (8)

                               1   
 

Total Common Stocks (cost $6,641,747)

                               7,313,314   
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)

  

      Diversified Consumer Services – 0.0% (0.0% of Total Investments)  
  3,476     

Education Management Corporation

    7.500%                  N/R       $ 52,140   
 

Total $25 Par (or similar) Retail Preferred (cost $8,437)

                               52,140   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CONVERTIBLE BONDS – 0.1% (0.1% of Total Investments)

  

      Communications Equipment – 0.1% (0.1% of Total Investments)  
$ 550     

Nortel Networks Corp., (5)

    1.750%         4/15/12         N/R       $ 463,375   
$ 550     

Total Convertible Bonds (cost $440,000)

                               463,375   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 17.4% (10.7% of Total Investments)

  

      Commercial Services & Supplies – 0.2% (0.1% of Total Investments)  
$ 900     

NES Rental Holdings Inc., 144A

    7.875%         5/01/18         B–       $ 896,625   
      Communications Equipment – 0.2% (0.1% of Total Investments)  
  2,000     

Avaya Inc., 144A

    10.500%         3/01/21         CCC+         775,000   
      Containers & Packaging – 0.3% (0.2% of Total Investments)  
  1,178     

Reynolds Group

    9.875%         8/15/19         CCC+         1,239,845   
      Diversified Telecommunication Services – 2.6% (1.6% of Total Investments)  
  1,800     

Frontier Communications Corporation, 144A

    8.875%         9/15/20         BB         1,868,616   
  2,415     

Frontier Communications Corporation

    6.250%         9/15/21         BB         2,156,595   
  1,700     

Frontier Communications Corporation

    6.875%         1/15/25         BB         1,468,965   
  1,400     

IntelSat Limited

    6.750%         6/01/18         CCC+         1,242,500   
  4,300     

IntelSat Limited

    7.750%         6/01/21         CCC+         2,537,000   
  4,100     

IntelSat Limited

    8.125%         6/01/23         CCC+         2,429,250   
  15,715     

Total Diversified Telecommunication Services

                               11,702,926   
      Health Care Equipment & Supplies – 2.7% (1.7% of Total Investments)  
  3,000     

Kinetic Concepts

    10.500%         11/01/18         B–         3,167,700   
  2,000     

Kinetic Concepts

    12.500%         11/01/19         CCC+         2,122,500   
  3,000     

Tenet Healthcare Corporation

    6.000%         10/01/20         Ba2         3,240,000   
  1,100     

Tenet Healthcare Corporation

    8.125%         4/01/22         B3         1,163,250   
  2,225     

Tenet Healthcare Corporation

    6.750%         6/15/23         B3         2,208,313   
  11,325     

Total Health Care Equipment & Supplies

                               11,901,763   

 

Nuveen Investments     7   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    October 31, 2015 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Health Care Providers & Services – 2.2% (1.4% of Total Investments)  
$ 3,000     

Community Health Systems, Inc.

    5.125%         8/01/21         BB       $ 3,097,500   
  4,800     

Community Health Systems, Inc.

    6.875%         2/01/22         B+         4,836,000   
  900     

IASIS Healthcare Capital Corporation

    8.375%         5/15/19         CCC+         920,250   
  1,000     

Truven Health Analytics Inc.

    10.625%         6/01/20         CCC+         1,047,500   
  9,700     

Total Health Care Providers & Services

                               9,901,250   
      Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)  
  275     

Scientific Games Corporation

    8.125%         9/15/18         B–         250,250   
  2,550     

Scientific Games International Inc.

    10.000%         12/01/22         B         2,256,750   
  2,825     

Total Hotels, Restaurants & Leisure

                               2,507,000   
      Machinery – 0.2% (0.1% of Total Investments)  
  1,030     

Xerium Technologies

    8.875%         6/15/18         B         1,050,600   
      Media – 4.5% (2.7% of Total Investments)  
  150     

CCO Safari II LLC, 144A

    3.579%         7/23/20         BBB–         150,563   
  1,714     

Clear Channel Communications, Inc.

    10.000%         1/15/18         CCC–         908,420   
  6,412     

Clear Channel Communications, Inc.

    9.000%         12/15/19         CCC+         5,426,154   
  10,825     

Clear Channel Communications, Inc.

    14.000%         2/01/21         CCC–         4,438,369   
  7,850     

Clear Channel Communications, Inc.

    9.000%         3/01/21         CCC+         6,456,624   
  1,200     

Expo Event Transco Inc., 144A

    9.000%         6/15/21         B–         1,200,000   
  1,000     

McGraw–Hill Global Education Holdings

    9.750%         4/01/21         BB         1,095,000   
  29,151     

Total Media

                               19,675,130   
      Real Estate Investment Trust – 0.3% (0.2% of Total Investments)  
  1,250     

iStar Inc.

    4.000%         11/01/17         B+         1,221,875   
      Semiconductors & Semiconductor Equipment – 0.8% (0.5% of Total Investments)  
  500     

Advanced Micro Devices, Inc.

    6.750%         3/01/19         B–         385,000   
  2,050     

Advanced Micro Devices, Inc.

    7.750%         8/01/20         B–         1,517,000   
  2,200     

Advanced Micro Devices, Inc.

    7.500%         8/15/22         B–         1,595,000   
  4,750     

Total Semiconductors & Semiconductor Equipment

                               3,497,000   
      Software – 0.5% (0.3% of Total Investments)  
  1,750     

BMC Software Finance Inc., 144A

    8.125%         7/15/21         CCC+         1,354,063   
  1,100     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%         10/15/19         CCC+         786,500   
  2,850     

Total Software

                               2,140,563   
      Wireless Telecommunication Services – 2.3% (1.4% of Total Investments)  
  750     

FairPoint Communications Inc., 144A

    8.750%         8/15/19         B         772,500   
  6,000     

Sprint Corporation

    7.875%         9/15/23         B+         5,550,000   
  500     

Sprint Corporation

    7.125%         6/15/24         B+         439,063   
  2,750     

T–Mobile USA Inc.

    6.250%         4/01/21         BB         2,839,100   
  175     

T-Mobile USA Inc.

    6.731%         4/28/22         BB         180,688   
  175     

T-Mobile USA Inc.

    6.836%         4/28/23         BB         180,688   
  10,350     

Total Wireless Telecommunication Services

                               9,962,039   
$ 93,024     

Total Corporate Bonds (cost $91,424,461)

                               76,471,616   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      ASSET-BACKED SECURITIES – 6.0% (3.7% of Total Investments)  
$ 800     

Bluemountain Collateralized Loan Obligation, Series 2012 2A E14

    5.433%         11/20/24         BB       $ 742,725   
  2,500     

Bluemountain Collateralized Loan Obligations Limited 2012-1A, 144A

    5.787%         7/20/23         BB         2,334,275   
  1,250     

Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A

    4.921%         7/15/25         BB         1,086,664   
  1,500     

Flatiron Collateralized Loan Obligation Limited, Series 2011-1A

    4.721%         1/15/23         BB         1,337,687   
  250     

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

    5.321%         4/15/24         BB         220,621   
  1,800     

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    6.037%         10/19/22         BB         1,771,301   

 

  8      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      ASSET-BACKED SECURITIES (continued)  
$ 4,000     

LCM Limited Partnership, Collateralized Loan Obligation, 2015A

    5.329%         2/25/17         BB–       $ 3,502,364   
  2,000     

LCM Limited Partnership, Collateralized Loan Obligation, Series 10AR, 144A

    5.789%         4/15/22         BB         1,991,608   
  1,500     

LCM Limited Partnership, Collateralized Loan Obligation, Series 11A

    5.465%         4/19/22         BB+         1,403,130   
  1,500     

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-8A, 144A

    5.645%         4/22/22         BB         1,498,292   
  1,250     

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A

    5.802%         4/20/26         Ba3         1,099,814   
  500     

North End CLO Limited, Loan Pool, 144A

    4.915%         7/17/25         BB         421,291   
  450     

Oak Hill Credit Partners Series 2013-9A

    5.317%         10/20/25         BB–         400,224   
  2,240     

Oak Hill Credit Partners, Series 2012-7A

    5.333%         11/20/23         BB         2,084,174   
  2,000     

Octagon Investment Partners, Series 2015-1A

    6.176%         10/20/26         Ba3         1,883,600   
  2,000     

Race Point Collateralized Loan Obligation Series 2012-7A, 144A

    5.311%         11/08/24         BB–         1,811,776   
  1,000     

Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A

    6.337%         12/15/22         BB         972,996   
  2,000     

Race Point Collateralized Loan Obligations, Series 2012-6A, 144A

    6.079%         5/24/23         BB         1,929,477   
$ 28,540     

Total Asset-Backed Securities (cost $26,501,487)

                               26,492,019   
 

Total Long-Term Investments (cost $707,783,913)

                               668,822,171   
Principal
Amount (000)
    Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 10.6% (6.5% of Total Investments)

  

      REPURCHASE AGREEMENTS – 10.6% (6.5% of Total Investments)  
$ 46,801     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/30/15, repurchase price $46,800,870, collateralized by $47,620,000 U.S. Treasury Notes, 0.500%, due 7/31/16, value $47,739,050

    0.000%         11/02/15                $ 46,800,870   
 

Total Short-Term Investments (cost $46,800,870)

                               46,800,870   
 

Total Investments (cost $754,584,783) – 162.5%

                               715,623,041   
 

Borrowings – (39.9)% (9), (10)

                               (175,800,000
 

Variable Rate Term Preferred Shares, at Liquidation Value – (22.2)% (11)

  

              (98,000,000
 

Other Assets Less Liabilities – (0.4)%

                               (1,320,633
 

Net Assets Applicable to Common Shares – 100%

                             $ 440,502,408   

Fair Value Measurements

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

Level 1 –   Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities.

 

Nuveen Investments     9   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    October 31, 2015 (Unaudited)

 

The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

 

      Level 1      Level 2      Level 3      Total  

Long-Term Investments:

           

Variable Rate Senior Loan Interests

   $       $ 558,029,707       $  —    $ 558,029,707   

Common Stocks

     1,916,981         5,396,332         1         7,313,314   

$25 Par (or similar) Retail Preferred

             52,140                 52,140   

Convertible Bonds

             463,375                 463,375   

Corporate Bonds

             76,471,616                 76,471,616   

Asset-Backed Securities

             26,492,019                 26,492,019   

Short-Term Investments:

           

Repurchase Agreements

             46,800,870                 46,800,870   

Total

   $ 1,916,981       $ 713,706,059       $ 1       $ 715,623,041   
* Value equals zero as of the end of the reporting period.

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing certain gains and losses on investment transactions and recognition of premium amortization. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

As of October 31, 2015, the cost of investments was $755,174,744.

Gross unrealized appreciation and gross unrealized depreciation of investments as of October 31, 2015, were as follows:

 

Gross unrealized:

          

Appreciation

     $ 6,143,360   

Depreciation

       (45,695,063

Net unrealized appreciation (depreciation) of investments

     $ (39,551,703

 

  10      Nuveen Investments


For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2) Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

 

(3) Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

 

(4) Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(5) At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

 

(6) Non-income producing; issuer has not declared a dividend within the past twelve months.

 

(7) For fair value measurement disclosure purposes, investment classified as Level 2.

 

(8) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

 

(9) Borrowings as a percentage of Total Investments is 24.6%.

 

(10) The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) as collateral for borrowings.

 

(11) Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 13.7%.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

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

 

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

TBD Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

 

Nuveen Investments     11   


Item 2. Controls and Procedures.

 

  a. The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  b. There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

 

 


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)    Nuveen Floating Rate Income Opportunity Fund   
By (Signature and Title)    /s/ Kevin J. McCarthy                                                               
   Kevin J. McCarthy   
   Vice President and Secretary   

Date: December 30, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)    /s/ Gifford R. Zimmerman                                                        
   Gifford R. Zimmerman   
   Chief Administrative Officer (principal executive officer)   
Date: December 30, 2015      
By (Signature and Title)    /s/ Stephen D. Foy                                                                    
   Stephen D. Foy   
   Vice President and Controller (principal financial officer)   
Date: December 30, 2015