Nuveen Investment Trust Iii N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-09037

Nuveen Investment Trust III

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

(Address of principal executive offices) (Zip code)

Kathleen L. Prudhomme

Vice President and Secretary

901 Marquette Avenue

Minneapolis, Minnesota 55402

(Name and address of agent for service)

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

Date of fiscal year end: June 30

Date of reporting period: December 31, 2016

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

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

Item 1. Reports to Stockholders.

Mutual Funds

Nuveen Taxable

Bond Funds

Semi-Annual Report  December 31, 2016

	Share Class / Ticker Symbol
Fund Name	Class A	Class C	Class I
Nuveen Symphony Dynamic Credit Fund	NSLAX	NSLCX	NSLIX

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Table

of Contents

Chairman’s Letter to Shareholders	4
Portfolio Managers’ Comments	5
Risk Considerations and Dividend Information	7
Fund Performance and Expense Ratios	9
Yields	11
Holding Summaries	12
Expense Examples	13
Portfolio of Investments	14
Statement of Assets and Liabilities	19
Statement of Operations	20
Statement of Changes in Net Assets	21
Financial Highlights	22
Notes to Financial Statements	24
Additional Fund Information	33
Glossary of Terms Used in this Report	34

NUVEEN 3

Chairman’s Letter

to Shareholders

Dear Shareholders,

The past year saw a striking shift in the markets’ tone. The start of 2016 was beset by China’s economic woes, growing recession fears in the U.S. and oil prices sinking to lows not seen in more than a decade. World stock markets plunged, while bonds and other safe-haven assets rallied. But, by the end of the year, optimism had taken root. Economic outlooks were more upbeat, commodity prices stabilized, equity markets rebounded and bonds retreated. Despite the initial shocks of the Brexit referendum in the U.K. and Donald Trump’s win in the U.S. presidential election, and the uncertainties posed by the implications of these votes, sentiment continued to swing toward the positive as 2016 ended.

In between the year’s turbulent start and exuberant end, markets were soothed by improving economic data out of China, as the government’s stimulus measures appeared to be working, and a recovery in the energy and commodity-related sectors. The U.S. Federal Reserve backed off its more aggressive projections from the beginning of the year, only raising the fed funds rate once during the year, in December. The central banks in Europe and Japan maintained their accommodative stances. Global economic growth remained lackluster overall, as the pace of U.S. growth remained consistently mediocre. China appeared to moderate its slowdown and low growth in Europe and Japan persisted.

Will 2017 be the year of accelerating global growth and rising inflation that the markets are expecting? President Trump’s business-friendly, pro-growth agenda has been well received by the markets, but the policy details and the timeline have yet to take shape. Furthermore, there could be potential downside risks if “Trumponomics” were to trigger a steeper rise in inflation or a trade war. Outside the U.S., political dynamics in Europe are also in flux this year, with Brexit negotiations ongoing and elections in Germany, France and the Netherlands, and possibly a snap election in Italy.

Given the slate of policy unknowns and the range of possible outcomes, we believe volatility will remain a fixture this year. In this environment, Nuveen remains committed to both managing downside risks and seeking upside potential. If you’re concerned about how resilient your investment portfolio might be, we encourage you to talk to your financial advisor. 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.

Sincerely,

William J. Schneider

Chairman of the Board

February 23, 2017

4 NUVEEN

Portfolio Managers’

Comments

Nuveen Symphony Dynamic Credit Fund

This Fund features portfolio management by Symphony Asset Management LLC (Symphony), an affiliate of Nuveen, LLC. Gunther Stein, CIO/CEO at Symphony and Jenny Rhee serve as the portfolio managers for the Fund. Here the portfolio management team reviews their management strategies and the performance of the Fund for the six-month reporting period ended December 31, 2016

During November 2016, the Fund Board approved the liquidation of the Fund. The liquidation took place at the close of business on January 24, 2017 (subsequent to the close of this reporting period), at which time shareholders received the proceeds of the liquidation.

How did the Fund perform during this six-month reporting period ended December 31, 2016?

The table in the Fund Performance and Expense Ratios section of this report provides total returns for the Fund for the six-month, one-year and since inception periods ended December 31, 2016. Comparative performance information is provided for the Fund’s Class A Shares at net asset value (NAV). The Fund’s Class A Shares at NAV outperformed the Lipper Alternative Credit Focus Funds Classification Average but underperformed the BofA/Merrill Lynch U.S. High Yield Master II Index and for the six-month reporting period ended December 31, 2016.

What strategies were used to manage the Fund during the six-month reporting period ended December 31, 2016 and how did these strategies influence performance?

Under normal market conditions, the Fund invests at least 80% of the sum of its net assets and the amount of any borrowings for investment purposes (including assets acquired through the Fund’s short sales) in debt securities, including exchange-traded funds (ETFs) that provide exposure to debt securities. The Fund seeks to achieve its objective by obtaining long and short investment exposures to debt securities. A long investment exposure is an investment that rises in value with a rise in the value of an asset, asset class or index and declines in value with a decline in the value of that asset, asset class or index. A short investment exposure is an investment that rises in value with a decline in the value of an asset, asset class or index and declines in value with a rise in the value of that asset, asset class or index. The Fund will obtain long investment exposures to debt securities by investing directly in such securities and by investing in ETFs and derivative instruments that provide exposure to debt securities.

The Fund generally will obtain short investment exposures to debt securities through derivative instruments that provide exposure to debt securities and through short sales of ETFs, although it may also engage in short sales of individual debt securities. Symphony will vary the level of the Fund’s long and short positions in order to obtain a level of net investment exposure to the fixed-income markets (either positive or negative) that it believes is advisable given then current market conditions. The Fund may have long positions totaling up to 150% of its net assets and short positions totaling up to 80% of its net assets, and will maintain a net investment exposure (long positions minus short positions) ranging from approximately -30% to 130% of net assets. The investment exposure provided by derivative positions will be measured using their notional values. These exposures did fluctuate during the reporting period as market conditions warranted. Our net exposures averaged approximately 66.5% for the reporting period.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial recording purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc (Fitch). The 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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

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

NUVEEN 5

Portfolio Managers’ Comments (continued)

When the Fund engages in a short sale, it sells a security that it does not own at the current market price and delivers to the buyer a security that the Fund has borrowed. The Fund is obligated to return the security to the lender, which is accomplished by a later purchase of the security by the Fund. Until the borrowed security is replaced, the Fund is required to pay to the lender amounts equal to any dividends or interest that accrue during the period of the loan. In addition, to borrow the security, the Fund may be required to pay a premium to the lender. The Fund may use all or a portion of the proceeds of its short sales to purchase additional long positions.

Debt securities in which the Fund invests directly include corporate bonds, convertible bonds, loans and U.S. Treasury and agency securities. The Fund may invest without limit in debt securities that are rated below investment grade or, if unrated, deemed by the Fund’s portfolio managers to be of comparable quality. Below investment grade securities are commonly referred to as high yield or “junk” bonds. The Fund may invest in debt securities issued by non-U.S. companies, including emerging market (EM) companies, if such securities are denominated in U.S. dollars. The Fund’s investments in EM companies are limited to 25% of net assets.

In addition to investing directly in debt securities, the Fund may obtain long and short investment exposures to debt securities by investing in ETFs. Such investments will be made in order to gain exposure to broad segments of the bond market or to particular industries or sectors of the market.

The Fund may also obtain long and short investment exposures to debt securities and to other permitted investments through the use of derivative instruments, including options, interest rate futures contracts, options on interest rate futures contracts, interest rate swaps, credit default swaps, total return swaps and options on the foregoing types of swaps.

During the reporting period, credit default swaps were used to add diversified exposure to a broad segment of the credit markets, or to express a view on a particular credit as part of an overall portfolio sector management strategy. The swap positions contributed negatively to performance during the reporting period.

We base our investment process on both top-down macroeconomic analysis of market trends and pricing, and bottom-up credit analysis of individual companies. After performing initial liquidity and market sector screens to narrow the investable universe of securities, we perform fundamental research to select long positions in issuers we believe have improving credit quality, high recovery value and cheap valuation. We generally take short positions as a tactical portfolio hedge to protect against broad market risks, to express a negative view with respect to a particular industry or sector of the market or with respect to individual issuers, when we view the issuer as having deteriorating credit quality, low recovery value and rich valuation.

During the reporting period, consumer discretionary and information technology were the largest contributions to performance. Conversely, our short positions detracted from performance, in particular within our materials, consumer discretionary and industrials sectors offset positive results. The broad rally in commodity related sectors impacted short positions in higher beta energy, metals & mining and chemical-related companies as the vast majority of bond and loan issues within these industries saw meaningful price appreciation.

Our short positions were the leading detractors from performance. In particular, our short positions in industrial holdings Chemours Co. and FMG Resources detracted. Both bond positions performed well during the reporting period. Since we were short the positions, they both detracted from performance. In addition, our long positions in industrial sector holdings Jack Cooper Enterprises, Inc. detracted from performance. Jack Cooper Enterprises, Inc. provides a full range of automotive transportation and logistics services throughout North America. During the reporting period, Moody’s downgraded the bonds’ rating. The downgrade was driven by lower than expected operating performance. Despite progress in addressing the company’s operational challenges, the underperformance led to higher leverage. The combination of higher leverage and operational underperformance has had a negative impact on the bonds as they traded down during the reporting period.

Several long positions contributed to performance, including the bonds of several energy holdings, including California Resources Corporation. Our long exposure in the energy sector positively impacted performance as oil prices appreciated and the sector’s overall outlook improved. The Fund’s position in the bonds of telecommunication services holdings Sprint Corporation also contributed to performance. Lastly, our long position in consumer discretionary sector holding Clear Channel Communications Inc. contributed to performance. The bonds of the media company traded up as risk assets continued their rally and the company continued to post strong numbers. In addition, the company is considering a bond exchange which was well received by the market as it would improve the firm’s maturity profile.

6 NUVEEN

Risk Considerations

and Dividend Information

Risk Considerations

Mutual fund investing involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be

achieved. Credit risk is the risk that an issuer may not be able to make interest and principal payments when due, as well as the risk that prices of bonds will decline when an issuer’s credit quality is expected to deteriorate. Investments in below investment grade or high yield securities are subject to liquidity risk and heightened credit risk. The Fund is subject to interest rate risk; as interest rates rise, bond prices fall. The Fund obtains long and short exposures to debt securities both through direct investments (including short sales) and derivatives. The use of derivatives involves substantial financial risks and transaction costs. A short sale involves the sale of a security which the Fund does not own, which is a speculative technique. The Fund will suffer a loss when securities to which it has long exposure decrease in price or when securities to which it has short exposure increase in price. Because the Fund has both long and short exposures to debt securities, the Fund has overall exposure to changes in the value of debt securities that is far greater than its net asset value. This may magnify gains and losses and increase the volatility of the Fund’s returns. In addition, the use of short sales will increase the Fund’s expenses. Non-U.S. investments involve risks such as currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards. These risks are magnified in emerging markets. These and other risk considerations, such as call, convertible security, ETF, frequent trading, income, and loan risks, are described in detail in the Fund’s prospectus.

Dividend Information

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

As of December 31, 2016, the Fund had a zero UNII balance, based upon our best estimate, for tax purposes and a negative UNII balance for financial reporting purposes.

All monthly dividends paid by the Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders would have received a notice to that effect. For financial reporting purposes, the composition and per share amounts of the Fund’s dividends for the reporting period are presented in this report’s Statement of Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for the Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.

NUVEEN 7

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8 NUVEEN

Fund Performance

and Expense Ratios

The Fund Performance and Expense Ratios for the Fund are shown within this section of the report.

Returns quoted represent past performance, which is no guarantee of future results. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Current performance may be higher or lower than the performance shown. Total returns for a period of less than one year are not annualized. Returns at net asset value (NAV) would be lower if the sales charge were included. Returns assume reinvestment of dividends and capital gains. For performance current to the most recent month-end visit nuveen.com or call (800) 257-8787.

Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

Returns may reflect fee waivers and/or expense reimbursements by the investment adviser during the periods presented. If any such waivers and/or reimbursements had not been in place, returns would have been reduced. See Notes to Financial Statements, Note 7—Management Fees and Other Transactions with Affiliates for more information.

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees, and assume reinvestment of dividends and capital gains.

Comparative index and Lipper return information is provided for Class A Shares at NAV only.

The expense ratios shown reflect total operating expenses (before fee waivers and/or expense reimbursements, if any) as shown in the most recent prospectus. The expense ratios include management fees and other fees and expenses.

NUVEEN 9

Fund Performance and Expense Ratios (continued)

Nuveen Symphony Dynamic Credit Fund

Refer to the first page of this Fund Performance and Expense Ratios section for further explanation of the information included within this section. Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.

Fund Performance

Average Annual Total Returns as of December 31, 2016

	Cumulative		Average Annual
	6-Month		1-Year		Since Inception
Class A Shares at NAV		3.10%		0.66%		(2.27)%
Class A Shares at maximum Offering Price		(1.79)%		(4.12)%		(3.86)%
BofA/Merrill Lynch U.S. High Yield Master II Index		7.47%		17.49%		4.49%
Lipper Alternative Credit Focus Funds Classification Average		3.06%		5.51%		1.20%
Class C Shares		2.71%		(0.12)%		(3.01)%
Class I Shares		3.29%		0.92%		(2.02)%

Since inception returns are from 1/15/14. Indexes and Lipper averages are not available for direct investment.

Class A Shares have a maximum 4.75% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC) equal to 1%, if redeemed within eighteen months of purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Expense Ratios as of Most Recent Prospectus

	Share Class
	Class A		Class C		Class I
Gross Expense Ratios		5.04%		5.83%		4.84%
Net Expense Ratios		3.07%		3.82%		2.82%

The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse expenses through October 31, 2017 so that total annual Fund operating expenses (excluding 12b-1 distribution and/or service fees, interest expenses, taxes, acquired fund fees and expenses, fees incurred in acquiring and disposing of portfolio securities (including prime broker fees and charges on short sales), dividend and interest expense on securities sold short, and extraordinary expenses) do not exceed 2.00% of the average daily net assets of any class of Fund shares. The expense limitation expiring October 31, 2017 may be terminated or modified prior to that date only with the approval of the Board of Trustees of the Fund.

10 NUVEEN

Yields as of December 31, 2016

Dividend Yield is the most recent dividend per share (annualized) divided by the offering price per share.

The SEC 30-Day Yield is a standardized measure of a Fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the Fund’s portfolio. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. Subsidized yields reflect fee waivers and/or expense reimbursements from the investment adviser during the period. If any such waivers and/or reimbursements had not been in place, yields would have been reduced. Unsubsidized yields do not reflect waivers and/or reimbursements from the investment adviser during the period. Refer to the Fund Performance and Expense Ratios page for further details on the investment adviser’s most recent agreement with the Fund to waive fees and/or reimburse expenses, where applicable. Dividend Yield may differ from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

Nuveen Symphony Dynamic Credit Fund

	Share Class
	Class A1		Class C		Class I
Dividend Yield		3.64%		3.06%		4.05%
SEC 30-Day Yield – Subsidized		1.93%		1.28%		2.28%
SEC 30-Day Yield – Unsubsidized		0.80%		0.10%		1.09%

1 The SEC Yield for Class A shares quoted in the table reflects the maximum sales load. Investors paying a reduced load because of volume discounts, investors paying no load because they qualify for one of the several exclusions from the load, and existing shareholders who previously paid a load but would like to know the SEC Yield applicable to their shares on a going-forward basis, should understand that the SEC Yield effectively applicable to them would be higher than the figure quoted in the table.

NUVEEN 11

Holding

Summaries as of December 31, 2016

This data relates to the securities held in the Fund’s portfolio of investments as of the end of this 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, 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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

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

Nuveen Symphony Dynamic Credit Fund

Fund Allocation

(% of net assets)

Long-Term Investments
Common Stocks	0.0%
Variable Rate Senior Loan Interests	10.2%
Corporate Bonds	59.1%
Convertible Bonds	0.7%
Total Long Exposure	70.0%
Short-Term Investments
Repurchase Agreements	37.6%
U.S. Government and Agency Obligations	22.2%
Total Short-Term Investments	59.8%
Securities Sold Short
Corporate Bonds Sold Short	(3.7)%
Total Short Exposure	(3.7)%
Other Assets Less Liabilities	(26.1)%
Net Assets	100%

Portfolio Composition –

Long Exposure

(% of net assets)

Media	10.4%
Oil, Gas & Consumable Fuels	6.1%
Food Products	5.3%
Software	4.5%
Hotels, Restaurants & Leisure	4.1%
Food & Staples Retailing	3.8%
Wireless Telecommunication Services	3.3%
Building Products	3.2%
Containers & Packaging	2.8%
Health Care Providers & Services	2.4%
Pharmaceuticals	2.0%
Technology Hardware, Storage & Peripherals	1.9%
Transportation Infrastructure	1.8%
Other	18.4%
Total	70.0%

Portfolio Composition –

Short Exposure

(% of net assets)

Automobiles	(1.3)%
Hotels, Restaurants & Leisure	(1.3)%
Chemicals	(1.1)%
Total	(3.7)%

Bond Credit Quality –

Long Exposure

(% of total long exposure)

BBB	4.0%
BB	47.0%
B	37.2%
CCC	6.9%
CC	3.6%
N/R (not rated)	1.3%
N/A (not applicable)	0.0%
Total	100%

Bond Credit Quality –

Short Exposure

(% of total short exposure)

BB	69.5%
B	30.5%
Total	100%

12 NUVEEN

Expense

Examples

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

The Examples below are based on an investment of $1,000 invested at the beginning of the period and held through the period ended December 31, 2016.

The beginning of the period is July 1, 2016.

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transaction costs were included, your costs would have been higher.

Nuveen Symphony Dynamic Credit Fund

	Share Class
	Class A		Class C		Class I
Actual Performance
Beginning Account Value	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value	$	1,031.00	$	1,027.10	$	1,032.90
Expenses Incurred During the Period	$	13.57	$	17.42	$	12.35
Hypothetical Performance (5% annualized return before expenses)
Beginning Account Value	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value	$	1,011.85	$	1,008.02	$	1,013.06
Expenses Incurred During the Period	$	13.44	$	17.26	$	12.23

For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 2.65%, 3.41% and 2.41% for Classes A, C and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

NUVEEN 13

Nuveen Symphony Dynamic Credit Fund

Portfolio of Investments December 31, 2016 (Unaudited)

Shares		Description (1)							Value
		LONG-TERM INVESTMENTS – 70.0%
		COMMON STOCKS – 0.0%
		Oil, Gas & Consumable Fuels – 0.0%
	2,168	Cobalt International Energy, Inc., (2)							$	2,645
		Total Common Stocks (cost $2,927)								2,645
Principal Amount (000)		Description (1)	Coupon (3)		Maturity (4)		Ratings (5)		Value
		VARIABLE RATE SENIOR LOAN INTERESTS – 10.2% (3)
		Building Products – 3.2%
$	250	Quikrete Holdings, Inc., Initial Term Loan, First Lien, (WI/DD)		TBD		TBD		BB–	$	252,813
		Food Products – 3.2%
	249	US Foods, Inc., Term Loan B		3.770%		6/27/23		BB–		252,090
		Hotels, Restaurants & Leisure – 2.6%
	200	Boyd Gaming Corporation, New Term Loan, (WI/DD)		TBD		TBD		BB+		201,744
		Semiconductors & Semiconductor Equipment – 0.3%
	26	NXP Semiconductor LLC, Term Loan F		3.270%		12/07/20		Baa2		26,768
		Software – 0.4%
	31	Computer Sciences Government Services, Term Loan B, First Lien		3.435%		11/30/23		BB+		31,265
		Technology Hardware, Storage & Peripherals – 0.5%
	42	Dell International LLC, Term Loan B		4.020%		9/07/23		BBB–		42,282
$	798	Total Variable Rate Senior Loan Interests (cost $800,862)								806,962
Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (5)		Value
		CORPORATE BONDS – 59.1%
		Airlines – 1.3%
$	100	American Airlines Group Inc., 144A		4.625%		3/01/20		BB–	$	101,250
		Chemicals – 0.4%
	40	TPC Group Inc., 144A		8.750%		12/15/20		B3		33,800
		Communications Equipment – 1.3%
	100	CommScope Technologies Finance LLC, 144A		6.000%		6/15/25		B+		106,000
		Construction Materials – 0.6%
	50	Norbord Inc., 144A		6.250%		4/15/23		Ba2		51,750
		Consumer Finance – 1.3%
	50	First Data Corporation, 144A		7.000%		12/01/23		B		53,250
	50	First Data Corporation, 144A		5.000%		1/15/24		BB		50,266
	100	Total Consumer Finance								103,516

14 NUVEEN

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (5)		Value
		Containers & Packaging – 2.8%
$	55	Ardagh Packaging Finance PLC and Ardagh MP Holdings USA, Inc., 144A		4.625%		5/15/23		Ba3	$	54,313
	60	Reynolds Group, 144A		5.125%		7/15/23		B+		60,975
	100	Sealed Air Corporation, 144A		5.500%		9/15/25		BB		103,250
	215	Total Containers & Packaging								218,538
		Diversified Consumer Services – 1.1%
	100	Ahern Rentals Inc., 144A		7.375%		5/15/23		B–		84,000
		Diversified Telecommunication Services – 1.7%
	100	IntelSat Limited		8.125%		6/01/23		Ca		31,250
	100	Level 3 Financing Inc.		5.375%		1/15/24		BB		101,000
	200	Total Diversified Telecommunication Services								132,250
		Electrical Equipment – 1.3%
	100	EnerSys, 144A		5.000%		4/30/23		BB+		100,500
		Equity Real Estate Investment Trusts – 1.3%
	100	Communications Sales & Leasing Inc., 144A		6.000%		4/15/23		BB+		103,250
		Food & Staples Retailing – 3.8%
	145	Albertsons Cos LLC/Safeway Inc./New Albertson’s Inc./Albertson’s LLC, 144A		6.625%		6/15/24		B+		151,163
	40	Performance Food Group, Incorporated, 144A		5.500%		6/01/24		BB–		40,300
	100	Rite Aid Corporation, 144A		6.125%		4/01/23		B		107,500
	285	Total Food & Staples Retailing								298,963
		Food Products – 2.1%
	50	Pinnacle Foods Finance LLC		5.875%		1/15/24		B+		53,000
	100	WhiteWave Foods Company		5.375%		10/01/22		BB–		109,500
	150	Total Food Products								162,500
		Health Care Providers & Services – 2.4%
	50	Centene Corporation		5.625%		2/15/21		BB		52,570
	50	HCA Inc.		5.875%		2/15/26		BB		51,500
	40	HCA Inc.		5.250%		6/15/26		BBB–		41,350
	50	HealthSouth Corporation		5.750%		11/01/24		B+		50,625
	190	Total Health Care Providers & Services								196,045
		Hotels, Restaurants & Leisure – 1.5%
	23	Boyd Gaming Corporation, 144A		6.375%		4/01/26		B+		24,771
	50	Interval Acquisition Corporation		5.625%		4/15/23		BB–		51,000
	40	KFC Holding Co/ Pizza Hut Holdings LLC/ Taco Bell of America LLC, 144A		5.000%		6/01/24		BB		40,850
	113	Total Hotels, Restaurants & Leisure								116,621
		Household Products – 1.3%
	100	Spectrum Brands Inc., 144A		5.750%		7/15/25		BB		103,750

NUVEEN 15

Nuveen Symphony Dynamic Credit Fund (continued)

Portfolio of Investments December 31, 2016 (Unaudited)

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (5)		Value
		Internet and Direct Marketing Retail – 1.4%
$	100	Netflix Incorporated		5.500%		2/15/22		B+	$	107,750
		Internet Software & Services – 0.5%
	37	Match Group Inc.		6.375%		6/01/24		BB–		39,035
		Leisure Products – 1.3%
	100	Party City Holdco Inc., 144A		6.125%		8/15/23		B–		104,500
		Media – 10.4%
	96	Affinion International Holdings Co, 144A		7.500%		7/30/18		B–		92,299
	100	Altice US Finance I Corporation, 144A		5.375%		7/15/23		BB–		103,750
	100	Cable One Inc., 144A		5.750%		6/15/22		BB		103,000
	100	CCO Holdings LLC Finance Corporation, 144A		5.750%		2/15/26		BB+		103,500
	425	Clear Channel Communications, Inc., PIK		14.000%		2/01/21		CC		161,881
	10	Dish DBS Corporation		7.750%		7/01/26		Ba3		11,275
	50	Lamar Media Corporation		5.750%		2/01/26		Ba1		52,625
	100	LIN Television Corporation		5.875%		11/15/22		B+		101,750
	50	Sinclair Television Group, 144A		5.875%		3/15/26		B+		50,125
	40	Sirius XM Radio Inc., 144A		5.375%		4/15/25		BB		39,800
	1,071	Total Media								820,005
		Multiline Retail – 0.7%
	50	Scotts Miracle-Gro Company, 144A		6.000%		10/15/23		B+		52,875
		Oil, Gas & Consumable Fuels – 6.1%
	80	California Resources Corporation, 144A		8.000%		12/15/22		CCC+		71,200
	36	Cobalt International Energy, Inc., 144A		10.750%		12/01/21		N/R		34,722
	42	Cobalt International Energy, Inc., 144A		7.750%		12/01/23		N/R		23,310
	40	Denbury Resources Inc.		5.500%		5/01/22		CCC+		34,900
	50	FTS International Inc., 144A		8.350%		6/15/20		B		50,000
	85	Oasis Petroleum Inc.		6.875%		3/15/22		B+		87,125
	75	Parsley Energy LLC Finance Corporation, 144A		6.250%		6/01/24		B+		78,923
	25	Rex Energy Corporation		1.000%		10/01/20		N/R		13,000
	90	Whiting Petroleum Corporation		5.000%		3/15/19		BB–		90,352
	523	Total Oil, Gas & Consumable Fuels								483,532
		Pharmaceuticals – 2.0%
	100	JLL Delta Dutch Newco BV, 144A		7.500%		2/01/22		B–		105,750
	50	Prestige Brands Inc., 144A		6.375%		3/01/24		B		52,500
	150	Total Pharmaceuticals								158,250
		Professional Services – 1.3%
	100	Nielsen Finance LLC Co		5.000%		4/15/22		BB+		101,750

16 NUVEEN

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (5)		Value
		Software – 4.1%
$	15	Balboa Merger Sub Inc., 144A		11.375%	��	12/01/21		CCC+	$	15,000
	200	Infor Software Parent LLC and Infor Software Parent Inc., 144A, PIK		7.125%		5/01/21		CCC+		205,000
	100	SS&C Technologies Holdings, Inc.		5.875%		7/15/23		B+		103,625
	315	Total Software								323,625
		Specialty Retail – 0.3%
	20	Penske Automotive Group, Inc.		5.500%		5/15/26		B+		19,750
		Technology Hardware, Storage & Peripherals – 1.4%
	60	Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A		5.450%		6/15/23		BBB–		63,579
	45	Western Digital Corporation, 144A		7.375%		4/01/23		BBB–		49,500
	105	Total Technology Hardware, Storage & Peripherals								113,079
		Trading Companies & Distributors – 0.3%
	25	HD Supply Inc., 144A		5.750%		4/15/24		B		26,393
		Transportation Infrastructure – 1.8%
	175	CEVA Group PLC, 144A		7.000%		3/01/21		B2		140,875
		Wireless Telecommunication Services – 3.3%
	150	Sprint Corporation		7.875%		9/15/23		B+		160,125
	100	UPCB Finance Limited, 144A		5.375%		1/15/25		BB		100,749
	250	Total Wireless Telecommunication Services								260,874
$	4,964	Total Corporate Bonds (cost $4,808,756)								4,665,026
Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (5)		Value
		CONVERTIBLE BONDS – 0.7%
		Energy Equipment & Services – 0.7%
$	80	Hornbeck Offshore Services Inc.		1.500%		9/01/19		CCC	$	56,750
		Oil, Gas & Consumable Fuels – 0.0%
	50	Energy and Exploration Partners Inc., 144A, (6)		8.000%		7/01/19		N/R		50
$	130	Total Convertible Bonds (cost $80,392)								56,800
		Total Long-Term Investments (cost $5,692,937)								5,531,433
Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (5)		Value
		SHORT-TERM INVESTMENTS – 59.8%
		REPURCHASE AGREEMENTS – 37.6%
$	2,962	Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/16, repurchase price $2,962,411, collateralized by $3,020,000 U.S. Treasury Notes, 0.500%, due 4/30/17, value $3,022,211		0.030%		1/03/17		N/A	$	2,962,401

NUVEEN 17

Nuveen Symphony Dynamic Credit Fund (continued)

Portfolio of Investments December 31, 2016 (Unaudited)

Principal Amount (000)			Description (1)	Coupon		Maturity		Ratings (5)		Value
			U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 22.2%
$	1,750		U.S. Treasury Bills		0.000%		1/26/17		AAA	$	1,749,558
			Total Short-Term Investments (cost $4,711,959)								4,711,959
			Total Investments (cost $10,404,896) – 129.8%								10,243,392
Principal Amount (000)			Description (1)	Coupon		Maturity		Ratings (5)		Value
			SECURITIES SOLD SHORT – (3.7)% (7)
			CORPORATE BONDS SOLD SHORT – (3.7)%
			Automobiles – (1.3)%
$	(100	)	Jaguar Land Rover Automotive PLC, 144A		5.625%		2/01/23		BB+	$	(104,250	)
			Chemicals – (1.1)%
	(90	)	Chemours Co		6.625%		5/15/23		B+		(89,100	)
			Hotels, Restaurants & Leisure – (1.3)%
	(100	)	Wynn Las Vegas LLC Corporation, 144A		5.500%		3/01/25		BB		(99,200	)
$	(290	)	Total Securities Sold Short (proceeds $288,375)								(292,550	)
			Other Assets Less Liabilities – (26.1)%								(2,062,037	)
			Net Assets – 100%							$	7,888,805

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.

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

(3) 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.

(4) 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.

(5) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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.

(6) As of, 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.

(7) The Fund may pledge up to 100% of its eligible long-term investments in the Portfolio of Investments as collateral for securities sold short. As of the end of the reporting period, long-term investments with a value of $786,524 have been pledged as collateral for securities sold short.

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

PIK All or a portion of this security is payment-in-kind.

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.

See accompanying notes to financial statements.

18 NUVEEN

Statement of

Assets and Liabilities December 31, 2016 (Unaudited)

Assets
Long-term investments, at value (cost $5,692,937)	$	5,531,433
Short-term investments, at value (cost approximates value)		4,711,959
Cash collateral at brokers(1)		110,308
Receivable for:
Interest		93,839
Investments sold		693
Reclaims		240
Reimbursement from Adviser		13,142
Other assets		11,422
Total assets		10,473,036
Liabilities
Cash overdraft		692
Securities sold short, at value (proceeds $288,375)		292,550
Payable for:
Dividends		26,460
Interest on securities sold short		4,939
Investments purchased		2,200,555
Accrued expenses:
12b-1 distribution and service fees		48
Other		58,987
Total liabilities		2,584,231
Net assets	$	7,888,805
Class A Shares
Net assets	$	70,573
Shares outstanding		4,495
Net asset value (“NAV”) per share	$	15.70
Offering price per share (NAV per share plus maximum sales charge of 4.75% of offering price)	$	16.48
Class C Shares
Net assets	$	39,233
Shares outstanding		2,500
NAV and offering price per share	$	15.69
Class I Shares
Net assets	$	7,778,999
Shares outstanding		495,569
NAV and offering price per share	$	15.70
Net assets consist of:
Capital paid-in	$	9,935,580
Undistributed (Over-distribution of) net investment income		(45,359	)
Accumulated net realized gain (loss)		(1,835,737	)
Net unrealized appreciation (depreciation)		(165,679	)
Net assets	$	7,888,805
Authorized shares – per class		Unlimited
Par value per share	$	0.01

(1) Cash segregated and pledged to collateralize the net payment obligations for securities sold short. Cash pledged as collateral for securities sold short is in addition to the Fund’s securities pledged as collateral as noted in the Portfolio of Investments.

See accompanying notes to financial statements.

NUVEEN 19

Statement of

Operations Six Months Ended December 31, 2016 (Unaudited)

Investment Income	$	270,721
Expenses
Management fees		68,022
12b-1 service fees – Class A Shares		79
12b-1 distribution and service fees – Class C Shares		198
Interest expense on securities sold short		15,272
Prime broker expenses		2,666
Shareholder servicing agent fees		234
Custodian fees		29,445
Trustees fees		48
Professional fees		10,851
Shareholder reporting expenses		20,287
Federal and state registration fees		39,342
Other		2,793
Total expenses before fee waiver/expense reimbursement		189,237
Fee waiver/expense reimbursement		(93,039	)
Net expenses		96,198
Net investment income (loss)		174,523
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(722,767	)
Securities sold short		(86,234	)
Swaps		(75,501	)
Change in net unrealized appreciation (depreciation) of:
Investments		956,237
Securities sold short		(9,600	)
Swaps		15,173
Net realized and unrealized gain (loss)		77,308
Net increase (decrease) in net assets from operations	$	251,831

See accompanying notes to financial statements.

20 NUVEEN

Statement of

Changes in Net Assets (Unaudited)

	Six Months Ended 12/31/16			Year Ended 6/30/16
Operations
Net investment income (loss)	$	174,523		$	369,864
Net realized gain (loss) from:
Investments		(722,767	)		(779,997	)
Securities sold short		(86,234	)		122,765
Swaps		(75,501	)		45,191
Change in net unrealized appreciation (depreciation) of:
Investments		956,237			(413,138	)
Securities sold short		(9,600	)		(12,950	)
Swaps		15,173			(19,421	)
Net increase (decrease) in net assets from operations		251,831			(687,686	)
Distributions to Shareholders
From net investment income:
Class A Shares		(1,193	)		(2,480	)
Class C Shares		(600	)		(2,008	)
Class I Shares		(157,777	)		(488,017	)
From accumulated net realized gains:
Class A Shares		—			—
Class C Shares		—			—
Class I Shares		—			—
Return of capital:
Class A Shares		—			(648	)
Class C Shares		—			(571	)
Class I Shares		—			(113,474	)
Decrease in net assets from distributions to shareholders		(159,570	)		(607,198	)
Fund Share Transactions
Proceeds from sale of shares		19,358			20,100
Proceeds from shares issued to shareholders due to reinvestment of distributions		508			2,686
		19,866			22,786
Cost of shares redeemed		(102	)		(44,653	)
Net increase (decrease) in net assets from Fund share transactions		19,764			(21,867	)
Net increase (decrease) in net assets		112,025			(1,316,751	)
Net assets at the beginning of period		7,776,780			9,093,531
Net assets at the end of period	$	7,888,805		$	7,776,780
Undistributed (Over-distribution of) net investment income at the end of period	$	(45,359	)	$	(60,312	)

See accompanying notes to financial statements.

NUVEEN 21

Financial

Highlights (Unaudited)

Selected data for a share outstanding throughout each period:

			Investment Operations								Less Distributions
Class (Commencement Date) Year Ended June 30,	Beginning NAV		Net Investment Income (Loss)(a)		Net Realized/ Unrealized Gain (Loss)			Total			From Net Investment Income			From Accumulated Net Realized Gains			Return of Capital			Total			Ending NAV
Class A (1/14)
2017(g)	$	15.52	$	0.32	$	0.16		$	0.48		$	(0.30	)	$	—		$	—		$	(0.30	)	$	15.70
2016		18.09		0.69		(2.10	)		(1.41	)		(0.93	)		—			(0.23	)		(1.16	)		15.52
2015		21.16		1.11		(2.76	)		(1.65	)		(1.17	)		(0.25	)		—			(1.42	)		18.09
2014(e)		20.00		0.43		0.93			1.36			(0.20	)		—			—			(0.20	)		21.16
Class C (1/14)
2017(g)		15.51		0.27		0.15			0.42			(0.24	)		—			—			(0.24	)		15.69
2016		18.07		0.57		(2.10	)		(1.53	)		(0.80	)		—			(0.23	)		(1.03	)		15.51
2015		21.12		0.96		(2.75	)		(1.79	)		(1.01	)		(0.25	)		—			(1.26	)		18.07
2014(e)		20.00		0.36		0.93			1.29			(0.17	)		—			—			(0.17	)		21.12
Class I (1/14)
2017(g)		15.51		0.35		0.16			0.51			(0.32	)		—			—			(0.32	)		15.70
2016		18.09		0.74		(2.11	)		(1.37	)		(0.98	)		—			(0.23	)		(1.21	)		15.51
2015		21.17		1.16		(2.76	)		(1.60	)		(1.23	)		(0.25	)		—			(1.48	)		18.09
2014(e)		20.00		0.46		0.93			1.39			(0.22	)		—			—			(0.22	)		21.17

22 NUVEEN

			Ratios/Supplemental Data
					Ratios to Average Net Assets Before Waiver/Reimbursement(d)						Ratios to Average Net Assets After Waiver/Reimbursement(c)(d)
Total Return(b)			Ending Net Assets (000)		Expenses			Net Investment Income (Loss)			Expenses			Net Investment Income (Loss)			Portfolio Turnover Rate(f)
	3.10	%	$	71		5.03	%*		1.69	%*		2.65	%*		4.06	%*		21	%
	(7.97	)		59		5.04			2.22			3.07			4.19			40
	(7.83	)		45		3.21			5.11			2.56			5.75			117
	6.83			53		2.87	*		4.22	*		2.52	*		4.57	*		76
	2.71			39		5.75	*		1.06	*		3.41	*		3.39	*		21
	(8.65	)		39		5.83			1.42			3.82			3.44			40
	(8.53	)		45		3.95			4.36			3.31			5.00			117
	6.43			53		3.63	*		3.46	*		3.27	*		3.82	*		76
	3.29			7,779		4.75	*		2.06	*		2.41	*		4.40	*		21
	(7.78	)		7,679		4.84			2.42			2.82			4.44			40
	(7.61	)		9,003		2.96			5.35			2.31			6.00			117
	6.95			10,478		2.63	*		4.46	*		2.27	*		4.82	*		76

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b) Total return is the combination of changes in NAV without any sales charge, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. Total returns are not annualized.

(c) After fee waiver and/or expense reimbursement from the Adviser, where applicable.

(d) Each ratio includes the effect of interest expense and prime broker expenses on securities sold short as follows:

	Ratios of Interest Expense on Securities Sold Short to Average Net Assets									Ratios of Prime Broker Expenses to Average Net Assets
	Class A			Class C			Class I			Class A			Class C			Class I
Year Ended June 30,
2017(g)		0.38	%*		0.38	%*		0.38	%*		0.07	%*		0.07	%*		0.07	%*
2016		0.74			0.74			0.74			0.12			0.12			0.12
2015		0.26			0.26			0.26			0.09			0.09			0.09
2014(e)		0.26	*		0.26	*		0.26	*		0.04	*		0.04	*		0.04	*

(e) For the period January 15, 2014 (commencement of operations) through June 30, 2014.

(f) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.

(g) For the six months ended December 31, 2016.

* Annualized.

See accompanying notes to financial statements.

NUVEEN 23

Notes to

Financial Statements (Unaudited)

1. General Information and Significant Accounting Policies

General Information

Trust and Fund Information

The Nuveen Investment Trust III (the “Trust”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Trust is comprised of the Nuveen Symphony Dynamic Credit Fund (the “Fund”), a diversified fund, among others. The Trust was organized as a Massachusetts business trust on August 20, 1998.

The end of the reporting period for the Fund is December 31, 2016, and the period covered by these Notes to Financial Statements is the six months ended December 31, 2016 (the “current fiscal period”).

Investment Adviser

The Fund’s investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Fund, oversees the management of the Fund’s portfolios, manages the Fund’s business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into a sub-advisory agreement with Symphony Asset Management LLC (the “Sub-Adviser”), an affiliate of Nuveen, under which the Sub-Adviser manages the investment portfolio of the Fund.

Fund Liquidation

On November 18, 2016, the Adviser announced that the Fund will be liquidated after the close of business on January 24, 2017, as approved by the Fund’s Board of Trustees (the “Board”). Effective December 19, 2016, the Fund stopped accepting purchases from new investors and existing shareholders, except that defined contribution retirement plans that held Fund shares as of November 18, 2016 could continue to purchase Fund shares until January 19, 2017. Existing shareholders continued to reinvest dividends and capital gains distributions received from the Fund. After the close of business on January 24, 2017, the Fund liquidated any remaining shareholder accounts and sent shareholders the proceeds of the liquidation.

Investment Objectives

The Fund’s investment objective is to seek total return.

The Fund’s most recent prospectus provides further description of the Fund’s investment objective, principal investment strategies and principal risks.

Significant Accounting Policies

The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).

Investment Transactions

Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the “secondary market“ is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Fund has earmarked securities in its portfolio with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.

As of the end of the reporting period, the Fund’s outstanding when-issued/delayed delivery purchase commitments were as follows:

Outstanding when-issued/delayed delivery purchase commitments $ 450,966

Investment Income

Investment income on investments purchased, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, and interest expense on securities sold short is recorded on an accrual basis. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees are recognized as a component of “Investment Income” on the Statement of Operations, if any.

24 NUVEEN

Professional Fees

Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.

Dividends and Distributions to Shareholders

Dividends from net investment income are declared daily and distributed to shareholders monthly. Fund shares begin to accrue dividends on the business day after the day when the monies used to purchase Fund shares are collected by the transfer agent.

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

Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Share Classes and Sales Charges

Class A Shares are generally sold with an up-front sales charge and incur a 0.25% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value (“NAV”) without an up-front sales charge but may be subject to a contingent deferred sales charge (“CDSC”) equal to 1% if redeemed within eighteen months of purchase. Class C Shares are sold without an up-front sales charge but incur a 0.75% annual 12b-1 distribution fee and a 0.25% annual 12b-1 service fee. Class C Shares are subject to a CDSC of 1% if redeemed within twelve months of purchase. Class I Shares are not subject to any sales charge or 12b-1 distribution or service fees.

Multiclass Operations and Allocations

Income and expenses of the Fund that are not directly attributable to a specific class of shares are prorated among the classes based on the relative settled shares of each class. Expenses directly attributable to a class of shares are recorded to the specific class. Currently, the only expenses that are allocated on a class-specific basis are 12b-1 distribution and service fees.

Realized and unrealized capital gains and losses of the Fund are prorated among the classes based on the relative net assets of each class.

Indemnifications

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

Netting Agreements

In the ordinary course of business, the Fund may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, the Fund manages its cash collateral and securities collateral on a counterparty basis.

The Fund’s investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

2. Investment Valuation and Fair Value Measurements

The fair valuation input levels as described below are for fair value measurement purposes.

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

NUVEEN 25

Notes to Financial Statements (Unaudited) (continued)

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).

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the NASDAQ National Market (“NASDAQ”) are valued at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and are generally classified as Level 2.

Prices of fixed income securities are provided by an independent pricing service (“pricing service”) approved by the Fund’s Board of Trustees (the “Board”). The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer or market activity provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

Like most fixed-income securities, the senior and subordinated loans in which the Fund invests are not listed on an organized exchange. The secondary market of such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior and subordinated loans, determined as described above, may differ significantly from the value that would have been determined had there been an active market for that senior loan. These securities are generally classified as Level 2.

Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s NAV (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. 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*:
Common Stocks	$	2,645	$	—		$	—	$	2,645
Variable Rate Senior Loan Interests		—		806,962			—		806,962
Corporate Bonds		—		4,665,026			—		4,665,026
Convertible Bonds		—		56,800			—		56,800
Short-Term Investments:
Repurchase Agreements		—		2,962,401			—		2,962,401
U.S. Government and Agency Obligations		—		1,749,558			—		1,749,558
Securities Sold Short*:
Corporate Bonds Sold Short		—		(292,550	)		—		(292,550	)
Total	$	2,645	$	9,948,197		$	—	$	9,950,842

* Refer to the Fund’s Portfolio of Investments for industry classifications.

26 NUVEEN

The Board is responsible for the valuation process and has appointed the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies and reporting to the Board. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:

(i) If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities.

(ii) If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis.

The purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument’s current value.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board.

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following table presents the repurchase agreements for the Fund that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.

Counterparty	Short-Term Investments, at value	Collateral Pledged (From) Counterparty*			Net Exposure
Fixed Income Clearing Corporation	$2,962,401	$	(2,962,401	)	$	—

* As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Fund’s Portfolio of Investments for details on the repurchase agreements.

Short Sale Transactions

The Fund pursues a “long/short” investment strategy, pursuant to which it sells securities short and may purchase additional long investments with some or all of the proceeds of the short sale transactions.

When the Fund sells a security short, it borrows the security from a third party and segregates assets as collateral to secure its obligation to return the security to the lender either upon closing out the short position or upon demand from the lender. Proceeds from short selling may be used to finance the purchase of additional securities for the Fund’s long portfolio. The amount of collateral required to be pledged to borrow a security is determined by reference to the market value of the security borrowed. The value of the collateral required to be pledged as of the end of the reporting period is disclosed in the Fund’s Portfolio of Investments, and any cash pledged as collateral in addition to long-term investments is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities. The Fund is obligated to pay the party from whom the securities were borrowed interest accrued and/or dividends declared on the security and such amounts are recognized as “Interest expense on securities sold short” and/or “Dividends expense on securities sold short”, respectively, on the Statement of Operations, when applicable. Short sales are valued daily, and the corresponding unrealized gains and losses are recognized as “Change in net unrealized appreciation (depreciation) of securities sold short” on the Statement of Operations. Liabilities for securities sold short are reported at market value on the Statement of Assets and Liabilities. Short sale transactions result in off-balance sheet risk because the ultimate obligation may exceed the related amounts shown on the Statement of Assets and

NUVEEN 27

Notes to Financial Statements (Unaudited) (continued)

Liabilities. The Fund will incur a loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund’s losses on short sales are potentially unlimited because there is no upward limit on the price a borrowed security could attain. The Fund will realize a gain if the price of the security declines between those dates. Gains and losses from securities sold short are recognized as “Net realized gain (loss) from securities sold short” on the Statement of Operations.

Bank of America Merrill Lynch (“BAML”) facilitates the short sales transactions for the Fund. The Fund currently pays prime brokerage fees to BAML for its services for the Fund, which are recognized as “Prime broker expenses” on the Statement of Operations.

Investments in Derivatives

The Fund is authorized to invest in certain derivative instruments. The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

Credit Default Swap

The Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. When the Fund has bought (sold) protection in a credit default swap, upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) deliver (receive) that security, or an equivalent amount of cash, from the counterparty in exchange for receipt (payment) of the notional amount to the counterparty, or (ii) receive (pay) a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security received (delivered) and the notional amount delivered (received) is recorded as a realized gain or loss. Payments paid (received) or made at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.

Credit default swap contracts are valued daily. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations.

For OTC swaps not cleared through a clearing house (“OTC Uncleared”), the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps (, net)” on the Statement of Assets and Liabilities.

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit a Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on credit default swaps (, net)” as described in the preceding paragraph. The maximum potential amount of future payments the Fund could incur as a buyer or seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity.

During the current fiscal period, the Fund invested in credit default swap contracts to add diversified exposure to a broad segment of the credit markets, or to express a view on credit as part of an overall portfolio sector management strategy.

The average notional amount of credit default swap contracts outstanding during the current fiscal period was as follows:

Average notional amount of credit default swap contracts outstanding* $ 666,667

* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period and the primary underlying risk exposure.

Underlying Risk Exposure	Derivative Instrument	Net Realized Gain (Loss) from Swaps			Change in Net Unrealized Appreciation (Depreciation) of Swaps
Credit	Swaps	$	(75,501	)	$	15,173

28 NUVEEN

Market and Counterparty Credit Risk

In the normal course of business the Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose the Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of the Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.

The Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of the Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when the Fund has an unrealized loss, the Fund has instructed the custodian to pledge assets of the Fund as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

4. Fund Shares

Transactions in Fund shares during the current and prior fiscal period were as follows:

	Six Months Ended 12/31/16						Year Ended 6/30/16
	Shares			Amount			Shares			Amount
Shares sold:
Class A		675		$	10,500			1,287		$	20,100
Class C		—			—			—			—
Class I		561			8,858			—			—
Shares issued to shareholders due to reinvestment of distributions:
Class A		25			389			14			217
Class C		—			—			—			—
Class I		8			119			147			2,469
		1,269			19,866			1,448			22,786
Shares redeemed:
Class A		(6	)		(102	)		—			—
Class C		—			—			—			—
Class I		—			—			(2,855	)		(44,653	)
		(6	)		(102	)		(2,855	)		(44,653	)
Net increase (decrease)		1,263		$	19,764			(1,407	)	$	(21,867	)

5. Investment Transactions

Long-term purchases and sales (including maturities and transactions for securities sold short, but excluding derivative transactions) during the current fiscal period aggregated $1,283,808 and $2,716,623, respectively.

6. Income Tax Information

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

For all open tax years and all major taxing jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

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. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAV of the Fund.

NUVEEN 29

Notes to Financial Statements (Unaudited) (continued)

As of December 31, 2016, the cost and unrealized appreciation (depreciation) of investments (excluding securities sold short), as determined on a federal income tax basis, were as follows:

Cost of investments	$	10,440,751
Gross unrealized:
Appreciation	$	254,144
Depreciation		(451,503	)
Net unrealized appreciation (depreciation) of investments	$	(197,359	)

Permanent differences, primarily due to premium amortization and treatment of notional principal contracts, resulted in reclassifications among the Fund’s components of net assets as of June 30, 2016, the Fund’s last tax year end, as follows:

Capital paid-in	$	—
Undistributed (Over-distribution of) net investment income		49,720
Accumulated net realized gain (loss)		(49,720	)

The tax components of undistributed net ordinary income and net long-term capital gains as of June 30, 2016, the Fund’s last tax year end, were as follows:

Undistributed net ordinary income	$	—
Undistributed net long-term capital gains		—

The tax character of distributions paid during the Fund’s last tax year ended June 30, 2016, was designated for purposes of the dividends paid deduction as follows:

Distributions from net ordinary income1	$	507,910
Distributions from net long-term capital gains		—
Return of capital		114,693

¹  Net ordinary income consists of taxable income derived from dividends, interest and net short-term capital gains, if any.

As of June 30, 2016, the Fund’s last tax year end, the Fund had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.

Capital losses to be carried forward- not subject to expiration $ 948,721

7. Management Fees and Other Transactions with Affiliates

Management Fees

The Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Fund from the management fee paid to the Adviser.

The Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within the Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual fund-level fee, payable monthly, is calculated according to the following schedule:

Average Daily Net Assets	Fund-Level Fee
For the first $125 million		1.5500	%
For the next $125 million		1.5375
For the next $250 million		1.5250
For the next $500 million		1.5125
For the next $1 billion		1.5000
For net assets over $2 billion		1.4750

30 NUVEEN

The annual complex-level fee, payable monthly, is calculated according to the following schedule:

Complex-Level Asset Breakpoint Level*	Effective Rate at Breakpoint Level
$55 billion		0.2000	%
$56 billion		0.1996
$57 billion		0.1989
$60 billion		0.1961
$63 billion		0.1931
$66 billion		0.1900
$71 billion		0.1851
$76 billion		0.1806
$80 billion		0.1773
$91 billion		0.1691
$125 billion		0.1599
$200 billion		0.1505
$250 billion		0.1469
$300 billion		0.1445

* The complex-level fee is calculated based upon the aggregate daily “eligible assets” of all Nuveen funds. Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. Eligible assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the closed-end funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining eligible assets in certain circumstances. As of December 31, 2016, the complex-level fee for the Fund was 0.1625%.

The Adviser has agreed to waive fees and/or reimburse expenses through October 31, 2017, so that total annual Fund operating expenses (excluding 12b-1 distribution and/or service fees, interest expenses, taxes, acquired fund fees and expenses, fees incurred in acquiring and disposing of portfolio securities (including prime broker fees and charges on short sales), dividends and interest expense on securities sold short and extraordinary expenses) do not exceed 2.00% of the average daily net assets of any class of Fund shares.

Other Transactions with Affiliates

The Trust pays no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Trust from the Adviser or its affiliates. The Board has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

During the current fiscal period, Nuveen Securities, LLC (the “Distributor”), a wholly-owned subsidiary of Nuveen, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to financial intermediaries as follows:

Sales charges collected	$	—
Paid to financial intermediaries		—

The Distributor also received 12b-1 service fees on Class A Shares, substantially all of which were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.

During the current fiscal period, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:

Commission advances $    —

To compensate for commissions advanced to financial intermediaries, all 12b-1 service and distribution fees collected on Class C Shares during the first year following a purchase are retained by the Distributor. During the current fiscal period, the Distributor retained such 12b-1 fees as follows:

12b-1 fees retained $ 198

The remaining 12b-1 fees charged to the Fund were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.

The Distributor also collected and retained CDSC on share redemptions during the current fiscal period, as follows:

CDSC retained $    —

During the current fiscal period, Nuveen Securities, LLC, a wholly-owned subsidiary of Nuveen retained all 12b-1 fees.

NUVEEN 31

Notes to Financial Statements (Unaudited) (continued)

As of the end of the reporting period, Nuveen owned shares of the Fund as follows:

Class A Shares	2,500
Class C Shares	2,500
Class I Shares	495,000

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Fund may have unfunded senior loan commitments. The Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of the end of the reporting period, the Fund had no such outstanding unfunded senior loan commitment.

Participation Commitments

With respect to the senior loans held in the Fund’s portfolio, the Fund may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If the Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the borrower. As such, the Fund not only assumes the credit risk of the borrower, but also that of the selling participant or other persons interpositioned between the Fund and the borrower. As of the end of the reporting period, the Fund had no such outstanding participation commitments.

9. Borrowing Arrangements

Uncommitted Line of Credit

During the current fiscal period, the Fund participated in an unsecured bank line of credit (“Unsecured Credit Line”) under which outstanding balances would bear interest at a variable rate. Although the Fund participated in the Unsecured Credit Line, it did not have any outstanding balances during the current fiscal period.

Committed Line of Credit

The Fund, along with certain other funds managed by the Adviser (“Participating Funds”), established a 364-day, approximately $2.5 billion standby credit facility with a group of lenders, under which the Participating Funds may borrow for various purposes other than leveraging for investment purposes. A large portion of this facility’s capacity (and its associated costs as described below) is currently dedicated for use by a small number of Participating Funds, which does not include the Fund covered by this shareholder report. The remaining capacity under the facility (and the corresponding portion of the facility’s annual costs) is separately dedicated to most of the other open-end funds in the Nuveen fund family, including the Fund covered by this shareholder report, along with a number of Nuveen closed-end funds. The credit facility expires in July 2017 unless extended or renewed.

The credit facility has the following terms: a fee of 0.15% per annum on unused commitment amounts, and interest at a rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.25% per annum or (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statement of Operations, and along with commitment fees, have been allocated among such Participating Funds based upon the relative proportions of the facility’s aggregate capacity reserved for them and other factors deemed relevant by the Adviser and the Board of each Participating Fund.

During the current fiscal period, the Fund did not utilized this facility.

10. Subsequent Events

As previously noted in Note 1 – General Information and Significant Accounting Policies, the Fund liquidated after the close of business on January 24, 2017.

32 NUVEEN

Additional

Fund Information

Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606   Sub-Adviser Symphony Asset Management LLC 555 California Street Rene Suite 2975 San Francisco, CA 94104 Independent Registered
Public Accounting Firm KPMG LLP 200 East Randolph Drive Chicago, IL 60601   Custodian State Street Bank & Trust
Company One Lincoln Street Boston, MA 02111 Legal Counsel Chapman and Cutler LLP Chicago, IL 60603 Transfer Agent and
Shareholder Services Boston Financial
Data Services, Inc. Nuveen Investor Services P.O. Box 8530 Boston, MA 02266-8530 (800) 257-8787

Quarterly Form N-Q Portfolio of Investments Information: The Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.

Nuveen Funds’ Proxy Voting Information: You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll-free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.

FINRA BrokerCheck: The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

NUVEEN 33

Glossary of Terms

Used in this Report

Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

BofA/Merrill Lynch U.S. High Yield Master II Index: Tracks the performance of U.S. Dollar-denominated below investment grade corporate debt publicly issued in the U.S. domestic market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges and management fee.

Beta: A measure of the volatility of a portfolio relative to the overall market. A beta less than 1.0 indicates lower risk than the market; a beta greater than 1.0 indicates higher risk than the market.

Lipper Alternative Credit Focus Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper Alternative Credit Focus Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.

Long Position: A security the fund owns in its portfolio.

Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash and accrued earnings) less its total liabilities. For funds with multiple classes, Net Assets are determined separately for each share class. NAV per share is equal to the fund’s (or share class’) Net Assets divided by its number of shares outstanding.

Short Position: A security the fund does not own but has sold through the delivery of a borrowed security.

Tax Equalization: The practice of treating a portion of the distribution made to a redeeming shareholder, which represents his proportionate part of undistributed net investment income and capital gain as a distribution for tax purposes. Such amounts are referred to as the equalization debits (or payments) and will be considered a distribution to the shareholder of net investment income and capital gain for calculation of the fund’s dividends paid deduction.

34 NUVEEN

Notes

NUVEEN 35

Nuveen:
	Serving Investors for Generations
	Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.
		Focused on meeting investor needs. Nuveen helps secure the long-term goals of individual investors and the advisors who serve them, providing access to investment expertise from leading asset managers and solutions across traditional and alternative asset classes. Built on more than a century of industry leadership, Nuveen’s teams of experts align with clients’ specific financial needs and goals, demonstrating commitment to advisors and investors through market perspectives and wealth management and portfolio advisory services. Nuveen manages $236 billion in assets as of December 31, 2016.
		Find out how we can help you. To learn more about how the products and services of Nuveen may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money. Learn more about Nuveen Funds at: www.nuveen.com/mf
Securities offered through Nuveen Securities, LLC, Member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com/mf

MSA-SDCF-1216P        23216-INV-B-03/18

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

Item 11. Controls and Procedures.

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

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: See EX-99.CERT attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable to this registrant.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an Exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registration specifically incorporates it by reference: See EX-99.906 CERT attached hereto.

SIGNATURES

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

(Registrant) Nuveen Investment Trust III

By	(Signature and Title)	/s/ Kathleen L. Prudhomme
		Kathleen L. Prudhomme Vice President and Secretary

Date: March 9, 2017

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/ Greg A. Bottjer
		Greg A. Bottjer Chief Administrative Officer (principal executive officer)

Date: March 9, 2017

By	(Signature and Title)	/s/ Stephen D. Foy
		Stephen D. Foy Vice President and Controller (principal financial officer)

Date: March 9, 2017