JRO
Nuveen Floating Rate Income Opportunity Fund
Portfolio of Investments October 31, 2019
(Unaudited)
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
LONG-TERM INVESTMENTS – 158.6% (97.5% of Total Investments) | ||||||||
VARIABLE RATE SENIOR LOAN INTERESTS – 143.3% (88.1% of Total Investments) (2) | ||||||||
Aerospace & Defense – 2.7% (1.6% of Total Investments) | ||||||||
$1,393 | MacDonald, Dettwiler and Associates, Ltd., Term Loan B | 4.854% | 3-Month LIBOR | 2.750% | 10/05/24 | B | $1,236,771 | |
4,426 | Sequa Corporation, Term Loan B | 7.187% | 3-Month LIBOR | 5.000% | 11/28/21 | B | 4,373,072 | |
1,597 | Sequa Corporation, Term Loan, Second Lien | 10.936% | 3-Month LIBOR | 9.000% | 4/28/22 | Caa2 | 1,552,556 | |
3,267 | Transdigm, Inc., Term Loan E | 4.286% | 1-Month LIBOR | 2.500% | 5/30/25 | Ba3 | 3,246,143 | |
726 | Transdigm, Inc., Term Loan F | 4.286% | 1-Month LIBOR | 2.500% | 6/09/23 | Ba3 | 723,542 | |
394 | Transdigm, Inc., Term Loan G, First Lien | 4.286% | 1-Month LIBOR | 2.500% | 8/22/24 | Ba3 | 391,465 | |
11,803 | Total Aerospace & Defense | 11,523,549 | ||||||
Air Freight & Logistics – 0.6% (0.4% of Total Investments) | ||||||||
1,041 | PAE Holding Corporation, Term Loan B | 7.604% | 3-Month LIBOR | 5.500% | 10/20/22 | B+ | 1,044,960 | |
1,444 | XPO Logistics, Inc., Term Loan B | 3.786% | 1-Month LIBOR | 2.000% | 2/24/25 | BBB- | 1,448,324 | |
2,485 | Total Air Freight & Logistics | 2,493,284 | ||||||
Airlines – 1.8% (1.1% of Total Investments) | ||||||||
845 | American Airlines, Inc., Replacement Term Loan | 3.939% | 1-Month LIBOR | 2.000% | 10/10/21 | BB+ | 846,074 | |
144 | American Airlines, Inc., Term Loan 2025 | 3.554% | 1-Month LIBOR | 1.750% | 6/27/25 | BB+ | 143,435 | |
1,850 | American Airlines, Inc., Term Loan B | 3.805% | 1-Month LIBOR | 2.000% | 4/28/23 | BB+ | 1,850,721 | |
4,181 | American Airlines, Inc., Term Loan B | 3.921% | 1-Month LIBOR | 2.000% | 12/14/23 | BB+ | 4,180,739 | |
750 | WestJet Airlines, Term Loan, (WI/DD) | TBD | TBD | TBD | TBD | Ba2 | 754,534 | |
7,770 | Total Airlines | 7,775,503 | ||||||
Auto Components – 1.4% (0.9% of Total Investments) | ||||||||
1,120 | DexKo Global, Inc., Term Loan B | 5.286% | 1-Month LIBOR | 3.500% | 7/24/24 | B1 | 1,106,600 | |
2,400 | Johnson Controls Inc., Term Loan B | 5.300% | 1-Month LIBOR | 3.500% | 4/30/26 | BB | 2,373,000 | |
1,450 | Superior Industries International, Inc., Term Loan B | 5.786% | 1-Month LIBOR | 4.000% | 5/23/24 | B1 | 1,319,359 | |
1,435 | Trico Group, LLC, Initial Term Loan, First Lien | 9.104% | 3-Month LIBOR | 7.000% | 2/02/24 | B | 1,402,789 | |
6,405 | Total Auto Components | 6,201,748 | ||||||
Automobiles – 0.4% (0.3% of Total Investments) | ||||||||
748 | Caliber Collision, Term Loan B | 5.286% | 1-Month LIBOR | 3.500% | 2/05/26 | B1 | 751,959 |
1
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Automobiles (continued) | ||||||||
$983 | Navistar, Inc., Term Loan B | 5.420% | 1-Month LIBOR | 3.500% | 11/06/24 | Ba2 | $974,522 | |
1,731 | Total Automobiles | 1,726,481 | ||||||
Beverages – 0.7% (0.4% of Total Investments) | ||||||||
2,941 | Jacobs Douwe Egberts, Term Loan B | 3.813% | 1-Month LIBOR | 1.750% | 11/01/25 | BB | 2,950,411 | |
Biotechnology – 0.9% (0.6% of Total Investments) | ||||||||
3,900 | Grifols, Inc., Term Loan B | 4.086% | 1-Week LIBOR | 2.250% | 1/31/25 | BB+ | 3,910,940 | |
Building Products – 2.5% (1.5% of Total Investments) | ||||||||
1,481 | ACProducts, Inc., Term Loan, First Lien | 7.286% | 1-Month LIBOR | 5.500% | 2/15/24 | B+ | 1,410,891 | |
435 | Fairmount, Initial Term Loan | 6.043% | 3-Month LIBOR | 4.000% | 6/01/25 | BB- | 306,138 | |
644 | Ply Gem Industries, Inc., Term Loan B | 5.664% | 1-Month LIBOR | 3.750% | 4/12/25 | B+ | 624,163 | |
8,322 | Quikrete Holdings, Inc., Term Loan B | 4.536% | 1-Month LIBOR | 2.750% | 11/15/23 | BB- | 8,299,718 | |
10,882 | Total Building Products | 10,640,910 | ||||||
Capital Markets – 2.6% (1.6% of Total Investments) | ||||||||
1,000 | Advisor Group Holdings, Inc., Term Loan A | 5.786% | 1-Month LIBOR | 4.000% | 2/01/25 | B+ | 955,000 | |
1,507 | Capital Automotive LP, Term Loan, First Lien | 4.290% | 1-Month LIBOR | 2.500% | 3/24/24 | B1 | 1,507,707 | |
1,783 | Capital Automotive LP, Term Loan, Second Lien | 7.790% | 1-Month LIBOR | 6.000% | 3/24/25 | CCC+ | 1,791,834 | |
1,985 | Distributed Power, Term Loan B | 4.805% | 1-Month LIBOR | 2.750% | 11/06/25 | B | 1,905,600 | |
5,171 | RPI Finance Trust, Term Loan B6 | 3.786% | 1-Month LIBOR | 2.000% | 4/17/23 | BBB- | 5,200,263 | |
11,446 | Total Capital Markets | 11,360,404 | ||||||
Chemicals – 0.3% (0.2% of Total Investments) | ||||||||
881 | Ineos US Finance LLC, Term Loan | 3.786% | 1-Month LIBOR | 2.000% | 3/31/24 | BBB- | 873,502 | |
319 | Mineral Technologies, Inc., Term Loan B2 | 4.750% | N/A | N/A | 5/07/21 | BB+ | 318,294 | |
1,200 | Total Chemicals | 1,191,796 | ||||||
Commercial Services & Supplies – 3.7% (2.3% of Total Investments) | ||||||||
1,290 | ADS Waste Holdings, Inc., Term Loan B | 4.086% | 1-Week LIBOR | 2.250% | 11/10/23 | BB+ | 1,293,597 | |
337 | Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien | 6.354% | 3-Month LIBOR | 4.250% | 6/21/24 | B- | 327,740 | |
1,150 | Dun & Bradstreet Corp., Initial Term Loan | 6.804% | 1-Month LIBOR | 5.000% | 2/08/26 | BB | 1,154,669 | |
220 | Education Management LLC, Term Loan A, (5) | 0.000% | N/A | N/A | 7/02/20 | N/R | 2,202 | |
318 | Education Management LLC, Term Loan B, (5) | 0.000% | N/A | N/A | 7/02/20 | N/R | 429 | |
6,546 | Formula One Group, Term Loan B | 4.286% | 1-Month LIBOR | 2.500% | 2/01/24 | B+ | 6,465,288 | |
1,000 | Fort Dearborn Holding Company, Inc., Term Loan, Second Lien | 10.556% | 3-Month LIBOR | 8.500% | 10/21/24 | CCC | 911,665 | |
1,050 | Garda World Security Corp, Term Loan B, First Lien, (WI/DD) | TBD | TBD | TBD | TBD | BB+ | 1,045,842 |
2
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Commercial Services & Supplies (continued) | ||||||||
$1,732 | GFL Environmental, Term Loan | 4.786% | 1-Month LIBOR | 3.000% | 5/31/25 | B+ | $1,729,208 | |
2,173 | iQor US, Inc., Term Loan, First Lien | 7.099% | 3-Month LIBOR | 5.000% | 4/01/21 | Caa1 | 1,812,398 | |
333 | iQor US, Inc., Term Loan, Second Lien | 10.849% | 3-Month LIBOR | 8.750% | 4/01/22 | Caa3 | 246,252 | |
350 | KAR Auction Services, Inc., Term Loan B6 | 4.125% | 1-Month LIBOR | 2.250% | 9/19/26 | Ba2 | 351,848 | |
599 | Robertshaw US Holding Corp., Initial Term Loan, First Lien | 5.063% | 1-Month LIBOR | 3.250% | 2/28/25 | B | 540,129 | |
253 | West Corporation, Incremental Term Loan B1 | 5.286% | 1-Month LIBOR | 3.500% | 10/10/24 | BB+ | 210,622 | |
17,351 | Total Commercial Services & Supplies | 16,091,889 | ||||||
Communications Equipment – 3.7% (2.3% of Total Investments) | ||||||||
6,208 | Avaya, Inc., Term Loan B | 6.171% | 1-Month LIBOR | 4.250% | 12/15/24 | BB- | 5,940,327 | |
4,967 | CommScope, Inc., Term Loan B | 5.036% | 1-Month LIBOR | 3.250% | 4/04/26 | Ba3 | 4,881,271 | |
1,390 | Mitel US Holdings, Inc., Term Loan, First Lien | 6.532% | 1-Month LIBOR | 4.500% | 11/30/25 | B | 1,235,787 | |
243 | MultiPlan, Inc., Term Loan B | 4.854% | 3-Month LIBOR | 2.750% | 6/07/23 | B+ | 228,908 | |
625 | Plantronics, Term Loan B | 4.286% | 1-Month LIBOR | 2.500% | 7/02/25 | Ba1 | 622,828 | |
3,017 | Univision Communications, Inc., Term Loan C5 | 4.536% | 1-Month LIBOR | 2.750% | 3/15/24 | B | 2,918,932 | |
16,450 | Total Communications Equipment | 15,828,053 | ||||||
Construction & Engineering – 0.7% (0.4% of Total Investments) | ||||||||
1,421 | KBR, Inc., Term Loan B | 5.536% | 1-Month LIBOR | 3.750% | 4/25/25 | BB- | 1,426,580 | |
1,743 | Traverse Midstream Partners, Term Loan B | 5.800% | 1-Month LIBOR | 4.000% | 9/27/24 | B+ | 1,537,819 | |
3,164 | Total Construction & Engineering | 2,964,399 | ||||||
Consumer Finance – 0.5% (0.3% of Total Investments) | ||||||||
2,207 | Verscend Technologies, Tern Loan B | 6.286% | 1-Month LIBOR | 4.500% | 8/27/25 | B+ | 2,213,135 | |
Containers & Packaging – 0.7% (0.4% of Total Investments) | ||||||||
1,995 | Berry Global, Inc., Term Loan U | 4.439% | 1-Month LIBOR | 2.500% | 7/01/26 | BBB- | 2,004,067 | |
1,048 | Berry Global, Inc., Term Loan W | 3.878% | 1-Month LIBOR | 2.000% | 10/01/22 | BBB- | 1,052,564 | |
3,043 | Total Containers & Packaging | 3,056,631 | ||||||
Distributors – 0.3% (0.2% of Total Investments) | ||||||||
266 | Insurance Auto Actions Inc., Term Loan | 4.063% | 1-Month LIBOR | 2.250% | 6/28/26 | BB+ | 268,028 | |
963 | SRS Distribution, Inc., Term Loan B | 5.036% | 1-Month LIBOR | 3.250% | 5/24/25 | B | 933,424 | |
1,229 | Total Distributors | 1,201,452 | ||||||
Diversified Consumer Services – 2.8% (1.7% of Total Investments) | ||||||||
4,922 | Cengage Learning Acquisitions, Inc., Term Loan B | 6.036% | 1-Month LIBOR | 4.250% | 6/07/23 | B | 4,597,102 | |
151 | Education Management LLC, Elevated Term Loan B, (5) | 7.612% | 2-Month LIBOR | 5.500% | 7/02/20 | N/R | 1,503 | |
4,532 | Houghton Mifflin, Term Loan B, First Lien | 4.786% | 1-Month LIBOR | 3.000% | 5/29/21 | B | 4,515,101 | |
2,233 | Refinitiv, Term Loan B | 5.536% | 1-Month LIBOR | 3.750% | 10/01/25 | BB+ | 2,246,948 |
3
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Diversified Consumer Services (continued) | ||||||||
$908 | Sotheby's, Term Loan B, (WI/DD) | TBD | TBD | TBD | TBD | B+ | $890,550 | |
12,746 | Total Diversified Consumer Services | 12,251,204 | ||||||
Diversified Financial Services – 2.1% (1.3% of Total Investments) | ||||||||
1,496 | Blackstone CQP, Term Loan | 5.656% | 3-Month LIBOR | 3.500% | 9/30/24 | B+ | 1,491,110 | |
2,448 | Ditech Holding Corp., Term Loan, (5) | 0.000% | N/A | N/A | 6/30/22 | D | 999,011 | |
1,080 | Getty Images, Inc., Initial Dollar Term Loan | 6.313% | 1-Month LIBOR | 4.500% | 2/19/26 | B2 | 1,053,984 | |
2,188 | Inmarsat Finance, Term Loan, First Lien, (WI/DD) | TBD | TBD | TBD | TBD | B1 | 2,157,761 | |
560 | Lions Gate Entertainment Corp., Term Loan B | 4.036% | 1-Month LIBOR | 2.250% | 3/24/25 | Ba2 | 545,787 | |
2,790 | Travelport LLC, Term Loan B | 7.104% | 3-Month LIBOR | 5.000% | 5/30/26 | B+ | 2,606,906 | |
10,562 | Total Diversified Financial Services | 8,854,559 | ||||||
Diversified Telecommunication Services – 7.9% (4.9% of Total Investments) | ||||||||
1,369 | CenturyLink, Inc., Initial Term Loan A | 4.536% | 1-Month LIBOR | 2.750% | 11/01/22 | BBB- | 1,373,199 | |
8,516 | CenturyLink, Inc., Term Loan B | 4.536% | 1-Month LIBOR | 2.750% | 1/31/25 | BBB- | 8,441,694 | |
5,397 | Frontier Communications Corporation, Term Loan B | 5.540% | 1-Month LIBOR | 3.750% | 6/15/24 | B | 5,388,479 | |
383 | Intelsat Jackson Holdings, S.A., Term Loan B4 | 6.432% | 6-Month LIBOR | 4.500% | 1/02/24 | B1 | 388,990 | |
614 | Intelsat Jackson Holdings, S.A., Term Loan B5 | 6.625% | N/A | N/A | 1/02/24 | B1 | 629,910 | |
3,643 | Level 3 Financing, Inc., Term Loan B | 4.036% | 1-Month LIBOR | 2.250% | 2/22/24 | BBB- | 3,651,933 | |
4,455 | Numericable Group S.A., Term Loan B13 | 5.921% | 1-Month LIBOR | 4.000% | 8/14/26 | B | 4,397,731 | |
1,000 | Windstream Corporation, DIP Term Loan | 4.290% | 1-Month LIBOR | 2.500% | 2/26/21 | N/R | 1,003,125 | |
9,000 | Ziggo B.V., Term Loan E | 4.421% | 1-Month LIBOR | 2.500% | 4/15/25 | BB | 8,904,690 | |
34,377 | Total Diversified Telecommunication Services | 34,179,751 | ||||||
Electric Utilities – 0.9% (0.5% of Total Investments) | ||||||||
885 | ExGen Renewables, Term Loan | 5.130% | 3-Month LIBOR | 3.000% | 11/28/24 | B | 837,296 | |
1,626 | Vistra Operations Co., Term Loan B1 | 3.786% | 1-Month LIBOR | 2.000% | 8/04/23 | BBB- | 1,632,880 |
4
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Electric Utilities (continued) | ||||||||
$1,273 | Vistra Operations Co., Term Loan B3 | 3.889% | 1-Month LIBOR | 2.000% | 12/31/25 | BBB- | $1,278,829 | |
3,784 | Total Electric Utilities | 3,749,005 | ||||||
Electronic Equipment, Instruments & Components – 0.4% (0.2% of Total Investments) | ||||||||
1,625 | TTM Technologies, Inc., Term Loan B | 4.532% | 1-Month LIBOR | 2.500% | 9/28/24 | BB+ | 1,600,559 | |
Entertainment – 0.5% (0.3% of Total Investments) | ||||||||
2,298 | AMC Entertainment, Inc., Term Loan B, (DD1) | 5.230% | 6-Month LIBOR | 3.000% | 4/22/26 | Ba2 | 2,299,512 | |
Equity Real Estate Investment Trust – 1.3% (0.8% of Total Investments) | ||||||||
6,037 | Communications Sales & Leasing, Inc., Shortfall Term Loan | 6.786% | 1-Month LIBOR | 5.000% | 10/24/22 | BB | 5,826,013 | |
Food & Staples Retailing – 5.0% (3.1% of Total Investments) | ||||||||
10,746 | Albertson's LLC, Term Loan B7 | 4.536% | 1-Month LIBOR | 2.750% | 11/17/25 | BB | 10,811,889 | |
783 | Albertson's LLC, Term Loan B8 | 4.536% | 1-Month LIBOR | 2.750% | 8/17/26 | BB | 787,423 | |
779 | Hearthside Group Holdings LLC, Term Loan B | 5.473% | 1-Month LIBOR | 3.688% | 5/31/25 | B | 723,964 | |
9,336 | US Foods, Inc., Term Loan B | 3.786% | 1-Month LIBOR | 2.000% | 6/27/23 | BB+ | 9,376,036 | |
21,644 | Total Food & Staples Retailing | 21,699,312 | ||||||
Food Products – 0.5% (0.3% of Total Investments) | ||||||||
936 | American Seafoods Group LLC, Term Loan B | 4.770% | 1-Month LIBOR | 2.750% | 8/21/23 | BB- | 935,601 | |
1,250 | BellRing Brands, Term Loan, First Lien | 6.786% | 1-Month LIBOR | 5.000% | 10/21/24 | B+ | 1,249,225 | |
2,186 | Total Food Products | 2,184,826 | ||||||
Health Care Equipment & Supplies – 0.6% (0.4% of Total Investments) | ||||||||
824 | Greatbatch, New Term Loan B | 4.980% | 1-Month LIBOR | 3.000% | 10/27/22 | B+ | 829,073 | |
899 | MedPlast, Term Loan, First Lien | 5.854% | 3-Month LIBOR | 3.750% | 7/02/25 | B- | 842,333 | |
1,080 | Vyaire Medical, Inc., Term Loan B | 6.835% | 3-Month LIBOR | 4.750% | 4/30/25 | B3 | 966,297 | |
2,803 | Total Health Care Equipment & Supplies | 2,637,703 | ||||||
Health Care Providers & Services – 9.1% (5.6% of Total Investments) | ||||||||
3,092 | Air Medical Group Holdings, Inc., Term Loan B | 5.096% | 1-Month LIBOR | 3.250% | 4/28/22 | B1 | 2,785,555 | |
1,081 | Air Methods Term Loan, First Lien | 5.604% | 3-Month LIBOR | 3.500% | 4/21/24 | B | 873,536 | |
1,236 | Ardent Health, Term Loan, First Lien | 6.286% | 1-Month LIBOR | 4.500% | 6/28/25 | B1 | 1,237,620 | |
1,799 | Brightspring Health, Term Loan B | 6.490% | 1-Month LIBOR | 4.500% | 3/05/26 | B1 | 1,798,936 | |
995 | Catalent Pharma Solutions, Inc., Dollar Term Loan B2 | 4.036% | 1-Month LIBOR | 2.250% | 5/17/26 | BB | 997,612 | |
764 | Civitas Solutions, Term Loan B, (DD1) | 6.040% | 1-Month LIBOR | 4.250% | 3/08/26 | B1 | 765,643 | |
44 | Civitas Solutions, Term Loan C | 6.040% | 1-Month LIBOR | 4.250% | 3/08/26 | B1 | 43,965 | |
1,383 | Concentra, Inc., Term Loan B | 4.540% | 3-Month LIBOR | 2.500% | 6/01/22 | B+ | 1,385,391 | |
1,200 | DaVita, Inc., Term Loan B | 4.036% | 1-Month LIBOR | 2.250% | 8/12/26 | BBB- | 1,204,554 |
5
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Health Care Providers & Services (continued) | ||||||||
$3,015 | Envision Healthcare Corporation, Initial Term Loan | 5.536% | 1-Month LIBOR | 3.750% | 10/10/25 | B+ | $2,448,895 | |
2,232 | HCA, Inc., Term Loan B11 | 3.536% | 1-Month LIBOR | 1.750% | 3/17/23 | BBB- | 2,242,671 | |
742 | HCA, Inc., Term Loan B12 | 3.536% | 1-Month LIBOR | 1.750% | 3/13/25 | BBB- | 746,639 | |
13 | Heartland Dental Care, Inc., Delay Draw Facility, (6) | 5.070% | N/A | 5.070% | 4/30/25 | B2 | 12,870 | |
588 | Heartland Dental Care, Inc., Term Loan, First Lien | 5.536% | 1-Month LIBOR | 3.750% | 4/30/25 | B2 | 572,196 | |
375 | Jordan Health, Initial Term Loan, First Lien, (WI/DD) | TBD | TBD | TBD | TBD | B3 | 310,313 | |
3,195 | Kindred at Home Hospice, Term Loan B | 5.563% | 1-Month LIBOR | 3.750% | 7/02/25 | B1 | 3,194,823 | |
5,679 | Lifepoint Health, Inc., Term Loan | 6.304% | 1-Month LIBOR | 4.500% | 11/16/25 | B+ | 5,672,958 | |
1,471 | Millennium Laboratories, Inc., Term Loan B, First Lien | 8.286% | 1-Month LIBOR | 6.500% | 12/21/20 | Caa3 | 650,879 | |
7,391 | Pharmaceutical Product Development, Inc., Term Loan B | 4.286% | 1-Month LIBOR | 2.500% | 8/18/22 | Ba3 | 7,385,995 | |
191 | Quorum Health Corp., Term Loan B | 8.677% | 3-Month LIBOR | 6.750% | 4/29/22 | B1 | 185,341 | |
2,794 | Select Medical Corporation, Term Loan B | 4.580% | 6-Month LIBOR | 2.500% | 3/06/25 | Ba2 | 2,786,256 | |
2,322 | Team Health, Inc., Initial Term Loan | 4.536% | 1-Month LIBOR | 2.750% | 2/06/24 | B+ | 1,804,967 | |
221 | Vizient, Inc., Term Loan B | 4.286% | 1-Month LIBOR | 2.500% | 5/06/26 | BB- | 222,121 | |
41,823 | Total Health Care Providers & Services | 39,329,736 | ||||||
Health Care Technology – 2.8% (1.7% of Total Investments) | ||||||||
6,142 | Emdeon, Inc., Term Loan | 4.286% | 1-Month LIBOR | 2.500% | 3/01/24 | B+ | 6,113,485 | |
2,234 | Onex Carestream Finance LP, Term Loan, First Lien | 7.536% | 1-Month LIBOR | 5.750% | 2/28/21 | B1 | 2,153,705 | |
2,262 | Onex Carestream Finance LP, Term Loan, Second Lien | 11.286% | 1-Month LIBOR | 9.500% | 6/07/21 | B- | 2,171,839 | |
1,800 | Zelis, Term Loan B, (DD1) | 6.536% | 1-Month LIBOR | 4.750% | 9/30/26 | B | 1,784,250 | |
12,438 | Total Health Care Technology | 12,223,279 | ||||||
Hotels, Restaurants & Leisure – 17.7% (10.9% of Total Investments) | ||||||||
1,520 | 24 Hour Fitness Worldwide, Inc., Term Loan B | 5.286% | 1-Month LIBOR | 3.500% | 5/31/25 | Ba3 | 1,180,334 | |
933 | Aramark Corporation, Term Loan | 3.536% | 1-Month LIBOR | 1.750% | 3/11/25 | BBB- | 935,381 | |
739 | Arby's Restaurant Group, Inc., Term Loan B | 5.216% | 3-Month LIBOR | 3.250% | 2/05/25 | B+ | 734,258 | |
16,664 | Burger King Corporation, Term Loan B3 | 4.036% | 1-Month LIBOR | 2.250% | 2/16/24 | BB | 16,716,047 | |
6,819 | Caesars Entertainment Operating Company, Inc., Term Loan B | 3.786% | 1-Month LIBOR | 2.000% | 10/06/24 | BB | 6,824,156 | |
7,772 | Caesars Resort Collection, Term Loan, First Lien | 4.536% | 1-Month LIBOR | 2.750% | 12/22/24 | BB | 7,667,965 | |
349 | Carrols Restaurant Group Inc., Term Loan B | 5.060% | 1-Month LIBOR | 3.250% | 4/30/26 | B | 342,143 | |
767 | CCM Merger, Inc., Term Loan B | 4.036% | 1-Month LIBOR | 2.250% | 8/09/21 | BB | 768,331 |
6
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Hotels, Restaurants & Leisure (continued) | ||||||||
$3,232 | CityCenter Holdings LLC, Term Loan B | 4.036% | 1-Month LIBOR | 2.250% | 4/18/24 | BB- | $3,235,615 | |
1,756 | ClubCorp Operations, Inc., Term Loan B | 4.854% | 3-Month LIBOR | 2.750% | 9/18/24 | B | 1,551,100 | |
2,888 | Equinox Holdings, Inc., Term Loan B1 | 4.786% | 1-Month LIBOR | 3.000% | 3/08/24 | B+ | 2,882,286 | |
972 | Four Seasons Holdings, Inc., Term Loan B | 3.786% | 1-Month LIBOR | 2.000% | 11/30/23 | BB+ | 977,090 | |
5,976 | Hilton Hotels, Term Loan B2 | 3.573% | 1-Month LIBOR | 1.750% | 6/21/26 | BBB- | 6,007,818 | |
3,040 | Intrawest Resorts Holdings, Inc., Term Loan B | 4.786% | 1-Month LIBOR | 3.000% | 7/31/24 | B1 | 3,053,836 | |
2,424 | Life Time Fitness, Inc., Term Loan B | 4.874% | 3-Month LIBOR | 2.750% | 6/15/22 | BB- | 2,417,731 | |
2,229 | MGM Growth Properties, Term Loan B | 3.786% | 1-Month LIBOR | 2.000% | 3/23/25 | BBB- | 2,238,869 | |
900 | MGM Resorts International, Term Loan A | 3.710% | 1-Week LIBOR | 2.000% | 12/21/23 | BB+ | 897,750 | |
679 | PCI Gaming, Term Loan B | 4.786% | 1-Month LIBOR | 3.000% | 5/31/26 | BBB- | 684,200 | |
7,933 | Scientific Games Corp., Initial Term Loan B5 | 4.536% | 1-Month LIBOR | 2.750% | 8/14/24 | Ba3 | 7,854,543 | |
5,244 | Stars Group Holdings, Term Loan B | 5.604% | 3-Month LIBOR | 3.500% | 7/10/25 | B+ | 5,272,958 | |
2,563 | Station Casino LLC, Term Loan B | 4.290% | 1-Month LIBOR | 2.500% | 6/08/23 | BB- | 2,568,808 | |
1,485 | Wyndham International, Inc., Term Loan B | 3.536% | 1-Month LIBOR | 1.750% | 5/30/25 | BBB- | 1,493,665 | |
76,884 | Total Hotels, Restaurants & Leisure | 76,304,884 | ||||||
Household Durables – 0.3% (0.2% of Total Investments) | ||||||||
2,023 | Serta Simmons Holdings LLC, Term Loan, First Lien | 5.421% | 1-Month LIBOR | 3.500% | 11/08/23 | CCC+ | 1,204,870 | |
Household Products – 0.6% (0.4% of Total Investments) | ||||||||
1,650 | KIK Custom Products Inc., Term Loan B2 | 5.804% | 1-Month LIBOR | 4.000% | 5/15/23 | B3 | 1,563,829 | |
975 | Reynolds Group Holdings, Inc., Term Loan, First Lien | 4.536% | 1-Month LIBOR | 2.750% | 2/05/23 | B+ | 975,995 | |
2,625 | Total Household Products | 2,539,824 | ||||||
Industrial Conglomerates – 0.2% (0.1% of Total Investments) | ||||||||
985 | Education Adisory Board, Term Loan, First Lien | 5.736% | 6-Month LIBOR | 3.750% | 9/29/24 | B2 | 971,151 | |
Insurance – 1.9% (1.2% of Total Investments) | ||||||||
731 | Acrisure LLC, Term Loan B | 6.354% | 3-Month LIBOR | 4.250% | 11/22/23 | B | 720,128 | |
3,787 | Alliant Holdings I LLC, Term Loan B | 4.804% | 1-Month LIBOR | 3.000% | 5/10/25 | B | 3,696,622 | |
1,803 | Asurion LLC, Term Loan B6 | 4.786% | 1-Month LIBOR | 3.000% | 11/03/23 | Ba3 | 1,806,967 | |
2,197 | Hub International Holdings, Inc., Term Loan B | 4.940% | 3-Month LIBOR | 3.000% | 4/25/25 | B | 2,152,630 | |
8,518 | Total Insurance | 8,376,347 | ||||||
Interactive Media & Services – 1.2% (0.7% of Total Investments) | ||||||||
3,934 | Rackspace Hosting, Inc., Refinancing Term Loan B, First Lien, (DD1) | 5.287% | 3-Month LIBOR | 3.000% | 11/03/23 | BB+ | 3,512,169 |
7
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Interactive Media & Services (continued) | ||||||||
$1,489 | WeddingWire, Inc., Term Loan | 6.286% | 1-Month LIBOR | 4.500% | 12/21/25 | B+ | $1,483,167 | |
5,423 | Total Interactive Media & Services | 4,995,336 | ||||||
Internet & Direct Marketing Retail – 1.0% (0.6% of Total Investments) | ||||||||
3,461 | Uber Technologies, Inc., Term Loan | 5.914% | 1-Month LIBOR | 4.000% | 4/04/25 | B1 | 3,421,033 | |
739 | Uber Technologies, Inc., Term Loan | 5.304% | 1-Month LIBOR | 3.500% | 7/13/23 | B1 | 728,700 | |
4,200 | Total Internet & Direct Marketing Retail | 4,149,733 | ||||||
Internet Software & Services – 0.7% (0.4% of Total Investments) | ||||||||
1,455 | Ancestry.com, Inc., Term Loan, First Lien | 5.540% | 1-Month LIBOR | 3.750% | 10/19/23 | B | 1,342,325 | |
1,027 | Dynatrace, Term Loan, First Lien | 6.750% | Prime | 2.250% | 8/23/25 | B1 | 1,032,542 | |
1,913 | SkillSoft Corporation, Term Loan, Second Lien | 10.446% | 6-Month LIBOR | 8.250% | 4/28/22 | C | 606,639 | |
4,395 | Total Internet Software & Services | 2,981,506 | ||||||
IT Services – 4.4% (2.7% of Total Investments) | ||||||||
2,394 | Datto, Inc., Term Loan | 6.036% | 1-Month LIBOR | 4.250% | 4/02/26 | B | 2,417,940 | |
670 | DTI Holdings, Inc., Replacement Term Loan B1 | 6.677% | 3-Month LIBOR | 4.750% | 9/30/23 | B- | 584,061 | |
633 | Gartner, Inc., Term Loan A | 3.286% | 1-Month LIBOR | 1.500% | 3/20/22 | Ba1 | 633,403 | |
500 | Optiv Security, Inc., Term Loan, Second Lien | 9.036% | 1-Month LIBOR | 7.250% | 2/01/25 | CCC- | 262,500 | |
602 | Presidio, Inc., Term Loan B | 4.854% | 3-Month LIBOR | 2.750% | 2/02/24 | B+ | 603,268 | |
3,596 | Sabre, Inc., Term Loan B | 3.786% | 1-Month LIBOR | 2.000% | 2/22/24 | BB | 3,606,944 | |
709 | Science Applications International Corporation, Term Loan B | 3.536% | 1-Month LIBOR | 1.750% | 10/31/25 | BB+ | 711,115 | |
3,500 | Syniverse Holdings, Inc., Initial Term Loan, Second Lien | 10.921% | 1-Month LIBOR | 9.000% | 3/11/24 | CCC | 2,688,000 | |
3,462 | Syniverse Holdings, Inc., Term Loan C | 6.921% | 1-Month LIBOR | 5.000% | 3/09/23 | B2 | 3,124,149 | |
1,711 | Tempo Acquisition LLC, Term Loan B | 4.786% | 1-Month LIBOR | 3.000% | 5/01/24 | B1 | 1,714,192 | |
1,990 | West Corporation, Term Loan B | 5.927% | 3-Month LIBOR | 4.000% | 10/10/24 | BB+ | 1,663,484 | |
968 | WEX, Inc., Term Loan B3 | 4.036% | 1-Month LIBOR | 2.250% | 5/17/26 | Ba2 | 972,911 | |
20,735 | Total IT Services | 18,981,967 | ||||||
Life Sciences Tools & Services – 0.8% (0.5% of Total Investments) | ||||||||
315 | Inventiv Health, Inc., Term Loan B | 3.786% | 1-Month LIBOR | 2.000% | 8/01/24 | BB | 316,172 | |
3,070 | Parexel International Corp., Term Loan B | 4.536% | 1-Month LIBOR | 2.750% | 9/27/24 | B2 | 2,937,402 | |
3,385 | Total Life Sciences Tools & Services | 3,253,574 | ||||||
Machinery – 1.3% (0.8% of Total Investments) | ||||||||
1,017 | BJ's Wholesale Club, Inc., Term Loan B | 4.671% | 1-Month LIBOR | 2.750% | 2/03/24 | BB- | 1,018,925 | |
1,737 | Gardner Denver, Inc., Term Loan B | 4.536% | 1-Month LIBOR | 2.750% | 7/30/24 | BB+ | 1,743,305 | |
1,034 | Gates Global LLC, Term Loan B | 4.536% | 1-Month LIBOR | 2.750% | 4/01/24 | B+ | 1,015,457 | |
1,969 | TNT Crane and Rigging Inc., Initial Term Loan, First Lien, (DD1) | 6.604% | 3-Month LIBOR | 4.500% | 11/27/20 | CCC+ | 1,625,150 |
8
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Machinery (continued) | ||||||||
$650 | TNT Crane and Rigging, Inc., Term Loan, Second Lien | 11.104% | 3-Month LIBOR | 9.000% | 11/27/21 | CCC- | $396,500 | |
6,407 | Total Machinery | 5,799,337 | ||||||
Marine – 0.4% (0.3% of Total Investments) | ||||||||
519 | American Commercial Lines LLC, Term Loan B, First Lien | 10.677% | 3-Month LIBOR | 8.750% | 11/12/20 | CCC+ | 271,879 | |
2,007 | Harvey Gulf International Marine, Inc., Exit Term Loan | 8.034% | 6-Month LIBOR | 6.000% | 7/02/23 | B | 1,595,747 | |
2,526 | Total Marine | 1,867,626 | ||||||
Media – 15.1% (9.3% of Total Investments) | ||||||||
276 | Advantage Sales & Marketing, Inc., Term Loan B2, First Lien, (DD1) | 5.036% | 1-Month LIBOR | 3.250% | 7/25/21 | B2 | 256,310 | |
953 | Advantage Sales & Marketing, Inc., Term Loan, First Lien, (DD1) | 5.036% | 1-Month LIBOR | 3.250% | 7/25/21 | B2 | 891,535 | |
493 | Affinion Group Holdings, Inc., Consenting Term Loan, (cash 4.054%, PIK 1.750%) | 5.804% | 1-Month LIBOR | 4.000% | 4/10/24 | N/R | 421,758 | |
508 | Catalina Marketing Corporation, First Out Loan | 9.346% | 1-Month LIBOR | 7.500% | 2/15/23 | N/R | 421,178 | |
660 | Catalina Marketing Corporation, Last Out PIK Term Loan, (cash 2.846%, PIK 9.500%) | 2.846% | 1-Month LIBOR | 1.000% | 8/15/23 | N/R | 291,037 | |
369 | CBS Radio, Inc., Term Loan B | 4.554% | 1-Month LIBOR | 2.750% | 11/18/24 | BB | 369,867 | |
4,503 | Cequel Communications LLC, Term Loan B | 4.171% | 1-Month LIBOR | 2.250% | 1/15/26 | BB | 4,479,632 | |
4,167 | Charter Communications Operating Holdings LLC, Term Loan B2 | 3.580% | 1-Month LIBOR | 1.750% | 2/01/27 | BBB- | 4,188,114 | |
1,637 | Cineworld Group PLC, Term Loan B | 4.036% | 1-Month LIBOR | 2.250% | 2/28/25 | BB- | 1,617,588 | |
8,538 | Clear Channel Communications, Inc., Exit Term Loan | 6.032% | 1-Month LIBOR | 4.000% | 5/01/26 | BB- | 8,578,430 | |
8,229 | Clear Channel Outdoor Holdings, Inc., Term Loan B | 5.286% | 1-Month LIBOR | 3.500% | 8/21/26 | B+ | 8,254,817 | |
1,247 | CSC Holdings LLC, Refinancing Term Loan | 4.171% | 1-Month LIBOR | 2.250% | 7/17/25 | BB | 1,242,732 | |
2,379 | CSC Holdings, LLC, Term Loan B5 | 4.327% | 2-Month LIBOR | 2.500% | 4/15/27 | BB | 2,381,095 | |
1,618 | Cumulus Media, Inc., Term Loan B | 5.536% | 1-Month LIBOR | 3.750% | 3/31/26 | B | 1,628,266 | |
746 | EW Scripps, Term Loan B | 4.536% | 1-Month LIBOR | 2.750% | 5/01/26 | BB+ | 747,556 | |
553 | Gray Television, Inc., Term Loan B2 | 4.261% | 1-Month LIBOR | 2.250% | 2/07/24 | BB+ | 555,106 | |
744 | Gray Television, Inc., Term Loan C | 4.511% | 1-Month LIBOR | 2.500% | 1/02/26 | BB+ | 747,341 | |
1,824 | IMG Worldwide, Inc., Term Loan B | 4.540% | 1-Month LIBOR | 2.750% | 5/16/25 | B | 1,766,355 | |
3,252 | Intelsat Jackson Holdings, S.A., Term Loan B | 5.682% | 6-Month LIBOR | 3.750% | 11/27/23 | B1 | 3,251,924 | |
1,126 | LCPR Loan Financing LLC, Term Loan B, (WI/DD) | TBD | TBD | TBD | TBD | BB- | 1,135,335 |
9
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Media (continued) | ||||||||
$5,713 | McGraw-Hill Education Holdings LLC, Term Loan B | 5.786% | 1-Month LIBOR | 4.000% | 5/04/22 | BB+ | $5,244,989 | |
1,350 | Meredith Corporation, Term Loan B1 | 4.536% | 1-Month LIBOR | 2.750% | 1/31/25 | Ba2 | 1,356,505 | |
1,834 | Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien | 4.290% | 1-Month LIBOR | 2.500% | 7/03/25 | BB | 1,808,899 | |
1,000 | Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien | 6.290% | 1-Month LIBOR | 4.500% | 7/06/26 | B2 | 960,000 | |
1,100 | Nexstar Broadcasting, Inc., Term Loan B | 4.554% | 1-Month LIBOR | 2.750% | 9/19/26 | BB | 1,105,423 | |
470 | Nexstar Broadcasting, Inc., Term Loan B3 | 4.282% | 1-Month LIBOR | 2.250% | 1/17/24 | BB | 471,104 | |
2,364 | Nexstar Broadcasting, Inc., Term Loan B3 | 4.050% | 1-Month LIBOR | 2.250% | 1/17/24 | BB | 2,370,869 | |
396 | Red Ventures, Term Loan B | 4.800% | 1-Month LIBOR | 3.000% | 11/08/24 | BB | 395,475 | |
3,441 | Sinclair Television Group, Term Loan B2 | 4.040% | 1-Month LIBOR | 2.250% | 1/03/24 | BB+ | 3,442,025 | |
900 | Sinclair Television Group, Term Loan B2 | 4.430% | 1-Month LIBOR | 2.500% | 9/30/26 | BB+ | 902,529 | |
817 | Springer SBM Two GmbH, Term Loan B16 | 5.286% | 1-Month LIBOR | 3.500% | 8/24/24 | B2 | 811,856 | |
3,402 | WideOpenWest Finance LLC, Term Loan B | 5.054% | 1-Month LIBOR | 3.250% | 8/19/23 | B | 3,275,208 | |
66,609 | Total Media | 65,370,858 | ||||||
Multiline Retail – 1.1% (0.7% of Total Investments) | ||||||||
884 | 99 Cents Only Stores, Term Loan B2, Second Lien, (cash 7.035%, PIK 1.500%) | 8.535% | 6-Month LIBOR | 6.500% | 1/13/22 | CCC+ | 729,312 | |
1,178 | 99 Cents Only Stores, Term Loan B2, Second Lien, (cash 7.104%, PIK 1.500%) | 8.604% | 3-Month LIBOR | 6.500% | 1/13/22 | CCC+ | 971,865 | |
2,163 | Belk, Inc., Term Loan B, First Lien | 6.803% | 6-Month LIBOR | 4.750% | 12/10/22 | B2 | 1,816,691 | |
1,477 | EG America LLC, Term Loan, First Lien | 6.104% | 3-Month LIBOR | 4.000% | 2/05/25 | B | 1,429,859 | |
5,702 | Total Multiline Retail | 4,947,727 | ||||||
Multi-Utilities – 0.6% (0.3% of Total Investments) | ||||||||
2,569 | Pacific Gas & Electric, Revolving Loan, (WI/DD), (5) | TBD | TBD | TBD | TBD | N/R | 2,410,986 | |
Oil, Gas & Consumable Fuels – 3.2% (2.0% of Total Investments) | ||||||||
1,436 | BCP Renaissance Parent, Term Loan B | 5.363% | 2-Month LIBOR | 3.500% | 11/01/24 | BB- | 1,305,898 | |
2,150 | Buckeye Partners, Term Loan, First Lien, (WI/DD) | TBD | TBD | TBD | TBD | BBB- | 2,162,524 | |
998 | California Resources Corporation, Term Loan | 12.175% | 1-Month LIBOR | 10.375% | 12/31/21 | B | 682,314 | |
4,015 | California Resources Corporation, Term Loan B | 6.550% | 1-Month LIBOR | 4.750% | 12/31/22 | B | 3,474,982 | |
3,801 | Fieldwood Energy LLC, Exit Term Loan, (DD1) | 7.177% | 3-Month LIBOR | 5.250% | 4/11/22 | BB- | 3,074,833 | |
2,351 | Fieldwood Energy LLC, Exit Term Loan, Second Lien | 9.177% | 3-Month LIBOR | 7.250% | 4/11/23 | B+ | 1,234,372 | |
1,498 | Gulf Finance, LLC, Term Loan B, (DD1) | 7.360% | 3-Month LIBOR | 5.250% | 8/25/23 | B | 1,108,144 |
10
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Oil, Gas & Consumable Fuels (continued) | ||||||||
$1,096 | Peabody Energy Corporation, Term Loan B | 4.536% | 1-Month LIBOR | 2.750% | 3/31/25 | BB | $882,334 | |
17,345 | Total Oil, Gas & Consumable Fuels | 13,925,401 | ||||||
Personal Products – 1.7% (1.0% of Total Investments) | ||||||||
2,910 | Coty, Inc., Term Loan A | 3.478% | 1-Month LIBOR | 1.500% | 4/05/23 | BB- | 2,829,678 | |
198 | Coty, Inc., Term Loan B | 4.228% | 1-Month LIBOR | 2.250% | 4/05/25 | BB- | 192,366 | |
1,250 | Edgewell Personal Care Company, Term Loan B, (WI/DD) | TBD | TBD | TBD | TBD | BB | 1,252,350 | |
3,662 | Revlon Consumer Products Corporation, Term Loan B, First Lien, (DD1) | 5.624% | 3-Month LIBOR | 3.500% | 9/07/23 | B3 | 2,889,053 | |
8,020 | Total Personal Products | 7,163,447 | ||||||
Pharmaceuticals – 3.0% (1.8% of Total Investments) | ||||||||
955 | Alphabet Holding Company, Inc., Initial Term Loan, First Lien | 5.286% | 1-Month LIBOR | 3.500% | 9/28/24 | B- | 874,967 | |
3,580 | Concordia Healthcare Corp, Exit Term Loan | 7.251% | 1-Week LIBOR | 5.500% | 9/06/24 | B- | 3,375,100 | |
172 | Mallinckrodt International Finance S.A., Term Loan B, First Lien | 4.854% | 3-Month LIBOR | 2.750% | 9/24/24 | B2 | 135,301 | |
598 | Mallinckrodt International Finance S.A., Term Loan, First Lien | 5.175% | 3-Month LIBOR | 3.000% | 2/24/25 | B2 | 469,811 | |
1,998 | Valeant Pharmaceuticals International, Inc., Term Loan B | 4.671% | 1-Month LIBOR | 2.750% | 11/27/25 | Ba2 | 2,002,619 | |
6,049 | Valeant Pharmaceuticals International, Inc., Term Loan, First Lien | 4.921% | 1-Month LIBOR | 3.000% | 6/02/25 | Ba2 | 6,076,698 | |
13,352 | Total Pharmaceuticals | 12,934,496 | ||||||
Professional Services – 1.9% (1.1% of Total Investments) | ||||||||
1,056 | Ceridian HCM Holding, Inc., Term Loan B | 4.800% | 1-Month LIBOR | 3.000% | 4/30/25 | B | 1,059,342 | |
3,341 | Nielsen Finance LLC, Term Loan B4 | 3.940% | 1-Month LIBOR | 2.000% | 10/04/23 | BBB- | 3,334,573 | |
957 | On Assignment, Inc., Term Loan B | 3.786% | 1-Month LIBOR | 2.000% | 4/02/25 | BB | 961,011 | |
3,307 | Skillsoft Corporation, Initial Term Loan, First Lien | 6.946% | 6-Month LIBOR | 4.750% | 4/28/21 | Caa2 | 2,656,303 | |
8,661 | Total Professional Services | 8,011,229 | ||||||
Real Estate Management & Development – 1.1% (0.7% of Total Investments) | ||||||||
2,838 | GGP, Initial Term Loan A2 | 4.036% | 1-Month LIBOR | 2.250% | 8/24/23 | BB+ | 2,800,593 | |
962 | Realogy Group LLC, Term Loan A | 4.072% | 1-Month LIBOR | 2.250% | 2/08/23 | BB+ | 926,406 | |
1,245 | Realogy Group LLC, Term Loan B | 4.072% | 1-Month LIBOR | 2.250% | 2/08/25 | BB+ | 1,183,175 | |
5,045 | Total Real Estate Management & Development | 4,910,174 | ||||||
Road & Rail – 1.9% (1.1% of Total Investments) | ||||||||
4,711 | Avolon LLC, Term Loan B3 | 3.596% | 1-Month LIBOR | 1.750% | 1/15/25 | Baa2 | 4,735,869 | |
923 | Ceva Group PLC, Term Loan B | 7.104% | 3-Month LIBOR | 5.000% | 8/03/25 | B+ | 805,054 |
11
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Road & Rail (continued) | ||||||||
$1,444 | Quality Distribution, Incremental Term Loan, First Lien | 7.604% | 3-Month LIBOR | 5.500% | 8/18/22 | B- | $1,436,531 | |
1,042 | Savage Enterprises LLC, Term Loan B | 5.930% | 1-Month LIBOR | 4.000% | 8/01/25 | B+ | 1,051,773 | |
8,120 | Total Road & Rail | 8,029,227 | ||||||
Semiconductors & Semiconductor Equipment – 0.8% (0.5% of Total Investments) | ||||||||
674 | Cabot Microelectronics, Term Loan B | 4.063% | 1-Month LIBOR | 2.250% | 11/15/25 | BB+ | 677,747 | |
136 | Lumileds, Term Loan B | 5.604% | 3-Month LIBOR | 3.500% | 6/30/24 | CCC+ | 71,337 | |
1,150 | Microchip Technology, Inc., Term Loan B | 3.790% | 1-Month LIBOR | 2.000% | 5/29/25 | Baa3 | 1,154,814 | |
1,427 | ON Semiconductor Corporation, New Replacement Term Loan B4 | 3.786% | 1-Month LIBOR | 2.000% | 9/19/26 | BB | 1,434,824 | |
3,387 | Total Semiconductors & Semiconductor Equipment | 3,338,722 | ||||||
Software – 14.3% (8.8% of Total Investments) | ||||||||
1,000 | Autodata Solutions, Term Loan, First Lien, (WI/DD) | TBD | TBD | TBD | TBD | BB- | 985,160 | |
1,233 | Blackboard, Inc., Term Loan B4 | 6.878% | 1-Month LIBOR | 5.000% | 6/18/21 | B- | 1,230,691 | |
1,653 | Compuware Corporation, Term Loan, First Lien | 5.786% | 1-Month LIBOR | 4.000% | 8/23/25 | B | 1,661,632 | |
1,792 | DiscoverOrg LLC, Term Loan B | 6.286% | 1-Month LIBOR | 4.500% | 2/01/26 | B | 1,769,351 | |
2,065 | Ellucian, Term Loan B, First Lien | 5.354% | 3-Month LIBOR | 3.250% | 9/30/22 | B | 2,065,967 | |
2,564 | Epicor Software Corporation,Term Loan B | 5.040% | 1-Month LIBOR | 3.250% | 6/01/22 | N/R | 2,559,157 | |
2,911 | Greeneden U.S. Holdings II LLC, Term Loan B | 5.036% | 1-Month LIBOR | 3.250% | 12/01/23 | B2 | 2,850,512 | |
549 | Greenway Health, Term Loan, First Lien | 5.850% | 3-Month LIBOR | 3.750% | 2/16/24 | B | 480,022 | |
10,759 | Infor (US), Inc., Term Loan B | 4.854% | 3-Month LIBOR | 2.750% | 2/01/22 | Ba3 | 10,782,318 | |
2,494 | Informatica, Term Loan B | 5.036% | 1-Month LIBOR | 3.250% | 8/06/22 | B1 | 2,502,932 | |
1,216 | Kronos Incorporated, Term Loan B | 5.253% | 3-Month LIBOR | 3.000% | 11/01/23 | B | 1,215,395 | |
656 | McAfee Holdings International, Inc., Term Loan, Second Lien | 10.305% | 1-Month LIBOR | 8.500% | 9/28/25 | B- | 661,992 | |
4,242 | McAfee LLC, Term Loan B | 5.555% | 1-Month LIBOR | 3.750% | 9/29/24 | B | 4,246,885 | |
863 | Micro Focus International PLC, New Term Loan | 4.300% | 1-Month LIBOR | 2.500% | 6/21/24 | BB+ | 840,316 | |
5,830 | Micro Focus International PLC, Term Loan B | 4.300% | 1-Month LIBOR | 2.500% | 6/21/24 | BB+ | 5,674,863 | |
4,143 | Micro Focus International PLC, Term Loan B2 | 4.050% | 1-Month LIBOR | 2.250% | 11/30/21 | BB+ | 4,123,279 | |
3,636 | Misys, New Term Loan, First Lien | 5.696% | 6-Month LIBOR | 3.500% | 6/13/24 | BB- | 3,483,780 | |
1,436 | Misys, New Term Loan, Second Lien | 9.446% | 6-Month LIBOR | 7.250% | 6/13/25 | CCC+ | 1,348,362 | |
377 | Mitchell International, Inc., Initial Term Loan, First Lien | 5.036% | 1-Month LIBOR | 3.250% | 11/29/24 | B2 | 355,563 | |
667 | Mitchell International, Inc., Initial Term Loan, Second Lien | 9.036% | 1-Month LIBOR | 7.250% | 11/30/25 | CCC | 615,000 |
12
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Software (continued) | ||||||||
$1,200 | Perforce Software Inc., Term Loan, First Lien | 6.286% | 1-Month LIBOR | 4.500% | 7/08/26 | B2 | $1,185,000 | |
1,459 | RP Crown Parent LLC, Term Loan B | 4.536% | 1-Month LIBOR | 2.750% | 10/12/23 | B1 | 1,459,297 | |
2,974 | SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3 | 4.036% | 1-Month LIBOR | 2.250% | 4/16/25 | BB+ | 2,985,526 | |
1,941 | SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4 | 4.036% | 1-Month LIBOR | 2.250% | 4/16/25 | BB+ | 1,948,886 | |
4,164 | TIBCO Software, Inc., Term Loan B | 6.000% | 1-Month LIBOR | 4.000% | 7/03/26 | BB- | 4,150,501 | |
750 | Ultimate Software, Term Loan, First Lien | 5.536% | 1-Month LIBOR | 3.750% | 5/03/26 | B | 752,396 | |
62,574 | Total Software | 61,934,783 | ||||||
Specialty Retail – 2.1% (1.3% of Total Investments) | ||||||||
1,785 | Academy, Ltd., Term Loan B | 6.032% | 1-Month LIBOR | 4.000% | 7/01/22 | CCC+ | 1,214,678 | |
1,233 | Petco Animal Supplies, Inc., Term Loan B1 | 5.177% | 3-Month LIBOR | 3.250% | 1/26/23 | B2 | 924,761 | |
2,081 | Petsmart Inc., Term Loan B | 4.930% | 1-Month LIBOR | 3.000% | 3/11/22 | B | 2,004,635 | |
4,607 | Petsmart Inc., Term Loan B, First Lien | 5.930% | 1-Month LIBOR | 4.000% | 3/11/22 | B | 4,502,560 | |
1,204 | Serta Simmons Holdings LLC, Term Loan, Second Lien | 9.846% | 1-Month LIBOR | 8.000% | 11/08/24 | CCC- | 336,709 | |
10,910 | Total Specialty Retail | 8,983,343 | ||||||
Technology Hardware, Storage & Peripherals – 5.5% (3.4% of Total Investments) | ||||||||
5,764 | BMC Software, Inc., Term Loan B | 6.036% | 1-Month LIBOR | 4.250% | 10/02/25 | B2 | 5,358,531 | |
13,255 | Dell International LLC, Refinancing Term Loan B1 | 3.790% | 1-Month LIBOR | 2.000% | 9/19/25 | BBB- | 13,323,107 | |
1,475 | Diebold, Inc., Term Loan A1 | 11.063% | 1-Month LIBOR | 9.250% | 8/30/22 | B- | 1,507,601 | |
320 | NCR Corporation, Delayed Draw, Term Loan | 4.440% | 1-Month LIBOR | 2.500% | 8/28/26 | BBB- | 320,466 | |
280 | NCR Corporation, Term Loan B | 4.550% | 1-Week LIBOR | 2.500% | 8/28/26 | BBB- | 280,407 | |
3,046 | Western Digital, Term Loan B | 3.747% | 1-Month LIBOR | 1.750% | 4/29/23 | BBB- | 3,041,738 | |
24,140 | Total Technology Hardware, Storage & Peripherals | 23,831,850 | ||||||
Trading Companies & Distributors – 0.1% (0.1% of Total Investments) | ||||||||
415 | Univar, Inc., Term Loan B | 4.036% | 1-Month LIBOR | 2.250% | 7/01/24 | BB+ | 417,215 | |
Transportation Infrastructure – 0.4% (0.3% of Total Investments) | ||||||||
744 | Atlantic Aviation FBO Inc., Term Loan | 5.540% | 1-Month LIBOR | 3.750% | 12/06/25 | BB | 749,027 | |
350 | Standard Aero, Canadien Term Loan | 6.104% | 3-Month LIBOR | 4.000% | 4/04/26 | BB | 350,881 | |
650 | Standard Aero, USD Term Loan B | 6.104% | 3-Month LIBOR | 4.000% | 4/08/26 | BB | 652,639 | |
1,744 | Total Transportation Infrastructure | 1,752,547 | ||||||
Wireless Telecommunication Services – 2.6% (1.6% of Total Investments) | ||||||||
1,637 | Asurion LLC, Term Loan B4 | 4.786% | 1-Month LIBOR | 3.000% | 8/04/22 | Ba3 | 1,639,573 | |
2,880 | Sprint Corporation, Incremental Term Loan | 4.813% | 1-Month LIBOR | 3.000% | 2/03/24 | BB+ | 2,867,887 |
13
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon (2) | Reference Rate (2) | Spread (2) | Maturity (3) | Ratings (4) | Value | |
Wireless Telecommunication Services (continued) | ||||||||
$6,825 | Sprint Corporation, Term Loan, First Lien | 4.313% | 1-Month LIBOR | 2.500% | 2/03/24 | BB+ | $6,759,616 | |
11,342 | Total Wireless Telecommunication Services | 11,267,076 | ||||||
$644,371 | Total Variable Rate Senior Loan Interests (cost $635,287,467) | 618,621,280 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (4) | Value | |||
CORPORATE BONDS – 11.9% (7.3% of Total Investments) | ||||||||
Communications Equipment – 2.7% (1.7% of Total Investments) | ||||||||
$155 | Avaya Inc, 144A, (5), (7) | 7.000% | 4/01/19 | N/R | $ — | |||
3,830 | Avaya Inc, 144A, (5), (7) | 10.500% | 3/01/21 | N/R | — | |||
6,472 | Intelsat Jackson Holdings SA | 5.500% | 8/01/23 | CCC+ | 6,051,320 | |||
5,580 | Intelsat Jackson Holdings SA, 144A | 9.750% | 7/15/25 | CCC+ | 5,794,495 | |||
16,037 | Total Communications Equipment | 11,845,815 | ||||||
Consumer Finance – 0.1% (0.1% of Total Investments) | ||||||||
405 | Verscend Escrow Corp, 144A | 9.750% | 8/15/26 | CCC+ | 430,819 | |||
Containers & Packaging – 0.9% (0.6% of Total Investments) | ||||||||
4,070 | Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | 5.750% | 10/15/20 | B+ | 4,084,295 | |||
Diversified Telecommunication Services – 0.7% (0.4% of Total Investments) | ||||||||
865 | Consolidated Communications Inc | 6.500% | 10/01/22 | CCC+ | 780,662 | |||
1,650 | CSC Holdings LLC, 144A | 10.875% | 10/15/25 | B | 1,861,959 | |||
900 | Frontier Communications Corp | 11.000% | 9/15/25 | CCC | 423,000 | |||
3,415 | Total Diversified Telecommunication Services | 3,065,621 | ||||||
Electric Utilities – 0.9% (0.5% of Total Investments) | ||||||||
1,895 | Pacific Gas & Electric Co, (5) | 2.450% | 8/15/22 | D | 1,757,613 | |||
1,975 | Pacific Gas & Electric Co, (5) | 6.050% | 3/01/34 | D | 1,979,937 | |||
3,870 | Total Electric Utilities | 3,737,550 | ||||||
Entertainment – 0.7% (0.4% of Total Investments) | ||||||||
3,270 | AMC Entertainment Holdings Inc | 6.125% | 5/15/27 | B3 | 2,957,306 | |||
Health Care Equipment & Supplies – 0.1% (0.0% of Total Investments) | ||||||||
900 | Mallinckrodt PLC, 144A | 5.625% | 10/15/23 | CCC | 324,000 | |||
Health Care Providers & Services – 0.4% (0.3% of Total Investments) | ||||||||
705 | Tenet Healthcare Corp | 8.125% | 4/01/22 | B- | 763,163 | |||
1,060 | Tenet Healthcare Corp, 144A | 6.250% | 2/01/27 | Ba3 | 1,119,625 | |||
1,765 | Total Health Care Providers & Services | 1,882,788 | ||||||
Hotels, Restaurants & Leisure – 0.4% (0.2% of Total Investments) | ||||||||
1,691 | Scientific Games International Inc | 10.000% | 12/01/22 | B- | 1,739,616 |
14
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (4) | Value | |||
IT Services – 0.3% (0.2% of Total Investments) | ||||||||
$1,325 | Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Ho, 144A | 10.000% | 11/30/24 | CCC+ | $1,431,000 | |||
Media – 2.9% (1.8% of Total Investments) | ||||||||
150 | Charter Communications Operating LLC / Charter Communications Operating Capital | 3.579% | 7/23/20 | BBB- | 151,247 | |||
638 | Clear Channel Worldwide Holdings Inc, 144A | 9.250% | 2/15/24 | B- | 701,800 | |||
495 | DISH DBS Corp | 5.125% | 5/01/20 | B1 | 499,950 | |||
4,662 | iHeartCommunications Inc, (5), (7) | 9.000% | 12/15/19 | N/R | — | |||
1,714 | iHeartCommunications Inc, 144A, (5), (7) | 11.250% | 3/01/21 | N/R | — | |||
6,250 | iHeartCommunications Inc, (5), (7) | 9.000% | 3/01/21 | N/R | — | |||
14,960 | iHeartCommunications Inc, (5), (7) | 14.000% | 8/01/21 | N/R | — | |||
6,427 | iHeartCommunications Inc | 8.375% | 5/01/27 | B- | 6,892,421 | |||
4,000 | iHeartCommunications Inc, 144A | 5.250% | 8/15/27 | BB- | 4,126,800 | |||
39,296 | Total Media | 12,372,218 | ||||||
Oil, Gas & Consumable Fuels – 0.6% (0.4% of Total Investments) | ||||||||
900 | MEG Energy Corp, 144A | 7.000% | 3/31/24 | BB- | 845,370 | |||
1,100 | Oasis Petroleum Inc, 144A | 6.250% | 5/01/26 | B+ | 748,550 | |||
1,400 | Whiting Petroleum Corp | 6.625% | 1/15/26 | BB- | 868,000 | |||
3,400 | Total Oil, Gas & Consumable Fuels | 2,461,920 | ||||||
Pharmaceuticals – 0.2% (0.1% of Total Investments) | ||||||||
733 | Advanz Pharma Corp | 8.000% | 9/06/24 | B- | 698,183 | |||
Semiconductors & Semiconductor Equipment – 0.4% (0.2% of Total Investments) | ||||||||
1,394 | Advanced Micro Devices Inc | 7.500% | 8/15/22 | BB- | 1,571,763 | |||
Wireless Telecommunication Services – 0.6% (0.4% of Total Investments) | ||||||||
2,155 | Intelsat Connect Finance SA, 144A | 9.500% | 2/15/23 | CCC- | 1,998,978 | |||
630 | Level 3 Financing Inc | 5.375% | 8/15/22 | BB | 632,362 | |||
2,785 | Total Wireless Telecommunication Services | 2,631,340 | ||||||
$84,356 | Total Corporate Bonds (cost $51,111,737) | 51,234,234 |
Shares | Description (1) | Value | ||||||
COMMON STOCKS – 2.8% (1.7% of Total Investments) | ||||||||
Diversified Consumer Services – 0.1% (0.0% of Total Investments) | ||||||||
16,910 | Cengage Learning Holdings II Inc, (8), (9) | $202,920 | ||||||
Energy Equipment & Services – 0.2% (0.1% of Total Investments) | ||||||||
63,862 | Transocean Ltd | 303,344 | ||||||
2,534 | Vantage Drilling International, (8), (9) | 468,790 | ||||||
Total Energy Equipment & Services | 772,134 |
15
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Shares | Description (1) | Value | ||||||
Health Care Providers & Services – 0.0% (0.0% of Total Investments) | ||||||||
54,276 | Millennium Health LLC, (8), (9) | $326 | ||||||
50,560 | Millennium Health LLC, (7), (9) | 55,822 | ||||||
47,462 | Millennium Health LLC, (7), (9) | 47,653 | ||||||
Total Health Care Providers & Services | 103,801 | |||||||
Internet & Direct Marketing Retail – 0.0% (0.0% of Total Investments) | ||||||||
12,030 | Catalina Marketing Corp, (8), (9) | 36,090 | ||||||
Marine – 0.0% (0.0% of Total Investments) | ||||||||
4,721 | HGIM Corp, (8), (9) | 51,931 | ||||||
Media – 2.0% (1.3% of Total Investments) | ||||||||
640,661 | Clear Channel Outdoor Holdings Inc, (9) | 1,492,740 | ||||||
75,235 | Cumulus Media Inc, (9) | 1,029,967 | ||||||
1,318,561 | Hibu plc, (8), (9) | 166,139 | ||||||
316,926 | iHeartMedia Inc, (9) | 4,544,719 | ||||||
23,363 | Metro-Goldwyn-Mayer Inc, (9) | 1,571,162 | ||||||
36,087 | Tribune Co, (7) | 7,953 | ||||||
Total Media | 8,812,680 | |||||||
Pharmaceuticals – 0.1% (0.0% of Total Investments) | ||||||||
22,758 | Advanz Pharma Corp, (9) | 235,545 | ||||||
Software – 0.4% (0.3% of Total Investments) | ||||||||
141,551 | Avaya Holdings Corp, (9) | 1,711,352 | ||||||
Specialty Retail – 0.0% (0.0% of Total Investments) | ||||||||
8,181 | Gymboree Holding Corp, (9) | 4,091 | ||||||
22,273 | Gymboree Holding Corp, (9) | 11,136 | ||||||
Total Specialty Retail | 15,227 | |||||||
Total Common Stocks (cost $25,628,265) | 11,941,680 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (4) | Value | |
ASSET-BACKED SECURITIES – 0.5% ( 0.3% of Total Investments) | ||||||
$675 | Bristol Park CLO LTD, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.25% spread ), (10) | 9.251% | 4/15/29 | Ba3 | $629,621 | |
800 | Dryden 50 Senior Loan Fund, Series 2017-50A, 144A, (3-Month LIBOR reference rate + 6.26% spread), (10) | 8.261% | 7/15/30 | Ba3 | 716,577 | |
750 | Gilbert Park CLO LTD, Series 2017-1A, 144A, (3-Month LIBOR reference rate + 6.40% spread), (10) | 8.401% | 10/15/30 | Ba3 | 693,596 | |
400 | Neuberger Berman Loan Advisers CLO 28 Limited, Series 2018-28A, 144A, (3-Month LIBOR reference rate + 5.60% spread), (10) | 7.566% | 4/20/30 | BB- | 348,171 | |
$2,625 | Total Asset-Backed Securities (cost $2,600,983) | 2,387,965 |
16
Shares | Description (1) | Value | ||||||
COMMON STOCK RIGHTS – 0.1% (0.1% of Total Investments) | ||||||||
Oil, Gas & Consumable Fuels – 0.1% (0.1% of Total Investments) | ||||||||
2,721 | Fieldwood Energy LLC, (8), (9) | $58,047 | ||||||
13,466 | Fieldwood Energy LLC, (8), (9) | 287,271 | ||||||
Total Common Stock Rights (cost $384,387) | 345,318 |
Shares | Description (1) | Value | ||||||
WARRANTS – 0.0% (0.0% of Total Investments) | ||||||||
Communications Equipment – 0.0% (0.0% of Total Investments) | ||||||||
15,619 | Avaya Holdings Corp, (8) | $11,714 | ||||||
Marine – 0.0% (0.0% of Total Investments) | ||||||||
21,097 | HGIM, (8), (9) | 210,970 | ||||||
Total Warrants (cost $2,304,710) | 222,684 | |||||||
Total Long-Term Investments (cost $717,317,549) | 684,753,161 |
Shares | Description (1) | Coupon | Value | |||||
SHORT-TERM INVESTMENTS – 4.1% (2.5% of Total Investments) | ||||||||
INVESTMENT COMPANIES – 4.1% (2.5% of Total Investments) | ||||||||
17,467,069 | BlackRock Liquidity Funds T-Fund, (11) | 1.584% (12) | $17,467,069 | |||||
Total Short-Term Investments (cost $17,467,069) | 17,467,069 | |||||||
Total Investments (cost $734,784,618) – 162.7% | 702,220,230 | |||||||
Borrowings – (41.4)% (13), (14) | (178,800,000) | |||||||
Term Preferred Shares, net of deferred offering costs – (19.3)% (15) | (83,131,440) | |||||||
Other Assets Less Liabilities – (2.0)% (16) | (8,621,028) | |||||||
Net Assets Applicable to Common Shares – 100% | $431,667,762 |
Investments in Derivatives
Interest Rate Swaps - OTC Uncleared | ||||||||||
Counterparty | Notional Amount | Fund Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate (Annualized) | Fixed Rate Payment Frequency | Maturity Date | Value | Unrealized Appreciation (Depreciation) | ||
Morgan Stanley Capital Services LLC | $10,000,000 | Pay | 1-Month LIBOR | 2.500%(17) | Monthly | 1/01/22(18) | $(2,677) | $(2,677) | ||
Morgan Stanley Capital Services LLC | 21,000,000 | Pay | 1-Month LIBOR | 2.500%(19) | Monthly | 4/01/22(20) | (44,619) | (44,619) | ||
Morgan Stanley Capital Services LLC | 45,000,000 | Pay | 1-Month LIBOR | 4.000% | Monthly | 1/01/27(21) | 602,335 | 602,335 | ||
Total | $76,000,000 | $555,039 | $555,039 |
17
JRO | Nuveen Floating Rate Income Opportunity Fund(continued) |
Portfolio of Investments October 31, 2019 | |
(Unaudited) |
Part F of Form N-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of Form N-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.
Fair Value Measurements
The Fund's investments in securities are recorded at their estimated fair value. Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:
Level 1 | Level 2 | Level 3 | Total | |
Long-Term Investments: | ||||
Variable Rate Senior Loan Interests | $ — | $618,621,280 | $ — | $618,621,280 |
Corporate Bonds | — | 51,234,234 | —* | 51,234,234 |
Common Stocks | 9,317,667 | 2,512,585 | 111,428 | 11,941,680 |
Asset-Backed Securities | — | 2,387,965 | — | 2,387,965 |
Common Stock Rights | — | 345,318 | — | 345,318 |
Warrants | — | 222,684 | — | 222,684 |
Short-Term Investments: | ||||
Investment Companies | 17,467,069 | — | — | 17,467,069 |
Investments in Derivatives: | ||||
Interest Rate Swaps** | — | 555,039 | — | 555,039 |
Total | $26,784,736 | $675,879,105 | $111,428 | $702,775,269 |
* | Value equals zero as of the end of the reporting period. |
** | Represents net unrealized appreciation (depreciation). |
18
For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease. | ||
(1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted. | |
(2) | Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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. | |
(3) | Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown. | |
(4) | 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. | |
(5) | Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy. | |
(6) | Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. | |
(7) | Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. | |
(8) | For fair value measurement disclosure purposes, investment classified as Level 2. | |
(9) | Non-income producing; issuer has not declared a dividend within the past twelve months. | |
(10) | Variable rate security. The rate shown is the coupon as of the end of the reporting period. | |
(11) | A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov. | |
(12) | The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period. | |
(13) | Borrowings as a percentage of Total Investments is 25.5%. | |
(14) | The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. | |
(15) | Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.8%. | |
(16) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable. | |
(17) | Effective January 1, 2020, the fixed rate paid by the Fund increased according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date. | |
(18) | This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract. | |
(19) | Effective April 1, 2020, the fixed rate paid by the Fund increased according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date. | |
(20) | This interest rate swap has an optional early termination date beginning on July 1, 2019 and monthly thereafter through the termination date as specified in the swap contract. | |
(21) | This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract. | |
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. | |
DD1 | Portion of investment purchased on a delayed delivery basis. | |
LIBOR | London Inter-Bank Offered Rate | |
PIK | Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period. | |
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. | |
WI/DD | Purchased on a when-issued or delayed delivery basis. |
19