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 811-05309
Nuveen Investment Funds, Inc.
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive, Chicago, IL 60606
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 917-7700
Date of fiscal year end: June 30
Date of reporting period: June 30, 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.
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| | | | | | | Annual Report June 30, 2016 |
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| | | Fund Name | | | | Class A | | Class C | | Class R3 | | Class R6 | | Class I | | |
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| | Nuveen Core Bond Fund | | | | FAIIX | | NTIBX | | — | | NTIFX | | FINIX | | |
| | Nuveen Core Plus Bond Fund | | | | FAFIX | | FFAIX | | FFISX | | FPCFX | | FFIIX | | |
| | Nuveen Inflation Protected Securities Fund | | | | FAIPX | | FCIPX | | FRIPX | | FISFX | | FYIPX | | |
| | Nuveen Intermediate Government Bond Fund | | | | FIGAX | | FYGCX | | FYGRX | | — | | FYGYX | | |
| | Nuveen Short Term Bond Fund | | | | FALTX | | FBSCX | | NSSRX | | NSSFX | | FLTIX | | |
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| | | | or | | www.nuveen.com/accountaccess If you receive your Nuveen Fund distributions and statements directly from Nuveen. Must be preceded by or accompanied by a prospectus. NOT FDIC INSURED MAY LOSE VALUE
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Table
of Contents
Chairman’s Letter
to Shareholders
Dear Shareholders,
The U.S. economy is now seven years into the recovery, but its pace remains stubbornly subpar compared to past recoveries. Economic data continues to be a mixed bag, as it has been throughout this expansion period. While the unemployment rate fell below its pre-recession level and wages have grown slightly, a surprisingly weak jobs growth report in May cast doubt over the future strength of the labor market. The June employment report was much stronger, however, easing fears that a significant downtrend was emerging. The housing market has improved markedly but its contribution to the recovery has been lackluster. Deflationary pressures, including the dramatic slide in commodity prices, have kept inflation much lower for longer than many expected.
U.S. growth remains modest, while economic conditions elsewhere continue to appear vulnerable. On June 23, 2016, the U.K. voted to leave the European Union, known as “Brexit.” The outcome surprised the global markets, leading to high levels of volatility across equities, fixed income and currencies in the days following the vote. Although the turbulence subsided not long after and many asset classes have largely recovered, uncertainties remain about the Brexit separation process and the economic and political impacts on the U.K., Europe and the rest of the world.
In the meantime, global central banks remain accommodative in efforts to bolster growth. The European Central Bank and Bank of Japan have been providing aggressive monetary stimulus, including adopting negative interest rates in both Europe and Japan, as their economies continue to lag the U.S.’s recovery. China’s policy makers have also continued to manage its slowdown, but investors are still worried about where the world’s second-largest economy might ultimately land.
Many of these ambiguities – both domestic and international – have kept the U.S. Federal Reserve (Fed) from raising short-term interest rates any further since December’s first and only increase thus far. While markets rallied earlier in the year on the widely held expectation that the Fed would defer any increases until June, the unusually weak May jobs report and the Brexit concerns compelled the Fed to hold rates steady at its June meeting. Although labor market conditions improved in June, Britain’s “leave” vote is expected to keep the Fed on hold until later in 2016.
With global economic growth still looking fairly fragile, during certain periods financial markets were volatile over the past year. Although sentiment has improved and conditions have generally recovered from the intense volatility seen in early 2016 and following the Brexit vote in June, we expect that turbulence remains on the horizon for the time being. 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
August 23, 2016
Portfolio Managers’
Comments
Nuveen Core Bond Fund
Nuveen Core Plus Bond Fund
Nuveen Inflation Protected Securities Fund
Nuveen Intermediate Government Bond Fund
Nuveen Short Term Bond Fund
These Funds feature portfolio management by Nuveen Asset Management, LLC, an affiliate of Nuveen Investments, Inc. In this report, the various portfolio management teams for the Funds discuss economic and fixed income market conditions, key investment strategies and the Funds’ performance for the twelve-month reporting period ended June 30, 2016. These management teams include:
Nuveen Core Bond Fund
Chris J. Neuharth has managed the Fund since 2012. Jeffrey J. Ebert and Wan-Chong Kung, CFA, joined the Fund as co-portfolio managers in 2000 and 2002, respectively. Jason J. O’Brien, CFA, joined the Fund as a co-portfolio manager on March 18, 2016.
Nuveen Core Plus Bond Fund
Timothy A. Palmer, CFA, has managed the Fund since 2003. Wan-Chong Kung, CFA, Jeffrey J. Ebert and Chris J. Neuharth joined the Fund as co-portfolio managers in 2001, 2005 and 2006, respectively. Douglas M. Baker, CFA, joined the Fund as co-portfolio manager on March 18, 2016.
Nuveen Inflation Protected Securities Fund
Wan-Chong Kung, CFA, has managed the Fund since its inception in 2004 and Chad W. Kemper joined the Fund as a co-portfolio manager in 2010.
Nuveen Intermediate Government Bond Fund
Wan-Chong Kung, CFA, has managed the Fund since 2002. Chris J. Neuharth and Jason J. O’Brien, CFA, have been on the Fund’s management team since 2009.
Nuveen Short Term Bond Fund
Chris J. Neuharth has managed the Fund since 2004. Peter L. Agrimson, CFA, joined the Fund as a co-portfolio manager in 2011. Jason J. O’Brien, CFA, and Mackenzie S. Meyer joined the Fund as co-portfolio managers on March 18, 2016.
What factors affected the U.S. economy and financial markets during the twelve-month reporting period ended June 30, 2016?
Over the twelve-month period, U.S. economic data continued to point to subdued growth, rising employment and tame inflation. Economic activity has continued to hover around a 2% annualized growth rate since the end of the Great Recession in 2009, as measured by real gross domestic product (GDP), which is the value of the goods and services produced by the nation’s economy less
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 Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
For financial reporting 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). 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.
Portfolio Managers’ Comments (continued)
the value of the goods and services used up in production, adjusted for price changes. For the second quarter of 2016, real GDP increased at an annual rate of 1.2%, as reported by the “advance” estimate of the Bureau of Economic Analysis, up from 0.8% in the first quarter of 2016.
The labor and housing markets improved over the reporting period, although the momentum appeared to slow toward the end of the reporting period. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 4.9% in June 2016 from 5.3% in June 2015, and job gains averaged slightly above 200,000 per month for the past twelve months. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, recorded a 5.0% annual gain in May 2016 (most recent data available at the time this report was prepared) (effective July 26, 2016, subsequent to the close of this reporting period, the S&P/Case-Shiller U.S. National Home Price Index was renamed the S&P CoreLogic Case-Shiller U.S. National Home Price Index). The 10-City and 20-City Composites reported year-over-year increases of 4.4% and 5.2%, respectively.
Consumers, whose purchases comprise the largest component of the U.S. economy, benefited from employment growth and firming wages over the twelve-month reporting period. Although consumer spending gains were rather muted in the latter half of 2015, a spending surge in the second quarter of 2016 helped offset weaker business investment. A backdrop of low inflation also contributed to consumers’ willingness to buy. The Consumer Price Index (CPI) rose 1.0% over the twelve-month period ended June 30, 2016 on a seasonally adjusted basis, as reported by the U.S. Bureau of Labor Statistics. The core CPI (which excludes food and energy) increased 2.3% during the same period, slightly above the Fed’s unofficial longer term inflation objective of 2.0%.
At the start of the reporting period, a slowdown in China and ongoing weakness across emerging markets led to renewed volatility and downward pressure for commodity prices across the board. China fears plus a global supply glut led oil prices to sell off sharply, hitting a 12-year low of approximately $26-per-barrel for West Texas Intermediate (WTI) crude in February 2016. However, in the final four months or so of the reporting period, news of a possible production freeze and a string of unexpected production outages helped prices rally back to around the $50-per-barrel mark for WTI crude.
Business investment remained weak over the reporting period. Corporate earnings growth slowed during 2015, reflecting an array of factors ranging from weakening demand amid sluggish U.S. and global growth to the impact of falling commodity prices and a strong U.S. dollar. Although energy prices rebounded off their lows and the dollar pared some of its gains in the first half of 2016, caution prevailed. Financial market turbulence in early 2016 and political uncertainties surrounding the U.K.’s late-June referendum on whether to stay or leave the European Union (EU) and the upcoming U.S. presidential election dampened capital spending.
With the current expansion considered to be on solid footing, the U.S. Federal Reserve (Fed) prepared to raise one of its main interest rates, which had been held near zero since December 2008 to help stimulate the economy. After delaying the rate change for most of 2015 because of a weak global economic growth outlook, the Fed announced in December 2015 that it would raise the fed funds target rate by 0.25%. The news was widely expected and therefore had a relatively muted impact on the financial markets.
Although the Fed continued to emphasize future rate increases would be gradual, investors worried about the pace. This, along with uncertainties about the global macroeconomic backdrop, another downdraft in oil prices and a spike in stock market volatility triggered significant losses across assets that carry more risk and fueled demand for “safe haven” assets such as Treasury bonds and gold from January through mid-February. However, fear began to subside in March, propelling assets that carry more risk higher. The Fed held the rate steady at both the January and March policy meetings, as well as lowered its expectations to two rate increases in 2016 from four. Also boosting investor confidence were reassuring statements from the European Central Bank (ECB), some positive economic data in the U.S. and abroad, a retreat in the U.S. dollar and an oil price rally. At its April meeting, the Fed indicated its readiness to raise its benchmark rate at the next policy meeting in June. However, concerns surrounding a disappointing jobs growth report in May, the increasing divergence between U.S. and global growth as well as tepid inflation readings led the Fed to again hold rates steady at its June and July meetings.
While the U.S. economy remained on firmer footing, the economic outlook outside the U.S. grew more uncertain as the U.K.’s late-June referendum increasingly weighed on sentiment and markets, especially in Europe. Angst surrounding growth in China also remained front and center as policymakers struggled to promote growth in this weakening economy. Japan attempted to boost growth and stave off deflation with an unexpected rate cut at the end of January, but then held off on any additional response, much to the chagrin of investors. The ECB unleashed its own combination of easing measures in March. Then on June 23, 2016, British
voters shocked the world with their unexpected “Brexit” decision to leave the EU, forcing the resignation of the country’s prime minister and temporarily rocking global financial markets. In the days after the vote, U.K. sterling fell precipitously, global equities were turbulent and safe-haven assets such as gold, the U.S. dollar and U.S. Treasuries saw notable inflows. However, the markets stabilized fairly quickly, buoyed by reassurances from global central banks and a perception that the temporary price rout presented an attractive buying opportunity.
As a result of the broad array of factors over the reporting period, the Treasury yield curve flattened as rates for Treasury securities with maturities of one year and less moved modestly higher, while rates for intermediate- and long-term Treasuries fell substantially. For example, yields on one-year T-bills rose by 17 basis points, while 10-year Treasury rates were 85 basis points lower by period end. While Treasury yields ended the reporting period at extremely low levels by historical standards, they remained attractive when compared to the negative rates found in many places across Europe and Asia.
How did the Funds perform during the twelve-month reporting period ended June 30, 2016?
The tables in the Fund Performance and Expense Ratios section of this report provide total returns for the Funds for the one-year, five-year, ten-year and/or since inception periods ended June 30, 2016. Each Funds’ Class A Share total returns at net asset value (NAV) are compared with the performance of the appropriate Barclays Index and Lipper classification average. A more detailed account of each Fund’s performance is provided later in this report.
What strategies were used to manage the Funds during the twelve-month reporting period and how did these strategies influence performance?
All of the Funds continued to employ the same fundamental investment strategies and tactics used previously, although implementation of those strategies depended on the individual characteristics of the portfolios, as well as market conditions. The Funds’ management teams use a highly collaborative, research-driven approach that we believe offers the best opportunity to achieve consistent, superior long-term performance on a risk-adjusted basis across the full range of market environments. During the reporting period, the Funds were generally positioned for an environment of continued moderate economic growth. Nonetheless, during the reporting period we made smaller scaled shifts on an ongoing basis that were geared toward improving each Fund’s profile in response to changing conditions and valuations. These strategic moves are discussed in more detail within each Fund’s section of this report.
Nuveen Core Bond Fund
The Fund’s Class A Shares at net asset value (NAV) underperformed the Barclays U.S. Aggregate Bond Index and the Lipper Core Bond Classification Average for the twelve-month reporting period. In the first seven-and-a-half months of the reporting period, risk premiums widened across all fixed income sectors as investors favored higher quality segments of the market such as Treasuries and mortgage-backed securities. In the investment grade corporate market, commodity price volatility and heavy new issue supply kept technicals weak in higher risk sectors, causing lower quality bonds and commodity related industries to underperform significantly. Analysts at ratings agencies reduced price forecasts for energy and metals, causing negative outlook changes for several issuers and exacerbating selling pressure in an already weak market. A large amount of merger and acquisition (M&A) related financing in the latter part of 2015 also took a toll on the technical backdrop. Market technicals remained weak as dealers tried to keep inventory levels low, which created stress across all segments of the corporate market. Financial sector spreads remained steady and outperformed industrials, which were challenged by commodity price volatility and heavy new issue supply. Around mid-February 2016, oil prices began to rebound off their lows and the Fed indicated a more cautious approach to rate hikes, causing a strong rally in both high yield and investment grade credit. The technical backdrop also improved after the ECB announced that it would start buying euro-denominated credit issues in both the primary and secondary markets. This caused foreign investors to increase their holdings of U.S. corporate paper given more attractive valuations in the U.S. market. Industrials outperformed financials in this latter part of the reporting period as commodity prices stabilized and investors became concerned about loan performance given uncertainty in the global economic outlook.
In the securitized sectors, commercial mortgage-backed securities (CMBS) performed well overall during the reporting period as global central bank support, increased appetite for risk, sharply reduced supply and strong demand for high quality, non-government
Portfolio Managers’ Comments (continued)
securities all contributed to the tightening of risk premiums in the segment. Traditional consumer asset-backed securities (ABS) outperformed Treasuries as consumer credit metrics outside of subprime auto remained solid. Agency and non-agency mortgage-backed securities (MBS) also performed fairly well during the reporting period, outpacing Treasuries as mortgage delinquencies continued to decline and housing market fundamentals remained broadly supportive of this segment of the MBS market.
The volatile market conditions and pressures on credit and economically sensitive sectors of the market drove the Fund’s shortfall versus the benchmarks, with the majority of the negative impact taking place in the first seven months of the reporting period. We had positioned the Fund to benefit from our outlook for trend-like economic growth, strong corporate performance and a Fed interest rate hike in the fall of 2015 with an approximately 15% overweight in the investment grade credit sector relative to the benchmark. While the overweight was not a significant detractor over the period as a whole, our security selection and a lower quality bias in the sector weighed on results. Within investment grade, we had positioned the Fund with an overweight in energy and metals/mining names, segments of the market that experienced relentless selling pressure during the first seven months of the reporting period due to volatile commodity prices and a large amount of new issues. The one theme that worked to our advantage in investment grade credit during this reporting period was a large overweight to financials, due to their strong relative returns within the sector.
The investing landscape shifted in the final five months of the reporting period as some of these same themes in investment grade credit worked to the Fund’s benefit. Our lower quality bias was additive to results from February 2016 through June 2016 due to the excess returns the BBB segment provided versus higher rated segments of the investment grade market. Unfortunately, security selection continued to detract as financials underperformed in the reporting period’s final months due to Brexit and credit fears, while certain industrial names also hurt investment returns.
In securitized sectors, the Fund maintained a modest overweight to CMBS that was beneficial given the slight outperformance of this sector. However, our overweight position in ABS and our close-to-benchmark weight in MBS were not meaningful drivers of returns during the reporting period.
In aggregate, our interest rate strategies had little impact on performance as our yield curve strategy was modestly beneficial, while our duration moves slightly detracted. We started the reporting period with the Fund positioned for the likelihood that short-term interest rates would increase more than long-term rates and that the yield curve would flatten as the Fed continued to normalize policy. As such, we had lowered exposure to short- and intermediate-duration securities and modestly overweighted securities at the longer end of the yield curve. This stance generally aided the Fund’s results since the yield curve did flatten, because long rates fell significantly while short rates moved only modestly higher. On the other hand, we positioned the Fund to benefit from higher rates with a duration (interest rate sensitivity) that averaged around 0.25 years shorter than the benchmark for the majority of the reporting period. This posture detracted due to the sharp decline in rates.
Over the course of the reporting period, we modestly adjusted the Fund’s sector weights in response to shifting technicals and changing valuations. While the portfolio remains overweight in investment grade credit, we modestly reduced its overall exposure after the segment recovered on the back of the commodity sector rebound and strong overseas interest in the final months of the reporting period. The sales we made in the segment were primarily driven by changes in views on specific corporate issuers. In the process, we slightly upgraded the Fund’s overall portfolio credit quality by reducing its overweight to BBB rated issuers, due to that segment’s strong results. Although we believe credit fundamentals have likely peaked, we expect key credit metrics to remain fairly stable and broadly supportive of valuations. Periods of volatility are almost certain to persist; however, strong technicals and accommodative monetary policy are providing a solid backdrop for credit investors. We believe long-term investors are being fairly compensated for taking credit and liquidity risk; therefore, we are maintaining the Fund’s overweight to investment grade credit.
In the CMBS sector, we sold some positions as spread targets were reached, slightly reducing the Fund’s weighting in this sector. The Fund’s agency MBS exposure was relatively stable, with trading activity in the sector generally bottom up in nature and geared toward managing risk in line with the benchmark.
At the end of the reporting period, the market was priced for no changes in Fed policy for the rest of 2016, which seemed appropriate given the macro outlook. That being said, 10-year Treasury rates at the end of the reporting period were at levels we have not seen for more than a year and that embody a significant amount of risk aversion and uncertainty. We see a reasonable probability
that rates will retrace some of their downward movement over the coming months as the durability of the U.S. economy is confirmed by incoming data and investors reassess the global macro environment. Absent a significant downgrade to our view for the U.S. economy or a repricing of rates higher, we expect to keep the Fund’s duration neutral versus its benchmark.
In addition, we continued to utilize various derivative instruments in the Fund during the reporting period. We use Treasury note and bond futures as part of an overall construction strategy to manage the Fund’s duration and yield curve exposure. These derivative positions detracted from performance during the reporting period. We also used interest rate swaps to manage portfolio duration and overall portfolio yield curve exposure and these positions also detracted from performance during the reporting period. These contracts were terminated prior to the end of the reporting period.
Nuveen Core Plus Bond Fund
The Fund’s Class A Shares at net asset value (NAV) underperformed both the Barclays U.S. Aggregate Bond Index and the Lipper Core Bond Plus Classification Average for the twelve-month reporting period. In the first seven-and-a-half months of the reporting period, risk premiums widened across all fixed income sectors as investors favored higher quality segments of the market such as Treasuries and mortgage-backed securities. In the investment grade corporate market, commodity price volatility and heavy new issue supply kept technicals weak in higher risk sectors, causing lower quality bonds and commodity related industries to underperform significantly. Analysts at ratings agencies reduced price forecasts for energy and metals, causing negative outlook changes for several issuers and exacerbating selling pressure in an already weak market. A large amount of merger and acquisition (M&A) related financing in the latter part of 2015 also took a toll on the technical backdrop. Market technicals remained weak as dealers tried to keep inventory levels low, which created stress across all segments of the corporate market. Financial spreads remained steady and this sector outperformed industrials, which were challenged by commodity price volatility and heavy new issue supply. Around mid-February 2016, oil prices began to rebound off their lows and the Fed indicated a more cautious approach to rate hikes, causing a strong rally in both high yield and investment grade credit. The technical backdrop also improved after the ECB announced that it would start buying euro-denominated credit issues in both the primary and secondary markets. This caused foreign investors to increase their holdings of U.S. corporate paper given more attractive valuations in the U.S. market. Industrials outperformed financials in this latter part of the reporting period as commodity prices stabilized and investors became concerned about loan performance given uncertainty in the global economic outlook.
High yield bond prices were under extreme pressure in the first seven months of the reporting period as global growth concerns, the Fed’s mixed messages and accumulating sector specific issues weighed on confidence and led to a poor technical backdrop. A flight-to-quality ensued due to persistent commodity weakness and increased distress among lower rated issues. Energy bonds, which comprise approximately 13% of the market, continued to be pressured by falling crude prices, while the weak global growth outlook also caused base metal, iron ore and coal bonds to trade at multi-year lows. Elevated risks in the commodity sector curbed risk appetites and led to underperformance in the CCC credit rating space, which is more exposed to these cyclically weak areas. However, high yield bond prices finally found support midway through February 2016, after suffering through a 20-month long bear market. High yield spreads tightened significantly and the energy and metals/mining sectors enjoyed strong recoveries after bearing the brunt of the market sell-off. The recovery, however, was not enough to offset earlier underperformance and U.S. high yield fell short of all other U.S. fixed income asset classes for the full reporting period. On the other hand, the segment outperformed European issues, given Brexit uncertainty, as well as the relative richness of euro high yield given its outperformance in last year’s sell-off.
In the securitized sectors, commercial mortgage-backed securities (CMBS) performed well overall during the reporting period as global central bank support, increased appetite for risk, sharply reduced supply and strong demand for high quality, non-government securities all contributed to the tightening of risk premiums in the segment. Traditional consumer asset-backed securities (ABS) outperformed Treasuries as consumer credit metrics outside of subprime auto remained solid. Agency and non-agency mortgage-backed securities (MBS) performed fairly well during the reporting period, outpacing Treasuries as mortgage delinquencies continued to decline and housing market fundamentals remained broadly supportive of this segment of the MBS market.
Non-U.S. interest rates and currencies took the Fed’s December 2015 rate increase in stride, reacting moderately to prospects for a higher U.S. rate structure. A moderate message from the Fed, below trend global growth, the lack of inflation pressures and ongoing risk aversion in credit helped keep market rates in check early in the reporting period. Europe and Japan, while posting reasonable growth data, continued to witness broadly disinflationary effects beyond energy, leading to meaningfully lower inflation
Portfolio Managers’ Comments (continued)
expectations. After a pause in its quantitative easing efforts, the ECB aggressively ramped up its efforts to reverse disinflation and expand lending activity in March 2016, by expanding its measures and pushing interest rates deeper into negative territory. After the Fed validated the market’s assessment that the pace of its rate hikes would slow further, global rates fell precipitously and the U.S. dollar declined. Risk appetite was supported, particularly corporate credit, in light of the ECB’s move to buy corporate bonds. China worked to stabilize its yuan currency, while rumors flourished that global policymakers agreed to a secret “Shanghai Accord” at the G-20 meeting, in a coordinated effort to weaken the dollar and end recent “currency wars.” In the final days of the reporting period, the unexpected Brexit vote had a significant impact on major currencies, slashing the value of the British pound and other European currencies versus the dollar. Conversely, the yen was driven up by the flight to quality and disappointment over the lack of any stimulative action by the Bank of Japan, as well as the dovish turn from the Fed. However, global leaders were relieved to see the relatively contained short-term asset reaction outside of Europe. The Japanese yen appreciated sharply over the reporting period, given flight-to-quality inflows and appreciation caused by the failure of “Abenomics” to remain on track.
Emerging Market (EM) bonds and currencies had a rocky start to the reporting period as decelerating data out of China continued to raise questions about the country’s growth and the resultant impact on the rest of the world. Political disarray, stagnant growth and currency weakness continued to plague Brazil, threatening further instability in this large EM player, while a surprise policy shift in South Africa exacerbated the volatility. As the reporting period progressed, however, EM bonds and currencies benefited from stabilizing domestic fundamentals and positive policy developments globally, which led to investor inflows and a reversal from very cheap valuations. Rising oil prices boosted growth and reduced the stress on commodity-dependent economies. The market was also supported by the aggressive ECB actions, the Fed’s cautious posture and evidence of Chinese fiscal stimulus. Despite elevated volatility in global markets at the end of the reporting period due to the U.K. referendum, EM debt posted strong returns over the reporting period, outperforming all other fixed income asset classes. EM currencies declined versus the U.S. dollar, owing to global growth concerns, volatile commodities and capital outflows. Commodity sensitive currencies were hardest hit.
The volatile market conditions and pressures on credit and economically sensitive sectors of the market drove the Fund’s shortfall versus the benchmarks, with the majority of the negative impact taking place in the first seven months of the reporting period. During the reporting period, investment grade credit was the biggest drag on the Fund’s performance, mainly due to security selection as well as our significant overweight to and quality bias within the sector. Within investment grade, our overweights to cyclical credits and lower quality bias (overweight BBB rated credits) both detracted from performance. Also, the benefit of the Fund’s large overweight to financials during this reporting period was more than offset by its smaller, but hard hit, positions in energy, metals and other cyclically sensitive industries. The tables turned in the final five months of the reporting period as some of these same themes in the investment grade sector, particularly our lower quality bias, worked to the Fund’s benefit. However, security selection continued to detract as financials, including preferred securities, meaningfully underperformed industrials in light of Brexit and credit fears. Additionally, some of our holdings in the industrial sectors continued to lag.
In terms of high yield exposure, we had positioned our weighting in the segment close to the top end of the Fund’s policy range due to our view of moderate global growth and supportive credit fundamentals. However, this substantial weighting in the high yield corporate sector was also a drag on results, with all of the negative impact taking place in the first seven months of the reporting period. Our positioning in oil and cyclical credits also contributed to the underperformance. After oil prices hit bottom in mid-February 2016, the high yield segment surged, contributing favorably to the Fund’s results later in the reporting period, but not enough to offset the earlier underperformance.
Away from credit, sector selection detracted modestly owing to the Fund’s underweight position in CMBS and MBS. Foreign currency exposure was also a marginal detractor given the strong “risk-off” appreciation of the Japanese yen and downward pressure on the Mexican peso driven by global uncertainties, economic concerns and commodity volatility. Our positions in foreign and EM bonds also had a modestly negative impact.
Yield curve positioning was a positive contributor to the Fund’s performance, driven by a flattening of the yield curve over the reporting period. However, our generally defensive duration stance detracted because the Fund did not keep up with the sharp decline in Treasury rates during the reporting period. Overall, rate positioning was not a major driver of return.
As the reporting period drew to a close, we maintained the Fund’s positioning for moderate economic growth and supportive financial conditions. Our portfolio construction continued to be focused on income generation driven primarily through diversified exposure to investment-grade corporates and a significant allocation to high yield. Toward the end of the reporting period, we marginally reduced the Fund’s weight to investment-grade credit as some holdings hit near-term valuation targets, using the proceeds to increase weights marginally in the high yield, non-U.S. and ABS sectors. Other activity focused on repositioning individual issues according to relative value opportunities and developing credit views. We continue to emphasize financials, which we believe are quite inexpensive in both relative and absolute terms and provide good income and performance potential to the portfolio. Outside of financials, credit selection remains crucial given the cross currents impacting various industries and credits in different ways in a slow-growth economy.
Away from credit, we continued to find opportunities in the CMBS and ABS sectors that provided attractive yields, while underweighting the MBS sector in light of better valuations elsewhere. We avoided Treasuries and agencies as these sectors offered unattractive duration and yield profiles.
Although we believe foreign markets and currencies provide select opportunities, we ended the reporting period with only small positions in these segments. We remain alert for economic shifts in key markets and await better fundamentals and catalysts for our investment themes before adding meaningfully to the Fund’s foreign positions.
We shifted the Fund’s interest rate positioning from an underweight to near neutral toward the end of the reporting period, given our view of an increased likelihood of a further deferral from the Fed and continued liquidity expansion globally.
During the reporting period, we also continued to utilize various derivative instruments. We use Treasury note and bond futures as part of an overall construction strategy to manage the Fund’s duration and yield curve exposure. These derivative positions detracted from performance during the reporting period. We also use interest rate swaps to manage portfolio duration and overall portfolio yield curve exposure, and these positions also detracted from performance.
We used forward foreign currency exchange contracts to manage the Fund’s foreign currency exposure. For example, the Fund may reduce unwanted currency exposure from the Fund’s bond portfolio, or may take long forward positions in select currencies in an attempt to benefit from the potential price appreciation. These positions had a positive impact on performance during the reporting period.
Nuveen Inflation Protected Securities Fund
The Fund’s Class A Shares at net asset value (NAV) underperformed the Barclays U.S. TIPS Index and outperformed the Lipper Inflation-Protected Bond Funds Classification Average for the twelve-month reporting period. Early in the reporting period, investors seemed indifferent to Treasury inflation protected securities (TIPS) as headline inflation remained weak in the face of rapidly declining energy prices. The Fed’s December rate liftoff in a low inflation environment caused yields on TIPS to rise significantly, particularly at the short end of the yield curve, even as breakeven rates mostly languished near multi-year lows. Breakeven rates measure the difference between the yields of nominal Treasuries versus TIPS with the same maturity. The yield on five-year TIPS, which began the reporting period at 0.02%, rose to 0.45% by year-end 2015. As we entered 2016, inflation expectations turned positive and investors returned to the TIPS asset class, partly due to the attractive valuations found in the segment. However, the Fed’s increasingly dovish tone in the second half of the reporting period sharply reduced the odds for any further rate hikes in 2016 as inflation remained below the Fed’s objective and concerns over global economic and financial developments continued. TIPS performed very strongly in the second half of the reporting period as investors poured money into the segment, pushing yields much lower and prices higher across the board. For example, yields on five-year TIPS fell 82 basis points between year-end 2015 and the end of the reporting period, back into negative territory at -0.37%. The yield on a TIPS bond is equal to the corresponding Treasury bond yield minus the expected rate of inflation, therefore, it falls into negative territory if the inflation rate is higher than the current Treasury yield. As interest rates tumbled toward historically low levels, the TIPS breakeven rate narrowed across the TIPS yield curve, indicating investor expectations of decreased inflation risk.
In the first seven-and-a-half months of the reporting period, risk premiums widened across all fixed income sectors as investors favored higher quality segments of the market such as Treasuries and mortgage-backed securities. High yield bond prices were under extreme pressure as global growth concerns, the Fed’s mixed messages and accumulating sector specific issues weighed on
Portfolio Managers’ Comments (continued)
confidence and led to a poor technical backdrop. A flight-to-quality ensued due to persistent commodity weakness and increased distress among lower-rated issues. Energy bonds, which comprise approximately 13% of the market, continued to be pressured by falling crude prices, while the weak global growth outlook also caused base metal, iron ore and coal bonds to trade at multi-year lows. Elevated risks in the commodity sector curbed risk appetites and led to underperformance in the CCC credit rated space, which is more exposed to these cyclically weak areas. However, high yield bond prices finally found support midway through February 2016 after suffering through a 20-month long bear market. High yield spreads tightened significantly and the energy and metals/mining sectors enjoyed strong recoveries after bearing the brunt of the market sell-off. The recovery, however, was not enough to offset earlier underperformance and U.S. high yield fell short of all other U.S. fixed income asset classes for the full reporting period.
In the securitized sectors, commercial mortgage-backed securities (CMBS) performed well overall during the reporting period. Global central bank support, increased appetite for risk, sharply reduced supply and strong demand for high-quality, non-government securities all contributed to the tightening of risk premiums in the segment.
In terms of performance, the Fund’s results versus the benchmark were hindered by its out-of-index exposures, particularly in high yield credit in the first seven months of the reporting period. As noted previously, high yield corporates were the worst performing area of the bond market during that time frame, significantly underperforming Treasuries and TIPS. While the Fund’s exposure to this asset class was fairly small, high yield bonds came under intense pressure during this extremely risk-averse period, exhibiting explosive volatility and impaired market liquidity. While this segment recovered sharply in the final months of the reporting period, it was not enough to offset the earlier underperformance.
On the other hand, the Fund’s performance versus its peer group benefited from our breakeven positioning, which is designed to take advantage of changing inflation expectations along the TIPS yield curve. Also, the Fund generally benefited from its underweight to TIPS as these securities underperformed nominal Treasuries. A longer duration profile for our nominal Treasury holdings was also helpful due to the outperformance of longer maturity Treasuries in the falling rate environment.
Based on our improving outlook for inflation and the attractive valuations in the TIPS asset class, we built up the Fund’s TIPS exposure from approximately 80% of the portfolio at the beginning of the reporting period to 86% at the end of the reporting period. While the fundamental backdrop for the TIPS market was neutral at the end of the period, the technical backdrop continued to be positive due to fairly steady demand as investors returned to the space. From a valuation standpoint, the segment also appeared favorable as breakeven spread levels were attractive and did not reflect the full inflation risk premium expected from an accommodative Fed. Although the very low real yields on TIPS may be a headwind for the segment in the near term, TIPS are likely to out yield Treasuries due to strong seasonal consumer price index (CPI) prints.
In the remainder of the portfolio, we kept modest allocations in out-of-index sectors including high yield credit, CMBS and investment grade credit, which ended the reporting period around 7% of the portfolio collectively. The portfolio also continued to have small allocations to nominal Treasury securities and cash. In the credit sectors, our view is that while fundamentals have clearly peaked, they will remain supportive of current valuations. Although periods of volatility are almost certain to persist, strong technicals and accommodative monetary policy are providing a solid environment for credit investors. We believe long-term investors are being fairly compensated for taking credit and liquidity risk. In the CMBS sector, we may look to modestly add back exposure after lowering the Fund’s weight in the segment slightly, if the sector cheapens versus competing assets.
At the end of the reporting period, the market was priced for no changes in Fed policy for the balance of the year, which we believe is appropriate given the current macro outlook. That being said, Treasury rates ended the reporting period at levels we have not seen for some time and that embody a significant amount of risk aversion and uncertainty. We see a reasonable probability that rates, while remaining historically low, may retrace some of their downward movement over the coming months as the durability of the U.S. economy is confirmed by incoming data and investors reassess the global macro environment. Absent a significant downgrade to our view for the U.S. economy or a repricing of rates higher, we expect to continue managing the Fund’s duration slightly short compared to its benchmark’s duration via a short duration in the TIPS portfolio, offset somewhat by a longer duration in our nominal Treasury securities. We continue to position the portfolio to benefit from a flattening in the breakeven inflation curve between 5 and 30 years, with 5-year TIPS outperforming due to our outlook for seasonally stronger inflation.
We also use Treasury note and bond futures as part of an overall portfolio construction strategy to manage the Fund’s duration and yield curve exposure. The overall effect of the positions on performance during the reporting period was negative. We also used interest rate swaps to manage portfolio duration and overall portfolio yield curve exposure and these positions also detracted from performance during the reporting period. These contracts were terminated prior to the end of the reporting period.
Nuveen Intermediate Government Bond Fund
The Fund’s Class A Shares at NAV underperformed both the Barclays Intermediate Government Bond Index and the Lipper Intermediate U.S. Government Funds Classification Average for the twelve-month reporting period. In the first seven-and-a-half months of the reporting period, risk premiums widened across all fixed income sectors as investors favored higher quality segments of the market such as Treasuries and mortgage-backed securities, which outpaced corporate bonds, particularly high yield, by a wide margin. Around mid-February 2016, oil prices began to rebound off their lows and the Fed indicated a more cautious approach to rate hikes, causing a strong rally in both high yield and investment grade credit. The technical backdrop for credit also improved after the ECB announced that it would start buying euro-denominated credit issues in both the primary and secondary markets. This caused foreign investors to increase their holdings of U.S. corporate paper given more attractive valuations in the U.S. market.
In the securitized sectors of the bond market, mortgage-backed securities (MBS) issued by government agencies such as Fannie Mae (FNMA), Ginnie Mae (GNMA) and Freddie Mac (FHLMC) performed fairly well during the reporting period, outpacing Treasuries as mortgage delinquencies continued to decline and housing market fundamentals remained broadly supportive of this segment of the MBS market. Generally speaking, valuations were steady and investors embraced the combination of lower volatility and superior liquidity found in the agency MBS sector. Also, the Fed implied that it would continue to re-invest MBS paydowns from its holdings until policy normalization was well under way, which gave investors comfort that technicals in the MBS segment would remain favorable through much of 2016. However, the segment did come under pressure in the final month of the reporting period due to the June rate rally, modest pickup in volatility and Brexit vote, which pushed mortgage spreads wider. Commercial mortgage-backed securities (CMBS) performed very well over the entirety of the reporting period, following a difficult first half caused by higher levels of new issuance and ongoing concerns about the quality of loans going into new deals. In the second half of the reporting period, the CMBS sector was boosted by global central bank support, increased appetite for risk, sharply reduced supply and strong demand for high quality, non-government securities, which all contributed to the tightening of risk premiums in the segment. Traditional consumer asset-backed securities (ABS) outperformed Treasuries as consumer credit metrics outside of subprime auto remained solid. The ABS sector continued to benefit from strong consumer loan performance and favorable supply/demand conditions.
As a whole, the Fund’s sector strategies had a modestly negative impact on performance during the reporting period. We positioned the Fund with overweight positions in several securitized sectors of the market, including CMBS, ABS and agency MBS, with a corresponding underweight to U.S. Treasuries. Most of the detraction was the result of security selection in non-traditional ABS during the first half of the reporting period. On the other hand, the Fund’s overweight exposure to agency MBS had a favorable impact on results, especially in the second half of the reporting period and was a positive contributor to performance.
In aggregate, our interest rate strategies had a positive impact on the Fund’s performance due to the benefits from our yield curve strategy. We started the reporting period with the Fund positioned for the likelihood that short-term interest rates would increase more than long-term rates and that the yield curve would flatten as the Fed continued to normalize policy. As such, we had lowered exposure to shorter maturity securities (out to five years) and modestly overweighted securities at the longer end of the yield curve (ten- and twenty-year maturities). This stance benefited the Fund’s results since the yield curve did flatten, more so because long rates fell significantly while short rates moved only modestly higher. On the other hand, we had positioned the Fund with a defensive duration (interest rate sensitivity), which modestly detracted due to the sharp decline in rates. However, the negative impact was not enough to offset the positive effects of our yield curve positioning.
In addition, we use Treasury note and bond futures as part of an overall portfolio construction strategy to manage the Fund’s duration and yield curve exposure. The overall effect of these positions on performance during the reporting period was negative. We also used interest rate swaps to manage portfolio duration and overall portfolio yield curve exposure and these positions also detracted from performance during the reporting period. These contracts were terminated prior to the end of the reporting period.
Portfolio Managers’ Comments (continued)
Nuveen Short Term Bond Fund
The Fund’s Class A Shares at NAV underperformed both the Barclays 1-3 Year Government/Credit Bond Index and the Lipper Short Investment Grade Debt Funds Classification Average for the twelve-month reporting period. In the first seven-and-a-half months of the reporting period, risk premiums widened across all fixed income sectors as investors favored higher quality segments of the market such as Treasuries and mortgage-backed securities. In the investment grade corporate market, commodity price volatility and heavy new issue supply kept technicals weak in higher risk sectors, causing lower quality bonds and commodity related industries to underperform significantly. Analysts at ratings agencies reduced price forecasts for energy and metals, causing negative outlook changes for several issuers and exacerbating selling pressure in an already weak market. A large amount of merger and acquisition (M&A) related financing in the latter part of 2015 also took a toll on the technical backdrop. Market technicals remained weak as dealers tried to keep inventory levels low, which created stress across all segments of the corporate market. Financial spreads remained steady and this sector outperformed industrials, which were challenged by commodity price volatility and heavy new issue supply. Although spreads were under pressure, short-duration investment-grade credit managed to outperform Treasuries during the reporting period. However, short-duration high yield corporates performed poorly as the risks of slower global growth, lower commodity prices and a hawkish Fed pressured prices lower across the board.
Around mid-February 2016, oil prices began to rebound off their lows and the Fed indicated a more cautious approach to rate hikes, causing a strong rally in both high yield and investment grade credit. The technical backdrop also improved after the ECB announced that it would start buying euro-denominated credit issues in both the primary and secondary markets. This caused foreign investors to increase their holdings of U.S. corporate paper given more attractive valuations in the U.S. market. Industrials outperformed financials in this latter part of the reporting period as commodity prices stabilized and investors became concerned about loan performance given uncertainty in the global economic outlook.
In the securitized sectors, commercial mortgage-backed securities (CMBS) performed well overall during the reporting period as global central bank support, increased appetite for risk, sharply reduced supply and strong demand for high-quality, non-government securities all contributed to the tightening of risk premiums in the segment. Traditional consumer asset-backed securities (ABS) with shorter durations performed well compared to other asset classes as consumer credit metrics outside of subprime auto remained solid. Short maturity agency and non-agency mortgage-backed securities (MBS) performed fairly well during the reporting period, outpacing Treasuries as mortgage delinquencies continued to decline and housing market fundamentals remained broadly supportive of this segment of the MBS market.
The Fund’s exposure to investment grade credit ranged between 35% and 42% of its portfolio during the reporting period, or roughly a 5-10% overweight to the benchmark. Given the outperformance of investment grade credit, this sector decision was incrementally beneficial to returns. However, within investment grade credit, our security selection was a drag on results. We maintained small overweights to both financials and industrials relative to the benchmark, with an emphasis on BBB rated paper. During the first seven months of market volatility during the reporting period, the Fund’s financial holdings held up well, but its industrial exposure was a detractor. While only a small amount of the Fund’s investment grade industrial exposure was in commodity-related sectors such as energy and metals/mining, our position still represented an overweight of about 1% versus the benchmark and therefore modestly detracted from performance.
The Fund’s modest exposure to high yield corporate bonds was also a performance detractor, with the majority of the negative impact happening in the first portion of the reporting period. We positioned the Fund with approximately a 6% weighting in short duration non-investment-grade corporate bonds, which were broadly diversified across industries and issuers in the BB and B rating credit categories. This exposure weighed on the Fund’s performance due to the significant underperformance of risk assets in the second half of 2015. However, in the final months of the reporting period, high yield bonds gave a stronger showing due to the improvement in risk appetites and the resurgence in the energy and basic materials segments.
As always, the Fund maintained a strong focus on the securitized sectors, holding somewhere between 40% and 50% in residential MBS, CMBS and ABS product throughout the reporting period. The strong performance of these sectors had a significant positive impact on the Fund’s returns.
Taken as a whole, our interest rate positioning benefited the Fund’s results during the reporting period. We had positioned the Fund defensively to limit its sensitivity to rising rates because we anticipated the Fed would begin to normalize monetary policy. This
included maintaining the Fund’s duration between 0.25 and 0.50 years short of the benchmark, while structuring the portfolio to benefit from a flatter yield curve. The duration stance worked to the Fund’s favor in the first part of the reporting period as interest rates rose, but then detracted later on amid the sharp drop in rates. On the other hand, the positioning for a flatter yield curve helped results throughout the reporting period as short-term rates rose modestly while intermediate-term rates fell quite dramatically, leading to a significantly flatter curve.
We made several changes to the Fund’s structure during the reporting period with most of our portfolio activity being bottom up in nature. Our focus remained on generating income via a significant overweight to the non-government sectors of the bond market. As spreads modestly tightened on the back of commodity sector recoveries and strong overseas interest later in the reporting period, we became more selective with adding investment grade credit exposure to the portfolio. While we do believe credit fundamentals have likely peaked, we expect key credit metrics to remain fairly stable and broadly supportive of current valuations. Periods of volatility are almost certain to persist; however, strong technicals and accommodative monetary policy are providing a solid backdrop for credit investors. We believe long-term investors are being fairly compensated for taking credit and liquidity risk. Therefore, we are maintaining the Fund’s overweight to investment-grade credit and small exposure to short-duration high yield corporate paper.
Given strong household balance sheets, we continue to focus the Fund’s securitized exposure in the consumer-related ABS and residential mortgage segments. We continue to favor government-sponsored enterprise (GSE) credit risk transfer securities and single-family rental bonds, which are short duration, floating-rate mortgage securities that should benefit from stringent mortgage underwriting standards and strong demand for rental housing. We’re also generally comfortable with commercial real estate fundamentals, at least in the short run, and are maintaining exposure in the CMBS sector, while becoming increasingly selective in our new issue underwriting processes in that segment. The Fund maintains between 5% to 10% of its assets in Treasury and agency securities as a liquidity and volatility buffer.
At the end of the reporting period, the market was priced for no changes in Fed policy for the rest of 2016, which seems appropriate given the current macro outlook. That being said, short-term Treasury rates dropped below 0.60% at the end of the reporting period, a level we have not seen for more than a year and that embodies a significant amount of risk aversion and uncertainty. We see a reasonable probability that rates can retrace some of their downward movement over the coming months as the durability of the U.S. economy is confirmed by incoming data and investors reassess the global macro environment. Absent a significant downgrade to our view for the U.S. economy or a repricing of rates higher, we are maintaining the Fund’s duration between 0.25-0.50 years short to its benchmark.
During the reporting period, we also continued to utilize various derivative instruments. We use Treasury note futures as part of an overall portfolio construction strategy to manage the Fund’s duration and yield curve exposure. The overall effect of these positions on the Fund’s performance during the reporting period was negative. We also used interest rate swaps to manage portfolio duration and overall portfolio yield curve exposure and these positions also detracted from performance during the reporting period. These contracts were terminated prior to the end of the reporting period.
We used forward foreign currency exchange contracts to manage the Fund’s foreign currency exposure. For example, the Fund may reduce unwanted currency exposure from the Fund’s bond portfolio, or may take long forward positions in select currencies in an attempt to benefit from the potential price appreciation. These positions had a negligible impact on performance during the reporting period.
Risk Considerations
and Dividend Information
Risk Considerations
Nuveen Core Bond Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, derivatives risk, dollar roll transaction risk, and income risk. As interest rates rise, bond prices fall. Foreign investments involve additional risks, including currency fluctuation, political and economic instability, lack of liquidity, and differing legal and accounting standards. Asset-backed and mortgage-backed securities are subject to additional risks such as prepayment risk, liquidity risk, default risk and adverse economic developments.
Nuveen Core Plus Bond Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, derivatives risk, dollar roll transaction risk, and income risk. As interest rates rise, bond prices fall. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. Foreign investments involve additional risks, including currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards. Asset-backed and mortgage-backed securities are subject to additional risks such as prepayment risk, liquidity risk, default risk and adverse economic developments.
Nuveen Inflation Protected Securities Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, derivatives risk, income risk, and index methodology risk. As interest rates rise, bond prices fall. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. The guarantee provided by the U.S. government to treasury inflation protected securities (TIPS) relates only to the prompt payment of principal and interest and does not remove the market risks of investing in the Fund shares. Foreign investments involve additional risks, including currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards. Asset-backed and mortgage-backed securities are subject to additional risks such as prepayment risk, liquidity risk, default risk, and adverse economic developments. The Fund’s investment in inflation protected securities has tax consequences that may result in income distributions to shareholders.
Nuveen Intermediate Government Bond Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, derivatives risk, dollar roll transaction risk, and income risk. As interest rates rise, bond prices fall. Asset-backed and mortgage-backed securities are subject to additional risks such as prepayment risk, liquidity risk, default risk and adverse economic developments.
Nuveen Short Term Bond Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, derivatives risk, and income risk. As interest rates rise, bond prices fall. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. Foreign investments involve additional risks, including currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards. Asset-backed and mortgage-backed securities are subject to additional risks such as prepayment risk, liquidity risk, default risk and adverse economic developments.
Dividend Information
Each 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 each 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 income actually earned by the Fund during the period. If a 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 a Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders.
As of June 30, 2016, Nuveen Core Plus Bond, Nuveen Inflation Protected Securities and Nuveen Intermediate Government Bond had positive UNII balances while Nuveen Core Bond and Nuveen Short Term Bond had zero UNII balances for tax purposes. Nuveen Inflation Protected Securities Fund had a positive UNII balance, while the other Funds had negative UNII balances for financial reporting purposes.
All monthly dividends paid by Nuveen Core Plus Bond Fund, Nuveen Intermediate Government Bond Fund and Nuveen Short Term Bond Fund during the current reporting period were paid from net investment income. If a portion of a 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 each 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 each 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.
The Nuveen Core Bond Fund seeks to pay regular monthly distributions at a level rate that reflects past and projected net income of the Fund. The Fund may own certain investments that can create uneven income flows. In some cases, such as a credit default swap position whose value falls after purchase, these investments may actually decrease overall levels of net income. During the current fiscal year, certain investments owned by the Fund decreased income. Although the Fund reduced its distribution level twice during the year, the Fund’s distribution amount over the entire fiscal year exceeded the actual amount of net income. As a result, a portion of the Fund’s fiscal year distribution have been deemed to be a return of capital, which is identified in the table below.
Nuveen Core Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| Fiscal Year Ended June 30, 2016 | | Class A | | | Class C | | | Class R6 | | | Class I | |
Regular monthly per share distribution | | | | | | | | | | | | | | | | |
From net investment income | | $ | 0.2141 | | | $ | 0.1341 | | | $ | 0.2341 | | | $ | 0.2341 | |
From net realized capital gains | | | 0.0642 | | | | 0.0642 | | | | 0.0642 | | | | 0.0642 | |
Return of capital | | | 0.0417 | | | | 0.0417 | | | | 0.0417 | | | | 0.0417 | |
Total per share distribution | | $ | 0.3200 | | | $ | 0.2400 | | | $ | 0.3400 | | | $ | 0.3400 | |
Nuveen Inflation Protected Securities Fund did not pay monthly dividends during the current reporting period.
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Fund Performance
and Expense Ratios
The Fund Performance and Expense Ratios for each Fund are shown within this section of the report.
Returns quoted represent past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns without sales charges would be lower if the sales charge were included. 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. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.
Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees, and assume reinvestment of dividends and capital gains.
Comparative index and Lipper return information is provided for Class A Shares at net asset value (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.
Fund Performance and Expense Ratios (continued)
Nuveen Core Bond 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 June 30, 2016
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | 10-Year | |
Class A Shares at NAV | | | 4.12% | | | | 2.99% | | | | 4.48% | |
Class A Shares at maximum Offering Price | | | 0.98% | | | | 2.38% | | | | 4.17% | |
Barclays U.S. Aggregate Bond Index | | | 6.00% | | | | 3.76% | | | | 5.13% | |
Lipper Core Bond Classification Average | | | 4.95% | | | | 3.56% | | | | 4.65% | |
Class I Shares | | | 4.39% | | | | 3.25% | | | | 4.68% | |
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | Since
Inception | |
Class C Shares | | | 3.31% | | | | 2.20% | | | | 2.34% | |
| | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | Since
Inception | |
Class R6 Shares | | | 4.38% | | | | 1.97% | |
Since inception return for Class C Shares is from 1/18/11. Since inception return for Class R6 Shares is from 1/20/15. Indexes and Lipper averages are not available for direct investment.
Class A Shares have a maximum 3.00% 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), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or after November 1, 2015. 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 R6 Shares have no sales charge and are available only to certain limited categories as described in the prospectus. 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 R6 | | | Class I | |
Gross Expense Ratios | | | 0.85% | | | | 1.61% | | | | 0.56% | | | | 0.59% | |
Net Expense Ratios | | | 0.78% | | | | 1.53% | | | | 0.48% | | | | 0.53% | |
The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse other Fund 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 and extraordinary expenses) do not exceed 0.53% of the average daily net assets of any class of Fund shares. However, because Class R6 Shares are not subject to sub-transfer agent and similar fees, the total annual Fund operating expenses for the Class R6 Shares will be less than the expense limitation. Fee waivers and/or expense reimbursements will not be terminated prior to that time without the approval of the Board of Directors of the Fund.
Growth of an Assumed $10,000 Investment as of June 30, 2016 – Class A Shares
The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.
Fund Performance and Expense Ratios (continued)
Nuveen Core Plus Bond 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 June 30, 2016
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | 10-Year | |
Class A Shares at NAV | | | 2.07% | | | | 3.52% | | | | 4.88% | |
Class A Shares at maximum Offering Price | | | (2.28)% | | | | 2.62% | | | | 4.43% | |
Barclays U.S. Aggregate Bond Index | | | 6.00% | | | | 3.76% | | | | 5.13% | |
Lipper Core Bond Plus Classification Average | | | 4.36% | | | | 3.95% | | | | 5.29% | |
| | | |
Class C Shares | | | 1.29% | | | | 2.74% | | | | 4.09% | |
Class R3 Shares | | | 1.83% | | | | 3.25% | | | | 4.64% | |
Class I Shares | | | 2.26% | | | | 3.77% | | | | 5.13% | |
| | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | Since
Inception | |
Class R6 Shares | | | 2.35% | | | | 1.42% | |
Since inception return for Class R6 Shares is from 1/20/15. Indexes and Lipper averages are not available for direct investment.
Class A Shares have a maximum 4.25% 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), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or after November 1, 2015. 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 R3 Shares have no sales charge and are only available for purchase by eligible retirement plans. Class R6 Shares have no sales charge and are available only to certain limited categories as described in the prospectus. 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 R3 | | | Class R6 | | | Class I | |
Gross Expense Ratios | | | 0.85% | | | | 1.60% | | | | 1.10% | | | | 0.54% | | | | 0.60% | |
Net Expense Ratios | | | 0.77% | | | | 1.52% | | | | 1.02% | | | | 0.46% | | | | 0.52% | |
The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse other Fund 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 and extraordinary expenses) do not exceed 0.52% of the average daily net assets of any class of Fund shares. However, because Class R6 Shares are not subject to sub-transfer agent and similar fees, the total annual Fund operating expenses for the Class R6 Shares will be less than the expense limitation. Fee waivers and/or expense reimbursements will not be terminated prior to that time without the approval of the Board of Directors of the Fund.
Growth of an Assumed $10,000 Investment as of June 30, 2016 – Class A Shares
The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.
Fund Performance and Expense Ratios (continued)
Nuveen Inflation Protected Securities 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 June 30, 2016
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | 10-Year | |
Class A Shares at NAV | | | 3.48% | | | | 2.28% | | | | 4.26% | |
Class A Shares at maximum Offering Price | | | (0.88)% | | | | 1.38% | | | | 3.81% | |
Barclays U.S. TIPS Index | | | 4.35% | | | | 2.63% | | | | 4.75% | |
Lipper Inflation-Protected Bond Funds Classification Average | | | 2.57% | | | | 1.56% | | | | 3.74% | |
| | | |
Class C Shares | | | 2.77% | | | | 1.65% | | | | 3.53% | |
Class R3 Shares | | | 3.32% | | | | 2.04% | | | | 3.93% | |
Class I Shares | | | 3.72% | | | | 2.63% | | | | 4.55% | |
| | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | Since
Inception | |
Class R6 Shares | | | 3.99% | | | | 1.76% | |
Since inception return for Class R6 Shares is from 1/20/15. Indexes and Lipper averages are not available for direct investment.
Class A Shares have a maximum 4.25% 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), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or after November 1, 2015. 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 R3 Shares have no sales charge and are only available for purchase by eligible retirement plans. Class R6 Shares have no sales charge and are available only to certain limited categories as described in the prospectus. 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 R3 | | | Class R6 | | | Class I | |
Gross Expense Ratios | | | 0.92% | | | | 1.66% | | | | 1.15% | | | | 0.52% | | | | 0.66% | |
Net Expense Ratios | | | 0.79% | | | | 1.54% | | | | 1.04% | | | | 0.37% | | | | 0.54% | |
The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse other Fund 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 and extraordinary expenses) do not exceed 0.56% of the average daily net assets of any class of Fund shares. However, because Class R6 Shares are not subject to sub-transfer agent and similar fees, the total annual Fund operating expenses for the Class R6 Shares will be less than the expense limitation. Fee waivers and/or expense reimbursements will not be terminated prior to that time without the approval of the Board of Directors of the Fund.
Growth of an Assumed $10,000 Investment as of June 30, 2016 – Class A Shares
The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.
Fund Performance and Expense Ratios (continued)
Nuveen Intermediate Government Bond 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 June 30, 2016
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | 10-Year | |
Class A Shares at NAV | | | 3.06% | | | | 1.81% | | | | 3.63% | |
Class A Shares at maximum Offering Price | | | 0.00% | | | | 1.20% | | | | 3.31% | |
Barclays Intermediate Government Bond Index | | | 3.93% | | | | 2.31% | | | | 4.07% | |
Lipper Intermediate U.S. Government Funds Classification Average | | | 4.15% | | | | 2.48% | | | | 3.95% | |
| | | |
Class I Shares | | | 3.34% | | | | 2.07% | | | | 3.84% | |
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | Since
Inception | |
Class C Shares | | | 2.29% | | | | 1.04% | | | | 1.58% | |
Class R3 Shares | | | 2.90% | | | | 1.55% | | | | 2.08% | |
Since inception returns for Class C and Class R3 Shares are from 10/28/09. Indexes and Lipper averages are not available for direct investment.
Class A Shares have a maximum 3.00% 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), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or after November 1, 2015. 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 R3 Shares have no sales charge and are only available for purchase by eligible retirement plans. 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 R3 | | | Class I | |
Gross Expense Ratios | | | 1.00% | | | | 1.75% | | | | 1.25% | | | | 0.75% | |
Net Expense Ratios | | | 0.79% | | | | 1.54% | | | | 1.04% | | | | 0.54% | |
The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse other Fund 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 and extraordinary expenses) do not exceed expenses) do not exceed 0.54% of the average daily net assets of any class of Fund shares. Fee waivers and/or expense reimbursements will not be terminated prior to that time without the approval of the Board of Directors of the Fund.
Growth of an Assumed $10,000 Investment as of June 30, 2016 – Class A Shares
The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.
Fund Performance and Expense Ratios (continued)
Nuveen Short Term Bond 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 June 30, 2016
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | 10-Year | |
Class A Shares at NAV | | | 1.04% | | | | 1.55% | | | | 2.85% | |
Class A Shares at maximum Offering Price | | | (1.24)% | | | | 1.09% | | | | 2.61% | |
Barclays 1-3 Year Government/Credit Bond Index | | | 1.59% | | | | 1.10% | | | | 2.80% | |
Lipper Short Investment Grade Debt Funds Classification Average | | | 1.24% | | | | 1.42% | | | | 2.62% | |
| | | |
Class I Shares | | | 1.29% | | | | 1.79% | | | | 3.06% | |
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | Since
Inception | |
Class C Shares | | | 0.25% | | | | 0.77% | | | | 1.20% | |
| | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | Since
Inception | |
Class R3 Shares | | | 0.74% | | | | 1.70% | |
Class R6 Shares | | | 1.29% | | | | 1.56% | |
Since inception return for Class C, Class R3 and Class R6 Shares are from 10/28/09, 9/23/11 and 1/20/15, respectively. Indexes and Lipper averages are not available for direct investment.
Class A Shares have a maximum 2.25% sales charge (Offering Price). Class A Share purchases of $250,000 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), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or after November 1, 2015. 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 R3 Shares have no sales charge and are only available for purchase by eligible retirement plans. Class R6 Shares have no sales charge and are available only to certain limited categories as described in the prospectus. 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 R3 | | | Class R6 | | | Class I | |
Gross Expense Ratios | | | 0.73% | | | | 1.48% | | | | 0.98% | | | | 0.46% | | | | 0.48% | |
Net Expense Ratios | | | 0.71% | | | | 1.46% | | | | 0.96% | | | | 0.43% | | | | 0.46% | |
The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse other Fund 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 and extraordinary expenses) do not exceed 0.47% of the average daily net assets of any class of Fund shares. However, because Class R6 Shares are not subject to sub-transfer agent and similar fees, the total annual Fund operating expenses for the Class R6 Shares will be less than the expense limitation. Fee waivers and/or expense reimbursements will not be terminated prior to that time without the approval of the Board of Directors of the Fund.
Growth of an Assumed $10,000 Investment as of June 30, 2016 – Class A Shares
The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.
Yields as of June 30, 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 Notes to Financial Statements, Note 7 – Management Fees and Other Transactions with Affiliates 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 Core Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A1 | | | Class C | | | Class R6 | | | Class I | |
Dividend Yield | | | 2.32% | | | | 1.62% | | | | 2.63% | | | | 2.64% | |
SEC 30-Day Yield-Subsidized | | | 1.90% | | | | 1.22% | | | | 2.21% | | | | 2.20% | |
SEC 30-Day Yield-Unsubsidized | | | 1.79% | | | | 1.11% | | | | 2.15% | | | | 2.09% | |
Nuveen Core Plus Bond Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A1 | | | Class C | | | Class R3 | | | Class R6 | | | Class I | |
Dividend Yield | | | 3.81% | | | | 3.28% | | | | 3.75% | | | | 4.25% | | | | 4.26% | |
SEC 30-Day Yield-Subsidized | | | 3.51% | | | | 2.92% | | | | 3.41% | | | | 3.95% | | | | 3.91% | |
SEC 30-Day Yield-Unsubsidized | | | 3.39% | | | | 2.80% | | | | 3.30% | | | | 3.86% | | | | 3.79% | |
Nuveen Inflation Protected Securities Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A1 | | | Class C | | | Class R3 | | | Class R6 | | | Class I | |
SEC 30-Day Yield-Subsidized | | | 4.82% | | | | 4.30% | | | | 4.79% | | | | 5.68% | | | | 5.29% | |
SEC 30-Day Yield-Unsubsidized | | | 4.71% | | | | 4.17% | | | | 4.66% | | | | 5.38% | | | | 5.16% | |
Nuveen Intermediate Government Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A1 | | | Class C | | | Class R3 | | | Class I | |
Dividend Yield | | | 1.17% | | | | 0.47% | | | | 0.94% | | | | 1.47% | |
SEC 30-Day Yield-Subsidized | | | 0.77% | | | | 0.05% | | | | 0.54% | | | | 1.03% | |
SEC 30-Day Yield-Unsubsidized | | | 0.64% | | | | (0.08)% | | | | 0.42% | | | | 0.91% | |
Nuveen Short Term Bond Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A1 | | | Class C | | | Class R3 | | | Class R6 | | | Class I | |
Dividend Yield | | | 1.54% | | | | 0.79% | | | | 1.27% | | | | 1.82% | | | | 1.82% | |
SEC 30-Day Yield-Subsidized | | | 1.35% | | | | 0.65% | | | | 1.12% | | | | 1.67% | | | | 1.63% | |
SEC 30-Day Yield-Unsubsidized | | | 1.30% | | | | 0.60% | | | | 1.09% | | | | 1.62% | | | | 1.58% | |
| 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. |
Holding
Summaries as of June 30, 2016
This data relates to the securities held in each 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. 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 Core Bond Fund
Fund Allocation
(% of net assets)
| | | | |
Corporate Bonds | | | 40.3% | |
$1,000 Par (or similar) Institutional Preferred | | | 0.4% | |
Municipal Bonds | | | 0.9% | |
U.S. Government and Agency Obligations | | | 12.1% | |
Asset-Backed and Mortgage-Backed Securities | | | 41.2% | |
Sovereign Debt | | | 0.8% | |
Investments Purchased with Collateral from Securities Lending | | | 6.9% | |
Money Market Funds | | | 3.0% | |
Other Assets Less Liabilities | | | (5.6)% | |
Net Assets | | | 100% | |
Corporate Debt: Industries
(% of total corporate bond holdings)
| | | | |
Banks | | | 13.6% | |
Media | | | 10.7% | |
Capital Markets | | | 9.3% | |
Diversified Telecommunication Services | | | 8.0% | |
Insurance | | | 7.9% | |
Health Care Providers & Services | | | 6.5% | |
Real Estate Investment Trust | | | 4.1% | |
Oil, Gas & Consumable Fuels | | | 3.8% | |
Food & Staples Retailing | | | 3.6% | |
Health Care Equipment & Supplies | | | 3.3% | |
Biotechnology | | | 2.2% | |
Specialty Retail | | | 2.2% | |
Beverages | | | 2.0% | |
Energy Equipment & Services | | | 1.8% | |
Semiconductors & Semiconductor Equipment | | | 1.6% | |
Other | | | 19.4% | |
Total | | | 100% | |
Portfolio Credit Quality
(% of total long-term
investments)1
| | | | |
AAA/U.S. Guaranteed | | | 51.4% | |
AA | | | 7.0% | |
A | | | 25.1% | |
BBB | | | 16.4% | |
N/R (not rated) | | | 0.1% | |
Total | | | 100% | |
| 1 | Excluding investments in derivatives. |
Nuveen Core Plus Bond Fund
Fund Allocation
(% of net assets)
| | | | |
Corporate Bonds | | | 61.3% | |
$1,000 Par (or similar) Institutional Preferred | | | 6.1% | |
U.S. Government and Agency Obligations | | | 0.0% | |
Asset-Backed and Mortgage-Backed Securities | | | 28.0% | |
Sovereign Debt | | | 2.7% | |
Investments Purchased with Collateral from Securities Lending | | | 10.2% | |
Money Market Funds | | | 5.8% | |
Other Assets Less Liabilities | | | (14.1)% | |
Net Assets | | | 100% | |
Corporate Debt: Industries
(% of total corporate bonds
holdings)
| | | | |
Banks | | | 16.0% | |
Oil, Gas & Consumable Fuels | | | 10.0% | |
Media | | | 8.5% | |
Real Estate Investment Trust | | | 6.2% | |
Capital Markets | | | 5.3% | |
Diversified Telecommunication Services | | | 5.2% | |
Metals & Mining | | | 3.9% | |
Chemicals | | | 3.9% | |
Insurance | | | 3.5% | |
Consumer Finance | | | 2.7% | |
Diversified Financial Services | | | 2.2% | |
Machinery | | | 2.1% | |
Specialty Retail | | | 2.1% | |
Household Durables | | | 2.0% | |
Containers & Packaging | | | 2.0% | |
Aerospace & Defense | | | 1.9% | |
Food & Staples Retailing | | | 1.7% | |
Wireless Telecommunication Services | | | 1.6% | |
Other | | | 19.2% | |
Total | | | 100% | |
Portfolio Credit Quality
(% of total long-term
investments)1
| | | | |
AAA/U.S. Guaranteed | | | 19.8% | |
AA | | | 2.9% | |
A | | | 25.2% | |
BBB | | | 35.8% | |
BB or Lower | | | 16.2% | |
N/R (not rated) | | | 0.1% | |
Total | | | 100% | |
| 1 | Excluding investments in derivatives. |
Holding Summaries as of June 30, 2016 (continued)
Nuveen Inflation Protected Securities Fund
Fund Allocation
(% of net assets)
| | | | |
Convertible Preferred Securities | | | 0.1% | |
Corporate Bonds | | | 4.5% | |
$1,000 Par (or similar) Institutional Preferred | | | 0.0% | |
Municipal Bonds | | | 0.4% | |
U.S. Government and Agency Obligations | | | 87.4% | |
Asset-Backed and Mortgage-Backed Securities | | | 2.1% | |
Sovereign Debt | | | 0.4% | |
Investments Purchased with Collateral from Securities Lending | | | 1.3% | |
Money Market Funds | | | 4.8% | |
Other Assets Less Liabilities | | | (1.0)% | |
Net Assets | | | 100% | |
Corporate Debt: Industries
(% of total corporate bonds holdings)
| | | | |
Health Care Providers & Services | | | 17.9% | |
Diversified Telecommunication Services | | | 15.7% | |
Media | | | 8.2% | |
Wireless Telecommunication Services | | | 7.0% | |
Household Durables | | | 4.7% | |
Commercial Services & Supplies | | | 4.6% | |
Real Estate Investment Trust | | | 3.4% | |
Independent Power & Renewable Electricity Producers | | | 3.4% | |
Road & Rail | | | 3.3% | |
Construction Materials | | | 2.9% | |
Auto Components | | | 2.7% | |
Banks | | | 2.4% | |
Oil, Gas & Consumable Fuels | | | 2.3% | |
Energy Equipment & Services | | | 2.2% | |
Other | | | 19.3% | |
Total | | | 100% | |
Portfolio Credit Quality
(% of total long-term
investments)1
| | | | |
AAA/U.S. Guaranteed | | | 94.0% | |
AA | | | 0.9% | |
A | | | 0.4% | |
BBB | | | 1.9% | |
BB or Lower | | | 2.8% | |
Total | | | 100% | |
| 1 | Excluding investments in derivatives. |
Nuveen Intermediate Government Bond Fund
Fund Allocation
(% of net assets)
| | | | |
Corporate Bonds | | | 0.5% | |
Municipal Bonds | | | 2.6% | |
U.S. Government and Agency Obligations | | | 69.9% | |
Asset-Backed and Mortgage-Backed Securities | | | 21.6% | |
Investments Purchased with Collateral from Securities Lending | | | 0.4% | |
Money Market Funds | | | 3.8% | |
Other Assets Less Liabilities | | | 1.2% | |
Net Assets | | | 100% | |
Portfolio Credit Quality
(% of total long-term investments)1
| | | | |
AAA/U.S. Guaranteed | | | 96.3% | |
AA | | | 2.4% | |
A | | | 1.0% | |
BBB | | | 0.3% | |
Total | | | 100% | |
| 1 | Excluding investments in derivatives. |
Holding Summaries as of June 30, 2016 (continued)
Nuveen Short Term Bond Fund
Fund Allocation
(% of net assets)
| | | | |
Corporate Bonds | | | 46.6% | |
Municipal Bonds | | | 1.7% | |
U.S. Government and Agency Obligations | | | 7.7% | |
Asset-Backed and Mortgage-Backed Securities | | | 40.6% | |
Investments Purchased with Collateral from Securities Lending | | | 5.0% | |
Money Market Funds | | | 3.6% | |
Other Assets Less Liabilities | | | (5.2)% | |
Net Assets | | | 100% | |
Corporate Debt: Industries
(% of total corporate bonds holdings)
| | | | |
Banks | | | 17.3% | |
Capital Markets | | | 6.9% | |
Media | | | 6.2% | |
Diversified Telecommunication Services | | | 6.1% | |
Real Estate Investment Trust | | | 5.7% | |
Health Care Providers & Services | | | 4.4% | |
Oil, Gas & Consumable Fuels | | | 3.9% | |
Food Products | | | 3.7% | |
Technology Hardware, Storage & Peripherals | | | 3.6% | |
Chemicals | | | 3.5% | |
Consumer Finance | | | 3.3% | |
Wireless Telecommunication Services | | | 3.3% | |
Diversified Financial Services | | | 3.0% | |
Tobacco | | | 2.5% | |
Insurance | | | 2.5% | |
Food & Staples Retailing | | | 2.2% | |
Airlines | | | 2.1% | |
Other | | | 19.8% | |
Total | | | 100% | |
Portfolio Credit Quality
(% of total long-term investments)1
| | | | |
AAA/U.S. Guaranteed | | | 32.0% | |
AA | | | 12.7% | |
A | | | 26.0% | |
BBB | | | 21.2% | |
BB or Lower | | | 5.9% | |
N/R (not rated) | | | 2.2% | |
Total | | | 100% | |
| 1 | Excluding investments in derivatives. |
Expense
Examples
As a shareholder of one or more of the Funds, 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 Funds 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 June 30, 2016.
The beginning of the period for the funds is January 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 each 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 tables 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 Core Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A | | | Class C | | | Class R6 | | | Class I | |
Actual Performance | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,046.70 | | | $ | 1,042.70 | | | $ | 1,048.50 | | | $ | 1,048.10 | |
Expenses Incurred During the Period | | $ | 3.97 | | | $ | 7.77 | | | $ | 2.44 | | | $ | 2.70 | |
Hypothetical Performance (5% annualized return before expenses) | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,020.98 | | | $ | 1,017.26 | | | $ | 1,022.48 | | | $ | 1,022.23 | |
Expenses Incurred During the Period | | $ | 3.92 | | | $ | 7.67 | | | $ | 2.41 | | | $ | 2.66 | |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.78%, 1.53%, 0.48% and 0.53% for Classes A, C, R6 and I, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Expense Examples (continued)
Nuveen Core Plus Bond Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A | | | Class C | | | Class R3 | | | Class R6 | | | Class I | |
Actual Performance | | | | | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,051.00 | | | $ | 1,047.40 | | | $ | 1,049.70 | | | $ | 1,052.50 | | | $ | 1,052.60 | |
Expenses Incurred During the Period | | $ | 3.93 | | | $ | 7.74 | | | $ | 5.20 | | | $ | 2.35 | | | $ | 2.65 | |
Hypothetical Performance (5% annualized return before expenses) | | | | | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,021.03 | | | $ | 1,017.30 | | | $ | 1,019.79 | | | $ | 1,022.58 | | | $ | 1,022.28 | |
Expenses Incurred During the Period | | $ | 3.87 | | | $ | 7.62 | | | $ | 5.12 | | | $ | 2.31 | | | $ | 2.61 | |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.77%, 1.52%, 1.02%, 0.46% and 0.52% for Classes A, C, R3, R6 and I, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Nuveen Inflation Protected Securities Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A | | | Class C | | | Class R3 | | | Class R6 | | | Class I | |
Actual Performance | | | | | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,060.00 | | | $ | 1,056.90 | | | $ | 1,059.50 | | | $ | 1,063.10 | | | $ | 1,061.30 | |
Expenses Incurred During the Period | | $ | 4.25 | | | $ | 8.08 | | | $ | 5.53 | | | $ | 1.80 | | | $ | 2.97 | |
Hypothetical Performance (5% annualized return before expenses) | | | | | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,020.74 | | | $ | 1,017.01 | | | $ | 1,019.49 | | | $ | 1,023.12 | | | $ | 1,021.98 | |
Expenses Incurred During the Period | | $ | 4.17 | | | $ | 7.92 | | | $ | 5.42 | | | $ | 1.76 | | | $ | 2.92 | |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.83%, 1.58%, 1.08%, 0.35% and 0.58% for Classes A, C, R3, R6 and I, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Nuveen Intermediate Government Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A | | | Class C | | | Class R3 | | | Class I | |
Actual Performance | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,029.00 | | | $ | 1,026.30 | | | $ | 1,028.80 | | | $ | 1,031.50 | |
Expenses Incurred During the Period | | $ | 4.29 | | | $ | 8.06 | | | $ | 5.55 | | | $ | 3.03 | |
Hypothetical Performance (5% annualized return before expenses) | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,020.64 | | | $ | 1,016.91 | | | $ | 1,019.39 | | | $ | 1,021.88 | |
Expenses Incurred During the Period | | $ | 4.27 | | | $ | 8.02 | | | $ | 5.52 | | | $ | 3.02 | |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.85%, 1.60%, 1.10% and 0.60% for Classes A, C, R3 and I, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Nuveen Short Term Bond Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A | | | Class C | | | Class R3 | | | Class R6 | | | Class I | |
Actual Performance | | | | | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,015.20 | | | $ | 1,012.10 | | | $ | 1,014.60 | | | $ | 1,016.40 | | | $ | 1,016.40 | |
Expenses Incurred During the Period | | $ | 3.61 | | | $ | 7.35 | | | $ | 4.86 | | | $ | 2.16 | | | $ | 2.36 | |
Hypothetical Performance (5% annualized return before expenses) | | | | | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,021.28 | | | $ | 1,017.55 | | | $ | 1,020.04 | | | $ | 1,022.73 | | | $ | 1,022.53 | |
Expenses Incurred During the Period | | $ | 3.62 | | | $ | 7.37 | | | $ | 4.87 | | | $ | 2.16 | | | $ | 2.36 | |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.72%, 1.47%, 0.97%, 0.43% and 0.47% for Classes A, C, R3, R6 and I, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Report of
Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
Nuveen Investment Funds, Inc.:
In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Nuveen Core Bond Fund, Nuveen Core Plus Bond Fund, Nuveen Inflation Protected Securities Fund, Nuveen Intermediate Government Bond Fund and Nuveen Short Term Bond Fund (each a series of Nuveen Investment Funds, Inc., hereinafter referred to as the “Funds”) at June 30, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PRICEWATERHOUSECOOPERS LLP
Chicago, IL
August 26, 2016
Nuveen Core Bond Fund
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | LONG–TERM INVESTMENTS – 95.7% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | CORPORATE BONDS – 40.3% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Automobiles – 0.4% | | | | | | | | | | | | |
| | | | | |
| $ | 750 | | | General Motors Corporation | | | 4.000% | | | | 4/01/25 | | | | BBB– | | | $ | 756,306 | |
| | | | | |
| | | | Banks – 5.5% | | | | | | | | | | | | |
| | | | | |
| | 290 | | | Bank of America Corporation | | | 4.000% | | | | 4/01/24 | | | | A | | | | 309,646 | |
| | | | | |
| | 490 | | | Bank of America Corporation | | | 3.875% | | | | 8/01/25 | | | | A | | | | 521,531 | |
| | | | | |
| | 1,000 | | | Bank of America Corporation, (3) | | | 4.450% | | | | 3/03/26 | | | | A– | | | | 1,046,458 | |
| | | | | |
| | 1,005 | | | Citigroup Inc. | | | 4.500% | | | | 1/14/22 | | | | A | | | | 1,111,002 | |
| | | | | |
| | 807 | | | Fifth Third Bancorp. | | | 3.500% | | | | 3/15/22 | | | | A | | | | 854,733 | |
| | | | | |
| | 1,510 | | | GE Capital International Funding Co, 144A | | | 4.418% | | | | 11/15/35 | | | | AA+ | | | | 1,693,884 | |
| | | | | |
| | 505 | | | JPMorgan Chase & Company | | | 3.200% | | | | 1/25/23 | | | | A+ | | | | 523,642 | |
| | | | | |
| | 1,240 | | | JPMorgan Chase & Company | | | 3.375% | | | | 5/01/23 | | | | A | | | | 1,264,396 | |
| | | | | |
| | 1,000 | | | JPMorgan Chase & Company | | | 6.400% | | | | 5/15/38 | | | | A+ | | | | 1,370,308 | |
| | | | | |
| | 1,275 | | | Santander UK PLC | | | 3.050% | | | | 8/23/18 | | | | A1 | | | | 1,305,138 | |
| | 9,122 | | | Total Banks | | | | | | | | | | | | | | | 10,000,738 | |
| | | | | |
| | | | Beverages – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 1,395 | | | Anheuser Busch InBev Finance Inc. | | | 3.650% | | | | 2/01/26 | | | | A– | | | | 1,493,085 | |
| | | | | |
| | | | Biotechnology – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 630 | | | Biogen Inc. | | | 3.625% | | | | 9/15/22 | | | | A– | | | | 668,837 | |
| | | | | |
| | 940 | | | Celgene Corporation, Convertible Notes | | | 3.625% | | | | 5/15/24 | | | | BBB+ | | | | 979,379 | |
| | 1,570 | | | Total Biotechnology | | | | | | | | | | | | | | | 1,648,216 | |
| | | | | |
| | | | Capital Markets – 3.8% | | | | | | | | | | | | |
| | | | | |
| | 665 | | | Charles Schwab Corporation | | | 3.000% | | | | 3/10/25 | | | | A | | | | 694,678 | |
| | | | | |
| | 520 | | | Deutsche Bank AG London | | | 2.500% | | | | 2/13/19 | | | | A– | | | | 521,440 | |
| | | | | |
| | 1,280 | | | Goldman Sachs Group, Inc. | | | 5.750% | | | | 1/24/22 | | | | A | | | | 1,487,085 | |
| | | | | |
| | 1,090 | | | Goldman Sachs Group, Inc. | | | 6.750% | | | | 10/01/37 | | | | A– | | | | 1,345,256 | |
| | | | | |
| | 470 | | | Morgan Stanley | | | 6.625% | | | | 4/01/18 | | | | A | | | | 509,553 | |
| | | | | |
| | 1,145 | | | Morgan Stanley, (3) | | | 3.950% | | | | 4/23/27 | | | | A– | | | | 1,154,935 | |
| | | | | |
| | 1,105 | | | State Street Corporation, (3) | | | 3.300% | | | | 12/16/24 | | | | AA– | | | | 1,182,110 | |
| | 6,275 | | | Total Capital Markets | | | | | | | | | | | | | | | 6,895,057 | |
| | | | | |
| | | | Communications Equipment – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 605 | | | Qualcomm, Inc. | | | 3.450% | | | | 5/20/25 | | | | A+ | | | | 643,295 | |
| | | | | |
| | | | Containers & Packaging – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 480 | | | Packaging Corporation of America | | | 3.650% | | | | 9/15/24 | | | | BBB | | | | 496,015 | |
Nuveen Core Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Diversified Financial Services – 0.6% | | | | | | | | | | | | |
| | | | | |
| $ | 995 | | | Rabobank Nederland | | | 3.875% | | | | 2/08/22 | | | | Aa2 | | | $ | 1,081,100 | |
| | | | | |
| | | | Diversified Telecommunication Services – 3.2% | | | | | | | | | | | | |
| | | | | |
| | 890 | | | AT&T, Inc. | | | 3.800% | | | | 3/15/22 | | | | A– | | | | 948,101 | |
| | | | | |
| | 1,250 | | | AT&T, Inc. | | | 5.550% | | | | 8/15/41 | | | | A– | | | | 1,401,955 | |
| | | | | |
| | 2,020 | | | SBA Tower Trust, 144A | | | 3.598% | | | | 4/15/43 | | | | BBB | | | | 2,033,675 | |
| | | | | |
| | 1,315 | | | Verizon Communications | | | 5.150% | | | | 9/15/23 | | | | A– | | | | 1,532,080 | |
| | 5,475 | | | Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 5,915,811 | |
| | | | | |
| | | | Energy Equipment & Services – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 1,350 | | | Origin Energy Finance Limited, 144A | | | 3.500% | | | | 10/09/18 | | | | BBB– | | | | 1,358,259 | |
| | | | | |
| | | | Food & Staples Retailing – 1.5% | | | | | | | | | | | | |
| | | | | |
| | 930 | | | CVS Health Corporation | | | 3.875% | | | | 7/20/25 | | | | BBB+ | | | | 1,023,467 | |
| | | | | |
| | 730 | | | Sysco Corporation, (3) | | | 3.750% | | | | 10/01/25 | | | | A3 | | | | 781,449 | |
| | | | | |
| | 850 | | | Walgreen Company | | | 3.100% | | | | 9/15/22 | | | | BBB | | | | 875,701 | |
| | 2,510 | | | Total Food & Staples Retailing | | | | | | | | | | | | | | | 2,680,617 | |
| | | | | |
| | | | Health Care Equipment & Supplies – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 680 | | | Becton Dickinson & Company | | | 3.734% | | | | 12/15/24 | | | | BBB+ | | | | 732,786 | |
| | | | | |
| | 1,355 | | | Ochsner Clinic Foundation | | | 5.897% | | | | 5/15/45 | | | | A– | | | | 1,712,831 | |
| | 2,035 | | | Total Health Care Equipment & Supplies | | | | | | | | | | | | | | | 2,445,617 | |
| | | | | |
| | | | Health Care Providers & Services – 2.6% | | | | | | | | | | | | |
| | | | | |
| | 1,715 | | | Mayo Clinic Rochester | | | 3.774% | | | | 11/15/43 | | | | AA | | | | 1,779,520 | |
| | | | | |
| | 970 | | | NYU Hospitals Center | | | 4.784% | | | | 7/01/44 | | | | A– | | | | 1,110,001 | |
| | | | | |
| | 1,215 | | | UnitedHealth Group Incorporated | | | 2.875% | | | | 3/15/22 | | | | A+ | | | | 1,269,021 | |
| | | | | |
| | 630 | | | Wellpoint Inc. | | | 3.125% | | | | 5/15/22 | | | | A | | | | 651,862 | |
| | 4,530 | | | Total Health Care Providers & Services | | | | | | | | | | | | | | | 4,810,404 | |
| | | | | |
| | | | Insurance – 3.2% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | AFLAC Insurance | | | 6.450% | | | | 8/15/40 | | | | A– | | | | 665,378 | |
| | | | | |
| | 620 | | | American International Group, Inc. | | | 3.750% | | | | 7/10/25 | | | | A– | | | | 632,206 | |
| | | | | |
| | 990 | | | Berkshire Hathaway Inc., (3) | | | 3.125% | | | | 3/15/26 | | | | AA | | | | 1,038,599 | |
| | | | | |
| | 750 | | | Lincoln National Corporation | | | 4.000% | | | | 9/01/23 | | | | A– | | | | 780,035 | |
| | | | | |
| | 1,220 | | | MetLife Inc. | | | 3.000% | | | | 3/01/25 | | | | A– | | | | 1,235,807 | |
| | | | | |
| | 940 | | | Prudential Financial Inc., (3) | | | 3.500% | | | | 5/15/24 | | | | A | | | | 977,186 | |
| | | | | |
| | 465 | | | Symetra Financial Corporation | | | 4.250% | | | | 7/15/24 | | | | Baa1 | | | | 483,417 | |
| | 5,485 | | | Total Insurance | | | | | | | | | | | | | | | 5,812,628 | |
| | | | | |
| | | | Internet & Catalog Retail – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 980 | | | Amazon.com Incorporated | | | 3.800% | | | | 12/05/24 | | | | AA– | | | | 1,098,911 | |
| | | | | |
| | | | Internet Software & Services – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 655 | | | eBay Inc. | | | 3.800% | | | | 3/09/22 | | | | BBB+ | | | | 696,073 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | IT Services – 0.6% | | | | | | | | | | | | |
| | | | | |
| $ | 955 | | | Visa Inc., (3) | | | 3.150% | | | | 12/14/25 | | | | A+ | | | $ | 1,021,521 | |
| | | | | |
| | | | Leisure Products – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 1,025 | | | Hyatt Hotels Corporation | | | 3.375% | | | | 7/15/23 | | | | BBB | | | | 1,037,374 | |
| | | | | |
| | | | Machinery – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 830 | | | Ingersoll-Rand Luxembourg Finance SA | | | 3.550% | | | | 11/01/24 | | | | BBB | | | | 873,688 | |
| | | | | |
| | | | Media – 4.3% | | | | | | | | | | | | |
| | | | | |
| | 605 | | | 21st Century Fox America Inc. | | | 4.000% | | | | 10/01/23 | | | | BBB+ | | | | 665,439 | |
| | | | | |
| | 350 | | | 21st Century Fox America Inc. | | | 6.650% | | | | 11/15/37 | | | | BBB+ | | | | 459,237 | |
| | | | | |
| | 785 | | | British Sky Broadcasting Group PLC, 144A | | | 6.100% | | | | 2/15/18 | | | | BBB | | | | 839,306 | |
| | | | | |
| | 835 | | | CBS Corporation | | | 7.875% | | | | 7/30/30 | | | | BBB | | | | 1,184,522 | |
| | | | | |
| | 835 | | | Charter Communications Operating Capital Corporation, 144A | | | 4.908% | | | | 7/23/25 | | | | BBB | | | | 910,064 | |
| | | | | |
| | 1,090 | | | Cox Communications Inc., 144A | | | 3.850% | | | | 2/01/25 | | | | BBB+ | | | | 1,098,357 | |
| | | | | |
| | 660 | | | Discovery Communications Inc. | | | 5.050% | | | | 6/01/20 | | | | BBB– | | | | 727,900 | |
| | | | | |
| | 1,460 | | | NBC Universal Media LLC | | | 6.400% | | | | 4/30/40 | | | | A– | | | | 2,022,749 | |
| | 6,620 | | | Total Media | | | | | | | | | | | | | | | 7,907,574 | |
| | | | | |
| | | | Metals & Mining – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 495 | | | Nucor Corporation | | | 4.000% | | | | 8/01/23 | | | | A– | | | | 528,842 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 1.5% | | | | | | | | | | | | |
| | | | | |
| | 600 | | | Apache Corporation | | | 4.250% | | | | 1/15/44 | | | | BBB | | | | 581,173 | |
| | | | | |
| | 550 | | | EOG Resources Inc. | | | 4.100% | | | | 2/01/21 | | | | BBB+ | | | | 597,955 | |
| | | | | |
| | 590 | | | Spectra Energy Partners LP | | | 4.750% | | | | 3/15/24 | | | | BBB | | | | 648,696 | |
| | | | | |
| | 480 | | | SunCor Energy Inc. | | | 5.950% | | | | 12/01/34 | | | | A– | | | | 566,698 | |
| | | | | |
| | 420 | | | Valero Energy Corporation, (3) | | | 3.650% | | | | 3/15/25 | | | | BBB | | | | 420,783 | |
| | 2,640 | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 2,815,305 | |
| | | | | |
| | | | Pharmaceuticals – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 995 | | | Merck & Company Inc. | | | 2.750% | | | | 2/10/25 | | | | AA | | | | 1,040,883 | |
| | | | | |
| | | | Real Estate Investment Trust – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 635 | | | American Tower Company, (3) | | | 5.000% | | | | 2/15/24 | | | | BBB | | | | 717,754 | |
| | | | | |
| | 380 | | | Crown Castle International Corporation | | | 3.700% | | | | 6/15/26 | | | | BBB– | | | | 391,090 | |
| | | | | |
| | 635 | | | Digital Realty Trust Inc., (3) | | | 3.625% | | | | 10/01/22 | | | | BBB | | | | 653,866 | |
| | | | | |
| | 1,255 | | | WP Carey Inc. | | | 4.600% | | | | 4/01/24 | | | | BBB | | | | 1,288,166 | |
| | 2,905 | | | Total Real Estate Investment Trust | | | | | | | | | | | | | | | 3,050,876 | |
| | | | | |
| | | | Road & Rail – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 895 | | | Burlington Northern Santa Fe, LLC | | | 3.400% | | | | 9/01/24 | | | | A | | | | 976,607 | |
| | | | | |
| | | | Semiconductors & Semiconductor Equipment – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 1,040 | | | Applied Materials Inc. | | | 4.300% | | | | 6/15/21 | | | | A– | | | | 1,160,245 | |
Nuveen Core Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Specialty Retail – 0.9% | | | | | | | | | | | | |
| | | | | |
| $ | 520 | | | Home Depot, Inc. | | | 2.625% | | | | 6/01/22 | | | | A | | | $ | 544,270 | |
| | | | | |
| | 1,000 | | | Swiss Re Treasury US Corporation, 144A | | | 4.250% | | | | 12/06/42 | | | | AA– | | | | 1,043,443 | |
| | 1,520 | | | Total Specialty Retail | | | | | | | | | | | | | | | 1,587,713 | |
| | | | | |
| | | | Technology Hardware, Storage & Peripherals – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 905 | | | HP Inc. | | | 4.650% | | | | 12/09/21 | | | | BBB+ | | | | 978,751 | |
| | | | | |
| | | | Tobacco – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 885 | | | Reynolds American Inc. | | | 3.250% | | | | 11/01/22 | | | | BBB | | | | 927,530 | |
| | | | | |
| | | | Transportation Infrastructure – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Sydney Airport Finance Company Pty Limited, 144A | | | 3.900% | | | | 3/22/23 | | | | BBB | | | | 1,070,700 | |
| | | | | |
| | | | Wireless Telecommunication Services – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 880 | | | Rogers Communications Inc. | | | 3.625% | | | | 12/15/25 | | | | BBB+ | | | | 940,628 | |
| $ | 67,802 | | | Total Corporate Bonds (cost $68,957,348) | | | | | | | | | | | | | | | 73,750,369 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | $1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 0.4% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Banks – 0.4% | | | | | | | | | | | | |
| | | | | |
| $ | 700 | | | Wachovia Capital Trust III | | | 5.570% | | | | N/A (4) | | | | BBB | | | $ | 691,276 | |
| $ | 700 | | | Total $1,000 Par (or similar) Institutional Preferred (cost $619,649) | | | | | | | | | | | | | | | 691,276 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | | | | Optional Call
Provisions (5) | | | Ratings (2) | | | Value | |
| | | | | |
| | | | MUNICIPAL BONDS – 0.9% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | North Carolina – 0.9% | | | | | | | | | | | | |
| | | | | |
| $ | 1,520 | | | North Carolina Eastern Municipal Power Agency, Revenue Bonds, Federally Taxable Series 2015, 3.808%, 7/01/23 | | | | | | | No Opt. Call | | | | A | | | $ | 1,636,371 | |
| $ | 1,520 | | | Total Municipal Bonds (cost $1,520,000) | | | | | | | | | | | | | | | 1,636,371 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 12.1% | | | | | | | | | | | | | | | | |
| | | | | |
| $ | 1,835 | | | Freddie Mac Reference Notes | | | 0.875% | | | | 6/29/18 | | | | Aaa | | | $ | 1,841,889 | |
| | | | | |
| | 2,055 | | | Freddie Mac Reference Notes | | | 5.000% | | | | 12/14/18 | | | | Aa2 | | | | 2,264,090 | |
| | | | | |
| | 1,875 | | | Freddie Mac Reference Notes, (3) | | | 1.125% | | | | 4/15/19 | | | | Aaa | | | | 1,892,124 | |
| | | | | |
| | 60 | | | Freddie Mac Reference Notes | | | 1.750% | | | | 5/30/19 | | | | Aaa | | | | 61,650 | |
| | | | | |
| | 1,775 | | | U.S. Treasury Notes | | | 0.875% | | | | 1/31/18 | | | | Aaa | | | | 1,783,321 | |
| | | | | |
| | 5,545 | | | U.S. Treasury Notes | | | 2.875% | | | | 3/31/18 | | | | Aaa | | | | 5,764,200 | |
| | | | | |
| | 1,000 | | | U.S. Treasury Notes, (3) | | | 1.375% | | | | 5/31/21 | | | | Aaa | | | | 1,018,242 | |
| | | | | |
| | 1,850 | | | U.S. Treasury Notes | | | 2.500% | | | | 5/15/24 | | | | Aaa | | | | 2,009,995 | |
| | | | | |
| | 830 | | | U.S. Treasury Notes | | | 2.375% | | | | 8/15/24 | | | | Aaa | | | | 893,742 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | | | | | | | | | | | | | | | | |
| | | | | |
| $ | 250 | | | U.S. Treasury Notes | | | 2.750% | | | | 11/15/42 | | | | Aaa | | | $ | 275,244 | |
| | | | | |
| | 970 | | | U.S. Treasury Notes | | | 3.625% | | | | 2/15/44 | | | | Aaa | | | | 1,251,565 | |
| | | | | |
| | 20 | | | U.S. Treasury Notes, (3) | | | 2.500% | | | | 2/15/45 | | | | Aaa | | | | 20,842 | |
| | | | | |
| | 395 | | | U.S. Treasury Notes | | | 2.875% | | | | 8/15/45 | | | | Aaa | | | | 443,665 | |
| | | | | |
| | 495 | | | U.S. Treasury Notes | | | 3.000% | | | | 11/15/45 | | | | Aaa | | | | 569,656 | |
| | | | | |
| | 1,410 | | | U.S. Treasury Notes, (3) | | | 2.500% | | | | 2/15/46 | | | | Aaa | | | | 1,469,540 | |
| | | | | |
| | 500 | | | U.S. Treasury Notes, (3) | | | 2.500% | | | | 5/15/46 | | | | Aaa | | | | 521,621 | |
| $ | 20,865 | | | Total U.S. Government and Agency Obligations (cost $21,144,232) | | | | | | | | | | | | | | | 22,081,386 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 41.2% | | | | | | | | | | | | | | | | |
| | | | | |
| $ | 1,172 | | | 321 Henderson Receivables LLC, Series 2010-3A, 144A | | | 3.820% | | | | 12/15/48 | | | | Aaa | | | $ | 1,219,156 | |
| | | | | |
| | 890 | | | American Homes 4 Rent, Series 2014-SFR2, 144A | | | 3.786% | | | | 10/17/36 | | | | Aaa | | | | 954,975 | |
| | | | | |
| | 500 | | | American Homes 4 Rent, Series 2015-SFR2, 144A | | | 5.036% | | | | 10/17/45 | | | | Baa2 | | | | 530,769 | |
| | | | | |
| | 260 | | | Bank of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7 | | | 4.366% | | | | 9/15/48 | | | | A– | | | | 263,252 | |
| | | | | |
| | 165 | | | Bank of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7 | | | 3.167% | | | | 9/15/48 | | | | BBB– | | | | 123,112 | |
| | | | | |
| | 2,000 | | | Citigroup Commercial Mortgage Trust Series 2012-GC8 | | | 3.024% | | | | 9/10/45 | | | | Aaa | | | | 2,117,765 | |
| | | | | |
| | 1,824 | | | Colony American Homes Trust 2014-1A, 144A | | | 1.632% | | | | 5/17/31 | | | | Aaa | | | | 1,809,082 | |
| | | | | |
| | 625 | | | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26 | | | 4.495% | | | | 10/10/48 | | | | A– | | | | 610,949 | |
| | | | | |
| | — | (6) | | ContiMortgage Home Equity Loan Trust, Series 1997-2 | | | 7.090% | | | | 4/15/28 | | | | AAA | | | | 22 | |
| | | | | |
| | 378 | | | Fannie Mae Mortgage Pool 725111 | | | 2.655% | | | | 9/01/33 | | | | Aaa | | | | 403,788 | |
| | | | | |
| | 813 | | | Fannie Mae Mortgage Pool 725205 | | | 5.000% | | | | 3/01/34 | | | | Aaa | | | | 906,864 | |
| | | | | |
| | 314 | | | Fannie Mae Mortgage Pool 848390 | | | 2.298% | | | | 12/01/35 | | | | Aaa | | | | 327,795 | |
| | | | | |
| | 587 | | | Fannie Mae Mortgage Pool 886034 | | | 3.055% | | | | 7/01/36 | | | | Aaa | | | | 626,151 | |
| | | | | |
| | 1,544 | | | Fannie Mae Mortgage Pool 890310 | | | 4.500% | | | | 12/01/40 | | | | Aaa | | | | 1,688,754 | |
| | | | | |
| | 1,186 | | | Fannie Mae Mortgage Pool 960605 | | | 5.000% | | | | 8/01/37 | | | | Aaa | | | | 1,321,718 | |
| | | | | |
| | 480 | | | Fannie Mae Mortgage Pool 995949 | | | 2.767% | | | | 9/01/36 | | | | Aaa | | | | 508,598 | |
| | | | | |
| | 2,499 | | | Fannie Mae Mortgage Pool AB2085 | | | 4.000% | | | | 1/01/41 | | | | Aaa | | | | 2,686,871 | |
| | | | | |
| | 3,015 | | | Fannie Mae Mortgage Pool AB9659 | | | 3.000% | | | | 6/01/43 | | | | Aaa | | | | 3,166,676 | |
| | | | | |
| | 1,660 | | | Fannie Mae Mortgage Pool AD1593 | | | 4.500% | | | | 2/01/40 | | | | Aaa | | | | 1,815,320 | |
| | | | | |
| | 1,224 | | | Fannie Mae Mortgage Pool AE0058 | | | 2.671% | | | | 7/01/36 | | | | Aaa | | | | 1,294,635 | |
| | | | | |
| | 2,140 | | | Fannie Mae Mortgage Pool AE0217 | | | 4.500% | | | | 8/01/40 | | | | Aaa | | | | 2,344,556 | |
| | | | | |
| | 1,864 | | | Fannie Mae Mortgage Pool AE0981 | | | 3.500% | | | | 3/01/41 | | | | Aaa | | | | 1,971,064 | |
| | | | | |
| | 906 | | | Fannie Mae Mortgage Pool AH3804 | | | 4.000% | | | | 2/01/41 | | | | Aaa | | | | 974,137 | |
| | | | | |
| | 2,476 | | | Fannie Mae Mortgage Pool AH5575 | | | 4.000% | | | | 2/01/41 | | | | Aaa | | | | 2,661,504 | |
| | | | | |
| | 1,875 | | | Fannie Mae Mortgage Pool AH8954 | | | 4.000% | | | | 4/01/41 | | | | Aaa | | | | 2,015,634 | |
| | | | | |
| | 1,184 | | | Fannie Mae Mortgage Pool AL0160 | | | 4.500% | | | | 5/01/41 | | | | Aaa | | | | 1,297,648 | |
Nuveen Core Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | | | | | |
| | | | | |
| $ | 2,141 | | | Fannie Mae Mortgage Pool AL0215 | | | 4.500% | | | | 4/01/41 | | | | Aaa | | | $ | 2,347,741 | |
| | | | | |
| | 1,811 | | | Fannie Mae Mortgage Pool AL7486 | | | 3.500% | | | | 10/01/45 | | | | Aaa | | | | 1,910,809 | |
| | | | | |
| | 2,167 | | | Fannie Mae Mortgage Pool AS6398 | | | 3.500% | | | | 12/01/45 | | | | Aaa | | | | 2,287,165 | |
| | | | | |
| | 1,758 | | | Fannie Mae Mortgage Pool AS6652 | | | 3.500% | | | | 2/01/46 | | | | Aaa | | | | 1,855,130 | |
| | | | | |
| | 1,318 | | | Fannie Mae Mortgage Pool AU2412 | | | 3.000% | | | | 12/01/44 | | | | Aaa | | | | 1,368,767 | |
| | | | | |
| | 1,394 | | | Fannie Mae Mortgage Pool AU3353 | | | 3.000% | | | | 8/01/43 | | | | Aaa | | | | 1,449,944 | |
| | | | | |
| | 2,099 | | | Fannie Mae Mortgage Pool AY3376 | | | 3.500% | | | | 4/01/45 | | | | Aaa | | | | 2,214,798 | |
| | | | | |
| | 635 | | | Fannie Mae Mortgage Pool G08687 | | | 3.500% | | | | 1/01/46 | | | | Aaa | | | | 671,360 | |
| | | | | |
| | 1,751 | | | Fannie Mae Mortgage Pool MA1028 | | | 4.000% | | | | 4/01/42 | | | | Aaa | | | | 1,881,474 | |
| | | | | |
| | 2 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through
Certificates R 1990-89 K | | | 6.500% | | | | 7/25/20 | | | | Aaa | | | | 2,551 | |
| | | | | |
| | 1,615 | | | Fannie Mae TBA Mortgage Pool, (WI/DD) | | | 3.500% | | | | TBA | | | | Aaa | | | | 1,701,743 | |
| | | | | |
| | 956 | | | Fannie Mae, Connecticut Avenue Securities, Series 2014-C03 | | | 1.688% | | | | 7/25/24 | | | | BBB– | | | | 958,233 | |
| | | | | |
| | 4 | | | Federal Home Loan Mortgage Corporation, REMICR 1167 E | | | 7.500% | | | | 11/15/21 | | | | Aaa | | | | 3,993 | |
| | | | | |
| | 7 | | | Federal Home Loan Mortgage Corporation, REMICR 1286 A | | | 6.000% | | | | 5/15/22 | | | | Aaa | | | | 7,161 | |
| | | | | |
| | 283 | | | Federal Home Loan Mortgage Corporation, REMICR 2750 HE | | | 5.000% | | | | 2/15/19 | | | | Aaa | | | | 287,020 | |
| | | | | |
| | 289 | | | Freddie Mac Gold Pool 786281 | | | 2.717% | | | | 1/01/28 | | | | Aaa | | | | 305,959 | |
| | | | | |
| | 219 | | | Freddie Mac Gold Pool 847161 | | | 2.655% | | | | 5/01/31 | | | | Aaa | | | | 230,252 | |
| | | | | |
| | 216 | | | Freddie Mac Gold Pool 847190 | | | 2.735% | | | | 4/01/29 | | | | Aaa | | | | 228,177 | |
| | | | | |
| | 903 | | | Freddie Mac Gold Pool 847209 | | | 2.608% | | | | 10/01/30 | | | | Aaa | | | | 933,937 | |
| | | | | |
| | 613 | | | Freddie Mac Gold Pool 847210 | | | 2.651% | | | | 9/01/33 | | | | Aaa | | | | 660,961 | |
| | | | | |
| | 1,020 | | | Freddie Mac Gold Pool G05852 | | | 5.500% | | | | 3/01/39 | | | | Aaa | | | | 1,142,122 | |
| | | | | |
| | 880 | | | Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2013-K712, 144A | | | 3.369% | | | | 5/25/45 | | | | Aaa | | | | 900,477 | |
| | | | | |
| | 1,715 | | | Freddie Mac Multifamily Structured Pass- Through Certificates FHMS K053 | | | 2.995% | | | | 12/25/25 | | | | Aaa | | | | 1,842,138 | |
| | | | | |
| | 1,197 | | | Ginnie Mae Mortgage Pool MA2521 | | | 3.500% | | | | 1/20/45 | | | | Aaa | | | | 1,271,252 | |
| | | | | |
| | 2,974 | | | Government National Mortgage Association Pool AA5391 | | | 3.500% | | | | 6/15/42 | | | | Aaa | | | | 3,170,853 | |
| | | | | |
| | 1,664 | | | Invitation Homes Trust 2013-SFR1, 144A | | | 1.631% | | | | 12/17/30 | | | | Aaa | | | | 1,657,053 | |
| | | | | |
| | 1,500 | | | JPMorgan Mortgage Trust, Series 2016-A5, 144A | | | 3.500% | | | | 5/25/46 | | | | Aaa | | | | 1,543,485 | |
| | | | | |
| | 714 | | | Master Resecuritization Trust 2009-1, 144A | | | 6.000% | | | | 10/25/36 | | | | A | | | | 737,978 | |
| | | | | |
| | 129 | | | Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-11 | | | 2.954% | | | | 8/25/34 | | | | N/R | | | | 127,846 | |
| | | | | |
| | 889 | | | Structured Agency Credit Risk Debt Notes, 2013-DN2 | | | 1.938% | | | | 11/25/23 | | | | A2 | | | | 892,905 | |
| | | | | |
| | 1,606 | | | U.S. Small Business Administration Guaranteed Participating Securities, Participation Certificates, Series 2010-P10B | | | 3.215% | | | | 9/10/20 | | | | Aaa | | | | 1,672,293 | |
| | | | | |
| | 2,459 | | | United States Department of Veterans, Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust, Series 2011-1 | | | 3.750% | | | | 2/15/35 | | | | Aaa | | | | 2,614,314 | |
| | | | | |
| | 988 | | | Walter Investment Management Company Capital Trust, Series 2012-AA, 144A | | | 4.549% | | | | 10/16/50 | | | | A | | | | 991,860 | |
| | | | | |
| | 1,000 | | | Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-C29 | | | 3.637% | | | | 6/15/48 | | | | Aaa | | | | 1,087,200 | |
| | | | | |
| | 730 | | | Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2016-C32 | | | 3.560% | | | | 1/15/59 | | | | Aaa | | | | 790,281 | |
| $ | 71,227 | | | Total Asset-Backed and Mortgage-Backed Securities (cost $72,493,845) | | | | | | | | | | | | | | | 75,390,027 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | SOVEREIGN DEBT – 0.8% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Mexico – 0.8% | | | | | | | | | | | | |
| | | | | |
| $ | 1,400 | | | United Mexican States | | | 5.625% | | | | 1/15/17 | | | | A3 | | | $ | 1,434,300 | |
| $ | 1,400 | | | Total Sovereign Debt (cost $1,387,694) | | | | | | | | | | | | | | | 1,434,300 | |
| | | | Total Long-Term Investments (cost $166,122,768) | | | | | | | | | | | | | | | 174,983,729 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | |
| | | | INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 6.9% | | | | | |
| | | | | |
| | | | Money Market Funds – 6.9% | | | | | | | | | | | | |
| | | | | |
| | 12,687,146 | | | Mount Vernon Securities Lending Trust Prime Portfolio, (8) | | | 0.557% (7) | | | | | | | | | | | $ | 12,687,146 | |
| | | | Total Investments Purchased with Collateral from Securities Lending (cost $12,687,146) | | | | | | | | | | | | 12,687,146 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | | | |
| | | | SHORT-TERM INVESTMENTS – 3.0% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 3.0% | | | | | | | | | | | | |
| | | | | |
| | 5,478,482 | | | First American Treasury Obligations Fund, Class Z | | | 0.230% (7) | | | | | | | | | | | $ | 5,478,482 | |
| | | | Total Short-Term Investments (cost $5,478,482) | | | | | | | | | | | | | | | 5,478,482 | |
| | | | Total Investments (cost $184,288,396) – 105.6% | | | | | | | | | | | | | | | 193,149,357 | |
| | | | Other Assets Less Liabilities – (5.6)% (9) | | | | | | | | | | | | | | | (10,258,818) | |
| | | | Net Assets – 100% | | | | | | | | | | | | | | $ | 182,890,539 | |
Investments in Derivatives as of June 30, 2016
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | | | | Contract
Position | | | Number of
Contracts | | | Contract
Expiration | | | Notional
Amount at
Value* | | | Variation Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
U.S. Treasury 5-Year Note | | | | | | | Long | | | | 13 | | | | 9/16 | | | $ | 1,588,133 | | | $ | 1,016 | | | $ | 1,515 | |
U.S. Treasury 10-Year Note | | | | | | | Long | | | | 30 | | | | 9/16 | | | | 3,989,531 | | | | (2,344 | ) | | | 7,987 | |
U.S. Treasury Long Bond | | | | | | | Short | | | | (16 | ) | | | 9/16 | | | | (2,757,500 | ) | | | 10,500 | | | | (90,597 | ) |
U.S. Treasury Ultra Bond | | | | | | | Long | | | | 19 | | | | 9/16 | | | | 3,541,125 | | | | (17,219 | ) | | | 56,930 | |
| | | | | | | | | | | | | | | | | | | $ | 6,361,289 | | | $ | (8,047 | ) | | $ | (24,165 | ) |
| * | The aggregate Notional Amount at Value of long and short positions is $9,118,789 and $(2,757,500), respectively. |
Nuveen Core Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
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) | For financial reporting purposes, the ratings (not covered by the report of independent registered public accounting firm) disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (3) | Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $12,327,978. |
| (4) | Perpetual security. Maturity date is not applicable. |
| (5) | Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (6) | Principal Amount (000) rounds to less than $1,000. |
| (7) | The rate shown is the annualized seven-day effective yield as of the end of the reporting period. |
| (8) | The Fund may loan securities representing up to one third of the fair value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks and other institutions. The Fund maintains collateral equal to at least 100% of the fair value of the securities loaned. The cash collateral received by the Fund is invested in this money market fund. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Securities Lending for more information. |
| (9) | Other assets less liabilities includes the unrealized appreciation (depreciation) of over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| TBA | To be announced. Maturity date not known prior to settlement of this transaction. |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. |
| (WI/DD) | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
Nuveen Core Plus Bond Fund
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | LONG-TERM INVESTMENTS – 98.1% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | CORPORATE BONDS – 61.3% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Aerospace & Defense – 1.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,295 | | | BAE Systems Holdings, 144A | | | 3.850% | | | | 12/15/25 | | | | BBB+ | | | $ | 1,373,302 | |
| | | | | |
| | 1,550 | | | Exelis, Inc. | | | 5.550% | | | | 10/01/21 | | | | BBB– | | | | 1,758,587 | |
| | | | | |
| | 1,460 | | | Martin Marietta Materials | | | 4.250% | | | | 7/02/24 | | | | BBB+ | | | | 1,555,745 | |
| | 4,305 | | | Total Aerospace & Defense | | | | | | | | | | | | | | | 4,687,634 | |
| | | | | |
| | | | Air Freight & Logistics – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,095 | | | FedEx Corporation | | | 3.250% | | | | 4/01/26 | | | | BBB | | | | 1,140,873 | |
| | | | | |
| | 800 | | | XPO Logistics, Inc., 144A, (3) | | | 6.500% | | | | 6/15/22 | | | | B2 | | | | 763,000 | |
| | 1,895 | | | Total Air Freight & Logistics | | | | | | | | | | | | | | | 1,903,873 | |
| | | | | |
| | | | Airlines – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 1,540 | | | Northwest Airlines Trust Pass Through Certificates 2007-1 | | | 7.027% | | | | 11/01/19 | | | | A | | | | 1,736,890 | |
| | | | | |
| | | | Automobiles – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,320 | | | General Motors Corporation, (3) | | | 4.000% | | | | 4/01/25 | | | | BBB– | | | | 1,331,099 | |
| | | | | |
| | | | Banks – 9.8% | | | | | | | | | | | | |
| | | | | |
| | 1,465 | | | Bank of America Corporation, (3) | | | 4.000% | | | | 4/01/24 | | | | A | | | | 1,564,248 | |
| | | | | |
| | 2,000 | | | Bank of America Corporation, (3) | | | 4.450% | | | | 3/03/26 | | | | A– | | | | 2,092,916 | |
| | | | | |
| | 4,240 | | | Bank of America Corporation | | | 4.250% | | | | 10/22/26 | | | | A– | | | | 4,399,580 | |
| | | | | |
| | 2,085 | | | Barclays Bank PLC | | | 3.650% | | | | 3/16/25 | | | | A | | | | 2,004,871 | |
| | | | | |
| | 545 | | | CIT Group Inc. | | | 5.000% | | | | 8/01/23 | | | | BB+ | | | | 549,088 | |
| | | | | |
| | 545 | | | Citigroup Inc. | | | 4.500% | | | | 1/14/22 | | | | A | | | | 602,484 | |
| | | | | |
| | 1,000 | | | Citigroup Inc. | | | 3.750% | | | | 6/16/24 | | | | A | | | | 1,052,949 | |
| | | | | |
| | 1,775 | | | Citigroup Inc. | | | 3.300% | | | | 4/27/25 | | | | A | | | | 1,819,020 | |
| | | | | |
| | 2,000 | | | Citigroup Inc. | | | 4.300% | | | | 11/20/26 | | | | A– | | | | 2,061,612 | |
| | | | | |
| | 1,270 | | | Citigroup Inc. | | | 4.450% | | | | 9/29/27 | | | | A– | | | | 1,305,669 | |
| | | | | |
| | 2,100 | | | GE Capital International Funding Co, 144A | | | 4.418% | | | | 11/15/35 | | | | AA+ | | | | 2,355,732 | |
| | | | | |
| | 1,890 | | | HSBC Holdings PLC | | | 6.800% | | | | 6/01/38 | | | | A+ | | | | 2,355,481 | |
| | | | | |
| | 1,665 | | | JPMorgan Chase & Company | | | 3.200% | | | | 1/25/23 | | | | A+ | | | | 1,726,463 | |
| | | | | |
| | 1,680 | | | JPMorgan Chase & Company | | | 3.375% | | | | 5/01/23 | | | | A | | | | 1,713,052 | |
| | | | | |
| | 1,560 | | | JPMorgan Chase & Company | | | 3.900% | | | | 7/15/25 | | | | A+ | | | | 1,685,865 | |
| | | | | |
| | 2,180 | | | JPMorgan Chase & Company | | | 6.400% | | | | 5/15/38 | | | | A+ | | | | 2,987,271 | |
| | | | | |
| | 1,095 | | | Lloyds Banking Group PLC | | | 3.100% | | | | 7/06/21 | | | | A+ | | | | 1,094,190 | |
| | | | | |
| | 420 | | | Popular Inc., (3) | | | 7.000% | | | | 7/01/19 | | | | BB– | | | | 411,600 | |
| | | | | |
| | 1,200 | | | Royal Bank of Scotland Group PLC | | | 6.100% | | | | 6/10/23 | | | | BBB | | | | 1,227,724 | |
| | | | | |
| | 1,400 | | | Santander UK PLC, 144A, (3) | | | 5.000% | | | | 11/07/23 | | | | A– | | | | 1,437,099 | |
| | | | | |
| | 2,520 | | | Societe Generale, 144A | | | 5.000% | | | | 1/17/24 | | | | A– | | | | 2,621,604 | |
| | | | | |
| | 1,470 | | | Standard Chartered PLC, 144A | | | 5.700% | | | | 3/26/44 | | | | A | | | | 1,495,697 | |
| | 36,105 | | | Total Banks | | | | | | | | | | | | | | | 38,564,215 | |
Nuveen Core Plus Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Biotechnology – 0.6% | | | | | | | | | | | | |
| | | | | |
| $ | 2,405 | | | Baxalta Inc. | | | 4.000% | | | | 6/23/25 | | | | BBB– | | | $ | 2,506,876 | |
| | | | | |
| | | | Building Products – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 630 | | | Masco Corporation, (3) | | | 5.950% | | | | 3/15/22 | | | | BBB | | | | 704,422 | |
| | | | | |
| | 2,120 | | | Owens Corning Incorporated | | | 4.200% | | | | 12/15/22 | | | | BBB– | | | | 2,260,927 | |
| | 2,750 | | | Total Building Products | | | | | | | | | | | | | | | 2,965,349 | |
| | | | | |
| | | | Capital Markets – 3.2% | | | | | | | | | | | | |
| | | | | |
| | 3,000 | | | Goldman Sachs Group, Inc. | | | 5.750% | | | | 1/24/22 | | | | A | | | | 3,485,355 | |
| | | | | |
| | 3,685 | | | Goldman Sachs Group, Inc. | | | 6.750% | | | | 10/01/37 | | | | A– | | | | 4,547,953 | |
| | | | | |
| | 4,105 | | | Morgan Stanley | | | 5.500% | | | | 7/28/21 | | | | A | | | | 4,687,902 | |
| | 10,790 | | | Total Capital Markets | | | | | | | | | | | | | | | 12,721,210 | |
| | | | | |
| | | | Chemicals – 2.4% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Agrium Inc., (3) | | | 3.375% | | | | 3/15/25 | | | | BBB | | | | 2,035,358 | |
| | | | | |
| | 875 | | | Braskem Finance Limited, 144A | | | 5.750% | | | | 4/15/21 | | | | BBB– | | | | 877,188 | |
| | | | | |
| | 1,830 | | | Incitec Pivot Finance, 144A | | | 6.000% | | | | 12/10/19 | | | | BBB | | | | 1,996,925 | |
| | | | | |
| | 1,425 | | | LYB International Finance BV, (3) | | | 4.000% | | | | 7/15/23 | | | | Baa1 | | | | 1,526,316 | |
| | | | | |
| | 1,000 | | | Office Cherifien Des Phosphates SA, 144A | | | 5.625% | | | | 4/25/24 | | | | BBB– | | | | 1,060,000 | |
| | | | | |
| | 1,510 | | | Platform Specialty Products Corporation, 144A, (3) | | | 6.500% | | | | 2/01/22 | | | | B+ | | | | 1,328,800 | |
| | | | | |
| | 575 | | | PolyOne Corporation | | | 5.250% | | | | 3/15/23 | | | | BB– | | | | 579,313 | |
| | 9,215 | | | Total Chemicals | | | | | | | | | | | | | | | 9,403,900 | |
| | | | | |
| | | | Commercial Services & Supplies – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 395 | | | ADT Corporation | | | 6.250% | | | | 10/15/21 | | | | Ba2 | | | | 422,058 | |
| | | | | |
| | 775 | | | AerCap Ireland Capital Limited / AerCap Global Aviation Trust | | | 3.950% | | | | 2/01/22 | | | | BBB– | | | | 775,000 | |
| | | | | |
| | 975 | | | APX Group, Inc., 144A | | | 7.875% | | | | 12/01/22 | | | | B1 | | | | 982,313 | |
| | | | | |
| | 990 | | | R.R. Donnelley & Sons Company | | | 7.625% | | | | 6/15/20 | | | | BB– | | | | 1,037,025 | |
| | 3,135 | | | Total Commercial Services & Supplies | | | | | | | | | | | | | | | 3,216,396 | |
| | | | | |
| | | | Communications Equipment – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,275 | | | Qualcomm, Inc., (3) | | | 3.450% | | | | 5/20/25 | | | | A+ | | | | 1,355,704 | |
| | | | | |
| | | | Construction & Engineering – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 750 | | | AECOM Technology Corporation | | | 5.750% | | | | 10/15/22 | | | | BB– | | | | 765,000 | |
| | | | | |
| | | | Construction Materials – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 800 | | | Norbord Inc., 144A | | | 5.375% | | | | 12/01/20 | | | | Ba2 | | | | 822,000 | |
| | | | | |
| | | | Consumer Finance – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 1,225 | | | Ally Financial Inc. | | | 5.750% | | | | 11/20/25 | | | | BB | | | | 1,228,063 | |
| | | | | |
| | 1,148 | | | Capital One Bank | | | 3.375% | | | | 2/15/23 | | | | Baa1 | | | | 1,174,697 | |
| | | | | |
| | 1,790 | | | Discover Financial Services | | | 5.200% | | | | 4/27/22 | | | | BBB+ | | | | 1,963,807 | |
| | | | | |
| | 2,000 | | | Ford Motor Credit Company | | | 4.250% | | | | 9/20/22 | | | | BBB | | | | 2,157,088 | |
| | 6,163 | | | Total Consumer Finance | | | | | | | | | | | | | | | 6,523,655 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Containers & Packaging – 1.2% | | | | | | | | | | | | |
| | | | | |
| $ | 750 | | | Cascades Inc., 144A | | | 5.750% | | | | 7/15/23 | | | | BB– | | | $ | 721,875 | |
| | | | | |
| | 1,145 | | | Packaging Corporation of America | | | 3.650% | | | | 9/15/24 | | | | BBB | | | | 1,183,202 | |
| | | | | |
| | 680 | | | Reynolds Group, 144A | | | 5.125% | | | | 7/15/23 | | | | B+ | | | | 688,500 | |
| | | | | |
| | 1,945 | | | Rock-Tenn Company | | | 4.900% | | | | 3/01/22 | | | | BBB | | | | 2,159,329 | |
| | 4,520 | | | Total Containers & Packaging | | | | | | | | | | | | | | | 4,752,906 | |
| | | | | |
| | | | Diversified Financial Services – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 1,720 | | | BNP Paribas, 144A, (3) | | | 4.375% | | | | 5/12/26 | | | | A | | | | 1,737,785 | |
| | | | | |
| | 1,250 | | | Fly Leasing Limited, (3) | | | 6.750% | | | | 12/15/20 | | | | BB | | | | 1,256,250 | |
| | | | | |
| | 2,050 | | | Rabobank Nederland | | | 3.875% | | | | 2/08/22 | | | | Aa2 | | | | 2,227,393 | |
| | 5,020 | | | Total Diversified Financial Services | | | | | | | | | | | | | | | 5,221,428 | |
| | | | | |
| | | | Diversified Telecommunication Services – 3.2% | | | | | | | | | | | | |
| | | | | |
| | 2,270 | | | AT&T, Inc. | | | 3.800% | | | | 3/15/22 | | | | A– | | | | 2,418,190 | |
| | | | | |
| | 1,315 | | | AT&T, Inc. | | | 5.550% | | | | 8/15/41 | | | | A– | | | | 1,474,857 | |
| | | | | |
| | 375 | | | Frontier Communications Corporation, (3) | | | 11.000% | | | | 9/15/25 | | | | BB | | | | 389,531 | |
| | | | | |
| | 2,190 | | | Qwest Corporation | | | 6.750% | | | | 12/01/21 | | | | BBB– | | | | 2,365,200 | |
| | | | | |
| | 2,610 | | | SBA Tower Trust, 144A | | | 3.598% | | | | 4/15/43 | | | | BBB | | | | 2,627,668 | |
| | | | | |
| | 1,000 | | | Verizon Communications | | | 5.150% | | | | 9/15/23 | | | | A– | | | | 1,165,080 | |
| | | | | |
| | 570 | | | Verizon Communications, (3) | | | 3.500% | | | | 11/01/24 | | | | A– | | | | 607,337 | |
| | | | | |
| | 1,330 | | | Verizon Communications | | | 4.862% | | | | 8/21/46 | | | | A– | | | | 1,452,425 | |
| | 11,660 | | | Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 12,500,288 | |
| | | | |
| | | | Electronic Equipment, Instruments & Components – 0.1% | | | | | | | | | | |
| | | | | |
| | 565 | | | Anixter Inc. | | | 5.125% | | | | 10/01/21 | | | | BB+ | | | | 573,475 | |
| | | | | |
| | | | Energy Equipment & Services – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Origin Energy Finance Limited, 144A | | | 3.500% | | | | 10/09/18 | | | | BBB– | | | | 2,012,236 | |
| | | | | |
| | | | Food & Staples Retailing – 1.0% | | | | | | | | | | | | |
| | | | | |
| | 825 | | | Pomegranate Merger Sub, Inc., 144A | | | 9.750% | | | | 5/01/23 | | | | B | | | | 774,984 | |
| | | | | |
| | 1,225 | | | Sysco Corporation | | | 3.300% | | | | 7/15/26 | | | | A3 | | | | 1,271,579 | |
| | | | | |
| | 1,935 | | | Walgreens Boots Alliance, Inc. | | | 3.800% | | | | 11/18/24 | | | | BBB | | | | 2,051,010 | |
| | 3,985 | | | Total Food & Staples Retailing | | | | | | | | | | | | | | | 4,097,573 | |
| | | | | |
| | | | Food Products – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,045 | | | Kraft Heinz Foods Company, 144A | | | 4.375% | | | | 6/01/46 | | | | BBB– | | | | 1,105,906 | |
| | | | | |
| | 750 | | | Pilgrim’s Pride Corporation, 144A, (3) | | | 5.750% | | | | 3/15/25 | | | | BB+ | | | | 748,125 | |
| | 1,795 | | | Total Food Products | | | | | | | | | | | | | | | 1,854,031 | |
| | | | | |
| | | | Health Care Equipment & Supplies – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 395 | | | Tenet Healthcare Corporation, (3) | | | 4.375% | | | | 10/01/21 | | | | BB | | | | 393,025 | |
| | | | | |
| | | | Health Care Providers & Services – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 540 | | | Lifepoint Health Inc., 144A | | | 5.375% | | | | 5/01/24 | | | | Ba2 | | | | 541,350 | |
| | | | | |
| | 1,565 | | | UnitedHealth Group Incorporated | | | 4.750% | | | | 7/15/45 | | | | A+ | | | | 1,894,692 | |
| | 2,105 | | | Total Health Care Providers & Services | | | | | | | | | | | | | | | 2,436,042 | |
Nuveen Core Plus Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Hotels, Restaurants & Leisure – 0.6% | | | | | | | | | | | | |
| | | | | |
| $ | 350 | | | International Game Technology PLC, 144A | | | 6.250% | | | | 2/15/22 | | | | BB+ | | | $ | 358,677 | |
| | | | | |
| | 815 | | | MGM Resorts International Inc., (3) | | | 6.000% | | | | 3/15/23 | | | | BB | | | | 859,825 | |
| | | | | |
| | 1,000 | | | Wynn Macau Limited, 144A, (3) | | | 5.250% | | | | 10/15/21 | | | | BB | | | | 972,800 | |
| | 2,165 | | | Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 2,191,302 | |
| | | | | |
| | | | Household Durables – 1.2% | | | | | | | | | | | | |
| | | | | |
| | 840 | | | Brookfield Residential Properties Inc., 144A, (3) | | | 6.500% | | | | 12/15/20 | | | | B+ | | | | 837,900 | |
| | | | | |
| | 1,375 | | | Harman International Industries, Inc. | | | 4.150% | | | | 5/15/25 | | | | BBB– | | | | 1,434,606 | |
| | | | | |
| | 585 | | | Lennar Corporation | | | 4.750% | | | | 4/01/21 | | | | BB+ | | | | 608,400 | |
| | | | | |
| | 1,230 | | | Newell Brands Inc. | | | 4.200% | | | | 4/01/26 | | | | BBB– | | | | 1,334,051 | |
| | | | | |
| | 565 | | | PulteGroup Inc. | | | 5.500% | | | | 3/01/26 | | | | BBB– | | | | 579,125 | |
| | 4,595 | | | Total Household Durables | | | | | | | | | | | | | | | 4,794,082 | |
| | | | | |
| | | | Insurance – 2.2% | | | | | | | | | | | | |
| | | | | |
| | 1,475 | | | AFLAC Insurance | | | 6.450% | | | | 8/15/40 | | | | A– | | | | 1,962,865 | |
| | | | | |
| | 1,650 | | | Genworth Holdings Inc. | | | 4.800% | | | | 2/15/24 | | | | Ba3 | | | | 1,233,375 | |
| | | | | |
| | 2,030 | | | Lincoln National Corporation | | | 4.000% | | | | 9/01/23 | | | | A– | | | | 2,111,293 | |
| | | | | |
| | 1,000 | | | Symetra Financial Corporation | | | 4.250% | | | | 7/15/24 | | | | Baa1 | | | | 1,039,606 | |
| | | | | |
| | 2,190 | | | XLIT Limited | | | 4.450% | | | | 3/31/25 | | | | BBB | | | | 2,210,997 | |
| | 8,345 | | | Total Insurance | | | | | | | | | | | | | | | 8,558,136 | |
| | | | | |
| | | | Internet Software & Services – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 1,370 | | | eBay Inc. | | | 3.800% | | | | 3/09/22 | | | | BBB+ | | | | 1,455,909 | |
| | | | | |
| | | | Leisure Products – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,950 | | | Hyatt Hotels Corporation | | | 3.375% | | | | 7/15/23 | | | | BBB | | | | 1,973,540 | |
| | | | | |
| | | | Machinery – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 750 | | | CTP Transportation Products LLC-Finance Inc., 144A | | | 8.250% | | | | 12/15/19 | | | | B | | | | 660,000 | |
| | | | | |
| | 1,120 | | | Cummins Engine Inc. | | | 4.875% | | | | 10/01/43 | | | | A+ | | | | 1,301,626 | |
| | | | | |
| | 500 | | | Dana Financing Luxembourg Sarl, 144A, (3) | | | 6.500% | | | | 6/01/26 | | | | BB+ | | | | 486,875 | |
| | | | | |
| | 985 | | | Ingersoll-Rand Luxembourg Finance SA | | | 3.550% | | | | 11/01/24 | | | | BBB | | | | 1,036,846 | |
| | | | | |
| | 1,480 | | | Pentair Finance SA | | | 4.650% | | | | 9/15/25 | | | | BBB– | | | | 1,533,358 | |
| | 4,835 | | | Total Machinery | | | | | | | | | | | | | | | 5,018,705 | |
| | | | | |
| | | | Media – 5.2% | | | | | | | | | | | | |
| | | | | |
| | 2,155 | | | 21st Century Fox America Inc. | | | 6.650% | | | | 11/15/37 | | | | BBB+ | | | | 2,827,590 | |
| | | | | |
| | 1,065 | | | CBS Corporation, (3) | | | 4.000% | | | | 1/15/26 | | | | BBB | | | | 1,137,308 | |
| | | | | |
| | 500 | | | CCO Holdings LLC Finance Corporation, 144A, (3) | | | 5.500% | | | | 5/01/26 | | | | BB+ | | | | 507,500 | |
| | | | | |
| | 1,060 | | | Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation, 144A | | | 4.908% | | | | 7/23/25 | | | | BBB | | | | 1,155,291 | |
| | | | | |
| | 1,040 | | | Cox Communications Inc., 144A | | | 3.250% | | | | 12/15/22 | | | | BBB+ | | | | 1,037,250 | |
| | | | | |
| | 2,000 | | | Cox Communications Inc., 144A | | | 3.850% | | | | 2/01/25 | | | | BBB+ | | | | 2,015,334 | |
| | | | | |
| | 750 | | | Dish DBS Corporation, (3) | | | 5.125% | | | | 5/01/20 | | | | BB– | | | | 765,000 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Media (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 1,895 | | | NBC Universal Media LLC | | | 6.400% | | | | 4/30/40 | | | | A– | | | $ | 2,625,416 | |
| | | | | |
| | 1,925 | | | NBC Universal Media LLC | | | 4.450% | | | | 1/15/43 | | | | A– | | | | 2,146,417 | |
| | | | | |
| | 1,250 | | | Numericable Group SA, 144A, (3) | | | 6.000% | | | | 5/15/22 | | | | B+ | | | | 1,215,625 | |
| | | | | |
| | 1,635 | | | SES SA, 144A, (3) | | | 3.600% | | | | 4/04/23 | | | | BBB | | | | 1,645,513 | |
| | | | | |
| | 900 | | | Sinclair Television Group | | | 6.375% | | | | 11/01/21 | | | | B+ | | | | 945,000 | |
| | | | | |
| | 1,290 | | | Time Warner Inc., (3) | | | 3.875% | | | | 1/15/26 | | | | BBB+ | | | | 1,391,522 | |
| | | | | |
| | 760 | | | Tribune Media Company | | | 5.875% | | | | 7/15/22 | | | | BB– | | | | 756,200 | |
| | | | | |
| | 375 | | | Unitymedia KabelBW GmbH, 144A | | | 6.125% | | | | 1/15/25 | | | | B | | | | 384,338 | |
| | 18,600 | | | Total Media | | | | | | | | | | | | | | | 20,555,304 | |
| | | | | |
| | | | Metals & Mining – 2.4% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | Alcoa Inc., (3) | | | 5.400% | | | | 4/15/21 | | | | BBB– | | | | 530,625 | |
| | | | | |
| | 750 | | | Aleris International Inc., 144A | | | 9.500% | | | | 4/01/21 | | | | B | | | | 770,625 | |
| | | | | |
| | 950 | | | Allegheny Technologies Inc. | | | 7.625% | | | | 8/15/23 | | | | B | | | | 793,250 | |
| | | | | |
| | 880 | | | Anglogold Holdings PLC | | | 6.500% | | | | 4/15/40 | | | | Baa3 | | | | 858,000 | |
| | | | | |
| | 1,090 | | | ArcelorMittal, (3) | | | 7.250% | | | | 2/25/22 | | | | BB+ | | | | 1,147,225 | |
| | | | | |
| | 500 | | | First Quantum Minerals Limited, 144A | | | 6.750% | | | | 2/15/20 | | | | B | | | | 417,500 | |
| | | | | |
| | 1,070 | | | Newmont Mining Corporation, (3) | | | 3.500% | | | | 3/15/22 | | | | BBB | | | | 1,111,200 | |
| | | | | |
| | 570 | | | Novellis Inc., (3) | | | 8.750% | | | | 12/15/20 | | | | B | | | | 594,225 | |
| | | | | |
| | 2,000 | | | Nucor Corporation | | | 4.000% | | | | 8/01/23 | | | | A– | | | | 2,136,734 | |
| | | | | |
| | 835 | | | Teck Resources Limited | | | 3.750% | | | | 2/01/23 | | | | B+ | | | | 634,600 | |
| | | | | |
| | 550 | | | Xstrata Finance Canada Limited, 144A | | | 6.900% | | | | 11/15/37 | | | | BBB– | | | | 511,500 | |
| | 9,695 | | | Total Metals & Mining | | | | | | | | | | | | | | | 9,505,484 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 6.1% | | | | | | | | | | | | |
| | | | | |
| | 820 | | | Anadarko Petroleum Corporation | | | 6.200% | | | | 3/15/40 | | | | BBB | | | | 919,802 | |
| | | | | |
| | 1,570 | | | Apache Corporation | | | 4.250% | | | | 1/15/44 | | | | BBB | | | | 1,520,735 | |
| | | | | |
| | 1,750 | | | Baytex Energy Corporation | | | 6.625% | | | | 7/19/22 | | | | BB | | | | 1,149,667 | |
| | | | | |
| | 1,685 | | | Berkshire Hathaway Energy Company | | | 6.125% | | | | 4/01/36 | | | | A– | | | | 2,231,584 | |
| | | | | |
| | 263 | | | California Resources Corporation, 144A | | | 8.000% | | | | 12/15/22 | | | | B | | | | 186,730 | |
| | | | | |
| | 460 | | | Calumet Specialty Products | | | 6.500% | | | | 4/15/21 | | | | CCC+ | | | | 328,900 | |
| | | | | |
| | 370 | | | Canadian Natural Resources Limited | | | 5.850% | | | | 2/01/35 | | | | BBB+ | | | | 374,050 | |
| | | | | |
| | 750 | | | Chesapeake Energy Corporation, 144A, (3) | | | 8.000% | | | | 12/15/22 | | | | B+ | | | | 638,438 | |
| | | | | |
| | 500 | | | CONSOL Energy Inc. | | | 5.875% | | | | 4/15/22 | | | | B | | | | 436,875 | |
| | | | | |
| | 915 | | | Continental Resources Inc., (3) | | | 5.000% | | | | 9/15/22 | | | | BB+ | | | | 891,786 | |
| | | | | |
| | 670 | | | Energy Transfer Equity LP | | | 5.875% | | | | 1/15/24 | | | | BB+ | | | | 651,575 | |
| | | | | |
| | 1,125 | | | EnLink Midstream Partners LP | | | 4.150% | | | | 6/01/25 | | | | BBB– | | | | 1,037,294 | |
| | | | | |
| | 700 | | | Hess Corporation, (3) | | | 3.500% | | | | 7/15/24 | | | | BBB | | | | 674,996 | |
| | | | | |
| | 955 | | | Kinder Morgan Energy Partners, LP | | | 4.250% | | | | 9/01/24 | | | | BBB– | | | | 967,377 | |
| | | | | |
| | 345 | | | Martin Mid-Stream Partners LP Finance | | | 7.250% | | | | 2/15/21 | | | | B– | | | | 319,125 | |
Nuveen Core Plus Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 1,000 | | | MEG Energy Corporation, 144A | | | 6.375% | | | | 1/30/23 | | | | BB– | | | $ | 740,000 | |
| | | | | |
| | 1,470 | | | NGL Energy Partners LP/Fin Co | | | 5.125% | | | | 7/15/19 | | | | BB– | | | | 1,337,700 | |
| | | | | |
| | 630 | | | Petro Canada | | | 6.800% | | | | 5/15/38 | | | | A– | | | | 829,085 | |
| | | | | |
| | 1,150 | | | Reliance Holdings USA Inc., 144A | | | 5.400% | | | | 2/14/22 | | | | BBB+ | | | | 1,287,821 | |
| | | | | |
| | 500 | | | Sabine Pass Liquefaction LLC | | | 5.625% | | | | 2/01/21 | | | | BB+ | | | | 505,000 | |
| | | | | |
| | 880 | | | Southwestern Energy Company | | | 4.100% | | | | 3/15/22 | | | | BB– | | | | 785,400 | |
| | | | | |
| | 1,560 | | | Spectra Energy Partners LP | | | 4.750% | | | | 3/15/24 | | | | BBB | | | | 1,715,197 | |
| | | | | |
| | 1,400 | | | Targa Resources Inc. | | | 4.250% | | | | 11/15/23 | | | | BB– | | | | 1,256,500 | |
| | | | | |
| | 1,275 | | | Transocean Inc. | | | 4.300% | | | | 10/15/22 | | | | BB– | | | | 902,063 | |
| | | | | |
| | 1,060 | | | Valero Energy Corporation, (3) | | | 3.650% | | | | 3/15/25 | | | | BBB | | | | 1,061,977 | |
| | | | | |
| | 1,380 | | | Woodside Finance Limited, 144A | | | 3.650% | | | | 3/05/25 | | | | BBB+ | | | | 1,348,634 | |
| | 25,183 | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 24,098,311 | |
| | | | | |
| | | | Paper & Forest Products – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 1,785 | | | Domtar Corporation, (3) | | | 6.750% | | | | 2/15/44 | | | | BBB– | | | | 1,953,609 | |
| | | | | |
| | 680 | | | Mercer International Inc. | | | 7.750% | | | | 12/01/22 | | | | B+ | | | | 680,000 | |
| | | | | |
| | 990 | | | Resolute Forest Products | | | 5.875% | | | | 5/15/23 | | | | BB– | | | | 779,625 | |
| | 3,455 | | | Total Paper & Forest Products | | | | | | | | | | | | | | | 3,413,234 | |
| | | | | |
| | | | Personal Products – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,265 | | | International Paper Company | | | 8.700% | | | | 6/15/38 | | | | BBB | | | | 1,839,788 | |
| | | | | |
| | | | Pharmaceuticals – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Endo Finance LLC / Endo Finco Inc., 144A | | | 6.000% | | | | 2/01/25 | | | | B | | | | 867,500 | |
| | | | | |
| | | | Real Estate Investment Trust – 3.8% | | | | | | | | | | | | |
| | | | | |
| | 1,410 | | | American Tower Company, (3) | | | 5.000% | | | | 2/15/24 | | | | BBB | | | | 1,593,754 | |
| | | | | |
| | 785 | | | Crown Castle International Corporation | | | 3.700% | | | | 6/15/26 | | | | BBB– | | | | 807,909 | |
| | | | | |
| | 2,200 | | | Digital Realty Trust Inc., (3) | | | 3.625% | | | | 10/01/22 | | | | BBB | | | | 2,265,363 | |
| | | | | |
| | 705 | | | Geo Group Inc. | | | 6.000% | | | | 4/15/26 | | | | Ba3 | | | | 712,050 | |
| | | | | |
| | 1,100 | | | iStar Inc. | | | 6.500% | | | | 7/01/21 | | | | B+ | | | | 1,039,500 | |
| | | | | |
| | 1,865 | | | Omega Healthcare Investors Inc. | | | 4.950% | | | | 4/01/24 | | | | BBB– | | | | 1,941,053 | |
| | | | | |
| | 1,815 | | | Piedmont Operating Partnership LP | | | 4.450% | | | | 3/15/24 | | | | BBB | | | | 1,877,153 | |
| | | | | |
| | 1,200 | | | Plum Creek Timberlands LP | | | 4.700% | | | | 3/15/21 | | | | Baa2 | | | | 1,306,747 | |
| | | | | |
| | 465 | | | Realogy Group LLC / Realogy Co-Issuer Corporation, 144A | | | 5.250% | | | | 12/01/21 | | | | B | | | | 476,044 | |
| | | | | |
| | 2,315 | | | Realty Income Corporation | | | 3.250% | | | | 10/15/22 | | | | BBB+ | | | | 2,374,366 | |
| | | | | |
| | 570 | | | Vereit Operating Partner | | | 4.600% | | | | 2/06/24 | | | | BB+ | | | | 574,275 | |
| | 14,430 | | | Total Real Estate Investment Trust | | | | | | | | | | | | | | | 14,968,214 | |
| | | | | |
| | | | Road & Rail – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 820 | | | Avis Budget Car Rental, 144A, (3) | | | 6.375% | | | | 4/01/24 | | | | B+ | | | | 811,800 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Software – 0.8% | | | | | | | | | | | | |
| | | | | |
| $ | 1,015 | | | Computer Sciences Corporation | | | 4.450% | | | | 9/15/22 | | | | BBB | | | $ | 1,082,195 | |
| | | | | |
| | 2,000 | | | Total System Services Inc. | | | 3.750% | | | | 6/01/23 | | | | BBB– | | | | 2,031,530 | |
| | 3,015 | | | Total Software | | | | | | | | | | | | | | | 3,113,725 | |
| | | | | |
| | | | Specialty Retail – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 1,005 | | | AutoNation Inc. | | | 4.500% | | | | 10/01/25 | | | | BBB– | | | | 1,063,573 | |
| | | | | |
| | 1,255 | | | Bed Bath and Beyond Incorporated | | | 4.915% | | | | 8/01/34 | | | | BBB+ | | | | 1,172,017 | |
| | | | | |
| | 500 | | | Guitar Center Inc., 144A | | | 6.500% | | | | 4/15/19 | | | | B2 | | | | 430,000 | |
| | | | | |
| | 2,410 | | | Signet UK Finance PLC | | | 4.700% | | | | 6/15/24 | | | | BBB– | | | | 2,353,004 | |
| | 5,170 | | | Total Specialty Retail | | | | | | | | | | | | | | | 5,018,594 | |
| | | | | |
| | | | Technology Hardware, Storage & Peripherals – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 1,930 | | | Hewlett Packard Enterprise Co, 144A, (3) | | | 4.900% | | | | 10/15/25 | | | | A– | | | | 2,017,442 | |
| | | | | |
| | 520 | | | NCR Corporation | | | 5.000% | | | | 7/15/22 | | | | BB | | | | 509,600 | |
| | | | | |
| | 710 | | | Western Digital Corporation, 144A | | | 7.375% | | | | 4/01/23 | | | | BBB– | | | | 756,150 | |
| | 3,160 | | | Total Technology Hardware, Storage & Peripherals | | | | | | | | | | | | | | | 3,283,192 | |
| | | | | |
| | | | Textiles, Apparel & Luxury Goods – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 800 | | | Levi Strauss & Company | | | 5.000% | | | | 5/01/25 | | | | BB | | | | 804,000 | |
| | | | | |
| | | | Thrifts & Mortgage Finance – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 625 | | | Radian Group Inc. | | | 7.000% | | | | 3/15/21 | | | | BB– | | | | 668,363 | |
| | | | | |
| | | | Trading Companies & Distributors – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 1,925 | | | Air Lease Corporation, (3) | | | 3.875% | | | | 4/01/21 | | | | BBB– | | | | 1,982,750 | |
| | | | | |
| | 270 | | | United Rentals North America Inc. | | | 5.875% | | | | 9/15/26 | | | | BB– | | | | 267,975 | |
| | 2,195 | | | Total Trading Companies & Distributors | | | | | | | | | | | | | | | 2,250,725 | |
| | | | | |
| | | | Wireless Telecommunication Services – 1.0% | | | | | | | | | | | | |
| | | | | |
| | 625 | | | Altice Financing SA, 144A | | | 6.625% | | | | 2/15/23 | | | | BB– | | | | 613,669 | |
| | | | | |
| | 1,000 | | | ENTEL Chile SA, 144A | | | 4.750% | | | | 8/01/26 | | | | BBB | | | | 994,318 | |
| | | | | |
| | 840 | | | Millicom International Cellular SA, 144A | | | 6.625% | | | | 10/15/21 | | | | BB+ | | | | 862,428 | |
| | | | | |
| | 750 | | | Sprint Corporation, (3) | | | 7.250% | | | | 9/15/21 | | | | B+ | | | | 639,375 | |
| | | | | |
| | 725 | | | T-Mobile USA Inc. | | | 6.731% | | | | 4/28/22 | | | | BB | | | | 762,374 | |
| | 3,940 | | | Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 3,872,164 | |
| $ | 231,106 | | | Total Corporate Bonds (cost $230,650,460) | | | | | | | | | | | | | | | 241,406,877 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | |
| | | | $1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 6.1% | | | | | | | | | | | | | |
| | | | | |
| | | | Banks – 2.2% | | | | | | | | | | | | |
| | | | | |
| $ | 770 | | | Australia and New Zealand Banking Group Limited of the United Kingdom, 144A, (3) | | | 6.750% | | | | N/A (4) | | | | Baa1 | | | $ | 795,179 | |
| | | | | |
| | 835 | | | Bank of America Corporation | | | 6.300% | | | | N/A (4) | | | | BB+ | | | | 884,056 | |
| | | | | |
| | 990 | | | Citigroup Inc. | | | 6.250% | | | | N/A (4) | | | | BB+ | | | | 1,019,700 | |
Nuveen Core Plus Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Banks (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 1,160 | | | HSBC Holdings PLC, (3) | | | 6.875% | | | | N/A (4) | | | | BBB | | | $ | 1,154,200 | |
| | | | | |
| | 1,250 | | | JPMorgan Chase & Company, (3) | | | 6.750% | | | | N/A (4) | | | | BBB– | | | | 1,376,563 | |
| | | | | |
| | 1,525 | | | Nordea Bank AB, 144A | | | 6.125% | | | | N/A (4) | | | | BBB | | | | 1,441,125 | |
| | | | | |
| | 500 | | | Standard Chartered PLC, 144A, (3) | | | 6.500% | | | | N/A (4) | | | | BBB– | | | | 458,750 | |
| | | | | |
| | 1,485 | | | SunTrust Bank Inc., (3) | | | 5.625% | | | | N/A (4) | | | | Baa3 | | | | 1,492,425 | |
| | 8,515 | | | Total Banks | | | | | | | | | | | | | | | 8,621,998 | |
| | | | | |
| | | | Capital Markets – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,286 | | | Goldman Sachs Capital II | | | 4.000% | | | | 12/31/49 | | | | Ba1 | | | | 963,111 | |
| | | | | |
| | 1,000 | | | UBS Group AG, Reg S | | | 7.125% | | | | N/A (4) | | | | BB+ | | | | 992,500 | |
| | 2,286 | | | Total Capital Markets | | | | | | | | | | | | | | | 1,955,611 | |
| | | | | |
| | | | Consumer Finance – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 985 | | | American Express Company | | | 5.200% | | | | N/A (4) | | | | Baa2 | | | | 953,973 | |
| | | | | |
| | | | Diversified Financial Services – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 1,035 | | | BNP Paribas, 144A | | | 7.375% | | | | N/A (4) | | | | BBB– | | | | 1,013,265 | |
| | | | | |
| | 1,200 | | | BNP Paribas, 144A | | | 7.625% | | | | N/A (4) | | | | BBB– | | | | 1,200,000 | |
| | 2,235 | | | Total Diversified Financial Services | | | | | | | | | | | | | | | 2,213,265 | |
| | | | | |
| | | | Electric Utilities – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 1,785 | | | Electricite de France, 144A | | | 5.250% | | | | N/A (4) | | | | Baa2 | | | | 1,700,213 | |
| | | | | |
| | | | Food Products – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,300 | | | Land O’ Lakes Incorporated, 144A | | | 8.000% | | | | 12/31/65 | | | | BB | | | | 1,329,250 | |
| | | | | |
| | | | Industrial Conglomerates – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,851 | | | General Electric Company, (3) | | | 5.000% | | | | N/A (4) | | | | AA– | | | | 1,966,687 | |
| | | | | |
| | | | Insurance – 1.0% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Allstate Corporation | | | 5.750% | | | | 8/15/53 | | | | Baa1 | | | | 1,025,500 | |
| | | | | |
| | 1,395 | | | Principal Financial Group | | | 4.700% | | | | 5/15/55 | | | | Baa2 | | | | 1,361,869 | |
| | | | | |
| | 1,500 | | | Prudential Financial Inc. | | | 5.200% | | | | 3/15/44 | | | | BBB+ | | | | 1,470,750 | |
| | 3,895 | | | Total Insurance | | | | | | | | | | | | | | | 3,858,119 | |
| | | | | |
| | | | Real Estate Investment Trust – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 1,525 | | | Wachovia Capital Trust III | | | 5.570% | | | | 12/31/49 | | | | BBB | | | | 1,505,995 | |
| $ | 24,377 | | | Total $1,000 Par (or similar) Institutional Preferred (cost $23,728,616) | | | | | | | | | | | | | | | 24,105,111 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 0.0% | | | | | | | | | | | | | | | | |
| | | | | |
| $ | 65 | | | U.S. Treasury Notes | | | 2.250% | | | | 11/15/25 | | | | Aaa | | | $ | 69,385 | |
| $ | 65 | | | Total U.S. Government and Agency Obligations (cost $64,726) | | | | | | | | | | | | | | | 69,385 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 28.0% | | | | | | | | | | | | | | | | |
| | | | | |
| $ | 2,690 | | | 321 Henderson Receivables LLC, Series 2010-3A, 144A | | | 3.820% | | | | 12/15/2048 | | | | Aaa | | | $ | 2,797,047 | |
| | | | | |
| | 1,586 | | | American Homes 4 Rent, Series 2014-SFR2, 144A | | | 3.786% | | | | 10/17/2036 | | | | Aaa | | | | 1,701,212 | |
| | | | | |
| | 3,165 | | | AmeriCold LLC Trust, Series 2010, 144A | | | 6.811% | | | | 1/14/2029 | | | | A+ | | | | 3,566,796 | |
| | | | | |
| | 540 | | | Bank of America Commercial Mortgage Inc. , Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7 | | | 4.366% | | | | 9/15/2048 | | | | A– | | | | 546,755 | |
| | | | | |
| | 345 | | | Bank of America Commercial Mortgage Inc. , Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7 | | | 3.167% | | | | 9/15/2048 | | | | BBB– | | | | 257,415 | |
| | | | | |
| | 306 | | | Bank of America Funding Trust, Mortgage Pass-Through Certificates, Series 2007-4 | | | 5.500% | | | | 6/25/2037 | | | | C | | | | 62,598 | |
| | | | | |
| | 1,100 | | | Barclays Commercial Mortgage, Mortgage Pass-Through Certificates, Series 2015-STP, 144A | | | 4.284% | | | | 9/10/2028 | | | | BBB– | | | | 1,105,912 | |
| | | | | |
| | 1,167 | | | Bayview Financial Mortgage Pass-Through Trust, Mortgage Pass-Through Certificate Series 2005-D | | | 5.500% | | | | 12/28/2035 | | | | BB+ | | | | 1,153,820 | |
| | | | | |
| | 750 | | | CarFinance Capital Auto Trust, Automobile Receivables-Backed Notes, Series 2013-1, 144A | | | 3.450% | | | | 3/15/2019 | | | | Aa3 | | | | 754,937 | |
| | | | | |
| | 2,000 | | | Commercial Mortgage Pass-Through Certificates, Series 2014-SAVA, 144A | | | 2.882% | | | | 6/15/2034 | | | | A | | | | 1,973,110 | |
| | | | | |
| | 1,785 | | | Commercial Mortgage Pass-Through Certificates 2015-CR22 | | | 4.127% | | | | 3/10/2048 | | | | A– | | | | 1,778,393 | |
| | | | | |
| | 1,305 | | | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26 | | | 4.495% | | | | 10/10/2048 | | | | A– | | | | 1,275,662 | |
| | | | | |
| | 115 | | | Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2004-J1 | | | 6.000% | | | | 2/25/2034 | | | | A+ | | | | 115,784 | |
| | | | | |
| | 619 | | | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-2 | | | 2.611% | | | | 2/25/2034 | | | | BB+ | | | | 593,393 | |
| | | | | |
| | 43 | | | Countrywide Home Loans, Asset-Backed Certificates, Series 2003-SC1 | | | 2.738% | | | | 9/25/2023 | | | | Baa3 | | | | 45,636 | |
| | | | | |
| | 2,215 | | | Credit Suisse First Boston Mortgage Securities Corporation, Mortgage-Backed Pass-Through Certificates, Series 2003-8 | | | 6.171% | | | | 4/25/2033 | | | | A | | | | 2,206,542 | |
| | | | | |
| | 66 | | | Fannie Mae Mortgage Pool 250551 | | | 7.000% | | | | 5/01/26 | | | | Aaa | | | | 75,588 | |
| | | | | |
| | 286 | | | Fannie Mae Mortgage Pool 252255 | | | 6.500% | | | | 2/01/29 | | | | Aaa | | | | 331,976 | |
| | | | | |
| | 485 | | | Fannie Mae Mortgage Pool 254169 | | | 6.500% | | | | 12/01/31 | | | | Aaa | | | | 577,227 | |
| | | | | |
| | 487 | | | Fannie Mae Mortgage Pool 254379 | | | 7.000% | | | | 7/01/32 | | | | Aaa | | | | 573,737 | |
| | | | | |
| | 372 | | | Fannie Mae Mortgage Pool 254513 | | | 6.000% | | | | 10/1/2022 | | | | Aaa | | | | 424,692 | |
| | | | | |
| | 1,019 | | | Fannie Mae Mortgage Pool 255575 | | | 5.500% | | | | 1/01/25 | | | | Aaa | | | | 1,143,832 | |
| | | | | |
| | 183 | | | Fannie Mae Mortgage Pool 256845 | | | 6.500% | | | | 8/01/37 | | | | Aaa | | | | 221,696 | |
| | | | | |
| | 643 | | | Fannie Mae Mortgage Pool 256852 | | | 6.000% | | | | 8/01/27 | | | | Aaa | | | | 733,866 | |
| | | | | |
| | 236 | | | Fannie Mae Mortgage Pool 256890 | | | 6.000% | | | | 9/01/37 | | | | Aaa | | | | 264,461 | |
| | | | | |
| | 63 | | | Fannie Mae Mortgage Pool 340798 | | | 7.000% | | | | 4/1/2026 | | | | Aaa | | | | 69,756 | |
| | | | | |
| | 87 | | | Fannie Mae Mortgage Pool 545359 | | | 2.769% | | | | 3/01/31 | | | | Aaa | | | | 90,745 | |
| | | | | |
| | 181 | | | Fannie Mae Mortgage Pool 545813 | | | 7.000% | | | | 7/01/32 | | | | Aaa | | | | 221,073 | |
| | | | | |
| | 115 | | | Fannie Mae Mortgage Pool 545815 | | | 7.000% | | | | 7/01/32 | | | | Aaa | | | | 140,802 | |
| | | | | |
| | 691 | | | Fannie Mae Mortgage Pool 555798 | | | 6.500% | | | | 5/01/33 | | | | Aaa | | | | 818,709 | |
| | | | | |
| | 1,155 | | | Fannie Mae Mortgage Pool 555843 | | | 2.507% | | | | 8/01/30 | | | | Aaa | | | | 1,192,696 | |
| | | | | |
| | 97 | | | Fannie Mae Mortgage Pool 673010 | | | 5.500% | | | | 12/01/17 | | | | Aaa | | | | 98,844 | |
| | | | | |
| | 914 | | | Fannie Mae Mortgage Pool 688330 | | | 6.000% | | | | 3/01/33 | | | | Aaa | | | | 1,067,908 | |
Nuveen Core Plus Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | | |
| | | | | |
| $ | 1,756 | | | Fannie Mae Mortgage Pool 709446 | | | 5.500% | | | | 7/01/33 | | | | Aaa | | | $ | 2,014,324 | |
| | | | | |
| | 160 | | | Fannie Mae Mortgage Pool 725553 | | | 2.527% | | | | 9/01/33 | | | | Aaa | | | | 170,186 | |
| | | | | |
| | 1,082 | | | Fannie Mae Mortgage Pool 735054 | | | 2.258% | | | | 11/1/2034 | | | | Aaa | | | | 1,120,027 | |
| | | | | |
| | 1,280 | | | Fannie Mae Mortgage Pool 735273 | | | 6.500% | | | | 6/01/34 | | | | Aaa | | | | 1,549,184 | |
| | | | | |
| | 506 | | | Fannie Mae Mortgage Pool 745101 | | | 6.000% | | | | 4/1/2032 | | | | Aaa | | | | 571,570 | |
| | | | | |
| | 163 | | | Fannie Mae Mortgage Pool 781776 | | | 6.000% | | | | 10/1/2034 | | | | Aaa | | | | 187,733 | |
| | | | | |
| | 487 | | | Fannie Mae Mortgage Pool 885536 | | | 6.000% | | | | 8/01/36 | | | | Aaa | | | | 567,090 | |
| | | | | |
| | 545 | | | Fannie Mae Mortgage Pool 900555 | | | 6.000% | | | | 9/01/36 | | | | Aaa | | | | 633,719 | |
| | | | | |
| | 1,940 | | | Fannie Mae Mortgage Pool 932323 | | | 4.500% | | | | 12/01/39 | | | | Aaa | | | | 2,122,991 | |
| | | | | |
| | — | (5) | | Fannie Mae Mortgage Pool 983077 | | | 5.000% | | | | 5/01/38 | | | | Aaa | | | | 213 | |
| | | | | |
| | — | (5) | | Fannie Mae Mortgage Pool 985344 | | | 5.500% | | | | 7/01/38 | | | | Aaa | | | | 124 | |
| | | | | |
| | 2,533 | | | Fannie Mae Mortgage Pool AC1877 | | | 4.500% | | | | 9/01/39 | | | | Aaa | | | | 2,771,803 | |
| | | | | |
| | 2,957 | | | Fannie Mae Mortgage Pool AD4375 | | | 5.000% | | | | 5/01/40 | | | | Aaa | | | | 3,292,176 | |
| | | | | |
| | 4,486 | | | Fannie Mae Mortgage Pool AE7265 | | | 4.000% | | | | 1/01/41 | | | | Aaa | | | | 4,825,048 | |
| | | | | |
| | 2,619 | | | Fannie Mae Mortgage Pool AS3907 | | | 4.000% | | | | 11/1/2044 | | | | Aaa | | | | 2,806,363 | |
| | | | | |
| | 2,751 | | | Fannie Mae Mortgage Pool AS6652 | | | 3.500% | | | | 2/01/46 | | | | Aaa | | | | 2,902,792 | |
| | | | | |
| | 1,033 | | | Fannie Mae Mortgage Pool MA1028 | | | 4.000% | | | | 4/1/2042 | | | | Aaa | | | | 1,109,861 | |
| | | | | |
| | 2,150 | | | Fannie Mae Mortgage Pool MA2484 | | | 4.000% | | | | 12/01/45 | | | | Aaa | | | | 2,306,209 | |
| | | | | |
| | 3 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1988-24 G | | | 7.000% | | | | 10/25/2018 | | | | Aaa | | | | 3,338 | |
| | | | | |
| | 2 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1989-44 H | | | 9.000% | | | | 7/25/2019 | | | | Aaa | | | | 1,679 | |
| | | | | |
| | 1 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1989-90 E | | | 8.700% | | | | 12/25/2019 | | | | Aaa | | | | 808 | |
| | | | | |
| | 7 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1990-102 J | | | 6.500% | | | | 8/25/2020 | | | | Aaa | | | | 7,635 | |
| | | | | |
| | 52 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1990-105 J | | | 6.500% | | | | 9/25/2020 | | | | Aaa | | | | 54,896 | |
| | | | | |
| | 2 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1990-30 E | | | 6.500% | | | | 3/25/2020 | | | | Aaa | | | | 1,761 | |
| | | | | |
| | 5 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1990-61 H | | | 7.000% | | | | 6/25/2020 | | | | Aaa | | | | 5,557 | |
| | | | | |
| | 5 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1990-72 B | | | 9.000% | | | | 7/25/2020 | | | | Aaa | | | | 5,327 | |
| | | | | |
| | 36 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1991-134 Z | | | 7.000% | | | | 10/25/2021 | | | | Aaa | | | | 39,243 | |
| | | | | |
| | 20 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1991-56 M | | | 6.750% | | | | 6/25/2021 | | | | Aaa | | | | 21,383 | |
| | | | | |
| | 4 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1992-120 C | | | 6.500% | | | | 7/25/2022 | | | | Aaa | | | | 4,312 | |
| | | | | |
| | 179 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 1996-35 Z | | | 7.000% | | | | 7/25/2026 | | | | Aaa | | | | 202,237 | |
| | | | | |
| | 906 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through CertificatesR 2005-62 JE | | | 5.000% | | | | 6/25/2035 | | | | Aaa | | | | 1,000,822 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | | | | | |
| | | | | |
| $ | 834 | | | Fannie Mae REMIC Pass-Through CertificatesW 2003-W1 B1 | | | 4.067% | | | | 12/25/2042 | | | | AAA | | | $ | 309,834 | |
| | | | | |
| | 10,760 | | | Fannie Mae TBA, Mortgage Pool, (WI/DD) | | | 3.500% | | | | TBA | | | | Aaa | | | | 11,337,929 | |
| | | | | |
| | 1,000 | | | Fannie Mae TBA, Mortgage Pool, (WI/DD) | | | 5.000% | | | | TBA | | | | Aaa | | | | 1,110,906 | |
| | | | | |
| | 2,235 | | | Fannie Mae TBA, Mortgage Pool, (WI/DD) | | | 4.000% | | | | TBA | | | | Aaa | | | | 2,393,764 | |
| | | | | |
| | 3,025 | | | Fannie Mae TBA, Mortgage Pool, (WI/DD) | | | 3.000% | | | | TBA | | | | Aaa | | | | 3,133,475 | |
| | | | | |
| | 1,415 | | | Fannie Mae, Connecticut Avenue Securities Series 2014-C01 | | | 2.088% | | | | 1/25/2024 | | | | A3 | | | | 1,413,939 | |
| | | | | |
| | 5 | | | Federal Home Loan Mortgage Corporation, REMICR 1022 J | | | 6.000% | | | | 12/15/2020 | | | | Aaa | | | | 5,427 | |
| | | | | |
| | 11 | | | Federal Home Loan Mortgage Corporation, REMICR 1118 Z | | | 8.250% | | | | 7/15/2021 | | | | Aaa | | | | 11,545 | |
| | | | | |
| | 10 | | | Federal Home Loan Mortgage Corporation, REMICR 162 F | | | 7.000% | | | | 5/15/2021 | | | | Aaa | | | | 10,564 | |
| | | | | |
| | 6 | | | Federal Home Loan Mortgage Corporation, REMICR 1790 A | | | 7.000% | | | | 4/15/2022 | | | | Aaa | | | | 6,610 | |
| | | | | |
| | 35 | | | Federal Home Loan Mortgage Corporation, REMICR 188 H | | | 7.000% | | | | 9/15/2021 | | | | Aaa | | | | 36,988 | |
| | | | | |
| | 101 | | | Federal Home Loan Mortgage Corporation, REMICR 2704 JF | | | 1.031% | | | | 5/15/2023 | | | | Aaa | | | | 101,403 | |
| | | | | |
| | 391 | | | Federal Home Loan Mortgage Corporation, REMICR 3591 FP | | | 1.081% | | | | 6/15/2039 | | | | Aaa | | | | 394,228 | |
| | | | | |
| | 1 | | | Federal Home Loan Mortgage Corporation, REMICR 6 C | | | 9.050% | | | | 6/15/2019 | | | | Aaa | | | | 711 | |
| | | | | |
| | 1,806 | | | Freddie Mac Gold Pool 1G2163 | | | 2.671% | | | | 9/01/37 | | | | Aaa | | | | 1,914,746 | |
| | | | | |
| | 279 | | | Freddie Mac Gold Pool 846984 | | | 2.150% | | | | 6/01/31 | | | | Aaa | | | | 291,051 | |
| | | | | |
| | 420 | | | Freddie Mac Gold Pool 847180 | | | 2.639% | | | | 3/01/30 | | | | Aaa | | | | 435,520 | |
| | | | | |
| | 231 | | | Freddie Mac Gold Pool 847190 | | | 2.735% | | | | 4/1/2029 | | | | Aaa | | | | 243,806 | |
| | | | | |
| | 347 | | | Freddie Mac Gold Pool 847240 | | | 2.669% | | | | 7/01/30 | | | | Aaa | | | | 361,712 | |
| | | | | |
| | 302 | | | Freddie Mac Mortgage Pool, Various A15521 | | | 6.000% | | | | 11/1/2033 | | | | Aaa | | | | 346,858 | |
| | | | | |
| | 439 | | | Freddie Mac Mortgage Pool, Various A17212 | | | 6.500% | | | | 7/01/31 | | | | Aaa | | | | 504,114 | |
| | | | | |
| | 281 | | | Freddie Mac Mortgage Pool, Various C00676 | | | 6.500% | | | | 11/1/2028 | | | | Aaa | | | | 327,271 | |
| | | | | |
| | 119 | | | Freddie Mac Mortgage Pool, Various H09059 | | | 7.000% | | | | 8/01/37 | | | | Aaa | | | | 131,891 | |
| | | | | |
| | 64 | | | Freddie Mac Mortgage Pool, Various P10023 | | | 4.500% | | | | 3/01/18 | | | | Aaa | | | | 64,798 | |
| | | | | |
| | 207 | | | Freddie Mac Mortgage Pool, Various P10032 | | | 4.500% | | | | 5/01/18 | | | | Aaa | | | | 210,492 | |
| | | | | |
| | 1,000 | | | Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K711, 144A | | | 3.562% | | | | 8/25/2045 | | | | Aaa | | | | 1,032,746 | |
| | | | | |
| | 1,315 | | | Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2013-K712, 144A | | | 3.369% | | | | 5/25/2045 | | | | Aaa | | | | 1,345,599 | |
| | | | | |
| | 48 | | | Freddie Mac Non Gold Participation Certificates | | | 2.670% | | | | 5/01/25 | | | | Aaa | | | | 49,870 | |
| | | | | |
| | 499 | | | Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2005-RP2 1A2, 144A | | | 7.500% | | | | 3/25/2035 | | | | B1 | | | | 541,056 | |
| | | | | |
| | 536 | | | Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2005-RP3 1A2, 144A | | | 7.500% | | | | 9/25/2035 | | | | B1 | | | | 583,154 | |
| | | | | |
| | 1,570 | | | Goldman Sachs Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2015-GC32 | | | 3.345% | | | | 7/10/2048 | | | | BBB– | | | | 1,184,336 | |
| | | | | |
| | 3,201 | | | Government National Mortgage Association Pool 4946 | | | 4.500% | | | | 2/20/2041 | | | | Aaa | | | | 3,495,639 | |
| | | | | |
| | 121 | | | Government National Mortgage Association Pool 537699 | | | 7.500% | | | | 11/15/2030 | | | | Aaa | | | | 136,454 | |
| | | | | |
| | — | (5) | | Government National Mortgage Association Pool 8259 | | | 1.875% | | | | 8/20/2023 | | | | Aaa | | | | 419 | |
| | | | | |
| | 2,000 | | | Green Tree Agency Advance Funding Trust, Manufactured Housing Contract Pass-Through Certificates, Series 2015-T2, 144A | | | 3.687% | | | | 10/15/2048 | | | | AA | | | | 2,008,340 | |
Nuveen Core Plus Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | |
| | | | | |
| $ | 548 | | | IndyMac INDX Mortgage Loan Trust, Pass-Through Certificates, Series 2005-AR1 | | | 2.815% | | | | 3/25/2035 | | | | BBB+ | | | $ | 545,880 | |
| | | | | |
| | 1,590 | | | Invitation Homes Trust 2014-SFR1, 144A | | | 3.082% | | | | 6/17/2031 | | | | Baa2 | | | | 1,582,819 | |
| | | | | |
| | 630 | | | JPMorgan Chase Commercial Mortgage Securities Trust, Pass-Through Certificates 2015-C29 | | | 3.702% | | | | 5/15/2048 | | | | BBB– | | | | 443,829 | |
| | | | | |
| | 211 | | | Lehman Mortgage Trust, Mortgage Pass-Through Certificates, Series 2008-6 | | | 5.178% | | | | 7/25/2047 | | | | BB+ | | | | 210,915 | |
| | | | | |
| | 1,071 | | | Master Resecuritization Trust 2009-1, 144A | | | 6.000% | | | | 10/25/2036 | | | | A | | | | 1,106,967 | |
| | | | | |
| | 1,625 | | | Mid-State Capital Corporation Trust Notes, Series 2005-1 | | | 5.745% | | | | 1/15/2040 | | | | AA | | | | 1,741,381 | |
| | | | | |
| | 895 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, 144A | | | 4.243% | | | | 4/15/2048 | | | | BBB– | | | | 712,189 | |
| | | | | |
| | 520 | | | Mortgage Asset Securitization Transaction Inc., Alternative Loan Trust Mortgage Pass-Through Certificates Series 2004-1 | | | 7.000% | | | | 1/25/2034 | | | | BBB– | | | | 529,283 | |
| | | | | |
| | 1,940 | | | New Residential Advance Receivable Trust , Series 2016-T1, 144A | | | 4.377% | | | | 6/15/2049 | | | | BBB | | | | 1,951,442 | |
| | | | | |
| | 187 | | | Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-11 | | | 2.954% | | | | 8/25/2034 | | | | N/R | | | | 185,013 | |
| | | | | |
| | 3,728 | | | United States Department of Veterans, Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust, Series 2011-1 | | | 3.750% | | | | 2/15/2035 | | | | Aaa | | | | 3,963,300 | |
| | | | | |
| | 2,112 | | | Wachovia Mortgage Loan Trust LLC, Mortgage Pass-Through Certificates, Series 2005-B | | | 2.827% | | | | 10/20/2035 | | | | D | | | | 1,830,121 | |
| | | | | |
| | 1,570 | | | Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-C26, 144A | | | 3.586% | | | | 2/15/2048 | | | | BBB– | | | | 1,088,600 | |
| | | | | |
| | 625 | | | Wells Fargo-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-C15, 144A | | | 4.480% | | | | 8/15/2046 | | | | BBB– | | | | 551,683 | |
| $ | 106,347 | | | Total Asset-Backed and Mortgage-Backed Securities (cost $106,269,219) | | | | 110,203,648 | |
| | | | | |
Principal
Amount (000) (6) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | SOVEREIGN DEBT – 2.7% | | | | | | | | | | | | |
| | | | | |
| | | | Costa Rica – 0.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,000 | | | Republic of Costa Rica, 144A | | | 7.000% | | | | 4/04/44 | | | | Ba1 | | | $ | 997,500 | |
| | | | | |
| | | | Mexico – 1.1% | | | | | | | | | | | | |
| | | | | |
| | 351 | MXN | | Mexico Bonos de DeSarrollo | | | 8.500% | | | | 12/13/18 | | | | A | | | | 2,084,555 | |
| | | | | |
| | 343 | MXN | | Mexico Bonos de DeSarrollo | | | 8.000% | | | | 12/07/23 | | | | A | | | | 2,137,419 | |
| | | | Total Mexico | | | | | | | | | | | | | | | 4,221,974 | |
| | | | | |
| | | | South Africa – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 60,700 | ZAR | | Republic of South Africa | | | 6.750% | | | | 3/31/21 | | | | Baa2 | | | | 3,873,792 | |
| | | | | |
| | 1,365 | | | Republic of South Africa | | | 5.875% | | | | 9/16/25 | | | | Baa2 | | | | 1,519,927 | |
| | | | Total South Africa | | | | | | | | | | | | | | | 5,393,719 | |
| | | | Total Sovereign Debt (cost $12,006,795) | | | | | | | | 10,613,193 | |
| | | | Total Long-Term Investments (cost $372,719,816) | | | | | | | | 386,398,214 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | |
| | | | INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 10.2% | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 10.2% | | | | | | | | | | | | |
| | | | | |
| | 40,105,132 | | | Mount Vernon Securities Lending Trust Prime Portfolio, (8) | | | 0.557% (7) | | | | | | | | | | | $ | 40,105,132 | |
| | | | Total Investments Purchased with Collateral from Securities Lending (cost $40,105,132) | | | | | | | | | | | | 40,105,132 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | | | |
| | | | SHORT-TERM INVESTMENTS – 5.8% | | | | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 5.8% | | | | | | | | | | | | |
| | | | | |
| | 22,643,737 | | | First American Treasury Obligations Fund, Class Z | | | 0.230% (7) | | | | | | | | | | | $ | 22,643,737 | |
| | | | Total Short-Term Investments (cost $22,643,737) | | | | | | | | | | | | | | | 22,643,737 | |
| | | | Total Investments (cost $435,468,685) – 114.1% | | | | | | | | | | | | | | | 449,147,083 | |
| | | | Other Assets Less Liabilities – (14.1)% (9) | | | | | | | | | | | | | | | (55,541,669) | |
| | | | Net Assets – 100% | | | | | | | | | | | | | | $ | 393,605,414 | |
Investments in Derivatives as of June 30, 2016
Forward Foreign Currency Exchange Cotnracts
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Contracts to Deliver | | Notional
Amount
(Local Currency) | | | In Exchange
For Currency | | | Notional
Amount
(Local Currency) | | | Settlement
Date | | | Unrealized Appreciation
(Depreciation)
(U.S. Dollars) | |
| Bank of America, N.A. | | Mexican Peso | | | 43,200,000 | | | | U.S. Dollar | | | | 2,296,065 | | | | 8/22/16 | | | $ | (54,156 | ) |
| Citigroup Global Markets, Inc. | | Japanese Yen | | | 554,000,000 | | | | U.S. Dollar | | | | 5,315,831 | | | | 8/22/16 | | | | (58,146 | ) |
| Citigroup Global Markets, Inc. | | U.S. Dollar | | | 2,622,549 | | | | Japanese Yen | | | | 267,500,000 | | | | 8/22/16 | | | | (27,713 | ) |
| Goldman Sacks Bank USA | | Canadian Dollar | | | 1,335,000 | | | | U.S. Dollar | | | | 1,019,617 | | | | 7/29/16 | | | | (13,829 | ) |
| Morgan Stanley & Co. LLC | | South African Rand | | | 57,000,000 | | | | U.S. Dollar | | | | 3,658,325 | | | | 7/20/16 | | | | (195,798 | ) |
| | | | | | | | | | | | | | | | | | | | | $ | (349,642 | ) |
Interst Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Notional
Amount | | | Fund
Pay/
Receive
Floating
Rate | | | Floating Rate Index | | | Fixed Rate
(Annualized) | | | Fixed Rate
Payment
Frequency | | | Termination
Date | | | Value | | | Variation
Margin
receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
| Morgan Stanley & Co. LLC* | | $ | 18,000,000 | | | | Receive | | | | 3-Month
USD
-LIBOR-ICE | | | | 2.743 | % | | | Semi-Annually | | | | 4/15/24 | | | $ | (2,134,412 | ) | | $ | 32,280 | | | $ | (2,134,412 | ) |
| * | Citigroup Global Markets Inc. is the clearing broker for this transactions. |
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Contract
Position | | | Number of
Contracts | | | Contract
Expiration | | | Notional
Amount at
Value** | | | Variation Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
U.S. Treasury 5-Year Note | | | Short | | | | (8 | ) | | | 9/16 | | | $ | (977,313 | ) | | $ | (625 | ) | | $ | (17,635 | ) |
U.S. Treasury 10-Year Note | | | Short | | | | (9 | ) | | | 9/16 | | | | (1,196,859 | ) | | | 703 | | | | (14,648 | ) |
U.S. Treasury Long Bond | | | Short | | | | (15 | ) | | | 9/16 | | | | (2,585,156 | ) | | | 9,844 | | | | (140,492 | ) |
U.S. Treasury Ultra Bond | | | Long | | | | 27 | | | | 9/16 | | | | 5,032,125 | | | | (24,469 | ) | | | 322,669 | |
| | | | | | | | | | | | | | | $ | 272,797 | | | $ | (14,547 | ) | | $ | 149,894 | |
| ** | Total aggregate Notional Amount at Value of long and short positions is $5,032,125 and $(4,759,328), respectively. |
Nuveen Core Plus Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
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) | For financial reporting purposes, the ratings (not covered by the report of independent registered public accounting firm) disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (3) | Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $38,918,379. |
| (4) | Perpetual security. Maturity date is not applicable. |
| (5) | Principal Amount (000) rounds to less than $1,000. |
| (6) | Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted. |
| (7) | The rate shown is the annualized seven-day effective yield as of the end of the reporting period. |
| (8) | The Fund may loan securities representing up to one third of the fair value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks and other institutions. The Fund maintains collateral equal to at least 100% of the fair value of the securities loaned. The cash collateral received by the Fund is invested in this money market fund. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Securities Lending for more information. |
| (9) | Other assets less liabilities includes the unrealized appreciation (depreciation) of over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| Reg S | Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States. |
| TBA | To be announced. Maturity date not known prior to settlement of this transaction. |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. |
| USD-LIBOR-ICE | United States Dollar-London Inter-Bank Offered Rate Intercontinental Exchange. |
| (WI/DD) | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
Nuveen Inflation Protected Securities Fund
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | Ratings (2) | | | Value | |
| | | | | |
| | | | LONG-TERM INVESTMENTS – 94.9% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | CONVERTIBLE PREFERRED SECURITIES – 0.1% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Banks – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Bank of America Corporation | | | 7.250% | | | | | | | | BB+ | | | $ | 239,000 | |
| | | | Total Convertible Preferred Securities (cost $174,350) | | | | | | | | 239,000 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | CORPORATE BONDS – 4.5% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Airlines – 0.1% | | | | | | | | | | | | |
| | | | | |
| $ | 417 | | | American Airlines Inc., Pass Through Trust 2013-2B, 144A | | | 5.600% | | | | 7/15/20 | | | | BBB– | | | $ | 430,009 | |
| | | | | |
| | | | Auto Components – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 300 | | | American & Axle Manufacturing Inc., (3) | | | 6.625% | | | | 10/15/22 | | | | BB– | | | | 321,000 | |
| | | | | |
| | 300 | | | Tenneco Inc., (3) | | | 5.375% | | | | 12/15/24 | | | | BB+ | | | | 311,250 | |
| | 600 | | | Total Auto Components | | | | | | | | | | | | | | | 632,250 | |
| | | | | |
| | | | Automobiles – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 465 | | | General Motors Corporation | | | 4.000% | | | | 4/01/25 | | | | BBB– | | | | 468,910 | |
| | | | | |
| | | | Banks – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 385 | | | CIT Group Inc., 144A | | | 5.500% | | | | 2/15/19 | | | | BB+ | | | | 402,805 | |
| | | | | |
| | 170 | | | CIT Group Inc. | | | 5.000% | | | | 8/01/23 | | | | BB+ | | | | 171,275 | |
| | 555 | | | Total Banks | | | | | | | | | | | | | | | 574,080 | |
| | | | | |
| | | | Building Products – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 250 | | | Owens Corning Incorporated | | | 4.200% | | | | 12/15/22 | | | | BBB– | | | | 266,619 | |
| | | | | |
| | | | Chemicals – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 250 | | | NOVA Chemicals Corporation, 144A, (3) | | | 5.250% | | | | 8/01/23 | | | | BBB– | | | | 251,250 | |
| | | | | |
| | | | Commercial Services & Supplies – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 547 | | | Covanta Energy Corporation, Synthetic Letter of Credit | | | 6.375% | | | | 10/01/22 | | | | Ba3 | | | | 562,043 | |
| | | | | |
| | 500 | | | R.R. Donnelley & Sons Company | | | 7.625% | | | | 6/15/20 | | | | BB– | | | | 523,750 | |
| | 1,047 | | | Total Commercial Services & Supplies | | | | | | | | | | | | | | | 1,085,793 | |
| | | | | |
| | | | Construction & Engineering – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | AECOM Technology Corporation | | | 5.750% | | | | 10/15/22 | | | | BB– | | | | 510,000 | |
| | | | | |
| | | | Construction Materials – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 300 | | | Cemex SAB de CV, 144A, (3) | | | 5.700% | | | | 1/11/25 | | | | BB– | | | | 284,250 | |
| | | | | |
| | 130 | | | Norbord Inc., 144A | | | 5.375% | | | | 12/01/20 | | | | Ba2 | | | | 133,575 | |
| | | | | |
| | 250 | | | Norbord Inc., 144A | | | 6.250% | | | | 4/15/23 | | | | Ba2 | | | | 256,250 | |
| | 680 | | | Total Construction Materials | | | | | | | | | | | | | | | 674,075 | |
Nuveen Inflation Protected Securities Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Containers & Packaging – 0.0% | | | | | | | | | | | | |
| | | | | |
| $ | 175 | | | Graphic Packaging International Inc. | | | 4.875% | | | | 11/15/22 | | | | BB+ | | | $ | 182,000 | |
| | | | | |
| | | | Diversified Financial Services – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 225 | | | Nationstar Mortgage LLC Capital Corporation, (3) | | | 7.875% | | | | 10/01/20 | | | | B+ | | | | 210,938 | |
| | | |
| | | | Diversified Telecommunication Services – 0.7% | | | | | | | |
| | | | | |
| | 400 | | | CenturyLink Inc., (3) | | | 5.625% | | | | 4/01/20 | | | | BB+ | | | | 414,000 | |
| | | | | |
| | 200 | | | CenturyLink Inc. | | | 6.750% | | | | 12/01/23 | | | | BB+ | | | | 196,500 | |
| | | | | |
| | 3,060 | | | SBA Tower Trust, 144A | | | 3.598% | | | | 4/15/43 | | | | BBB | | | | 3,080,713 | |
| | 3,660 | | | Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 3,691,213 | |
| | | | | |
| | | | Energy Equipment & Services – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | Regency Energy Partners Finance | | | 6.500% | | | | 7/15/21 | | | | BBB– | | | | 516,645 | |
| | | | | |
| | | | Food Products – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 300 | | | Pilgrim’s Pride Corporation, 144A | | | 5.750% | | | | 3/15/25 | | | | BB+ | | | | 299,250 | |
| | | | | |
| | | | Health Care Providers & Services – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 1,700 | | | Catholic Health Initiatives | | | 1.600% | | | | 11/01/17 | | | | A+ | | | | 1,706,938 | |
| | | | | |
| | 200 | | | Community Health Systems, Inc. | | | 5.125% | | | | 8/01/21 | | | | BB | | | | 198,500 | |
| | | | | |
| | 500 | | | HCA Inc. | | | 4.250% | | | | 10/15/19 | | | | BBB– | | | | 521,250 | |
| | | | | |
| | 1,715 | | | Mayo Clinic Rochester | | | 3.774% | | | | 11/15/43 | | | | AA | | | | 1,779,520 | |
| | 4,115 | | | Total Health Care Providers & Services | | | | | | | | | | | | | | | 4,206,208 | |
| | | | | |
| | | | Hotels, Restaurants & Leisure – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Wynn Macau Limited, 144A, (3) | | | 5.250% | | | | 10/15/21 | | | | BB | | | | 194,560 | |
| | | | | |
| | | | Household Durables – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 450 | | | Brookfield Residential Properties Inc., 144A, (3) | | | 6.500% | | | | 12/15/20 | | | | B+ | | | | 448,875 | |
| | | | | |
| | 250 | | | CalAtlantic Group Inc. | | | 5.875% | | | | 11/15/24 | | | | BB | | | | 257,500 | |
| | | | | |
| | 400 | | | Rialto Holdings LLC-Rialto Corporation, 144A | | | 7.000% | | | | 12/01/18 | | | | B1 | | | | 401,000 | |
| | 1,100 | | | Total Household Durables | | | | | | | | | | | | | | | 1,107,375 | |
| | | |
| | | | Independent Power & Renewable Electricity Producers – 0.2% | | | | | | | |
| | | | | |
| | 275 | | | AES Corporation | | | 7.375% | | | | 7/01/21 | | | | BB | | | | 310,063 | |
| | | | | |
| | 500 | | | Calpine Corporation | | | 5.375% | | | | 1/15/23 | | | | BB– | | | | 487,500 | |
| | 775 | | | Total Independent Power & Renewable Electricity Producers | | | | | | | | | | | | | | | 797,563 | |
| | | | | |
| | | | Media – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 400 | | | Altice S.A, 144A | | | 7.750% | | | | 5/15/22 | | | | B | | | | 404,000 | |
| | | | | |
| | 200 | | | Charter Communications, CCO Holdings LLC | | | 5.125% | | | | 2/15/23 | | | | BB+ | | | | 202,500 | |
| | | | | |
| | 225 | | | CSC Holdings Inc. | | | 8.625% | | | | 2/15/19 | | | | B+ | | | | 247,500 | |
| | | | | |
| | 300 | | | Dish DBS Corporation | | | 4.250% | | | | 4/01/18 | | | | BB– | | | | 306,000 | |
| | | | | |
| | 200 | | | Numericable Group SA, 144A | | | 6.000% | | | | 5/15/22 | | | | B+ | | | | 194,500 | |
| | | | | |
| | 350 | | | Sinclair Television Group | | | 6.375% | | | | 11/01/21 | | | | B+ | | | | 367,500 | |
| | | | | |
| | 195 | | | WMG Acquisition Group, 144A | | | 6.000% | | | | 1/15/21 | | | | Ba3 | | | | 200,850 | |
| | 1,870 | | | Total Media | | | | | | | | | | | | | | | 1,922,850 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Metals & Mining – 0.0% | | | | | | | | | | | | |
| | | | | |
| $ | 250 | | | ArcelorMittal, (3) | | | 7.250% | | | | 2/25/22 | | | | BB+ | | | $ | 263,125 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 215 | | | Calumet Specialty Products | | | 7.625% | | | | 1/15/22 | | | | CCC+ | | | | 152,113 | |
| | | | | |
| | 300 | | | Rose Rock Midstream LP / Rose Rock Finance Corporation | | | 5.625% | | | | 7/15/22 | | | | B | | | | 264,000 | |
| | | | | |
| | 150 | | | Targa Resources Inc. | | | 4.250% | | | | 11/15/23 | | | | BB– | | | | 134,625 | |
| | 665 | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 550,738 | |
| | | | | |
| | | | Personal Products – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Albea Beauty Holdings SA, 144A | | | 8.375% | | | | 11/01/19 | | | | B | | | | 210,000 | |
| | | | | |
| | | | Real Estate Investment Trust – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Gaming and Leisure Products Inc., GLP Capital LP Financing II Inc. | | | 4.375% | | | | 11/01/18 | | | | BB+ | | | | 205,250 | |
| | | | | |
| | 200 | | | Realogy Group LLC / Realogy Co-Issuer Corporation, 144A | | | 5.250% | | | | 12/01/21 | | | | B | | | | 204,750 | |
| | | | | |
| | 400 | | | Vereit Operating Partner | | | 3.000% | | | | 2/06/19 | | | | BB+ | | | | 400,500 | �� |
| | 800 | | | Total Real Estate Investment Trust | | | | | | | | | | | | | | | 810,500 | |
| | | | | |
| | | | Road & Rail – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 610 | | | Avis Budget Car Rental, 144A, (3) | | | 6.375% | | | | 4/01/24 | | | | B+ | | | | 603,900 | |
| | | | | |
| | 175 | | | Hertz Corporation, (3) | | | 7.375% | | | | 1/15/21 | | | | B | | | | 180,688 | |
| | 785 | | | Total Road & Rail | | | | | | | | | | | | | | | 784,588 | |
| | | | | |
| | | | Specialty Retail – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 420 | | | Best Buy Co., Inc. | | | 5.500% | | | | 3/15/21 | | | | Baa1 | | | | 447,300 | |
| |
| | | | Technology Hardware, Storage & Peripherals – 0.1% | |
| | | | | |
| | 500 | | | NCR Corporation | | | 5.000% | | | | 7/15/22 | | | | BB | | | | 490,000 | |
| | | | | |
| | | | Textiles, Apparel & Luxury Goods – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 300 | | | Levi Strauss & Company | | | 5.000% | | | | 5/01/25 | | | | BB | | | | 301,500 | |
| |
| | | | Wireless Telecommunication Services – 0.3% | |
| | | | | |
| | 200 | | | Altice Financing SA, 144A | | | 6.625% | | | | 2/15/23 | | | | BB– | | | | 196,374 | |
| | | | | |
| | 200 | | | Millicom International Cellular SA, 144A | | | 6.625% | | | | 10/15/21 | | | | BB+ | | | | 205,340 | |
| | | | | |
| | 200 | | | Softbank Corporation, 144A | | | 4.500% | | | | 4/15/20 | | | | BB+ | | | | 206,500 | |
| | | | | |
| | 200 | | | Sprint Communications Inc., 144A, (3) | | | 7.000% | | | | 3/01/20 | | | | BB | | | | 209,398 | |
| | | | | |
| | 400 | | | Telecom Italia SpA, 144A | | | 5.303% | | | | 5/30/24 | | | | BBB– | | | | 399,000 | |
| | | | | |
| | 400 | | | T-Mobile USA Inc. | | | 6.731% | | | | 4/28/22 | | | | BB | | | | 420,620 | |
| | 1,600 | | | Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 1,637,232 | |
| $ | 23,204 | | | Total Corporate Bonds (cost $23,584,828) | | | | | | | | | | | | | | | 23,516,571 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| |
| | | | $1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 0.0% | |
| | | | | |
| | | | Capital Markets – 0.0% | | | | | | | | | | | | |
| | | | | |
| $ | 107 | | | Goldman Sachs Capital II | | | 4.000% | | | | N/A (4) | | | | Ba1 | | | $ | 80,134 | |
| $ | 107 | | | Total $1,000 Par (or similar) Institutional Preferred (cost $87,066) | | | | | | | | | | | | | | | 80,134 | |
Nuveen Inflation Protected Securities Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | | | | Optional Call
Provisions (5) | | | Ratings (2) | | | Value | |
| | | | | |
| | | | MUNICIPAL BONDS – 0.4% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Maryland – 0.2% | | | | | | | | | | | | | | | | |
| $ | 1,250 | | | Baltimore County, Maryland, General Obligation Bonds, Taxable Series 2012, 0.951%, 8/01/17 | | | | | | | No Opt. Call | | | | AAA | | | $ | 1,256,113 | |
| | | | | |
| | | | Ohio – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 820 | | | Hamilton County, Ohio, Sewer System Revenue Bonds, Metropolitan Sewer District of Greater Cincinnati, Refunding Series 2013B, 1.233%, 12/01/16 | | | | | | | No Opt. Call | | | | AA+ | | | | 822,977 | |
| $ | 2,070 | | | Total Municipal Bonds (cost $2,070,000) | | | | | | | | | | | | | | | 2,079,090 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| |
| | | | U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 87.4% | |
| | | | | |
| $ | 5,785 | | | U.S. Treasury Bonds | | | 3.875% | | | | 4/15/29 | | | | Aaa | | | $ | 8,333,838 | |
| | | | | |
| | 20,810 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 4/15/17 | | | | Aaa | | | | 20,939,907 | |
| | | | | |
| | 16,028 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 4/15/18 | | | | Aaa | | | | 16,266,758 | |
| | | | | |
| | 3,995 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.125% | | | | 1/15/19 | | | | Aaa | | | | 4,285,965 | |
| | | | | |
| | 23,500 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 4/15/19 | | | | Aaa | | | | 23,998,548 | |
| | | | | |
| | 5,045 | | | U.S. Treasury Inflation Indexed Obligations | | | 1.375% | | | | 1/15/20 | | | | Aaa | | | | 5,387,984 | |
| | | | | |
| | 28,965 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 4/15/20 | | | | Aaa | | | | 29,635,854 | |
| | | | | |
| | 11,733 | | | U.S. Treasury Inflation Indexed Obligations | | | 1.250% | | | | 7/15/20 | | | | Aaa | | | | 12,610,140 | |
| | | | | |
| | 20,891 | | | U.S. Treasury Inflation Indexed Obligations | | | 1.125% | | | | 1/15/21 | | | | Aaa | | | | 22,347,266 | |
| | | | | |
| | 16,834 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 4/15/21 | | | | Aaa | | | | 17,251,793 | |
| | | | | |
| | 12,219 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.625% | | | | 7/15/21 | | | | Aaa | | | | 12,864,134 | |
| | | | | |
| | 30,128 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 1/15/22 | | | | Aaa | | | | 30,712,924 | |
| | | | | |
| | 13,931 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 7/15/22 | | | | Aaa | | | | 14,245,900 | |
| | | | | |
| | 21,472 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 1/15/23 | | | | Aaa | | | | 21,758,910 | |
| | | | | |
| | 18,301 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.375% | | | | 7/15/23 | | | | Aaa | | | | 18,927,952 | |
| | | | | |
| | 22,529 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.625% | | | | 1/15/24 | | | | Aaa | | | | 23,589,478 | |
| | | | | |
| | 12,323 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.125% | | | | 7/15/24 | | | | Aaa | | | | 12,450,036 | |
| | | | | |
| | 10,053 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.375% | | | | 1/15/25 | | | | Aaa | | | | 12,005,929 | |
| | | | | |
| | 48,094 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.250% | | | | 1/15/25 | | | | Aaa | | | | 48,842,056 | |
| | | | | |
| | 4,261 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.000% | | | | 1/15/26 | | | | Aaa | | | | 5,014,382 | |
| | | | | |
| | 9,531 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.625% | | | | 1/15/26 | | | | Aaa | | | | 10,038,368 | |
| | | | | |
| | 4,449 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.375% | | | | 1/15/27 | | | | Aaa | | | | 5,462,095 | |
| | | | | |
| | 1,707 | | | U.S. Treasury Inflation Indexed Obligations | | | 1.750% | | | | 1/15/28 | | | | Aaa | | | | 1,996,624 | |
| | | | | |
| | 1,516 | | | U.S. Treasury Inflation Indexed Obligations | | | 3.625% | | | | 4/15/28 | | | | Aaa | | | | 2,098,418 | |
| | | | | |
| | 4,118 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.500% | | | | 1/15/29 | | | | Aaa | | | | 5,218,178 | |
| | | | | |
| | 4,594 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.125% | | | | 2/15/40 | | | | Aaa | | | | 6,008,832 | |
| | | | | |
| | 5,512 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.125% | | | | 2/15/41 | | | | Aaa | | | | 7,273,281 | |
| | | | | |
| | 17,863 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.750% | | | | 2/15/42 | | | | Aaa | | | | 17,907,858 | |
| | | | | |
| | 6,941 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.625% | | | | 2/15/43 | | | | Aaa | | | | 6,759,422 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| |
| | | | U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |
| | | | | |
| $ | 2,243 | | | U.S. Treasury Inflation Indexed Obligations | | | 1.375% | | | | 2/15/44 | | | | Aaa | | | $ | 2,594,394 | |
| | | | | |
| | 3,272 | | | U.S. Treasury Inflation Indexed Obligations | | | 0.750% | | | | 2/15/45 | | | | Aaa | | | | 3,288,124 | |
| | | | | |
| | 25 | | | U.S. Treasury Notes | | | 1.500% | | | | 3/31/23 | | | | Aaa | | | | 25,365 | |
| | | | | |
| | 2,200 | | | U.S. Treasury Notes | | | 1.375% | | | | 6/30/23 | | | | Aaa | | | | 2,211,860 | |
| | | | | |
| | 22,096 | | | U.S. Treasury Notes | | | 0.375% | | | | 7/15/25 | | | | Aaa | | | | 22,758,147 | |
| | | | | |
| | 610 | | | U.S. Treasury Notes | | | 1.625% | | | | 2/15/26 | | | | Aaa | | | | 617,244 | |
| | | | | |
| | 4,000 | | | U.S. Treasury Notes, (3) | | | 1.625% | | | | 5/15/26 | | | | Aaa | | | | 4,051,248 | |
| | | | | |
| | 1,500 | | | U.S. Treasury Notes | | | 2.500% | | | | 5/15/46 | | | | Aaa | | | | 1,564,863 | |
| $ | 439,074 | | | Total U.S. Government and Agency Obligations (cost $444,283,412) | | | | | | | | | | | | | | | 461,344,075 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 2.1% | |
| | | | | |
| $ | 2,904 | | | Colony American Homes Trust 2014-1A, 144A | | | 1.632% | | | | 5/17/31 | | | | Aaa | | | $ | 2,880,434 | |
| | | | | |
| | 2,000 | | | Commercial Mortgage Pass-Through Certificates Series 2012-CR4 | | | 1.801% | | | | 10/15/45 | | | | AAA | | | | 2,003,860 | |
| | | | | |
| | 232 | | | DBUBS Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2011-LC3A | | | 3.642% | | | | 8/10/44 | | | | Aaa | | | | 232,014 | |
| | | | | |
| | 680 | | | Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates,
Series 2013-K712, 144A | | | 3.369% | | | | 5/25/45 | | | | Aaa | | | | 695,823 | |
| | | | | |
| | 2,000 | | | Goldman Sachs Mortgage Securities Trust, Mortgage Pass-Through Certificates,
Series 2015-GC32 | | | 3.345% | | | | 7/10/48 | | | | BBB– | | | | 1,508,709 | |
| | | | | |
| | 2,065 | | | Greenwich Capital Commercial Funding Corporation, Commercial Mortgage Pass-Through Certificates, Series 2007-GG11 | | | 5.736% | | | | 12/10/49 | | | | AAA | | | | 2,144,119 | |
| | | | | |
| | 2,000 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, 144A | | | 4.243% | | | | 4/15/48 | | | | BBB– | | | | 1,591,484 | |
| $ | 11,881 | | | Total Asset-Backed and Mortgage-Backed Securities (cost $11,215,161) | | | | | | | | 11,056,443 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | SOVEREIGN DEBT – 0.4% | | | | | | | | | | | | |
| | | | | |
| | | | Canada – 0.4% | | | | | | | | | | | | |
| | | | | |
| $ | 1,500 | | | Quebec Province | | | 7.500% | | | | 7/15/23 | | | | Aa2 | | | $ | 2,022,398 | |
| | | | | |
| | | | Poland – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 250 | | | Republic of Poland | | | 6.375% | | | | 7/15/19 | | | | A2 | | | | 283,250 | |
| $ | 1,750 | | | Total Sovereign Debt (cost $2,190,443) | | | | | | | | | | | | | | | 2,305,648 | |
| | | | Total Long-Term Investments (cost $483,605,260) | | | | | | | | | | | | | | | 500,620,961 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| |
| | | | INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 1.3% | |
| | | | | |
| | | | Money Market Funds – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 7,079,719 | | | Mount Vernon Securities Lending Trust Prime Portfolio, (7) | | | 0.557% (6) | | | | | | | | | | | $ | 7,079,719 | |
| | | | Total Investments Purchased with Collateral from Securities Lending (cost $7,079,719) | | | | | | | | 7,079,719 | |
Nuveen Inflation Protected Securities Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | | | |
| | | | SHORT-TERM INVESTMENTS – 4.8% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 4.8% | | | | | | | | | | | | |
| | | | | |
| | 25,360,769 | | | First American Treasury Obligations Fund, Class Z | | | 0.230% (6) | | | | | | | | | | | $ | 25,360,769 | |
| | | | Total Short-Term Investments (cost $25,360,769) | | | | | | | | | | | | | | | 25,360,769 | |
| | | | Total Investments (cost $516,045,748) – 101.0% | | | | | | | | | | | | | | | 533,061,449 | |
| | | | Other Assets Less Liabilities – (1.0)% (8) | | | | | | | | | | | | | | | (5,159,232) | |
| | | | Net Assets – 100% | | | | | | | | | | | | | | $ | 527,902,217 | |
Investments in Derivatives as of June 30, 2016
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Contract
Position | | | Number of
Contracts | | | Contract
Expiration | | | Notional
Amount at
Value | | | Variation Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
U.S. Treasury 5-Year Note | | | Long | | | | 92 | | | | 9/16 | | | $ | 11,239,094 | | | $ | 7,188 | | | $ | 10,719 | |
U.S. Treasury 10-Year Note | | | Long | | | | 147 | | | | 9/16 | | | | 19,548,703 | | | | (11,484 | ) | | | 226,279 | |
U.S. Treasury Long Bond | | | Long | | | | 12 | | | | 9/16 | | | | 2,068,125 | | | | (7,875 | ) | | | 82,254 | |
U.S. Treasury Ultra Bond | | | Long | | | | 23 | | | | 9/16 | | | | 4,286,625 | | | | (20,844 | ) | | | 225,171 | |
| | | | | | | | | | | | | | | $ | 37,142,547 | | | $ | (33,015 | ) | | $ | 544,423 | |
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) | For financial reporting purposes, the ratings (not covered by the report of independent registered public accounting firm) disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (3) | Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $6,875,769. |
| (4) | Perpetual security. Maturity date is not applicable. |
| (5) | Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (6) | The rate shown is the annualized seven-day effective yield as of the end of the reporting period. |
| (7) | The Fund may loan securities representing up to one third of the fair value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks and other institutions. The Fund maintains collateral equal to at least 100% of the fair value of the securities loaned. The cash collateral received by the Fund is invested in this money market fund. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Securities Lending for more information. |
| (8) | Other assets less liabilities includes the unrealized appreciation (depreciation) of over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| 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. |
See accompanying notes to financial statements.
Nuveen Intermediate Government Bond Fund
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | LONG-TERM INVESTMENTS – 94.5% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | CORPORATE BONDS – 0.5% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Health Care Providers & Services – 0.5% | | | | | | | | | | | | |
| | | | | |
| $ | 400 | | | Catholic Health Initiatives | | | 1.600% | | | | 11/01/17 | | | | A+ | | | $ | 401,633 | |
| $ | 400 | | | Total Corporate Bonds (cost $399,884) | | | | | | | | | | | | | | | 401,633 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | | | | Optional Call
Provisions (3) | | | Ratings (2) | | | Value | |
| | | | | |
| | | | MUNICIPAL BONDS – 2.6% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Louisiana – 0.6% | | | | | | | | | | | | |
| | | | | |
| $ | 449 | | | Louisiana Local Government Environmental Facilities and Community Development Authority, System Restoration Revenue Bonds, Louisiana Utilities Restoration Corporation Project/EGSL, Series 2010, 3.220%, 2/01/21 | | | | | | | No Opt. Call | | | | AAA | | | $ | 456,573 | |
| | | | | |
| | | | Ohio – 2.0% | | | | | | | | | | | | |
| | | | | |
| | 145 | | | Akron, Ohio, General Obligation Bonds, Refunding Various Purpose Series 2014B, 0.950%, 12/01/16 | | | | | | | No Opt. Call | | | | AA– | | | | 145,218 | |
| | | | | |
| | 345 | | | Columbus, Ohio, General Obligation Bonds, Various Purpose, Taxable Series 2014C, 3.000%, 2/15/19 | | | | | | | No Opt. Call | | | | AAA | | | | 362,923 | |
| | | | | |
| | 285 | | | Hamilton County, Ohio, Sewer System Revenue Bonds, Metropolitan Sewer District of Greater Cincinnati, Refunding Series 2013B, 1.233%, 12/01/16 | | | | | | | No Opt. Call | | | | AA+ | | | | 286,035 | |
| | | | | |
| | 845 | | | Ohio State, General Obligation Bonds, Higher Education, Build America Bond Series 2010E, 3.328%, 8/01/17 – AGM Insured | | | | | | | No Opt. Call | | | | AA+ | | | | 868,727 | |
| | 1,620 | | | Total Ohio | | | | | | | | | | | | | | | 1,662,903 | |
| $ | 2,069 | | | Total Municipal Bonds (cost $2,110,009) | | | | | | | | | | | | | | | 2,119,476 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | |
| | | | U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 69.9% | | | | | | | | | |
| | | | | |
| $ | 1,000 | | | Fannie Mae Notes | | | 1.250% | | | | 9/27/18 | | | | Aaa | | | $ | 1,010,642 | |
| | | | | |
| | 1,000 | | | Fannie Mae Notes | | | 1.330% | | | | 10/24/19 | | | | Aaa | | | | 1,013,146 | |
| | | | | |
| | 1,385 | | | Fannie Mae Notes | | | 1.500% | | | | 11/30/20 | | | | Aaa | | | | 1,409,636 | |
| | | | | |
| | 1,600 | | | Fannie Mae Notes | | | 1.250% | | | | 5/06/21 | | | | Aaa | | | | 1,606,178 | |
| | | | | |
| | 680 | | | Fannie Mae Notes, (4) | | | 1.125% | | | | 10/19/18 | | | | Aaa | | | | 686,248 | |
| | | | | |
| | 790 | | | Federal Farm Credit Bank Discount Notes | | | 1.030% | | | | 5/11/18 | | | | Aaa | | | | 794,844 | |
| | | | | |
| | 940 | | | Federal Farm Credit Banks, Consolidated Systemwide Notes | | | 0.500% | | | | 8/23/16 | | | | Aaa | | | | 940,199 | |
| | | | | |
| | 755 | | | Federal Farm Credit Banks, Consolidated Systemwide Notes | | | 0.750% | | | | 8/14/17 | | | | Aaa | | | | 755,864 | |
| | | | | |
| | 360 | | | Federal Farm Credit Banks, Consolidated Systemwide Notes | | | 1.750% | | | | 4/01/21 | | | | Aaa | | | | 368,455 | |
| | | | | |
| | 730 | | | Federal Home Loan Bank Bonds | | | 0.875% | | | | 3/19/18 | | | | Aaa | | | | 732,673 | |
| | | | | |
| | 800 | | | Federal Home Loan Bank Bonds | | | 0.875% | | | | 6/29/18 | | | | Aaa | | | | 803,003 | |
| | | | | |
| | 755 | | | Federal Home Loan Bank Bonds | | | 1.200% | | | | 8/14/18 | | | | Aaa | | | | 762,826 | |
Nuveen Intermediate Government Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | |
| | | | U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | | | | | | | | | |
| | | | | |
| $ | 700 | | | Federal Home Loan Bank Bonds | | | 1.625% | | | | 6/14/19 | | | | Aaa | | | $ | 715,843 | |
| | | | | |
| | 1,080 | | | Federal Home Loan Bank Bonds | | | 4.125% | | | | 3/13/20 | | | | Aaa | | | | 1,201,718 | |
| | | | | |
| | 1,525 | | | Federal Home Loan Bank Bonds | | | 1.375% | | | | 2/18/21 | | | | Aaa | | | | 1,542,341 | |
| | | | | |
| | 775 | | | Federal Home Loan Bank Bonds | | | 1.875% | | | | 12/09/22 | | | | Aaa | | | | 793,008 | |
| | | | | |
| | 955 | | | Federal Home Loan Bank Bonds | | | 2.875% | | | | 6/14/24 | | | | Aaa | | | | 1,042,218 | |
| | | | | |
| | 2,260 | | | Federal Home Loan Bank Bonds | | | 2.875% | | | | 9/13/24 | | | | Aaa | | | | 2,451,569 | |
| | | | | |
| | 825 | | | Federal Home Loan Bank Bonds | | | 2.375% | | | | 3/14/25 | | | | Aaa | | | | 863,732 | |
| | | | | |
| | 735 | | | Federal Home Loan Banks, Discount Notes | | | 2.220% | | | | 3/28/23 | | | | Aaa | | | | 769,319 | |
| | | | | |
| | 590 | | | Federal Home Loan Mortgage Corporation, Notes | | | 2.375% | | | | 1/13/22 | | | | Aaa | | | | 624,978 | |
| | | | | |
| | 535 | | | Federal National Mortgage Association | | | 0.000% | | | | 10/09/19 | | | | Aaa | | | | 514,180 | |
| | | | | |
| | 775 | | | Federal National Mortgage Association | | | 2.125% | | | | 4/24/26 | | | | Aaa | | | | 796,053 | |
| | | | | |
| | 710 | | | FICO STRIPS | | | 0.000% | | | | 5/02/17 | | | | Aaa | | | | 705,927 | |
| | | | | |
| | 250 | | | Financing Corporation | | | 9.400% | | | | 2/08/18 | | | | Aaa | | | | 284,811 | |
| | | | | |
| | 760 | | | Freddie Mac Reference Notes | | | 0.750% | | | | 4/09/18 | | | | Aaa | | | | 761,140 | |
| | | | | |
| | 270 | | | Freddie Mac Reference Notes | | | 5.000% | | | | 12/14/18 | | | | Aa2 | | | | 297,472 | |
| | | | | |
| | 1,500 | | | Freddie Mac Reference Notes | | | 1.125% | | | | 4/15/19 | | | | Aaa | | | | 1,513,700 | |
| | | | | |
| | 530 | | | Tennessee Valley Authority | | | 3.875% | | | | 2/15/21 | | | | Aaa | | | | 594,624 | |
| | | | | |
| | 1,000 | | | U.S. Treasury Bonds | | | 1.500% | | | | 8/31/18 | | | | Aaa | | | | 1,018,984 | |
| | | | | |
| | 325 | | | U.S. Treasury Bonds | | | 8.750% | | | | 8/15/20 | | | | Aaa | | | | 428,492 | |
| | | | | |
| | 1,660 | | | U.S. Treasury Bonds | | | 2.000% | | | | 11/30/20 | | | | Aaa | | | | 1,734,894 | |
| | | | | |
| | 1,000 | | | U.S. Treasury Bonds | | | 2.000% | | | | 2/28/21 | | | | Aaa | | | | 1,046,211 | |
| | | | | |
| | 1,000 | | | U.S. Treasury Bonds | | | 1.125% | | | | 2/28/21 | | | | Aaa | | | | 1,007,109 | |
| | | | | |
| | 2,000 | | | U.S. Treasury Bonds | | | 1.375% | | | | 4/30/21 | | | | Aaa | | | | 2,034,844 | |
| | | | | |
| | 745 | | | U.S. Treasury Bonds | | | 2.000% | | | | 11/15/21 | | | | Aaa | | | | 781,203 | |
| | | | | |
| | 1,185 | | | U.S. Treasury Bonds | | | 2.000% | | | | 2/15/22 | | | | Aaa | | | | 1,241,519 | |
| | | | | |
| | 535 | | | U.S. Treasury Bonds | | | 7.250% | | | | 8/15/22 | | | | Aaa | | | | 728,624 | |
| | | | | |
| | 100 | | | U.S. Treasury Bonds | | | 1.500% | | | | 3/31/23 | | | | Aaa | | | | 101,461 | |
| | | | | |
| | 1,685 | | | U.S. Treasury Bonds | | | 1.750% | | | | 5/15/23 | | | | Aaa | | | | 1,738,644 | |
| | | | | |
| | 2,435 | | | U.S. Treasury Bonds | | | 2.750% | | | | 11/15/23 | | | | Aaa | | | | 2,684,967 | |
| | | | | |
| | 2,415 | | | U.S. Treasury Bonds | | | 2.125% | | | | 5/15/25 | | | | Aaa | | | | 2,552,071 | |
| | | | | |
| | 4,800 | | | U.S. Treasury Bonds | | | 2.250% | | | | 11/15/25 | | | | Aaa | | | | 5,123,813 | |
| | | | | |
| | 250 | | | U.S. Treasury Bonds, (4) | | | 1.625% | | | | 5/15/26 | | | | Aaa | | | | 253,203 | |
| | | | | |
| | 1,460 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.000% | | | | 7/31/20 | | | | Aaa | | | | 1,524,046 | |
| | | | | |
| | 3,505 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.000% | | | | 2/15/25 | | | | Aaa | | | | 3,668,064 | |
| | | | | |
| | 1,275 | | | U.S. Treasury Inflation Indexed Obligations | | | 2.000% | | | | 8/15/25 | | | | Aaa | | | | 1,333,571 | |
| | | | | |
| | 1,145 | | | U.S. Treasury Securities, Stripped Interest Payments | | | 0.000% | | | | 2/15/22 | | | | Aaa | | | | 1,068,356 | |
| $ | 54,090 | | | Total U.S. Government and Agency (cost $53,950,088) | | | | | | | | 56,426,423 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 21.6% | | | | | | | | | |
| | | | | |
| $ | 459 | | | 321 Henderson Receivables LLC, Series 2010-3A, 144A | | | 3.820% | | | | 12/15/48 | | | | Aaa | | | $ | 477,413 | |
| | | | | |
| | 565 | | | 321 Henderson Receivables LLC., Series 2010-1A, 144A | | | 5.560% | | | | 7/15/59 | | | | Aaa | | | | 627,705 | |
| | | | | |
| | 500 | | | Barclays Dryrock Issuance Trust 2014-1 | | | 0.841% | | | | 12/16/19 | | | | AAA | | | | 500,300 | |
| | | | | |
| | 330 | | | Centerpoint Energy Transition Bond Company LLC | | | 0.901% | | | | 4/15/18 | | | | AAA | | | | 330,027 | |
| | | | | |
| | 303 | | | Colony American Homes Trust 2014-1A, 144A | | | 1.632% | | | | 5/17/31 | | | | Aaa | | | | 300,731 | |
| | | | | |
| | 89 | | | DBUBS Mortgage Trust, Commercial Mortgage Pass Through Certificates, Series 2011-LC3A | | | 3.642% | | | | 8/10/44 | | | | Aaa | | | | 88,992 | |
| | | | | |
| | 352 | | | Entergy Arkansas Restoration Funding LLC, Senior Secured Storm Recovery Bonds, Series 2010-A | | | 2.300% | | | | 8/01/21 | | | | AAA | | | | 356,969 | |
| | | | | |
| | 517 | | | Entergy New Orleans Store Recovery Funding LLC, Series 2015-1 | | | 2.670% | | | | 6/01/27 | | | | AAA | | | | 540,750 | |
| | | | | |
| | 712 | | | Fannie Mae Alternative Credit Enhanced Securities | | | 1.637% | | | | 11/25/17 | | | | Aaa | | | | 715,705 | |
| | | | | |
| | 723 | | | Fannie Mae Alternative Credit Enhanced Securities | | | 0.729% | | | | 12/25/17 | | | | Aaa | | | | 724,602 | |
| | | | | |
| | 97 | | | Fannie Mae Mortgage Pool 254169 | | | 6.500% | | | | 12/01/31 | | | | Aaa | | | | 115,445 | |
| | | | | |
| | 59 | | | Fannie Mae Mortgage Pool 254179 | | | 6.000% | | | | 2/01/22 | | | | Aaa | | | | 67,913 | |
| | | | | |
| | 64 | | | Fannie Mae Mortgage Pool 254344 | | | 6.500% | | | | 6/01/22 | | | | Aaa | | | | 73,664 | |
| | | | | |
| | 19 | | | Fannie Mae Mortgage Pool 254373 | | | 6.500% | | | | 7/01/17 | | | | Aaa | | | | 19,354 | |
| | | | | |
| | 22 | | | Fannie Mae Mortgage Pool 254414 | | | 7.000% | | | | 7/01/17 | | | | Aaa | | | | 21,983 | |
| | | | | |
| | 46 | | | Fannie Mae Mortgage Pool 254720 | | | 4.500% | | | | 5/01/18 | | | | Aaa | | | | 47,515 | |
| | | | | |
| | 67 | | | Fannie Mae Mortgage Pool 596680 | | | 7.000% | | | | 9/01/31 | | | | Aaa | | | | 77,135 | |
| | | | | |
| | 183 | | | Fannie Mae Mortgage Pool 596712 | | | 6.500% | | | | 6/01/32 | | | | Aaa | | | | 207,100 | |
| | | | | |
| | 40 | | | Fannie Mae Mortgage Pool 656269 | | | 6.000% | | | | 8/01/32 | | | | Aaa | | | | 44,653 | |
| | | | | |
| | 14 | | | Fannie Mae Mortgage Pool 673010 | | | 5.500% | | | | 12/01/17 | | | | Aaa | | | | 13,838 | |
| | | | | |
| | 32 | | | Fannie Mae Mortgage Pool 695765 | | | 5.500% | | | | 4/01/18 | | | | Aaa | | | | 33,183 | |
| | | | | |
| | 83 | | | Fannie Mae Mortgage Pool 725793 | | | 5.500% | | | | 9/01/19 | | | | Aaa | | | | 86,130 | |
| | | | | |
| | 158 | | | Fannie Mae Mortgage Pool 745101 | | | 6.000% | | | | 4/01/32 | | | | Aaa | | | | 178,421 | |
| | | | | |
| | 118 | | | Fannie Mae Mortgage Pool 848390 | | | 2.298% | | | | 12/01/35 | | | | Aaa | | | | 122,923 | |
| | | | | |
| | 165 | | | Fannie Mae Mortgage Pool 886034 | | | 3.055% | | | | 7/01/36 | | | | Aaa | | | | 176,032 | |
| | | | | |
| | 68 | | | Fannie Mae Mortgage Pool 887017 | | | 6.500% | | | | 8/01/36 | | | | Aaa | | | | 78,048 | |
| | | | | |
| | 250 | | | Fannie Mae Mortgage Pool 913187 | | | 2.859% | | | | 4/01/37 | | | | Aaa | | | | 265,143 | |
| | | | | |
| | 446 | | | Fannie Mae Mortgage Pool 914224 | | | 2.915% | | | | 3/01/37 | | | | Aaa | | | | 466,407 | |
| | | | | |
| | 137 | | | Fannie Mae Mortgage Pool 928519 | | | 7.000% | | | | 6/01/37 | | | | Aaa | | | | 154,725 | |
| | | | | |
| | 126 | | | Fannie Mae Mortgage Pool 995949 | | | 2.767% | | | | 9/01/36 | | | | Aaa | | | | 133,252 | |
| | | | | |
| | 506 | | | Fannie Mae Mortgage Pool AB1959 | | | 4.000% | | | | 12/01/40 | | | | Aaa | | | | 544,022 | |
| | | | | |
| | 595 | | | Fannie Mae Mortgage Pool AD0486 | | | 2.641% | | | | 4/01/34 | | | | Aaa | | | | 629,038 | |
| | | | | |
| | 53 | | | Fannie Mae Mortgage Pool AE0981 | | | 3.500% | | | | 3/01/41 | | | | Aaa | | | | 56,197 | |
| | | | | |
| | 320 | | | Fannie Mae Mortgage Pool AE4876 | | | 3.500% | | | | 10/01/40 | | | | Aaa | | | | 338,741 | |
| | | | | |
| | 282 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through Certificates | | | 6.221% | | | | 2/25/42 | | | | Aaa | | | | 335,114 | |
| | | | | |
| | 239 | | | Fannie Mae, Connecticut Avenue Securities, Series 2014-C03 | | | 1.688% | | | | 7/25/24 | | | | BBB– | | | | 239,558 | |
| | | | | |
| | 401 | | | FDIC Structures Sale Guaranteed Notes, Series 2010-S1, 144A | | | 3.250% | | | | 4/25/38 | | | | Aaa | | | | 416,228 | |
Nuveen Intermediate Government Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | |
| | | | | |
| $ | 580 | | | Federal Home Loan Mortgage Corporation, REMIC | | | 0.731% | | | | 11/15/42 | | | | Aaa | | | $ | 574,898 | |
| | | | | |
| | 293 | | | Freddie Mac Gold Pool 1H1396 | | | 2.772% | | | | 5/01/37 | | | | Aaa | | | | 310,103 | |
| | | | | |
| | 376 | | | Freddie Mac Gold Pool 780836 | | | 2.468% | | | | 9/01/33 | | | | Aaa | | | | 392,787 | |
| | | | | |
| | 244 | | | Freddie Mac Gold Pool 848193 | | | 2.727% | | | | 3/01/36 | | | | Aaa | | | | 257,704 | |
| | | | | |
| | 20 | | | Freddie Mac Mortgage Pool, Various C35768 | | | 7.500% | | | | 1/01/30 | | | | Aaa | | | | 22,132 | |
| | | | | |
| | 40 | | | Freddie Mac Mortgage Pool, Various G00876 | | | 6.500% | | | | 1/01/28 | | | | Aaa | | | | 46,516 | |
| | | | | |
| | 114 | | | Freddie Mac Mortgage Pool, Various G01244 | | | 6.500% | | | | 3/01/31 | | | | Aaa | | | | 135,159 | |
| | | | | |
| | 176 | | | Freddie Mac Mortgage Trust 2013-KF02, 144A | | | 3.488% | | | | 12/25/45 | | | | AAA | | | | 174,051 | |
| | | | | |
| | 479 | | | Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010 A1 | | | 3.320% | | | | 7/25/20 | | | | Aaa | | | | 492,236 | |
| | | | | |
| | 260 | | | Freddie Mac Multifamily Structured Pass-Through Certificates, Series K701 | | | 2.776% | | | | 6/25/17 | | | | Aaa | | | | 261,937 | |
| | | | | |
| | 485 | | | Freddie Mac Multifamily Structured Pass-Through Certificates, Series K715 | | | 2.059% | | | | 3/25/20 | | | | Aaa | | | | 492,907 | |
| | | | | |
| | 256 | | | Freddie Mac Structured Pass-Through Certificates, Series K-501 | | | 1.655% | | | | 11/25/16 | | | | Aaa | | | | 255,665 | |
| | | | | |
| | 486 | | | Freddie Mac Structured Pass-Through Certificates, Series K-502 A2 | | | 1.426% | | | | 8/25/17 | | | | AAA | | | | 487,779 | |
| | | | | |
| | 638 | | | Freddie Mac Structured Pass-Through Certificates, Series K008 | | | 2.746% | | | | 12/25/19 | | | | Aaa | | | | 650,692 | |
| | | | | |
| | 600 | | | Freddie Mac Whole Loan Securities Trust, Structured Pass-Through Certificates, Series 2015-SC01 | | | 3.500% | | | | 5/25/45 | | | | Aaa | | | | 619,516 | |
| | | | | |
| | 45 | | | Government National Mortgage Association Pool 3120 | | | 6.500% | | | | 8/20/31 | | | | Aaa | | | | 55,110 | |
| | | | | |
| | 18 | | | Government National Mortgage Association Pool 347332 | | | 7.500% | | | | 12/15/22 | | | | Aaa | | | | 17,863 | |
| | | | | |
| | 5 | | | Government National Mortgage Association Pool 455304 | | | 7.000% | | | | 9/15/27 | | | | Aaa | | | | 5,316 | |
| | | | | |
| | 318 | | | Government National Mortgage Association Pool 4946 | | | 4.500% | | | | 2/20/41 | | | | Aaa | | | | 346,765 | |
| | | | | |
| | 63 | | | Government National Mortgage Association Pool 570134 | | | 7.500% | | | | 12/15/31 | | | | Aaa | | | | 65,362 | |
| | | | | |
| | 546 | | | Government National Mortgage Association Pool 633605 | | | 6.000% | | | | 9/15/34 | | | | Aaa | | | | 647,866 | |
| | | | | |
| | 115 | | | Government National Mortgage Association Pool 780825 | | | 6.500% | | | | 7/15/28 | | | | Aaa | | | | 137,688 | |
| | | | | |
| | 324 | | | Origen Manufactured Housing Contract Trust Collateralized Notes Series 2005B | | | 5.990% | | | | 1/15/37 | | | | A+ | | | | 332,590 | |
| | | | | |
| | 263 | | | Structured Agency Credit Risk 2014-DN1 | | | 1.488% | | | | 2/25/24 | | | | Aa3 | | | | 262,839 | |
| | | | | |
| | 136 | | | U.S. Small Business Administration Guaranteed Participating Securities Participation Certificates, Series 2008-10A | | | 5.902% | | | | 2/10/18 | | | | Aaa | | | | 144,141 | |
| | | | | |
| | 239 | | | U.S. Small Business Administration Guaranteed Participating Securities Participation Certificates, Series 2010-P10A | | | 4.108% | | | | 3/10/20 | | | | Aaa | | | | 252,763 | |
| | | | | |
| | 384 | | | United States Department of Veterans, Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust, Series 2011-1 | | | 3.750% | | | | 2/15/35 | | | | Aaa | | | | 407,833 | |
| $ | 16,643 | | | Total Asset-Backed and Mortgage-Backed Securities (cost $16,711,550) | | | | 17,455,174 | |
| | | | Total Long-Term Investments (cost $73,171,531) | | | | | | | | 76,402,706 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | | |
| | | | INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 1.6% | | | | | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 360,938 | | | Mount Vernon Securities Lending Trust Prime Portfolio, (6) | | | 0.557% (5) | | | | | | | | | | | $ | 360,938 | |
| | | | Total Investments Purchased with Collateral from Securities Lending (cost $1,264,606) | | | | 360,938 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | | | |
| | | | SHORT-TERM INVESTMENTS – 3.8% | | | | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 3.8% | | | | | | | | | | | | |
| | | | | |
| | 3,045,876 | | | First American Treasury Obligations Fund, Class Z | | | 0.230% (5) | | | | | | | | | | | $ | 3,045,876 | |
| | | | Total Short-Term Investments (cost $3,045,876) | | | | | | | | | | | | | | | 3,045,876 | |
| | | | Total Investments (cost $77,482,013) – 99.9% | | | | | | | | | | | | | | | 79,809,520 | |
| | | | Other Assets Less Liabilities – 1.2% (7) | | | | | | | | | | | | | | | 949,471 | |
| | | | Net Assets – 100% | | | | | | | | | | | | | | $ | 80,758,991 | |
Investments in Derivatives as of June 30, 2016
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Contract
Position | | | Number of
Contracts | | | Contract
Expiration | | | Notional
Amount at
Value* | | | Variation Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
U.S. Treasury 5-Year Note | | | Long | | | | 4 | | | | 9/16 | | | $ | 488,656 | | | $ | 312 | | | $ | 466 | |
U.S. Treasury 10-Year Note | | | Short | | | | (21 | ) | | | 9/16 | | | | (2,792,672 | ) | | | 1,641 | | | | (32,183 | ) |
| | | | | | | | | | | | | | | $ | (2,304,016 | ) | | $ | 1,953 | | | $ | (31,717 | ) |
| * | Total aggregate Notional Amount at Value of long and short positions is $488,656 and $(2,792,672), respectively. |
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) | For financial reporting purposes, the ratings (not covered by the report of independent registered public accounting firm) disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (3) | Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (4) | Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $353,977. |
| (5) | The rate shown is the annualized seven-day effective yield as of the end of the reporting period. |
| (6) | The Fund may loan securities representing up to one third of the fair value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks and other institutions. The Fund maintains collateral equal to at least 100% of the fair value of the securities loaned. The cash collateral received by the Fund is invested in this money market fund. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Securities Lending for more information. |
| (7) | Other assets less liabilities includes the unrealized appreciation (depreciation) of over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| 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. |
See accompanying notes to financial statements.
Nuveen Short Term Bond Fund
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | LONG-TERM INVESTMENTS – 96.6% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | CORPORATE BONDS – 46.6% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Airlines – 1.0% | | | | | | | | | | | | |
| | | | | |
| $ | 2,221 | | | American Airlines Pass Through Trust 2013-2C, 144A | | | 6.000% | | | | 1/15/17 | | | | BB | | | $ | 2,248,288 | |
| | | | | |
| | 1,332 | | | Delta Air Lines Pass Through Certificates, Series 2012-1B, 144A | | | 6.875% | | | | 5/07/19 | | | | BBB | | | | 1,438,346 | |
| | | | | |
| | 312 | | | Delta Airlines | | | 5.300% | | | | 4/15/19 | | | | A1 | | | | 332,680 | |
| | | | | |
| | 942 | | | Northwest Airlines Trust Pass Through Certificates 2007-1 | | | 7.027% | | | | 11/01/19 | | | | A | | | | 1,062,190 | |
| | | | | |
| | 763 | | | US Airways Pass-Through Trust | | | 7.076% | | | | 3/20/21 | | | | A | | | | 824,302 | |
| | 5,570 | | | Total Airlines | | | | | | | | | | | | | | | 5,905,806 | |
| | | | | |
| | | | Auto Components – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 853 | | | American & Axle Manufacturing Inc., (3) | | | 6.625% | | | | 10/15/22 | | | | BB– | | | | 912,710 | |
| | | | | |
| | | | Automobiles – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | General Motors Financial Company Inc. | | | 3.200% | | | | 7/13/20 | | | | BBB– | | | | 2,026,322 | |
| | | | | |
| | 1,100 | | | Volkswagen Group of America Finance LLC, 144A | | | 1.600% | | | | 11/20/17 | | | | A3 | | | | 1,100,480 | |
| | 3,100 | | | Total Automobiles | | | | | | | | | | | | | | | 3,126,802 | |
| | | | | |
| | | | Banks – 8.1% | | | | | | | | | | | | |
| | | | | |
| | 5,925 | | | Bank of America Corporation | | | 5.650% | | | | 5/01/18 | | | | A | | | | 6,349,513 | |
| | | | | |
| | 3,305 | | | Bank of Nova Scotia | | | 1.375% | | | | 12/18/17 | | | | Aa3 | | | | 3,315,517 | |
| | | | | |
| | 3,525 | | | BB&T Corporation | | | 1.450% | | | | 1/12/18 | | | | A+ | | | | 3,538,889 | |
| | | | | |
| | 4,000 | | | Citigroup Inc. | | | 2.150% | | | | 7/30/18 | | | | A | | | | 4,048,756 | |
| | | | | |
| | 1,500 | | | Citizens Bank NA | | | 2.500% | | | | 3/14/19 | | | | A– | | | | 1,521,359 | |
| | | | | |
| | 2,000 | | | Credit Agricole SA, 144A | | | 3.000% | | | | 10/01/17 | | | | A | | | | 2,036,658 | |
| | | | | |
| | 2,000 | | | Fifth Third Bancorp. | | | 4.500% | | | | 6/01/18 | | | | A– | | | | 2,105,078 | |
| | | | | |
| | 5,000 | | | General Electric Capital Corporation | | | 5.625% | | | | 5/01/18 | | | | AA+ | | | | 5,422,015 | |
| | | | | |
| | 2,000 | | | HSBC USA Inc. | | | 1.625% | | | | 1/16/18 | | | | AA– | | | | 1,996,436 | |
| | | | | |
| | 1,600 | | | ING Bank NV, 144A | | | 2.300% | | | | 3/22/19 | | | | A1 | | | | 1,627,488 | |
| | | | | |
| | 5,780 | | | JPMorgan Chase & Company, (3) | | | 1.850% | | | | 3/22/19 | | | | A+ | | | | 5,839,887 | |
| | | | | |
| | 3,000 | | | KeyCorp. | | | 2.300% | | | | 12/13/18 | | | | A– | | | | 3,048,891 | |
| | | | | |
| | 2,000 | | | Nordea Bank AB, 144A | | | 3.125% | | | | 3/20/17 | | | | AA– | | | | 2,029,072 | |
| | | | | |
| | 2,250 | | | Santander UK PLC | | | 3.050% | | | | 8/23/18 | | | | A1 | | | | 2,303,186 | |
| | | | | |
| | 2,000 | | | Societe Generale, 144A, (3) | | | 2.500% | | | | 4/08/21 | | | | A | | | | 2,036,646 | |
| | | | | |
| | 2,000 | | | SunTrust Banks Inc. | | | 2.350% | | | | 11/01/18 | | | | A– | | | | 2,034,078 | |
| | 47,885 | | | Total Banks | | | | | | | | | | | | | | | 49,253,469 | |
| | | | | |
| | | | Beverages – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Heineken NV, 144A | | | 1.400% | | | | 10/01/17 | | | | BBB+ | | | | 2,009,252 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Biotechnology – 0.8% | | | | | | | | | | | | |
| | | | | |
| $ | 1,000 | | | Baxalta Inc. | | | 2.000% | | | | 6/22/18 | | | | BBB– | | | $ | 1,000,510 | |
| | | | | |
| | 1,665 | | | Biogen Inc. | | | 2.900% | | | | 9/15/20 | | | | A– | | | | 1,735,356 | |
| | | | | |
| | 2,320 | | | Celgene Corporation | | | 2.125% | | | | 8/15/18 | | | | BBB+ | | | | 2,354,675 | |
| | 4,985 | | | Total Biotechnology | | | | | | | | | | | | | | | 5,090,541 | |
| | | | | |
| | | | Capital Markets – 3.2% | | | | | | | | | | | | |
| | | | | |
| | 2,840 | | | Deutsche Bank AG London | | | 2.500% | | | | 2/13/19 | | | | A– | | | | 2,847,867 | |
| | | | | |
| | 1,870 | | | Goldman Sachs Group, Inc. | | | 6.150% | | | | 4/01/18 | | | | A | | | | 2,015,765 | |
| | | | | |
| | 4,000 | | | Goldman Sachs Group, Inc., (3) | | | 2.000% | | | | 4/25/19 | | | | A | | | | 4,042,276 | |
| | | | | |
| | 4,995 | | | Morgan Stanley | | | 5.950% | | | | 12/28/17 | | | | A | | | | 5,311,687 | |
| | | | | |
| | 2,250 | | | Nomura Holdings Incorporated | | | 2.750% | | | | 3/19/19 | | | | BBB+ | | | | 2,297,291 | |
| | | | | |
| | 3,000 | | | UBS AG Stamford | | | 1.800% | | | | 3/26/18 | | | | A+ | | | | 3,028,542 | |
| | 18,955 | | | Total Capital Markets | | | | | | | | | | | | | | | 19,543,428 | |
| | | | | |
| | | | Chemicals – 1.6% | | | | | | | | | | | | |
| | | | | |
| | 2,215 | | | Eastman Chemical Company | | | 2.700% | | | | 1/15/20 | | | | BBB | | | | 2,278,232 | |
| | | | | |
| | 2,635 | | | Ecolab Inc. | | | 1.450% | | | | 12/08/17 | | | | A– | | | | 2,639,645 | |
| | | | | |
| | 2,000 | | | LyondellBasell Industries NV | | | 5.000% | | | | 4/15/19 | | | | Baa1 | | | | 2,165,732 | |
| | | | | |
| | 2,750 | | | Sherwin-Williams Company | | | 1.350% | | | | 12/15/17 | | | | A | | | | 2,755,167 | |
| | 9,600 | | | Total Chemicals | | | | | | | | | | | | | | | 9,838,776 | |
| | | | | |
| | | | Commercial Services & Supplies – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | ERAC USA Finance LLC, 144A | | | 2.800% | | | | 11/01/18 | | | | BBB+ | | | | 2,049,738 | |
| | | | | |
| | | | Consumer Finance – 1.6% | | | | | | | | | | | | |
| | | | | |
| | 1,200 | | | Ally Financial Inc. | | | 8.000% | | | | 12/31/18 | | | | BB | | | | 1,311,000 | |
| | | | | |
| | 2,750 | | | American Express Company | | | 1.550% | | | | 5/22/18 | | | | A | | | | 2,763,607 | |
| | | | | |
| | 2,200 | | | Capital One Financial Corporation | | | 2.450% | | | | 4/24/19 | | | | A– | | | | 2,239,002 | |
| | | | | |
| | 2,000 | | | Ford Motor Credit Company | | | 2.597% | | | | 11/04/19 | | | | BBB | | | | 2,046,160 | |
| | | | | |
| | 1,250 | | | Navient Corporation, (3) | | | 5.000% | | | | 10/26/20 | | | | BB | | | | 1,171,875 | |
| | 9,400 | | | Total Consumer Finance | | | | | | | | | | | | | | | 9,531,644 | |
| | | | | |
| | | | Diversified Financial Services – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 2,570 | | | BNP Paribas | | | 2.700% | | | | 8/20/18 | | | | A1 | | | | 2,632,662 | |
| | | | | |
| | 1,000 | | | Fly Leasing Limited, (3) | | | 6.750% | | | | 12/15/20 | | | | BB | | | | 1,005,000 | |
| | | | | |
| | 1,000 | | | Rabobank Nederland Utrecht | | | 3.375% | | | | 1/19/17 | | | | Aa2 | | | | 1,012,928 | |
| | | | | |
| | 1,500 | | | Rabobank Nederland | | | 2.250% | | | | 1/14/19 | | | | Aa2 | | | | 1,528,883 | |
| | | | | |
| | 1,000 | | | Synchrony Financial | | | 1.875% | | | | 8/15/17 | | | | BBB– | | | | 1,001,567 | |
| | | | | |
| | 1,201 | | | Voya Financial Inc. | | | 2.900% | | | | 2/15/18 | | | | BBB | | | | 1,223,477 | |
| | 8,271 | | | Total Diversified Financial Services | | | | | | | | | | | | | | | 8,404,517 | |
| | | | | |
| | | | Diversified Telecommunication Services – 2.8% | | | | | | | | | | | | |
| | | | | |
| | 2,300 | | | AT&T, Inc. | | | 1.400% | | | | 12/01/17 | | | | A– | | | | 2,303,715 | |
| | | | | |
| | 3,635 | | | AT&T, Inc. | | | 2.300% | | | | 3/11/19 | | | | A– | | | | 3,713,022 | |
Nuveen Short Term Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Diversified Telecommunication Services (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 1,500 | | | CenturyLink Inc. | | | 5.625% | | | | 4/01/20 | | | | BB+ | | | $ | 1,552,500 | |
| | | | | |
| | 1,250 | | | Frontier Communications Corporation, (3) | | | 8.125% | | | | 10/01/18 | | | | BB | | | | 1,369,625 | |
| | | | | |
| | 3,420 | | | SBA Tower Trust, 144A | | | 3.598% | | | | 4/15/43 | | | | BBB | | | | 3,443,151 | |
| | | | | |
| | 4,730 | | | Verizon Communications | | | 3.650% | | | | 9/14/18 | | | | A– | | | | 4,970,270 | |
| | 16,835 | | | Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 17,352,283 | |
| | | | | |
| | | | Energy Equipment & Services – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Regency Energy Partners Finance | | | 6.500% | | | | 7/15/21 | | | | BBB– | | | | 2,066,580 | |
| | | | | |
| | | | Food & Staples Retailing – 1.0% | | | | | | | | | | | | |
| | | | | |
| | 1,250 | | | Supervalu Inc. | | | 6.750% | | | | 6/01/21 | | | | B | | | | 1,049,975 | |
| | | | | |
| | 2,015 | | | Sysco Corporation | | | 2.600% | | | | 10/01/20 | | | | A3 | | | | 2,080,804 | |
| | | | | |
| | 3,050 | | | Walgreens Boots Alliance, Inc. | | | 1.750% | | | | 11/17/17 | | | | BBB | | | | 3,071,795 | |
| | 6,315 | | | Total Food & Staples Retailing | | | | | | | | | | | | | | | 6,202,574 | |
| | | | | |
| | | | Food Products – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 2,175 | | | Bunge Limited Finance Company, (3) | | | 3.500% | | | | 11/24/20 | | | | BBB | | | | 2,280,096 | |
| | | | | |
| | 1,065 | | | Kraft Heinz Foods Company, 144A | | | 2.000% | | | | 7/02/18 | | | | BBB– | | | | 1,079,548 | |
| | | | | |
| | 2,500 | | | Mondelez International Inc. | | | 2.250% | | | | 2/01/19 | | | | Baa1 | | | | 2,554,513 | |
| | | | | |
| | 2,500 | | | Tyson Foods | | | 2.650% | | | | 8/15/19 | | | | BBB | | | | 2,568,360 | |
| | | | | |
| | 2,000 | | | Wm. Wrigley Jr. Company, 144A | | | 2.900% | | | | 10/21/19 | | | | A– | | | | 2,078,360 | |
| | 10,240 | | | Total Food Products | | | | | | | | | | | | | | | 10,560,877 | |
| | | | | |
| | | | Gas Utilities – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,300 | | | Ferrellgas LP, (3) | | | 8.625% | | | | 6/15/20 | | | | B– | | | | 1,300,000 | |
| | | | | |
| | | | Health Care Equipment & Supplies – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 3,260 | | | Becton Dickinson & Company | | | 1.800% | | | | 12/15/17 | | | | BBB+ | | | | 3,286,830 | |
| | | | | |
| | 750 | | | Tenet Healthcare Corporation | | | 6.250% | | | | 11/01/18 | | | | BB | | | | 791,250 | |
| | 4,010 | | | Total Health Care Equipment & Supplies | | | | | | | | | | | | | | | 4,078,080 | |
| | | | | |
| | | | Health Care Providers & Services – 2.1% | | | | | | | | | | | | |
| | | | | |
| | 3,000 | | | Aetna Inc. | | | 1.500% | | | | 11/15/17 | | | | A– | | | | 3,013,731 | |
| | | | | |
| | 3,000 | | | Cardinal Health Inc. | | | 2.400% | | | | 11/15/19 | | | | A– | | | | 3,074,531 | |
| | | | | |
| | 1,500 | | | HCA Inc. | | | 4.250% | | | | 10/15/19 | | | | BBB– | | | | 1,563,750 | |
| | | | | |
| | 1,300 | | | Iasis Healthcare Capital Corporation | | | 8.375% | | | | 5/15/19 | | | | CCC+ | | | | 1,248,813 | |
| | | | | |
| | 1,765 | | | UnitedHealth Group Incorporated | | | 3.875% | | | | 10/15/20 | | | | A+ | | | | 1,939,721 | |
| | | | | |
| | 1,750 | | | Wellpoint Inc. | | | 1.875% | | | | 1/15/18 | | | | A | | | | 1,759,907 | |
| | 12,315 | | | Total Health Care Providers & Services | | | | | | | | | | | | | | | 12,600,453 | |
| | | | | |
| | | | Hotels, Restaurants & Leisure – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 1,100 | | | International Game Technology | | | 7.500% | | | | 6/15/19 | | | | BB+ | | | | 1,218,250 | |
| | | | | |
| | 1,250 | | | MGM Resorts International Inc., (3) | | | 6.750% | | | | 10/01/20 | | | | BB | | | | 1,365,625 | |
| | 2,350 | | | Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 2,583,875 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Household Durables – 0.6% | | | | | | | | | | | | |
| | | | | |
| $ | 1,805 | | | Newell Brands Inc. | | | 2.600% | | | | 3/29/19 | | | | BBB– | | | $ | 1,852,257 | |
| | | | | |
| | 1,550 | | | William Lyon Homes Incorporated | | | 8.500% | | | | 11/15/20 | | | | B– | | | | 1,592,625 | |
| | 3,355 | | | Total Household Durables | | | | | | | | | | | | | | | 3,444,882 | |
| | | | | |
| | | | Independent Power & Renewable Electricity Producers – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,300 | | | Dynegy Inc. | | | 6.750% | | | | 11/01/19 | | | | B+ | | | | 1,303,250 | |
| | | | | |
| | | | Insurance – 1.1% | | | | | | | | | | | | |
| | | | | |
| | 2,415 | | | American International Group, Inc. | | | 3.375% | | | | 8/15/20 | | | | A– | | | | 2,533,982 | |
| | | | | |
| | 1,655 | | | Lincoln National Corporation | | | 6.250% | | | | 2/15/20 | | | | A– | | | | 1,860,887 | |
| | | | | |
| | 518 | | | Prudential Financial Inc. | | | 6.000% | | | | 12/01/17 | | | | A | | | | 551,823 | |
| | | | | |
| | 2,000 | | | Sirius International Group Limited, 144A | | | 6.375% | | | | 3/20/17 | | | | BBB | | | | 2,044,200 | |
| | 6,588 | | | Total Insurance | | | | | | | | | | | | | | | 6,990,892 | |
| | | | | |
| | | | Internet Software & Services – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 2,185 | | | eBay Inc. | | | 2.500% | | | | 3/09/18 | | | | BBB+ | | | | 2,224,876 | |
| | | | | |
| | | | IT Services – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 3,490 | | | Visa Inc., (3) | | | 2.200% | | | | 12/14/20 | | | | A+ | | | | 3,595,890 | |
| | | | | |
| | | | Machinery – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | BlueLine Rental Finance Corporation, 144A | | | 7.000% | | | | 2/01/19 | | | | B+ | | | | 430,000 | |
| | | | | |
| | | | Media – 2.9% | | | | | | | | | | | | |
| | | | | |
| | 1,735 | | | 21st Century Fox America Inc. | | | 4.500% | | | | 2/15/21 | | | | BBB+ | | | | 1,937,331 | |
| | | | | |
| | 2,600 | | | British Sky Broadcasting Group PLC, 144A | | | 6.100% | | | | 2/15/18 | | | | BBB | | | | 2,779,868 | |
| | | | | |
| | 1,890 | | | CBS Corporation | | | 5.750% | | | | 4/15/20 | | | | BBB | | | | 2,162,770 | |
| | | | | |
| | 2,000 | | | Charter Communications Operating Capital Corporation, 144A, (3) | | | 3.579% | | | | 7/23/20 | | | | BBB | | | | 2,091,074 | |
| | | | | |
| | 4,000 | | | Comcast Corporation | | | 5.875% | | | | 2/15/18 | | | | A– | | | | 4,307,948 | |
| | | | | |
| | 1,600 | | | Discovery Communications Inc. | | | 5.625% | | | | 8/15/19 | | | | BBB– | | | | 1,763,474 | |
| | | | | |
| | 1,500 | | | Dish DBS Corporation, (3) | | | 4.250% | | | | 4/01/18 | | | | BB– | | | | 1,530,000 | |
| | | | | |
| | 1,000 | | | Thomson Reuters Corporation | | | 1.300% | | | | 2/23/17 | | | | BBB+ | | | | 1,000,171 | |
| | 16,325 | | | Total Media | | | | | | | | | | | | | | | 17,572,636 | |
| | | | | |
| | | | Metals & Mining – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,250 | | | Alcoa Inc. | | | 6.150% | | | | 8/15/20 | | | | BBB– | | | | 1,353,125 | |
| | | | | |
| | 1,500 | | | Nucor Corporation | | | 5.850% | | | | 6/01/18 | | | | A– | | | | 1,612,572 | |
| | 2,750 | | | Total Metals & Mining | | | | | | | | | | | | | | | 2,965,697 | |
| | | | | |
| | | | Multi-Utilities – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 2,665 | | | Sempra Energy | | | 2.300% | | | | 4/01/17 | | | | BBB+ | | | | 2,687,080 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 1.8% | | | | | | | | | | | | |
| | | | | |
| | 645 | | | Calumet Specialty Products | | | 6.500% | | | | 4/15/21 | | | | CCC+ | | | | 461,175 | |
| | | | | |
| | 750 | | | Cenovus Energy Inc. | | | 5.700% | | | | 10/15/19 | | | | BBB | | | | 793,283 | |
| | | | | |
| | 2,000 | | | CNOOC Finance 2014 ULC | | | 1.625% | | | | 4/30/17 | | | | Aa3 | | | | 2,003,270 | |
Nuveen Short Term Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 2,195 | | | Phillips 66 | | | 2.950% | | | | 5/01/17 | | | | A3 | | | $ | 2,227,147 | |
| | | | | |
| | 750 | | | Sabine Pass Liquefaction LLC | | | 5.625% | | | | 2/01/21 | | | | BB+ | | | | 757,500 | |
| | | | | |
| | 1,500 | | | Sinopec Group Overseas Development 2014 Limited, 144A | | | 1.409% | | | | 4/10/17 | | | | Aa3 | | | | 1,501,763 | |
| | | | | |
| | 1,370 | | | Spectra Energy Partners LP | | | 2.950% | | | | 9/25/18 | | | | BBB | | | | 1,396,272 | |
| | | | | |
| | 1,780 | | | SunCor Energy Inc. | | | 6.100% | | | | 6/01/18 | | | | A– | | | | 1,924,812 | |
| | 10,990 | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 11,065,222 | |
| | | | | |
| | | | Paper & Forest Products – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Mercer International Inc., (3) | | | 7.000% | | | | 12/01/19 | | | | B+ | | | | 1,010,000 | |
| | | | | |
| | 450 | | | Sappi Papier Holding GMBH, 144A | | | 7.750% | | | | 7/15/17 | | | | Ba2 | | | | 466,875 | |
| | 1,450 | | | Total Paper & Forest Products | | | | | | | | | | | | | | | 1,476,875 | |
| | | | | |
| | | | Pharmaceuticals – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 2,125 | | | McKesson Corporation | | | 2.284% | | | | 3/15/19 | | | | BBB+ | | | | 2,172,691 | |
| | | | | |
| | | | Real Estate Investment Trust – 2.7% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | American Tower Company | | | 4.500% | | | | 1/15/18 | | | | BBB | | | | 2,086,560 | |
| | | | | |
| | 2,000 | | | First Industrial Realty Trust | | | 5.950% | | | | 5/15/17 | | | | BBB– | | | | 2,072,300 | |
| | | | | |
| | 1,145 | | | Gaming and Leisure Products Inc., GLP Capital LP Financing II Inc. | | | 4.375% | | | | 11/01/18 | | | | BB+ | | | | 1,175,056 | |
| | | | | |
| | 2,605 | | | Realty Income Corporation | | | 2.000% | | | | 1/31/18 | | | | BBB+ | | | | 2,626,666 | |
| | | | | |
| | 2,000 | | | Ventas Realty LP | | | 2.000% | | | | 2/15/18 | | | | BBB+ | | | | 2,010,218 | |
| | | | | |
| | 6,105 | | | Wells Fargo & Company | | | 2.125% | | | | 4/22/19 | | | | AA– | | | | 6,241,336 | |
| | 15,855 | | | Total Real Estate Investment Trust | | | | | | | | | | | | | | | 16,212,136 | |
| | | | | |
| | | | Road & Rail – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 750 | | | Hertz Corporation, (3) | | | 6.750% | | | | 4/15/19 | | | | B | | | | 765,679 | |
| | | | | |
| | | | Software – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 3,130 | | | CA Inc. | | | 2.875% | | | | 8/15/18 | | | | BBB+ | | | | 3,192,481 | |
| | | | | |
| | 2,000 | | | Total System Services Inc. | | | 2.375% | | | | 6/01/18 | | | | BBB– | | | | 2,015,400 | |
| | 5,130 | | | Total Software | | | | | | | | | | | | | | | 5,207,881 | |
| | | | | |
| | | | Specialty Retail – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 1,625 | | | AutoNation Inc. | | | 6.750% | | | | 4/15/18 | | | | BBB– | | | | 1,744,056 | |
| | | | | |
| | 2,020 | | | Hyundai Capital America, 144A | | | 2.400% | | | | 10/30/18 | | | | A– | | | | 2,048,213 | |
| | 3,645 | | | Total Specialty Retail | | | | | | | | | | | | | | | 3,792,269 | |
| | | | | |
| | | | Technology Hardware, Storage & Peripherals – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 2,720 | | | Apple Inc. | | | 2.100% | | | | 5/06/19 | | | | AA+ | | | | 2,798,007 | |
| | | | | |
| | 1,500 | | | Dell Inc., (3) | | | 5.875% | | | | 6/15/19 | | | | BB | | | | 1,593,750 | |
| | | | | |
| | 1,875 | | | Hewlett Packard Enterprise Co, 144A | | | 2.850% | | | | 10/05/18 | | | | A– | | | | 1,919,918 | |
| | | | | |
| | 3,000 | | | International Business Machines Corporation (IBM) | | | 1.800% | | | | 5/17/19 | | | | AA– | | | | 3,052,646 | |
| | | | | |
| | 1,000 | | | Seagate HDD Cayman | | | 3.750% | | | | 11/15/18 | | | | BBB– | | | | 1,000,630 | |
| | 10,095 | | | Total Technology Hardware, Storage & Peripherals | | | | | | | | | | | | | | | 10,364,951 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Tobacco – 1.2% | | | | | | | | | | | | |
| | | | | |
| $ | 2,000 | | | BAT International Finance PLC, 144A | | | 2.125% | | | | 6/07/17 | | | | A– | | | $ | 2,016,842 | |
| | | | | |
| | 1,970 | | | Philip Morris International | | | 1.375% | | | | 2/25/19 | | | | A | | | | 1,985,317 | |
| | | | | |
| | 2,915 | | | Reynolds American Inc. | | | 3.250% | | | | 6/12/20 | | | | BBB | | | | 3,081,668 | |
| | 6,885 | | | Total Tobacco | | | | | | | | | | | | | | | 7,083,827 | |
| | | | | |
| | | | Trading Companies & Distributors – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | Air Lease Corporation | | | 2.625% | | | | 9/04/18 | | | | BBB– | | | | 1,499,684 | |
| | | | | |
| | | | Transportation Infrastructure – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Aviation Capital Group Corporation, 144A | | | 2.875% | | | | 9/17/18 | | | | BBB– | | | | 1,980,000 | |
| | | | | |
| | | | Wireless Telecommunication Services – 1.5% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Deutsche Telekom International Finance BV | | | 6.000% | | | | 7/08/19 | | | | BBB+ | | | | 2,243,568 | |
| | | | | |
| | 1,000 | | | Softbank Corporation, 144A | | | 4.500% | | | | 4/15/20 | | | | BB+ | | | | 1,032,500 | |
| | | | | |
| | 1,500 | | | Sprint Communications Inc., 144A | | | 9.000% | | | | 11/15/18 | | | | BB | | | | 1,597,500 | |
| | | | | |
| | 1,000 | | | T-Mobile USA Inc. | | | 6.464% | | | | 4/28/19 | | | | BB | | | | 1,016,250 | |
| | | | | |
| | 3,480 | | | Vodafone Group PLC | | | 1.500% | | | | 2/19/18 | | | | BBB+ | | | | 3,478,165 | |
| | 8,980 | | | Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 9,367,983 | |
| $ | 276,547 | | | Total Corporate Bonds (cost $281,872,934) | | | | | | | | | | | | | | | 284,615,806 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | | | | Optional Call
Provisions (4) | | | Ratings (2) | | | Value | |
| | | | | |
| | | | MUNICIPAL BONDS – 1.7% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | California – 0.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,015 | | | California State, General Obligation Bonds, Various Purpose Build America Taxable Bond Series 2010, 5.750%, 3/01/17 | | | | | | | No Opt. Call | | | | AA– | | | $ | 1,049,916 | |
| | | | | |
| | | | Guam – 0.4% | | | | | | | | | | | | |
| | | | | |
| | | | Government of Guam, Business Privilege Tax Bonds, Taxable Series 2012B-2: | | | | | | | | | | | | | | | | |
| | 1,155 | | | 2.933%, 1/01/17 | | | | | | | No Opt. Call | | | | A | | | | 1,159,839 | |
| | 1,190 | | | 3.301%, 1/01/18 | | | | | | | No Opt. Call | | | | A | | | | 1,207,315 | |
| | 2,345 | | | Total Guam | | | | | | | | | | | | | | | 2,367,154 | |
| | | | | |
| | | | Massachusetts – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 2,750 | | | University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2014-2, 1.185%, 11/01/17 | | | | | | | No Opt. Call | | | | Aa2 | | | | 2,768,150 | |
| | | | | |
| | | | Nevada – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 2,500 | | | Las Vegas Valley Water District, Nevada, General Obligation Bonds, Refunding Series 2011B, 3.176%, 6/01/17 | | | | | | | No Opt. Call | | | | Aa1 | | | | 2,556,075 | |
| | | | | |
| | | | Ohio – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,470 | | | Ohio State, General Obligation Bonds, Higher Education, Build America Bond Series 2010E, 3.328%, 8/01/17 – AGM Insured | | | | | | | No Opt. Call | | | | AA+ | | | | 1,511,278 | |
| $ | 10,080 | | | Total Municipal Bonds (cost $10,129,151) | | | | | | | | | | | | | | | 10,252,573 | |
Nuveen Short Term Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 7.7% | | | | | | | | | | | | | | | | |
| | | | | |
| $ | 13,000 | | | Federal National Mortgage Association, (3) | | | 1.000% | | | | 2/26/19 | | | | Aaa | | | $ | 13,072,371 | |
| | | | | |
| | 12,000 | | | U.S. Treasury Notes | | | 0.875% | | | | 11/30/16 | | | | Aaa | | | | 12,025,536 | |
| | | | | |
| | 3,000 | | | U.S. Treasury Notes | | | 0.875% | | | | 11/30/17 | | | | Aaa | | | | 3,012,657 | |
| | | | | |
| | 14,045 | | | U.S. Treasury Notes | | | 0.750% | | | | 12/31/17 | | | | Aaa | | | | 14,083,399 | |
| | | | | |
| | 5,000 | | | U.S. Treasury Notes | | | 1.125% | | | | 3/31/20 | | | | Aaa | | | | 5,051,560 | |
| $ | 47,045 | | | Total U.S. Government and Agency Obligations (cost $46,981,247) | | | | | | | | | | | | | | | 47,245,523 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 40.6% | | | | | | | | | | | | |
| | | | | |
| $ | 539 | | | ACE Securities Corporation, Manufactured Housing Trust Series 2003-MH1, 144A | | | 6.500% | | | | 8/15/30 | | | | AA | | | $ | 600,758 | |
| | | | | |
| | 3,684 | | | American Homes 4 Rent, Series 2014-SFR1, 144A | | | 1.482% | | | | 6/17/31 | | | | Aaa | | | | 3,639,602 | |
| | | | | |
| | 4,113 | | | AmeriCold LLC Trust, Series 2010, 144A | | | 1.947% | | | | 1/14/29 | | | | AAA | | | | 4,116,057 | |
| | | | | |
| | 283 | | | Amortizing Residential Collateral Trust Series 2002-BC4 M1 | | | 1.538% | | | | 7/25/32 | | | | Baa2 | | | | 274,871 | |
| | | | | |
| | 1,892 | | | Amortizing Residential Collateral Trust, Series 2002-BC7 | | | 1.248% | | | | 10/25/32 | | | | Aa1 | | | | 1,604,628 | |
| | | | | |
| | 1,407 | | | Avant Loans Funding Trust, Series 2016-A, 144A | | | 4.110% | | | | 5/15/19 | | | | N/R | | | | 1,413,189 | |
| | | | | |
| | 3,000 | | | Barclays Commercial Mortgage, Mortgage Pass-Through Certificates, Series 2015-STP, 144A | | | 4.284% | | | | 9/10/28 | | | | A– | | | | 3,099,224 | |
| | | | | |
| | 2,415 | | | BXHTL Mortgage Trust, Series 2015-JWRZ, 144A | | | 1.712% | | | | 5/15/29 | | | | AAA | | | | 2,406,844 | |
| | | | | |
| | 3,000 | | | Cabela’s Master Credit Card Trust, Series 2011-A2, 144A | | | 1.011% | | | | 2/18/20 | | | | AAA | | | | 2,998,701 | |
| | | | | |
| | 3,500 | | | Cabela’s Master Credit Card Trust, Series 2016-1 | | | 1.780% | | | | 6/15/22 | | | | AAA | | | | 3,519,244 | |
| | | | | |
| | 414 | | | California Republic Auto Receivables Trust 2013-2 | | | 1.230% | | | | 3/15/19 | | | | Aaa | | | | 414,466 | |
| | | | | |
| | 1,000 | | | California Republic Auto Receivables Trust, Series 2016-2 | | | 1.340% | | | | 3/15/19 | | | | AAA | | | | 1,000,567 | |
| | | | | |
| | 1,487 | | | CAM Mortgage Trust 2015-1, 144A | | | 3.500% | | | | 7/15/64 | | | | N/R | | | | 1,487,971 | |
| | | | | |
| | 2,513 | | | Capital Auto Receivables Asset Trust, Asset Backed Notes, Series 2014-1 | | | 1.320% | | | | 6/20/18 | | | | AAA | | | | 2,514,529 | |
| | | | | |
| | 3,960 | | | Capital One Multi Asset Execution Trust, Series 2016-A1 | | | 0.931% | | | | 2/15/22 | | | | AAA | | | | 3,966,835 | |
| | | | | |
| | 101 | | | Citicorp Mortgage Securities I, REMIC Pass-Through Certificates, Series 2007-9 | | | 5.500% | | | | 12/25/22 | | | | Ba1 | | | | 101,144 | |
| | | | | |
| | 245 | | | Citicorp Mortgage Securities Inc., REMIC Pass-Through Certificates, Series 2006-1 5A1 | | | 5.500% | | | | 2/25/26 | | | | B2 | | | | 247,972 | |
| | | | | |
| | 2,960 | | | Colony American Homes Trust 2015-1A, 144A | | | 2.433% | | | | 7/17/32 | | | | A2 | | | | 2,886,038 | |
| | | | | |
| | 2,000 | | | Colony American Homes Trust 2014-1A, 144A | | | 1.832% | | | | 5/17/31 | | | | Aa2 | | | | 1,966,214 | |
| | | | | |
| | 2,000 | | | Colony Starwood Homes, Series 2016-1A, 144A | | | 3.546% | | | | 7/17/33 | | | | Baa2 | | | | 1,990,345 | |
| | | | | |
| | 6,300 | | | Commercial Mortgage Pass-Through Certificates, Series 2014-SAVA, 144A | | | 2.232% | | | | 6/15/34 | | | | AA | | | | 6,158,564 | |
| | | | | |
| | 4,470 | | | Commercial Mortgage Trust 2014-BBG, 144A | | | 1.282% | | | | 3/15/29 | | | | AAA | | | | 4,393,409 | |
| | | | | |
| | 2,259 | | | Conns Receivables Funding Trust II, Series 2016-A, 144A | | | 4.680% | | | | 4/16/18 | | | | BBB | | | | 2,268,874 | |
| | | | | |
| | 767 | | | Consumer Credit Origination Loan Trust, Series 2015-1, 144A | | | 2.820% | | | | 3/15/21 | | | | Baa1 | | | | 767,432 | |
| | | | | |
| | 2,935 | | | Consumers Securitization Funding LLC, Series 2014-A | | | 1.334% | | | | 11/01/20 | | | | AAA | | | | 2,934,196 | |
| | | | | |
| | 269 | | | Countrywide Asset Backed Certificates, Series 2007-4 A2 | | | 5.328% | | | | 4/25/47 | | | | Caa1 | | | | 258,492 | |
| | | | | |
| | 125 | | | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-2 | | | 2.611% | | | | 2/25/34 | | | | BB+ | | | | 119,424 | |
| | | | | |
| | 3,517 | | | Credit Suisse Commercial Mortgage Trust, 2015-2, 144A | | | 3.000% | | | | 2/25/45 | | | | AAA | | | | 3,562,926 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 4,695 | | | Credit Suisse Commercial Mortgage Trust, Series 2013-6, 144A | | | 2.500% | | | | 7/25/28 | | | | AAA | | | $ | 4,774,255 | |
| | | | | |
| | 419 | | | Credit Suisse First Boston Mortgage Securities Corporation, Mortgage-Backed Pass-Through Certificates, Series 2003-23 | | | 5.750% | | | | 9/25/33 | | | | AA+ | | | | 437,071 | |
| | | | | |
| | 2,938 | | | Credit-Based Asset Servicing and Securitization Pool 2007-SP1, 144A | | | 6.020% | | | | 12/25/37 | | | | A+ | | | | 3,059,974 | |
| | | | | |
| | 765 | | | DBUBS Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-LC3A | | | 3.642% | | | | 8/10/44 | | | | Aaa | | | | 764,374 | |
| | | | | |
| | 2,000 | | | Discover Card Execution Note Trust 2012-A6 | | | 1.670% | | | | 1/18/22 | | | | AAA | | | | 2,032,360 | |
| | | | | |
| | 1,970 | | | DT Auto Owner Trust, Series 2013-1A, 144A | | | 3.740% | | | | 5/15/20 | | | | AAA | | | | 1,987,497 | |
| | | | | |
| | 328 | | | Fannie Mae Alternative Credit Enhanced Securities | | | 2.210% | | | | 9/25/20 | | | | Aaa | | | | 331,013 | |
| | | | | |
| | 1,732 | | | Fannie Mae Connecticut Avenue Securities , Series 2014-C02 | | | 1.438% | | | | 5/25/24 | | | | BBB– | | | | 1,720,549 | |
| | | | | |
| | 2,049 | | | Fannie Mae Connecticut Avenue Securities , Series 2014-C04 | | | 2.438% | | | | 11/25/24 | | | | A1 | | | | 2,057,380 | |
| | | | | |
| | 988 | | | Fannie Mae Connecticut Avenue Securities , Series 2016-C03 | | | 2.688% | | | | 10/25/28 | | | | BBB– | | | | 997,982 | |
| | | | | |
| | 504 | | | Fannie Mae Mortgage Interest Strips S 366 25, (I/O) | | | 5.000% | | | | 9/25/24 | | | | Aaa | | | | 30,550 | |
| | | | | |
| | 75 | | | Fannie Mae Mortgage Pool 433988 | | | 2.489% | | | | 11/01/25 | | | | Aaa | | | | 77,778 | |
| | | | | |
| | 1,039 | | | Fannie Mae Mortgage Pool AL2720 | | | 3.000% | | | | 11/01/27 | | | | Aaa | | | | 1,091,474 | |
| | | | | |
| | 86 | | | Fannie Mae Mortgage Pool 625338 | | | 2.356% | | | | 6/01/31 | | | | Aaa | | | | 89,329 | |
| | | | | |
| | 373 | | | Fannie Mae Mortgage Pool 535363 | | | 5.167% | | | | 12/01/31 | | | | Aaa | | | | 398,347 | |
| | | | | |
| | 3 | | | Fannie Mae Mortgage Pool 545791 | | | 2.821% | | | | 3/01/32 | | | | Aaa | | | | 3,393 | |
| | | | | |
| | 37 | | | Fannie Mae Mortgage Pool 545717 | | | 2.738% | | | | 5/01/32 | | | | Aaa | | | | 37,610 | |
| | | | | |
| | 109 | | | Fannie Mae Mortgage Pool 634948 | | | 2.915% | | | | 5/01/32 | | | | Aaa | | | | 113,190 | |
| | | | | |
| | 16 | | | Fannie Mae Mortgage Pool 661645 | | | 2.454% | | | | 10/01/32 | | | | Aaa | | | | 15,959 | |
| | | | | |
| | 38 | | | Fannie Mae Mortgage Pool 671884 | | | 2.490% | | | | 12/01/32 | | | | Aaa | | | | 39,183 | |
| | | | | |
| | 59 | | | Fannie Mae Mortgage Pool 775389 | | | 3.010% | | | | 4/01/34 | | | | Aaa | | | | 60,965 | |
| | | | | |
| | 947 | | | Fannie Mae Mortgage Pool AD0486 | | | 2.641% | | | | 4/01/34 | | | | Aaa | | | | 1,001,510 | |
| | | | | |
| | 699 | | | Fannie Mae Mortgage Pool 725721 | | | 2.881% | | | | 6/01/34 | | | | Aaa | | | | 743,133 | |
| | | | | |
| | 685 | | | Fannie Mae Mortgage Pool 795242 | | | 2.192% | | | | 7/01/34 | | | | Aaa | | | | 710,307 | |
| | | | | |
| | 614 | | | Fannie Mae Mortgage Pool 841068 | | | 2.668% | | | | 11/01/34 | | | | Aaa | | | | 649,686 | |
| | | | | |
| | 732 | | | Fannie Mae Mortgage Pool 797182 | | | 2.567% | | | | 11/01/34 | | | | Aaa | | | | 772,912 | |
| | | | | |
| | 659 | | | Fannie Mae Mortgage Pool 745922 | | | 2.705% | | | | 7/01/35 | | | | Aaa | | | | 701,107 | |
| | | | | |
| | 469 | | | Fannie Mae Mortgage Pool 838958 | | | 2.625% | | | | 8/01/35 | | | | Aaa | | | | 492,310 | |
| | | | | |
| | 69 | | | Fannie Mae Mortgage Pool 838948 | | | 2.301% | | | | 8/01/35 | | | | Aaa | | | | 71,163 | |
| | | | | |
| | 314 | | | Fannie Mae Mortgage Pool 848390 | | | 2.298% | | | | 12/01/35 | | | | Aaa | | | | 327,795 | |
| | | | | |
| | 339 | | | Fannie Mae Mortgage Pool 886034 | | | 3.055% | | | | 7/01/36 | | | | Aaa | | | | 361,666 | |
| | | | | |
| | 1,201 | | | Fannie Mae Mortgage Pool AE0058 | | | 2.671% | | | | 7/01/36 | | | | Aaa | | | | 1,270,196 | |
| | | | | |
| | 91 | | | Fannie Mae Mortgage Pool 555369 | | | 2.698% | | | | 8/01/36 | | | | Aaa | | | | 95,743 | |
| | | | | |
| | 314 | | | Fannie Mae Mortgage Pool 995949 | | | 2.767% | | | | 9/01/36 | | | | Aaa | | | | 333,131 | |
| | | | | |
| | 844 | | | Fannie Mae Mortgage Pool AD0550 | | | 2.645% | | | | 8/01/37 | | | | Aaa | | | | 887,530 | |
| | | | | |
| | 17 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through Certificates 1992-150 MA | | | 5.500% | | | | 9/25/22 | | | | Aaa | | | | 18,200 | |
Nuveen Short Term Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 324 | | | Fannie Mae Real Estate Mortgage Investment Conduit, Pass-Through Certificates 2004-90 GF | | | 0.788% | | | | 11/25/34 | | | | Aaa | | | $ | 325,330 | |
| | | | | |
| | 399 | | | Fannie Mae REMIC Pass-Through Certificates 2011-6 BA | | | 2.750% | | | | 6/25/20 | | | | Aaa | | | | 403,619 | |
| | | | | |
| | 2,264 | | | Fannie Mae, Connecticut Avenue Securities Series 2014-C01 | | | 2.088% | | | | 1/25/24 | | | | A3 | | | | 2,262,303 | |
| | | | | |
| | 2,604 | | | Fannie Mae, Connecticut Avenue Securities, Series 2014-C03 | | | 1.688% | | | | 7/25/24 | | | | BBB– | | | | 2,611,185 | |
| | | | | |
| | 1,574 | | | FDIC Structures Sale Guaranteed Notes, Series 2010-S1, 144A | | | 3.250% | | | | 4/25/38 | | | | Aaa | | | | 1,634,252 | |
| | | | | |
| | 291 | | | FDIC Structures Sale Guaranteed Notes, Series 2010-S1, 144A | | | 1.017% | | | | 2/25/48 | | | | Aaa | | | | 290,761 | |
| | | | | |
| | 5 | | | Federal Home Loan Mortgage Corporation, REMICR 1022 J | | | 6.000% | | | | 12/15/20 | | | | Aaa | | | | 5,354 | |
| | | | | |
| | 2,500 | | | Fifth Third Auto Trust, Series 2013 A B | | | 1.210% | | | | 4/15/19 | | | | AAA | | | | 2,494,902 | |
| | | | | |
| | 165 | | | Freddie Mac Gold Pool 786591 | | | 2.772% | | | | 12/01/26 | | | | Aaa | | | | 171,305 | |
| | | | | |
| | 103 | | | Freddie Mac Gold Pool 846946 | | | 2.611% | | | | 1/01/29 | | | | Aaa | | | | 107,719 | |
| | | | | |
| | 89 | | | Freddie Mac Gold Pool 786853 | | | 2.385% | | | | 10/01/29 | | | | Aaa | | | | 91,647 | |
| | | | | |
| | 153 | | | Freddie Mac Gold Pool 972055 | | | 3.743% | | | | 4/01/30 | | | | Aaa | | | | 161,824 | |
| | | | | |
| | 27 | | | Freddie Mac Gold Pool 847014 | | | 2.461% | | | | 5/01/30 | | | | Aaa | | | | 28,132 | |
| | | | | |
| | 522 | | | Freddie Mac Gold Pool 847241 | | | 2.633% | | | | 10/01/30 | | | | Aaa | | | | 538,554 | |
| | | | | |
| | 55 | | | Freddie Mac Gold Pool 847367 | | | 2.418% | | | | 6/01/31 | | | | Aaa | | | | 58,065 | |
| | | | | |
| | 759 | | | Freddie Mac Gold Pool 847331 | | | 2.578% | | | | 8/01/32 | | | | Aaa | | | | 798,176 | |
| | | | | |
| | 274 | | | Freddie Mac Gold Pool 847652 | | | 2.688% | | | | 9/01/32 | | | | Aaa | | | | 281,316 | |
| | | | | |
| | 62 | | | Freddie Mac Gold Pool 847063 | | | 2.819% | | | | 10/01/32 | | | | Aaa | | | | 65,933 | |
| | | | | |
| | 283 | | | Freddie Mac Gold Pool 780456 | | | 2.733% | | | | 5/01/33 | | | | Aaa | | | | 299,618 | |
| | | | | |
| | 595 | | | Freddie Mac Gold Pool 780911 | | | 2.527% | | | | 10/01/33 | | | | Aaa | | | | 628,646 | |
| | | | | |
| | 693 | | | Freddie Mac Gold Pool 781296 | | | 2.960% | | | | 3/01/34 | | | | Aaa | | | | 732,955 | |
| | | | | |
| | 981 | | | Freddie Mac Gold Pool 848193 | | | 2.727% | | | | 3/01/36 | | | | Aaa | | | | 1,036,169 | |
| | | | | |
| | 54 | | | Freddie Mac Mortgage Pool, Various M30035 | | | 4.500% | | | | 4/01/22 | | | | Aaa | | | | 56,583 | |
| | | | | |
| | 1,783 | | | Freddie Mac Mortgage Trust 2013-KF02, 144A | | | 3.488% | | | | 12/25/45 | | | | AAA | | | | 1,763,113 | |
| | | | | |
| | 1,000 | | | Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K711, 144A | | | 3.562% | | | | 8/25/45 | | | | Aaa | | | | 1,032,746 | |
| | | | | |
| | 2,000 | | | Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2013-K712, 144A | | | 3.369% | | | | 5/25/45 | | | | Aaa | | | | 2,030,443 | |
| | | | | |
| | 468 | | | Freddie Mac Multi-Class Certificates 3780 FE | | | 0.881% | | | | 12/15/20 | | | | Aaa | | | | 470,619 | |
| | | | | |
| | 4,076 | | | Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2012-K501, 144A | | | 3.262% | | | | 11/25/46 | | | | AAA | | | | 4,081,628 | |
| | | | | |
| | 1,300 | | | Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2012-K710, 144A | | | 3.821% | | | | 6/25/47 | | | | Aaa | | | | 1,348,752 | |
| | | | | |
| | 2,960 | | | Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2013-K502, 144A | | | 3.086% | | | | 3/25/45 | | | | AAA | | | | 2,974,661 | |
| | | | | |
| | 484 | | | Freddie Mac Non Gold Participation Certificates 1L1462 | | | 2.597% | | | | 8/01/36 | | | | Aaa | | | | 511,231 | |
| | | | | |
| | 3,468 | | | GAHR Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-NRF, 144A | | | 1.781% | | | | 12/15/34 | | | | AAA | | | | 3,470,145 | |
| | | | | |
| | 2,500 | | | General Electric Capital Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2007-C1 | | | 5.606% | | | | 12/10/49 | | | | Ba3 | | | | 2,418,461 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 2,790 | | | General Electric Capital Credit Card Master Trust, Series 2012-6 | | | 1.360% | | | | 8/17/20 | | | | AAA | | | $ | 2,797,097 | |
| | | | | |
| | 2,000 | | | Goldman Sachs Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2014-GSFL, 144A | | | 2.731% | | | | 7/15/31 | | | | A– | | | | 1,947,577 | |
| | | | | |
| | 2,378 | | | Goldman Sachs Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2014-GSFL, 144A | | | 1.484% | | | | 7/15/31 | | | | AAA | | | | 2,376,374 | |
| | | | | |
| | 1,665 | | | Goldman Sachs Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2010-C1, 144A | | | 3.679% | | | | 8/10/43 | | | | Aaa | | | | 1,733,150 | |
| | | | | |
| | 261 | | | Goldman Sachs Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2011-GC5 | | | 2.999% | | | | 8/10/44 | | | | Aaa | | | | 261,004 | |
| | | | | |
| | 41 | | | Government National Mortgage Association Pool 8824 | | | 2.000% | | | | 8/20/21 | | | | Aaa | | | | 43,276 | |
| | | | | |
| | 59 | | | Government National Mortgage Association Pool 8006 | | | 1.875% | | | | 7/20/22 | | | | Aaa | | | | 60,753 | |
| | | | | |
| | 48 | | | Government National Mortgage Association Pool 8699 | | | 1.875% | | | | 9/20/25 | | | | Aaa | | | | 49,145 | |
| | | | | |
| | 40 | | | Government National Mortgage Association Pool 8847 | | | 1.750% | | | | 4/20/26 | | | | Aaa | | | | 40,906 | |
| | | | | |
| | 14 | | | Government National Mortgage Association Pool 80106 | | | 1.875% | | | | 8/20/27 | | | | Aaa | | | | 14,217 | |
| | | | | |
| | 20 | | | Government National Mortgage Association Pool 80154 | | | 2.000% | | | | 1/20/28 | | | | Aaa | | | | 20,982 | |
| | | | | |
| | 56 | | | Government National Mortgage Association Pool 80283 | | | 1.750% | | | | 5/20/29 | | | | Aaa | | | | 58,548 | |
| | | | | |
| | 103 | | | Government National Mortgage Association Pool 80469 | | | 2.000% | | | | 11/20/30 | | | | Aaa | | | | 107,445 | |
| | | | | |
| | 31 | | | Government National Mortgage Association Pool 80507 | | | 1.750% | | | | 4/20/31 | | | | Aaa | | | | 31,740 | |
| | | | | |
| | 113 | | | Government National Mortgage Association Pool 80535 | | | 1.875% | | | | 8/20/31 | | | | Aaa | | | | 116,819 | |
| | | | | |
| | 19 | | | Government National Mortgage Association Pool 80580 | | | 2.000% | | | | 2/20/32 | | | | Aaa | | | | 19,023 | |
| | | | | |
| | 133 | | | Government National Mortgage Association, Guaranteed REMIC Pass-Through Securities and MX Securities Trust | | | 4.500% | | | | 5/16/38 | | | | Aaa | | | | 136,389 | |
| | | | | |
| | 2,025 | | | GP Portfolio Trust 2014-GPP A, 144A | | | 3.231% | | | | 2/15/27 | | | | BBB– | | | | 1,997,047 | |
| | | | | |
| | 3,000 | | | Green Tree Agency Advance Funding Trust, Manufactured Housing Contract Pass-Through Certificates, Series 2015-T2, 144A | | | 3.687% | | | | 10/15/48 | | | | AA | | | | 3,012,510 | |
| | | | | |
| | 4,500 | | | Greenwich Capital Commercial Funding Corporation, Commercial Mortgage Pass-Through Certificates Series 2007-GG9 | | | 5.475% | | | | 3/10/39 | | | | A | | | | 4,575,348 | |
| | | | | |
| | 3,100 | | | Huntington Auto Trust, Motor Vehicle Installment Payments, Series 2015-1 | | | 1.950% | | | | 6/15/21 | | | | AA+ | | | | 3,104,773 | |
| | | | | |
| | 2,500 | | | Hyatt Hotel Portfolio Trust, Mortgage Pass-Through Certificate, Series 2015-HYT, 144A | | | 2.183% | | | | 11/15/29 | | | | AA– | | | | 2,474,876 | |
| | | | | |
| | 628 | | | IMC Home Mortgage Company, Home Equity Loan Pass-Through Certificates, Series 1998-3 | | | 6.720% | | | | 8/20/29 | | | | AA | | | | 640,625 | |
| | | | | |
| | 3,863 | | | Impac Secured Assets Corporation, Mortgage Pass-Through Certificates, Series 2006-5 2A | | | 0.688% | | | | 12/25/36 | | | | Baa2 | | | | 3,594,971 | |
| | | | | |
| | 193 | | | IndyMac INDX Mortgage Loan Trust, Pass-Through Certificates, Series 2005-AR1 | | | 2.815% | | | | 3/25/35 | | | | BBB+ | | | | 191,873 | |
| | | | | |
| | 2,500 | | | Invitation Homes Trust 2013-SFR1, 144A | | | 2.637% | | | | 12/17/30 | | | | Baa2 | | | | 2,466,989 | |
| | | | | |
| | 4,930 | | | Invitation Homes Trust 2013-SFR1, 144A | | | 1.837% | | | | 12/17/30 | | | | Aa2 | | | | 4,870,180 | |
| | | | | |
| | 3,787 | | | Invitation Homes Trust 2014-SFR2, 144A | | | 2.082% | | | | 9/17/31 | | | | Aa2 | | | | 3,757,342 | |
| | | | | |
| | 1,957 | | | Invitation Homes Trust 2014-SFR2, 144A | | | 1.582% | | | | 9/17/31 | | | | Aaa | | | | 1,938,898 | |
| | | | | |
| | 1,367 | | | Invitation Homes Trust 2014-SFR3, 144A | | | 2.982% | | | | 12/17/31 | | | | A2 | | | | 1,368,364 | |
| | | | | |
| | 2,000 | | | John Deere Owner Trust, Series 2015-A | | | 1.320% | | | | 6/17/19 | | | | Aaa | | | | 2,007,306 | |
| | | | | |
| | 61 | | | JPMorgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2010-C2 A1, 144A | | | 2.749% | | | | 11/15/43 | | | | AAA | | | | 61,193 | |
Nuveen Short Term Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 3,466 | | | JPMorgan Madison Avenue Securities Trust, Mortgage Pass-Through Certificates, Series 2014-1, 144A | | | 2.738% | | | | 11/25/24 | | | | BBB– | | | $ | 3,470,670 | |
| | | | | |
| | 2,143 | | | Master Resecuritization Trust 2009-1, 144A | | | 6.000% | | | | 10/25/36 | | | | A | | | | 2,213,933 | |
| | | | | |
| | 8 | | | Mortgage Asset Securitization Transaction Inc., Alternative Loan Trust Mortgage Pass-Through Certificates, Series 2004-13 | | | 8.000% | | | | 1/25/35 | | | | BB | | | | 8,419 | |
| | | | | |
| | 2,000 | | | New Residential Advance Receivable Trust , Series 2016-T1, 144A | | | 4.377% | | | | 6/15/49 | | | | BBB | | | | 2,011,796 | |
| | | | | |
| | 2,400 | | | New Residential Advance Receivable Trust, Series 2015-T2, 144A | | | 3.302% | | | | 8/17/48 | | | | AAA | | | | 2,422,731 | |
| | | | | |
| | 3,118 | | | New Residential Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2014-2A, 144A | | | 3.750% | | | | 5/25/54 | | | | AAA | | | | 3,237,000 | |
| | | | | |
| | 2,851 | | | New Residential Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2015-A1, 144A | | | 3.750% | | | | 5/28/52 | | | | Aaa | | | | 2,913,646 | |
| | | | | |
| | 3,049 | | | New Residential Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2016-1A, 144A | | | 3.750% | | | | 3/25/56 | | | | AAA | | | | 3,185,335 | |
| | | | | |
| | 1,977 | | | NLY Commercial Mortgage Trust 2014-FL1, 144A | | | 3.081% | | | | 11/15/30 | | | | A– | | | | 1,975,318 | |
| | | | | |
| | 2,350 | | | OMART Receivables Trust, Series 2015-T3, 144A | | | 3.211% | | | | 11/15/47 | | | | AAA | | | | 2,359,966 | |
| | | | | |
| | 3,500 | | | Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-1 | | | 1.343% | | | | 2/25/35 | | | | AAA | | | | 3,378,362 | |
| | | | | |
| | 2,359 | | | PennyMac Loan Trust, Series 2015-NPL1, 144A | | | 4.000% | | | | 3/25/55 | | | | N/R | | | | 2,348,396 | |
| | | | | |
| | 2,838 | | | Pretium Mortgage Credit Partners I, Series 2016-NPL3, 144A | | | 4.375% | | | | 5/27/31 | | | | N/R | | | | 2,849,453 | |
| | | | | |
| | 347 | | | RBSSP Resecuritization Trust 2009-10, 144A | | | 0.553% | | | | 3/26/37 | | | | N/R | | | | 150,884 | |
| | | | | |
| | 1,288 | | | RBSSP Resecuritization Trust 2009-5, 144A | | | 0.953% | | | | 8/26/37 | | | | BBB | | | | 1,213,782 | |
| | | | | |
| | 1,923 | | | Santander Drive Auto Receivables Trust, Series 2014-1 | | | 1.590% | | | | 10/15/18 | | | | AAA | | | | 1,924,242 | |
| | | | | |
| | 814 | | | SMART Trust 2014-1US | | | 0.950% | | | | 2/14/18 | | | | Aaa | | | | 812,881 | |
| | | | | |
| | 3,497 | | | Social Professional Loan Program LLC, Series 2015-C, 144A | | | 2.510% | | | | 8/25/33 | | | | Aa2 | | | | 3,498,189 | |
| | | | | |
| | 102 | | | Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-11 | | | 2.954% | | | | 8/25/34 | | | | N/R | | | | 100,825 | |
| | | | | |
| | 1,839 | | | Structured Agency Credit Risk 2014-DN1 | | | 1.488% | | | | 2/25/24 | | | | Aa3 | | | | 1,839,872 | |
| | | | | |
| | 500 | | | Sway Residential Trust, Series 2014-1, 144A | | | 4.746% | | | | 1/17/32 | | | | N/R | | | | 499,998 | |
| | | | | |
| | 165 | | | Thornburg Mortgage Securities Trust, Mortgage Loan Pass-Through Certificates, Series 2007-4 | | | 6.030% | | | | 9/25/37 | | | | BBB+ | | | | 168,292 | |
| | | | | |
| | 7 | | | Truman Capital Mortgage Loan Trust, Series 2014-NPL3, 144A | | | 3.125% | | | | 4/25/53 | | | | N/R | | | | 6,617 | |
| | | | | |
| | 145 | | | UBS-Barclays Commercial Mortgage Trust 2012-C2 | | | 1.006% | | | | 5/10/63 | | | | Aaa | | | | 145,378 | |
| | | | | |
| | 1,267 | | | Vericrest Opportunity Loan Transferee, Series 2014-NPL8, 144A | | | 3.375% | | | | 10/26/54 | | | | N/R | | | | 1,259,604 | |
| | | | | |
| | 1,373 | | | Vericrest Opportunity Loan Transferee, Series 2015-NP10, 144A | | | 3.625% | | | | 7/25/45 | | | | N/R | | | | 1,363,961 | |
| | | | | |
| | 1,471 | | | Vericrest Opportunity Loan Transferee, Series 2015-NPL5, 144A | | | 3.500% | | | | 3/25/55 | | | | N/R | | | | 1,458,708 | |
| | | | | |
| | 2,140 | | | Volkswagen Auto Loan Enhanced Trust, Series 2014-2 | | | 0.950% | | | | 4/22/19 | | | | AAA | | | | 2,126,988 | |
| | | | | |
| | 2,581 | | | Vornado DP LLC Commercial Mortgage Credit Tenant Lease Series 2010-VNO, 144A | | | 2.970% | | | | 9/13/28 | | | | AAA | | | | 2,633,217 | |
| | | | | |
| | 2,414 | | | Walter Investment Management Company Capital Trust, Series 2012-AA, 144A | | | 4.549% | | | | 10/16/50 | | | | A | | | | 2,423,857 | |
| | | | | |
| | 5,245 | | | Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-LC22 | | | 1.639% | | | | 9/15/58 | | | | Aaa | | | | 5,278,645 | |
| | | | | |
| | 2,002 | | | Wells Fargo Home Equity Trust, Series 2005-2 | | | 1.028% | | | | 4/25/35 | | | | AA | | | | 1,909,203 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 734 | | | Wells Fargo Mortgage Backed Securities Trust, Mortgage Pass-Through Certificate Series 2006-AR14 | | | 2.751% | | | | 10/25/36 | | | | Caa2 | | | $ | 679,241 | |
| | | | | |
| | 16 | | | Wells Fargo Mortgage Backed Securities, 2005-AR16 Class 3A2 | | | 2.941% | | | | 3/25/35 | | | | A+ | | | | 16,433 | |
| | | | | |
| | 5,170 | | | American Tower Company, 144A | | | 1.551% | | | | 3/15/43 | | | | Aaa | | | | 5,181,037 | |
| | | | | |
| | 748 | | | National Credit Union Administration, Guaranteed Notes Series 2011-R1 | | | 0.923% | | | | 1/08/20 | | | | Aaa | | | | 749,558 | |
| | | | | |
| | 24 | | | U.S. Small Business Administration Guaranteed Participating Securities, Participation Certificates, Series 2007-10A | | | 5.459% | | | | 2/10/17 | | | | Aaa | | | | 24,760 | |
| | | | | |
| | 745 | | | Centerpoint Energy Transition Bond Company LLC | | | 0.901% | | | | 4/15/18 | | | | AAA | | | | 744,832 | |
| | | | | |
| | 5,209 | | | Entergy Arkansas Restoration Funding LLC, Senior Secured Storm Recovery Bonds, Series 2010-A | | | 2.300% | | | | 8/01/21 | | | | AAA | | | | 5,280,838 | |
| | | | | |
| | 3,441 | | | Entergy Louisiana Investment Recovery Funding LLC, Series 2011-A | | | 2.040% | | | | 9/01/23 | | | | AAA | | | | 3,466,188 | |
| $ | 247,635 | | | Total Asset-Backed and Mortgage-Backed Securities (cost $247,572,428) | | | | | | | | | | | | | | | 247,665,080 | |
| | | | Total Long-Term Investments (cost $586,555,760) | | | | | | | | | | | | | | | 589,778,982 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | | |
| | | | INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 5.0% | | | | | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 5.0% | | | | | | | | | | | | |
| | | | | |
| | 30,668,410 | | | Mount Vernon Securities Lending Trust Prime Portfolio, (6) | | | 0.557% (5) | | | | | | | | | | | $ | 30,668,410 | |
| | | | Total Investments Purchased with Collateral from Securities Lending (cost $30,668,410) | | | | | | | | 30,668,410 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | | | |
| | | | SHORT-TERM INVESTMENTS – 3.6% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 3.6% | | | | | | | | | | | | |
| | | | | |
| | 22,086,045 | | | First American Treasury Obligations Fund, Class Z | | | 0.230% (5) | | | | | | | | | | | $ | 22,086,045 | |
| | | | Total Short-Term Investments (cost $22,086,045) | | | | | | | | | | | | | | | 22,086,045 | |
| | | | Total Investments (cost $639,310,215) – 105.2% | | | | | | | | | | | | | | | 642,533,437 | |
| | | | Other Assets Less Liabilities – (5.2)% (7) | | | | | | | | | | | | | | | (32,091,707) | |
| | | | Net Assets – 100% | | | | | | | | | | | | | | $ | 610,441,730 | |
Investments in Derivatives as of June 30, 2016
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Contract
Position | | | Number of
Contracts | | | Contract
Expiration | | | Notional
Amount
at Value | | | Variation Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
| U.S. Treasury 5-Year Note | | | Short | | | | (200 | ) | | | 9/16 | | | $ | (24,432,813 | ) | | $ | (15,625 | ) | | $ | (445,569 | ) |
Nuveen Short Term Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
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) | For financial reporting purposes, the ratings (not covered by the report of independent registered public accounting firm) disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (3) | Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $29,939,567. |
| (4) | Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (5) | The rate shown is the annualized seven-day effective yield as of the end of the reporting period. |
| (6) | The Fund may loan securities representing up to one third of the fair value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks and other institutions. The Fund maintains collateral equal to at least 100% of the fair value of the securities loaned. The cash collateral received by the Fund is invested in this money market fund. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Securities Lending for more information. |
| (7) | Other assets less liabilities includes the unrealized appreciation (depreciation) of over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| I/O | Interest only security. |
| 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. |
See accompanying notes to financial statements.
Statement of
| | | | |
| | Assets and Liabilities | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
Assets | | | | | | | | | | | | | | | | | | | | |
Long-term investments, at value (cost $166,122,768, $372,719,816, $483,605,260, $73,171,531 and $586,555,760, respectively) | | $ | 174,983,729 | | | $ | 386,398,214 | | | $ | 500,620,961 | | | $ | 76,402,706 | | | $ | 589,778,982 | |
Investments purchased with collateral from securities lending, at value (cost approximates value) | | | 12,687,146 | | | | 40,105,132 | | | | 7,079,719 | | | | 360,938 | | | | 30,668,410 | |
Short-term investments, at value (cost approximates value) | | | 5,478,482 | | | | 22,643,737 | | | | 25,360,769 | | | | 3,045,876 | | | | 22,086,045 | |
Cash collateral at brokers(1) | | | 102,500 | | | | 653,637 | | | | 440,700 | | | | 29,150 | | | | 180,300 | |
Cash denominated in foreign currencies (cost $—, $—, $—, $— and $301, respectively) | | | — | | | | — | | | | — | | | | — | | | | 316 | |
Receivable for: | | | | | | | | | | | | | | | | | | | | |
Dividends | | | — | | | | — | | | | 3,625 | | | | — | | | | — | |
Due from broker | | | 2,211 | | | | 13,464 | | | | 2,122 | | | | 655 | | | | 4,866 | |
Interest | | | 1,126,765 | | | | 3,677,445 | | | | 1,459,173 | | | | 320,639 | | | | 2,826,520 | |
Investments sold | | | 4,005,555 | | | | 19,406,734 | | | | — | | | | 920,799 | | | | 514,197 | |
Reclaims | | | — | | | | 24,334 | | | | — | | | | — | | | | — | |
Shares sold | | | 1,003,024 | | | | 468,794 | | | | 3,268,225 | | | | 324,358 | | | | 624,592 | |
Variation margin on futures contracts | | | 11,516 | | | | 10,547 | | | | 7,188 | | | | 1,953 | | | | — | |
Variation margin on swap contracts | | | — | | | | 32,280 | | | | — | | | | — | | | | — | |
Other assets | | | 30,566 | | | | 39,390 | | | | 28,350 | | | | 12,626 | | | | 47,866 | |
Total assets | | | 199,431,494 | | | | 473,473,708 | | | | 538,270,832 | | | | 81,419,700 | | | | 646,732,094 | |
Liabilities | | | | | | | | | | | | | | | | | | | | |
Cash overdraft | | | — | | | | — | | | | — | | | | — | | | | 826,220 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | 349,642 | | | | — | | | | — | | | | — | |
Payable for: | | | | | | | | | | | | | | | | | | | | |
Collateral from securities lending program | | | 12,687,146 | | | | 40,105,132 | | | | 7,079,719 | | | | 360,938 | | | | 30,668,410 | |
Dividends | | | 175,288 | | | | 589,713 | | | | — | | | | 58,833 | | | | 520,675 | |
Investments purchased | | | 3,393,014 | | | | 37,727,512 | | | | 2,208,934 | | | | — | | | | — | |
Shares redeemed | | | 110,782 | | | | 751,922 | | | | 550,959 | | | | 151,577 | | | | 3,839,853 | |
Variation margin on futures contracts | | | 19,563 | | | | 25,094 | | | | 40,203 | | | | — | | | | 15,625 | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | |
Management fees | | | 55,902 | | | | 112,411 | | | | 116,475 | | | | 22,326 | | | | 177,165 | |
Directors fees | | | 17,065 | | | | 27,297 | | | | 15,948 | | | | 401 | | | | 36,762 | |
12b-1 distribution and service fees | | | 4,525 | | | | 24,883 | | | | 34,227 | | | | 4,034 | | | | 44,975 | |
Other | | | 77,670 | | | | 154,688 | | | | 322,150 | | | | 62,600 | | | | 160,679 | |
Total liabilities | | | 16,540,955 | | | | 79,868,294 | | | | 10,368,615 | | | | 660,709 | | | | 36,290,364 | |
Net assets | | $ | 182,890,539 | | | $ | 393,605,414 | | | $ | 527,902,217 | | | $ | 80,758,991 | | | $ | 610,441,730 | |
(1) Cash pledged to collateralize the net payment obligations for investments in derivatives.
See accompanying notes to financial statements.
Statement of Assets and Liabilities (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
Class A Shares | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 15,184,983 | | | $ | 61,768,680 | | | $ | 93,103,728 | | | $ | 13,760,106 | | | $ | 96,201,184 | |
Shares outstanding | | | 1,510,905 | | | | 5,608,286 | | | | 8,237,070 | | | | 1,535,339 | | | | 9,736,791 | |
Net asset value (“NAV”) per share | | $ | 10.05 | | | $ | 11.01 | | | $ | 11.30 | | | $ | 8.96 | | | $ | 9.88 | |
Offering price per share (NAV per share plus maximum sales charge of 3.00%, 4.25%, 4.25%, 3.00% and 2.25%, respectively, of offering price) | | $ | 10.36 | | | $ | 11.50 | | | $ | 11.80 | | | $ | 9.24 | | | $ | 10.11 | |
Class C Shares | | | | | | | | | | | | | | | | |
Net assets | | $ | 1,766,903 | | | $ | 8,387,048 | | | $ | 13,130,943 | | | $ | 1,550,498 | | | $ | 30,494,805 | |
Shares outstanding | | | 176,345 | | | | 765,059 | | | | 1,179,131 | | | | 172,691 | | | | 3,074,916 | |
NAV and offering price per share | | $ | 10.02 | | | $ | 10.96 | | | $ | 11.14 | | | $ | 8.98 | | | $ | 9.92 | |
Class R3 Shares | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | — | | | $ | 14,870,851 | | | $ | 13,093,960 | | | $ | 143,276 | | | $ | 285,285 | |
Shares outstanding | | | — | | | | 1,345,468 | | | | 1,168,548 | | | | 15,979 | | | | 28,829 | |
NAV and offering price per share | | $ | — | | | $ | 11.05 | | | $ | 11.21 | | | $ | 8.97 | | | $ | 9.90 | |
Class R6 Shares | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 58,698,975 | | | $ | 24,899,296 | | | $ | 3,773,070 | | | $ | — | | | $ | 66,836,171 | |
Shares outstanding | | | 5,858,490 | | | | 2,263,339 | | | | 329,255 | | | | — | | | | 6,750,903 | |
NAV and offering price per share | | $ | 10.02 | | | $ | 11.00 | | | $ | 11.46 | | | $ | — | | | $ | 9.90 | |
Class I Shares | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 107,239,678 | | | $ | 283,679,539 | | | $ | 404,800,516 | | | $ | 65,305,111 | | | $ | 416,624,285 | |
Shares outstanding | | | 10,712,877 | | | | 25,802,717 | | | | 35,408,226 | | | | 7,282,751 | | | | 42,131,537 | |
NAV and offering price per share | | $ | 10.01 | | | $ | 10.99 | | | $ | 11.43 | | | $ | 8.97 | | | $ | 9.89 | |
Net assets consist of: | | | | | | | | | | | | | | | | |
Capital paid-in | | $ | 177,928,911 | | | $ | 397,094,646 | | | $ | 512,055,213 | | | $ | 82,217,671 | | | $ | 623,546,326 | |
Undistributed (Over-distribution of) net investment income | | | (423,327 | ) | | | (3,472,816 | ) | | | 1,356,668 | | | | (58,842 | ) | | | (1,639,325 | ) |
Accumulated net realized gain (loss) | | | (3,451,841 | ) | | | (11,355,638 | ) | | | (3,069,788 | ) | | | (4,599,296 | ) | | | (14,242,939 | ) |
Net unrealized appreciation (depreciation) | | | 8,836,796 | | | | 11,339,222 | | | | 17,560,124 | | | | 3,199,458 | | | | 2,777,668 | |
Net assets | | $ | 182,890,539 | | | $ | 393,605,414 | | | $ | 527,902,217 | | | $ | 80,758,991 | | | $ | 610,441,730 | |
Authorized shares – per class | | | 2 billion | | | | 2 billion | | | | 2 billion | | | | 2 billion | | | | 2 billion | |
Par value per share | | $ | 0.0001 | | | $ | 0.0001 | | | $ | 0.0001 | | | $ | 0.0001 | | | $ | 0.0001 | |
See accompanying notes to financial statements.
Statement of
| | | | |
| | Operations | | Year Ended June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
Investment Income | | | | | | | | | | | | | | | | | | | | |
Dividend income | | $ | — | | | $ | 225,509 | | | $ | 33,304 | | | $ | — | | | $ | — | |
Interest income | | | 6,299,367 | | | | 21,173,606 | | | | 5,457,920 | | | | 1,519,488 | | | | 15,454,728 | |
Securities lending income, net | | | 34,928 | | | | 186,948 | | | | 23,571 | | | | 5,858 | | | | 85,088 | |
Total investment income | | | 6,334,295 | | | | 21,586,063 | | | | 5,514,795 | | | | 1,525,346 | | | | 15,539,816 | |
Expenses | | | | | | | | | | | | | | | | | | | | |
Management fees | | | 956,176 | | | | 2,104,974 | | | | 1,775,883 | | | | 344,119 | | | | 2,623,609 | |
12b-1 service fees – Class A Shares | | | 35,657 | | | | 161,668 | | | | 154,837 | | | | 29,047 | | | | 244,974 | |
12b-1 distribution and service fees – Class C Shares | | | 12,409 | | | | 80,672 | | | | 113,156 | | | | 11,835 | | | | 319,534 | |
12b-1 distribution and service fees – Class R3 Shares | | | — | | | | 50,959 | | | | 43,784 | | | | 564 | | | | 1,206 | |
Shareholder servicing agent fees | | | 85,627 | | | | 308,434 | | | | 947,810 | | | | 43,748 | | | | 293,507 | |
Custodian fees | | | 68,264 | | | | 149,039 | | | | 77,433 | | | | 43,447 | | | | 160,588 | |
Directors fees | | | 5,289 | | | | 12,051 | | | | 11,013 | | | | 1,933 | | | | 17,755 | |
Professional fees | | | 57,278 | | | | 75,858 | | | | 69,289 | | | | 48,094 | | | | 85,321 | |
Shareholder reporting expenses | | | 13,810 | | | | 33,316 | | | | 60,154 | | | | 9,228 | | | | 45,270 | |
Federal and state registration fees | | | 53,301 | | | | 71,104 | | | | 83,271 | | | | 52,621 | | | | 80,003 | |
Other | | | 13,056 | | | | 25,045 | | | | 12,866 | | | | 7,577 | | | | 28,585 | |
Total expenses before fee waiver/expense reimbursement | | | 1,300,867 | | | | 3,073,120 | | | | 3,349,496 | | | | 592,213 | | | | 3,900,352 | |
Fee waiver/expense reimbursement | | | (190,441 | ) | | | (442,299 | ) | | | (566,150 | ) | | | (111,570 | ) | | | (271,589 | ) |
Net expenses | | | 1,110,426 | | | | 2,630,821 | | | | 2,783,346 | | | | 480,643 | | | | 3,628,763 | |
Net investment income (loss) | | | 5,223,869 | | | | 18,955,242 | | | | 2,731,449 | | | | 1,044,703 | | | | 11,911,053 | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | | | | | |
Investments and foreign currency | | | (1,730,332 | ) | | | (11,286,495 | ) | | | (421,526 | ) | | | 165,420 | | | | (4,196,675 | ) |
Forward foreign currency exchange contracts | | | — | | | | 2,551,574 | | | | — | | | | — | | | | 141,178 | |
Futures contracts | | | (1,374,998 | ) | | | (1,704,965 | ) | | | (539,412 | ) | | | (546,481 | ) | | | (697,162 | ) |
Swaps | | | (558,892 | ) | | | (3,093,979 | ) | | | (583,194 | ) | | | (66,161 | ) | | | (1,481,338 | ) |
Change in net unrealized appreciation (depreciation) of: | | | | | | | | | | | | | | | | | | | | |
Investments and foreign currency | | | 6,189,948 | | | | 2,066,990 | | | | 15,539,212 | | | | 1,874,881 | | | | 1,317,230 | |
Forward foreign currency exchange contracts | | | — | | | | (593,304 | ) | | | — | | | | — | | | | — | |
Futures contracts | | | 218,283 | | | | 59,164 | | | | 617,309 | | | | (31,945 | ) | | | (245,584 | ) |
Swaps | | | 157,115 | | | | (909,694 | ) | | | 80,776 | | | | (10,105 | ) | | | 258,316 | |
Net realized and unrealized gain (loss) | | | 2,901,124 | | | | (12,910,709 | ) | | | 14,693,165 | | | | 1,385,609 | | | | (4,904,035 | ) |
Net increase (decrease) in net assets from operations | | $ | 8,124,993 | | | $ | 6,044,533 | | | $ | 17,424,614 | | | $ | 2,430,312 | | | $ | 7,007,018 | |
See accompanying notes to financial statements.
Statement of
| | | | | | | | | | | | | | | | | | | | |
| | |
Core Bond | | | | | | Core Plus Bond | |
| | | Year Ended 6/30/16 | | | Year Ended
6/30/15 | | | | | | Year Ended 6/30/16 | | | Year Ended
6/30/15 | |
Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 5,223,869 | | | $ | 7,814,108 | | | | | | | $ | 18,955,242 | | | $ | 23,893,497 | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | | | | | |
Investments and foreign currency | | | (1,730,332 | ) | | | 5,031,234 | | | | | | | | (11,286,495 | ) | | | 4,252,552 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | | | | | 2,551,574 | | | | 1,634,643 | |
Futures contracts | | | (1,374,998 | ) | | | (612,361 | ) | | | | | | | (1,704,965 | ) | | | (3,194,614 | ) |
Swaps | | | (558,892 | ) | | | (124,922 | ) | | | | | | | (3,093,979 | ) | | | (1,449,357 | ) |
Change in net unrealized appreciation (depreciation) of: | | | | | | | | | | | | | | | | | | | | |
Investments and foreign currency | | | 6,189,948 | | | | (8,406,743 | ) | | | | | | | 2,066,990 | | | | (25,921,625 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | | | | | (593,304 | ) | | | 113,116 | |
Futures contracts | | | 218,283 | | | | (289,855 | ) | | | | | | | 59,164 | | | | (10,137 | ) |
Swaps | | | 157,115 | | | | (55,935 | ) | | | | | | | (909,694 | ) | | | (522,059 | ) |
Net increase (decrease) in net assets from operations | | | 8,124,993 | | | | 3,355,526 | | | | | | | | 6,044,533 | | | | (1,203,984 | ) |
Distributions to Shareholders | | | | | | | | | | | | | | | | | | | | |
From net investment income: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | (307,124 | ) | | | (410,574 | ) | | | | | | | (2,601,132 | ) | | | (2,692,431 | ) |
Class C Shares | | | (16,758 | ) | | | (15,077 | ) | | | | | | | (264,008 | ) | | | (283,270 | ) |
Class R3 Shares | | | — | | | | — | | | | | | | | (388,284 | ) | | | (77,205 | ) |
Class R6 Shares | | | (1,343,684 | ) | | | (606,476 | ) | | | | | | | (1,135,658 | ) | | | (819,814 | ) |
Class I Shares | | | (3,255,540 | ) | | | (7,655,076 | ) | | | | | | | (14,709,012 | ) | | | (19,556,879 | ) |
From accumulated net realized gains: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | (91,416 | ) | | | (263,674 | ) | | | | | | | (114,029 | ) | | | (107,721 | ) |
Class C Shares | | | (7,303 | ) | | | (13,719 | ) | | | | | | | (14,202 | ) | | | (14,759 | ) |
Class R3 Shares | | | — | | | | — | | | | | | | | (20,809 | ) | | | (2,022 | ) |
Class R6 Shares | | | (363,524 | ) | | | — | | | | | | | | (45,069 | ) | | | — | |
Class I Shares | | | (838,155 | ) | | | (4,644,858 | ) | | | | | | | (612,202 | ) | | | (758,094 | ) |
Return of capital: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | (60,155 | ) | | | — | | | | | | | | — | | | | — | |
Class C Shares | | | (5,269 | ) | | | — | | | | | | | | — | | | | — | |
Class R3 Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class R6 Shares | | | (236,107 | ) | | | — | | | | | | | | — | | | | — | |
Class I Shares | | | (566,776 | ) | | | — | | | | | | | | — | | | | — | |
Decrease in net assets from distributions to shareholders | | | (7,091,811 | ) | | | (13,609,454 | ) | | | | | | | (19,904,405 | ) | | | (24,312,195 | ) |
Fund Share Transactions | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | 42,385,537 | | | | 85,693,256 | | | | | | | | 51,020,002 | | | | 165,027,733 | |
Proceeds from shares issued to shareholders due to reinvestment of distributions | | | 3,646,596 | | | | 5,944,510 | | | | | | | | 10,176,954 | | | | 10,857,907 | |
| | | 46,032,133 | | | | 91,637,766 | | | | | | | | 61,196,956 | | | | 175,885,640 | |
Cost of shares redeemed | | | (101,207,255 | ) | | | (189,624,091 | ) | | | | | | | (220,210,716 | ) | | | (175,913,051 | ) |
Net increase (decrease) in net assets from Fund share transactions | | | (55,175,122 | ) | | | (97,986,325 | ) | | | | | | | (159,013,760 | ) | | | (27,411 | ) |
Net increase (decrease) in net assets | | | (54,141,940 | ) | | | (108,240,253 | ) | | | | | | | (172,873,632 | ) | | | (25,543,590 | ) |
Net assets at the beginning of period | | | 237,032,479 | | | | 345,272,732 | | | | | | | | 566,479,046 | | | | 592,022,636 | |
Net assets at the end of period | | $ | 182,890,539 | | | $ | 237,032,479 | | | | | | | $ | 393,605,414 | | | $ | 566,479,046 | |
Undistributed (Over-distribution of) net investment income at the end of period | | $ | (423,327 | ) | | $ | (596,106 | ) | | | | | | $ | (3,472,816 | ) | | $ | 226,421 | |
See accompanying notes to financial statements.
| | | | | | | | | | | | | | | | | | | | |
| | | Inflation Protected Securities | | | | | | Intermediate Government Bond | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | | | | | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 2,731,449 | | | $ | (358,198 | ) | | | | | | $ | 1,044,703 | | | $ | 1,173,696 | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | | | | | |
Investments and foreign currency | | | (421,526 | ) | | | 421,417 | | | | | | | | 165,420 | | | | 248,726 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | | | | | — | | | | — | |
Futures contracts | | | (539,412 | ) | | | (754,218 | ) | | | | | | | (546,481 | ) | | | (148,062 | ) |
Swaps | | | (583,194 | ) | | | (87,457 | ) | | | | | | | (66,161 | ) | | | — | |
Change in net unrealized appreciation (depreciation) of: | | | | | | | | | | | | | | | | | | | | |
Investments and foreign currency | | | 15,539,212 | | | | (5,873,341 | ) | | | | | | | 1,874,881 | | | | (230,005 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | | | | | — | | | | — | |
Futures contracts | | | 617,309 | | | | (139,680 | ) | | | | | | | (31,945 | ) | | | 9,364 | |
Swaps | | | 80,776 | | | | (9,837 | ) | | | | | | | (10,105 | ) | | | 10,105 | |
Net increase (decrease) in net assets from operations | | | 17,424,614 | | | | (6,801,314 | ) | | | | | | | 2,430,312 | | | | 1,063,824 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | | | | | |
From net investment income: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | — | | | | (152,769 | ) | | | | | | | (141,814 | ) | | | (95,950 | ) |
Class C Shares | | | — | | | | (11,491 | ) | | | | | | | (5,691 | ) | | | (1,935 | ) |
Class R3 Shares | | | — | | | | (17,756 | ) | | | | | | | (1,016 | ) | | | (1,061 | ) |
Class R6 Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class I Shares | | | — | | | | (2,430,339 | ) | | | | | | | (893,921 | ) | | | (989,317 | ) |
From accumulated net realized gains: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class C Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class R3 Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class R6 Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class I Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Return of capital: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | — | | | | (122,017 | ) | | | | | | | — | | | | — | |
Class C Shares | | | — | | | | (25,540 | ) | | | | | | | — | | | | — | |
Class R3 Shares | | | — | | | | (13,085 | ) | | | | | | | — | | | | — | |
Class R6 Shares | | | — | | | | (1,246 | ) | | | | | | | — | | | | — | |
Class I Shares | | | — | | | | (1,261,968 | ) | | | | | | | — | | | | — | |
Decrease in net assets from distributions to shareholders | | | — | | | | (4,036,211 | ) | | | | | | | (1,042,442 | ) | | | (1,088,263 | ) |
Fund Share Transactions | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | 257,295,500 | | | | 144,694,926 | | | | | | | | 30,723,506 | | | | 34,529,466 | |
Proceeds from shares issued to shareholders due to reinvestment of distributions | | | — | | | | 961,850 | | | | | | | | 369,458 | | | | 192,564 | |
| | | 257,295,500 | | | | 145,656,776 | | | | | | | | 31,092,964 | | | | 34,722,030 | |
Cost of shares redeemed | | | (136,999,242 | ) | | | (100,530,682 | ) | | | | | | | (27,384,958 | ) | | | (55,617,506 | ) |
Net increase (decrease) in net assets from Fund share transactions | | | 120,296,258 | | | | 45,126,094 | | | | | | | | 3,708,006 | | | | (20,895,476 | ) |
Net increase (decrease) in net assets | | | 137,720,872 | | | | 34,288,569 | | | | | | | | 5,095,876 | | | | (20,919,915 | ) |
Net assets at the beginning of period | | | 390,181,345 | | | | 355,892,776 | | | | | | | | 75,663,115 | | | | 96,583,030 | |
Net assets at the end of period | | $ | 527,902,217 | | | $ | 390,181,345 | | | | | | | $ | 80,758,991 | | | $ | 75,663,115 | |
Undistributed (Over-distribution of) net investment income at the end of period | | $ | 1,356,668 | | | $ | (1,224,267 | ) | | | | | | $ | (58,842 | ) | | $ | (40,066 | ) |
See accompanying notes to financial statements.
Statement of Changes in Net Assets (continued)
| | | | | | | | |
| | |
Short Term Bond | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
Operations | | | | | | | | |
Net investment income (loss) | | $ | 11,911,053 | | | $ | 16,811,917 | |
Net realized gain (loss) from: | | | | | | | | |
Investments and foreign currency | | | (4,196,675 | ) | | | (802,458 | ) |
Forward foreign currency exchange contracts | | | 141,178 | | | | — | |
Futures contracts | | | (697,162 | ) | | | (2,388,015 | ) |
Swaps | | | (1,481,338 | ) | | | (595,864 | ) |
Change in net unrealized appreciation (depreciation) of: | | | | | | | | |
Investments and foreign currency | | | 1,317,230 | | | | (7,953,868 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | |
Futures contracts | | | (245,584 | ) | | | (363,216 | ) |
Swaps | | | 258,316 | | | | (56,331 | ) |
Net increase (decrease) in net assets from operations | | | 7,007,018 | | | | 4,652,165 | |
Distributions to Shareholders | | | | | | | | |
From net investment income: | | | | | | | | |
Class A Shares | | | (1,508,399 | ) | | | (1,658,982 | ) |
Class C Shares | | | (238,936 | ) | | | (269,364 | ) |
Class R3 Shares | | | (3,012 | ) | | | (9,008 | ) |
Class R6 Shares | | | (1,053,567 | ) | | | (212,174 | ) |
Class I Shares | | | (8,317,947 | ) | | | (14,124,963 | ) |
From accumulated net realized gains: | | | | | | | | |
Class A Shares | | | — | | | | — | |
Class C Shares | | | — | | | | — | |
Class R3 Shares | | | — | | | | — | |
Class R6 Shares | | | — | | | | — | |
Class I Shares | | | — | | | | — | |
Return of capital: | | | | | | | | |
Class A Shares | | | — | | | | — | |
Class C Shares | | | — | | | | — | |
Class R3 Shares | | | — | | | | — | |
Class R6 Shares | | | — | | | | — | |
Class I Shares | | | — | | | | — | |
Decrease in net assets from distributions to shareholders | | | (11,121,861 | ) | | | (16,274,491 | ) |
Fund Share Transactions | | | | | | | | |
Proceeds from sale of shares | | | 213,859,742 | | | | 309,686,804 | |
Proceeds from shares issued to shareholders due to reinvestment of distributions | | | 4,309,842 | | | | 4,640,699 | |
| | | 218,169,584 | | | | 314,327,503 | |
Cost of shares redeemed | | | (294,336,996 | ) | | | (683,861,963 | ) |
Net increase (decrease) in net assets from Fund share transactions | | | (76,167,412 | ) | | | (369,534,460 | ) |
Net increase (decrease) in net assets | | | (80,282,255 | ) | | | (381,156,786 | ) |
Net assets at the beginning of period | | | 690,723,985 | | | | 1,071,880,771 | |
Net assets at the end of period | | $ | 610,441,730 | | | $ | 690,723,985 | |
Undistributed (Over-distribution of) net investment income at the end of period | | $ | (1,639,325 | ) | | $ | (1,641,078 | ) |
See accompanying notes to financial statements.
THIS PAGE INTENTIONALLY LEFT BLANK
Financial
Highlights
Core Bond
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 (1/95) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 9.97 | | | $ | 0.23 | | | $ | 0.17 | | | $ | 0.40 | | | | | | | $ | (0.22 | ) | | $ | (0.06 | ) | | $ | (0.04 | ) | | $ | (0.32 | ) | | $ | 10.05 | |
2015 | | | 10.36 | | | | 0.25 | | | | (0.19 | ) | | | 0.06 | | | | | | | | (0.28 | ) | | | (0.17 | ) | | | — | | | | (0.45 | ) | | | 9.97 | |
2014 | | | 10.13 | | | | 0.24 | | | | 0.35 | | | | 0.59 | | | | | | | | (0.22 | ) | | | (0.14 | ) | | | — | | | | (0.36 | ) | | | 10.36 | |
2013 | | | 10.67 | | | | 0.18 | | | | (0.20 | ) | | | (0.02 | ) | | | | | | | (0.18 | ) | | | (0.34 | ) | | | — | | | | (0.52 | ) | | | 10.13 | |
2012 | | | 10.47 | | | | 0.29 | | | | 0.23 | | | | 0.52 | | | | | | | | (0.30 | ) | | | (0.02 | ) | | | — | | | | (0.32 | ) | | | 10.67 | |
Class C (1/11) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 9.94 | | | | 0.15 | | | | 0.17 | | | | 0.32 | | | | | | | | (0.14 | ) | | | (0.06 | ) | | | (0.04 | ) | | | (0.24 | ) | | | 10.02 | |
2015 | | | 10.32 | | | | 0.17 | | | | (0.19 | ) | | | (0.02 | ) | | | | | | | (0.19 | ) | | | (0.17 | ) | | | — | | | | (0.36 | ) | | | 9.94 | |
2014 | | | 10.08 | | | | 0.16 | | | | 0.36 | | | | 0.52 | | | | | | | | (0.14 | ) | | | (0.14 | ) | | | — | | | | (0.28 | ) | | | 10.32 | |
2013 | | | 10.62 | | | | 0.09 | | | | (0.19 | ) | | | (0.10 | ) | | | | | | | (0.09 | ) | | | (0.35 | ) | | | — | | | | (0.44 | ) | | | 10.08 | |
2012 | | | 10.44 | | | | 0.19 | | | | 0.22 | | | | 0.41 | | | | | | | | (0.22 | ) | | | (0.01 | ) | | | — | | | | (0.23 | ) | | | 10.62 | |
Class R6 (1/15) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 9.94 | | | | 0.26 | | | | 0.16 | | | | 0.42 | | | | | | | | (0.24 | ) | | | (0.06 | ) | | | (0.04 | ) | | | (0.34 | ) | | | 10.02 | |
2015(e) | | | 10.22 | | | | 0.12 | | | | (0.27 | ) | | | (0.15 | ) | | | | | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 9.94 | |
Class I (1/93) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 9.93 | | | | 0.25 | | | | 0.17 | | | | 0.42 | | | | | | | | (0.24 | ) | | | (0.06 | ) | | | (0.04 | ) | | | (0.34 | ) | | | 10.01 | |
2015 | | | 10.32 | | | | 0.27 | | | | (0.19 | ) | | | 0.08 | | | | | | | | (0.30 | ) | | | (0.17 | ) | | | — | | | | (0.47 | ) | | | 9.93 | |
2014 | | | 10.09 | | | | 0.26 | | | | 0.22 | | | | 0.48 | | | | | | | | (0.11 | ) | | | (0.14 | ) | | | — | | | | (0.25 | ) | | | 10.32 | |
2013 | | | 10.63 | | | | 0.20 | | | | (0.20 | ) | | | — | | | | | | | | (0.21 | ) | | | (0.33 | ) | | | — | | | | (0.54 | ) | | | 10.09 | |
2012 | | | 10.43 | | | | 0.30 | | | | 0.23 | | | | 0.53 | | | | | | | | (0.32 | ) | | | (0.01 | ) | | | — | | | | (0.33 | ) | | | 10.63 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average
Net Assets Before
Waiver/Reimbursement | | | | | | Ratios to Average
Net Assets After
Waiver/Reimbursement(c) | | | | |
| | | | | | | | |
Total
Return(b) | | | Ending
Net
Assets
(000) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | Portfolio
Turnover
Rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 4.12 | % | | $ | 15,185 | | | | | | | | 0.87 | % | | | 2.21 | % | | | | | | | 0.78 | % | | | 2.30 | % | | | 75 | % |
| | 0.52 | | | | 14,448 | | | | | | | | 0.85 | | | | 2.34 | | | | | | | | 0.78 | | | | 2.40 | | | | 44 | |
| | 5.94 | | | | 14,857 | | | | | | | | 0.81 | | | | 2.29 | | | | | | | | 0.78 | | | | 2.32 | | | | 49 | |
| | (0.38 | ) | | | 18,331 | | | | | | | | 0.79 | | | | 1.63 | | | | | | | | 0.78 | | | | 1.65 | | | | 85 | |
| | 4.93 | | | | 21,262 | | | | | | | | 0.95 | | | | 2.61 | | | | | | | | 0.85 | | | | 2.70 | | | | 75 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3.31 | | | | 1,767 | | | | | | | | 1.63 | | | | 1.46 | | | | | | | | 1.53 | | | | 1.55 | | | | 75 | |
| | (0.20 | ) | | | 971 | | | | | | | | 1.61 | | | | 1.59 | | | | | | | | 1.53 | | | | 1.67 | | | | 44 | |
| | 5.24 | | | | 514 | | | | | | | | 1.56 | | | | 1.54 | | | | | | | | 1.53 | | | | 1.57 | | | | 49 | |
| | (1.17 | ) | | | 585 | | | | | | | | 1.54 | | | | 0.87 | | | | | | | | 1.53 | | | | 0.88 | | | | 85 | |
| | 3.97 | | | | 1,568 | | | | | | | | 1.69 | | | | 1.79 | | | | | | | | 1.67 | | | | 1.81 | | | | 75 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 4.38 | | | | 58,699 | | | | | | | | 0.57 | | | | 2.51 | | | | | | | | 0.48 | | | | 2.60 | | | | 75 | |
| | (1.46 | ) | | | 45,145 | | | | | | | | 0.56 | * | | | 2.60 | * | | | | | | | 0.48 | * | | | 2.68 | * | | | 44 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 4.39 | | | | 107,240 | | | | | | | | 0.62 | | | | 2.46 | | | | | | | | 0.53 | | | | 2.55 | | | | 75 | |
| | 0.78 | | | | 176,468 | | | | | | | | 0.59 | | | | 2.59 | | | | | | | | 0.53 | | | | 2.65 | | | | 44 | |
| | 6.21 | | | | 329,901 | | | | | | | | 0.56 | | | | 2.53 | | | | | | | | 0.53 | | | | 2.56 | | | | 49 | |
| | (0.16 | ) | | | 481,088 | | | | | | | | 0.54 | | | | 1.88 | | | | | | | | 0.53 | | | | 1.89 | | | | 85 | |
| | 5.18 | | | | 621,066 | | | | | | | | 0.70 | | | | 2.85 | | | | | | | | 0.68 | | | | 2.87 | | | | 75 | |
| (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) | 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. | |
| (e) | For the period January 20, 2015 (commencement of operations) through June 30, 2015. | |
See accompanying notes to financial statements.
Financial Highlights (continued)
Core Plus Bond
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 | | | Total | | | Ending
NAV | |
Class A (12/87) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 11.25 | | | $ | 0.44 | | | $ | (0.22 | ) | | $ | 0.22 | | | | | | | $ | (0.44 | ) | | $ | (0.02 | ) | | $ | (0.46 | ) | | $ | 11.01 | |
2015 | | | 11.75 | | | | 0.45 | | | | (0.49 | ) | | | (0.04 | ) | | | | | | | (0.44 | ) | | | (0.02 | ) | | | (0.46 | ) | | | 11.25 | |
2014 | | | 11.46 | | | | 0.46 | | | | 0.45 | | | | 0.91 | | | | | | | | (0.43 | ) | | | (0.19 | ) | | | (0.62 | ) | | | 11.75 | |
2013 | | | 11.64 | | | | 0.41 | | | | (0.12 | ) | | | 0.29 | | | | | | | | (0.42 | ) | | | (0.05 | ) | | | (0.47 | ) | | | 11.46 | |
2012 | | | 11.44 | | | | 0.41 | | | | 0.21 | | | | 0.62 | | | | | | | | (0.42 | ) | | | — | | | | (0.42 | ) | | | 11.64 | |
Class C (2/99) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 11.20 | | | | 0.35 | | | | (0.22 | ) | | | 0.13 | | | | | | | | (0.35 | ) | | | (0.02 | ) | | | (0.37 | ) | | | 10.96 | |
2015 | | | 11.69 | | | | 0.36 | | | | (0.48 | ) | | | (0.12 | ) | | | | | | | (0.35 | ) | | | (0.02 | ) | | | (0.37 | ) | | | 11.20 | |
2014 | | | 11.40 | | | | 0.37 | | | | 0.45 | | | | 0.82 | | | | | | | | (0.34 | ) | | | (0.19 | ) | | | (0.53 | ) | | | 11.69 | |
2013 | | | 11.59 | | | | 0.32 | | | | (0.12 | ) | | | 0.20 | | | | | | | | (0.34 | ) | | | (0.05 | ) | | | (0.39 | ) | | | 11.40 | |
2012 | | | 11.40 | | | | 0.32 | | | | 0.21 | | | | 0.53 | | | | | | | | (0.34 | ) | | | — | | | | (0.34 | ) | | | 11.59 | |
Class R3 (9/01) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 11.29 | | | | 0.41 | | | | (0.22 | ) | | | 0.19 | | | | | | | | (0.41 | ) | | | (0.02 | ) | | | (0.43 | ) | | | 11.05 | |
2015 | | | 11.80 | | | | 0.42 | | | | (0.50 | ) | | | (0.08 | ) | | | | | | | (0.41 | ) | | | (0.02 | ) | | | (0.43 | ) | | | 11.29 | |
2014 | | | 11.51 | | | | 0.43 | | | | 0.46 | | | | 0.89 | | | | | | | | (0.41 | ) | | | (0.19 | ) | | | (0.60 | ) | | | 11.80 | |
2013 | | | 11.70 | | | | 0.38 | | | | (0.12 | ) | | | 0.26 | | | | | | | | (0.40 | ) | | | (0.05 | ) | | | (0.45 | ) | | | 11.51 | |
2012 | | | 11.50 | | | | 0.38 | | | | 0.22 | | | | 0.60 | | | | | | | | (0.40 | ) | | | — | | | | (0.40 | ) | | | 11.70 | |
Class R6 (1/15) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 11.23 | | | | 0.47 | | | | (0.21 | ) | | | 0.26 | | | | | | | | (0.47 | ) | | | (0.02 | ) | | | (0.49 | ) | | | 11.00 | |
2015(e) | | | 11.48 | | | | 0.22 | | | | (0.26 | ) | | | (0.04 | ) | | | | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | | 11.23 | |
Class I (2/94) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 11.24 | | | | 0.46 | | | | (0.22 | ) | | | 0.24 | | | | | | | | (0.47 | ) | | | (0.02 | ) | | | (0.49 | ) | | | 10.99 | |
2015 | | | 11.74 | | | | 0.48 | | | | (0.49 | ) | | | (0.01 | ) | | | | | | | (0.47 | ) | | | (0.02 | ) | | | (0.49 | ) | | | 11.24 | |
2014 | | | 11.44 | | | | 0.49 | | | | 0.46 | | | | 0.95 | | | | | | | | (0.46 | ) | | | (0.19 | ) | | | (0.65 | ) | | | 11.74 | |
2013 | | | 11.64 | | | | 0.44 | | | | (0.14 | ) | | | 0.30 | | | | | | | | (0.45 | ) | | | (0.05 | ) | | | (0.50 | ) | | | 11.44 | |
2012 | | | 11.44 | | | | 0.44 | | | | 0.21 | | | | 0.65 | | | | | | | | (0.45 | ) | | | — | | | | (0.45 | ) | | | 11.64 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average
Net Assets Before
Waiver/Reimbursement | | | | | | Ratios to Average
Net Assets After
Waiver/Reimbursement(c) | | | | |
| | | | | | | | |
Total
Return(b) | | | Ending
Net
Assets
(000) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | Portfolio
Turnover
Rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.07 | % | | $ | 61,769 | | | | | | | | 0.87 | % | | | 3.91 | % | | | | | | | 0.77 | % | | | 4.00 | % | | | 79 | % |
| | (0.41 | ) | | | 69,968 | | | | | | | | 0.85 | | | | 3.80 | | | | | | | | 0.77 | | | | 3.88 | | | | 44 | |
| | 8.23 | | | | 68,728 | | | | | | | | 0.84 | | | | 3.89 | | | | | | | | 0.77 | | | | 3.97 | | | | 50 | |
| | 2.40 | | | | 79,740 | | | | | | | | 0.81 | | | | 3.42 | | | | | | | | 0.77 | | | | 3.46 | | | | 46 | |
| | 5.52 | | | | 83,264 | | | | | | | | 0.97 | | | | 3.51 | | | | | | | | 0.93 | | | | 3.55 | | | | 98 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1.29 | | | | 8,387 | | | | | | | | 1.62 | | | | 3.15 | | | | | | | | 1.52 | | | | 3.25 | | | | 79 | |
| | (1.10 | ) | | | 8,580 | | | | | | | | 1.60 | | | | 3.06 | | | | | | | | 1.52 | | | | 3.15 | | | | 44 | |
| | 7.43 | | | | 7,696 | | | | | | | | 1.59 | | | | 3.13 | | | | | | | | 1.52 | | | | 3.20 | | | | 50 | |
| | 1.59 | | | | 4,200 | | | | | | | | 1.56 | | | | 2.67 | | | | | | | | 1.52 | | | | 2.71 | | | | 46 | |
| | 4.68 | | | | 4,603 | | | | | | | | 1.72 | | | | 2.76 | | | | | | | | 1.67 | | | | 2.80 | | | | 98 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1.83 | | | | 14,871 | | | | | | | | 1.12 | | | | 3.64 | | | | | | | | 1.02 | | | | 3.74 | | | | 79 | |
| | (0.70 | ) | | | 3,751 | | | | | | | | 1.10 | | | | 3.57 | | | | | | | | 1.02 | | | | 3.65 | �� | | | 44 | |
| | 7.97 | | | | 638 | | | | | | | | 1.10 | | | | 3.65 | | | | | | | | 1.02 | | | | 3.73 | | | | 50 | |
| | 2.11 | | | | 350 | | | | | | | | 1.06 | | | | 3.18 | | | | | | | | 1.02 | | | | 3.22 | | | | 46 | |
| | 5.27 | | | | 313 | | | | | | | | 1.22 | | | | 3.24 | | | | | | | | 1.18 | | | | 3.27 | | | | 98 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.35 | | | | 24,899 | | | | | | | | 0.56 | | | | 4.21 | | | | | | | | 0.46 | | | | 4.31 | | | | 79 | |
| | (0.29 | ) | | | 43,680 | | | | | | | | 0.54 | * | | | 4.14 | * | | | | | | | 0.46 | * | | | 4.22 | * | | | 44 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.26 | | | | 283,680 | | | | | | | | 0.62 | | | | 4.16 | | | | | | | | 0.52 | | | | 4.25 | | | | 79 | |
| | (0.15 | ) | | | 440,499 | | | | | | | | 0.60 | | | | 4.04 | | | | | | | | 0.52 | | | | 4.12 | | | | 44 | |
| | 8.64 | | | | 514,961 | | | | | | | | 0.60 | | | | 4.17 | | | | | | | | 0.52 | | | | 4.24 | | | | 50 | |
| | 2.52 | | | | 588,627 | | | | | | | | 0.56 | | | | 3.67 | | | | | | | | 0.52 | | | | 3.71 | | | | 46 | |
| | 5.79 | | | | 718,505 | | | | | | | | 0.72 | | | | 3.76 | | | | | | | | 0.68 | | | | 3.80 | | | | 98 | |
| (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) | 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. | |
| (e) | For the period January 20, 2015 (commencement of operations) through June 30, 2015. | |
See accompanying notes to financial statements.
Financial Highlights (continued)
Inflation Protected Securities
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 (10/04) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 10.92 | | | $ | 0.06 | | | $ | 0.32 | | | $ | 0.38 | | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 11.30 | |
2015 | | | 11.26 | | | | (0.03 | ) | | | (0.20 | ) | | | (0.23 | ) | | | | | | | (0.07 | ) | | | — | | | | (0.04 | ) | | | (0.11 | ) | | | 10.92 | |
2014 | | | 11.08 | | | | 0.15 | | | | 0.32 | | | | 0.47 | | | | | | | | (0.09 | ) | | | (0.20 | ) | | | — | | | | (0.29 | ) | | | 11.26 | |
2013 | | | 11.80 | | | | 0.07 | | | | (0.66 | ) | | | (0.59 | ) | | | | | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 11.08 | |
2012 | | | 10.94 | | | | 0.23 | | | | 1.01 | | | | 1.24 | | | | | | | | (0.38 | ) | | | — | | | | — | | | | (0.38 | ) | | | 11.80 | |
Class C (10/04) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 10.84 | | | | (0.05 | ) | | | 0.35 | | | | 0.30 | | | | | | | | — | | | | — | | | | — | | | | — | | | | 11.14 | |
2015 | | | 11.21 | | | | (0.11 | ) | | | (0.20 | ) | | | (0.31 | ) | | | | | | | (0.02 | ) | | | — | | | | (0.04 | ) | | | (0.06 | ) | | | 10.84 | |
2014 | | | 11.03 | | | | 0.06 | | | | 0.35 | | | | 0.41 | | | | | | | | (0.03 | ) | | | (0.20 | ) | | | — | | | | (0.23 | ) | | | 11.21 | |
2013 | | | 11.72 | | | | (0.03 | ) | | | (0.60 | ) | | | (0.63 | ) | | | | | | | (0.06 | ) | | | — | | | | — | | | | (0.06 | ) | | | 11.03 | |
2012 | | | 10.84 | | | | 0.14 | | | | 1.00 | | | | 1.14 | | | | | | | | (0.26 | ) | | | — | | | | — | | | | (0.26 | ) | | | 11.72 | |
Class R3 (10/04) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 10.85 | | | | 0.01 | | | | 0.35 | | | | 0.36 | | | | | | | | — | | | | — | | | | — | | | | — | | | | 11.21 | |
2015 | | | 11.21 | | | | (0.11 | ) | | | (0.16 | ) | | | (0.27 | ) | | | | | | | (0.05 | ) | | | — | | | | (0.04 | ) | | | (0.09 | ) | | | 10.85 | |
2014 | | | 11.05 | | | | 0.29 | | | | 0.14 | | | | 0.43 | | | | | | | | (0.07 | ) | | | (0.20 | ) | | | — | | | | (0.27 | ) | | | 11.21 | |
2013 | | | 11.74 | | | | 0.04 | | | | (0.62 | ) | | | (0.58 | ) | | | | | | | (0.11 | ) | | | — | | | | — | | | | (0.11 | ) | | | 11.05 | |
2012 | | | 10.84 | | | | 0.22 | | | | 0.97 | | | | 1.19 | | | | | | | | (0.29 | ) | | | — | | | | — | | | | (0.29 | ) | | | 11.74 | |
Class R6 (1/15) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 11.02 | | | | 0.09 | | | | 0.35 | | | | 0.44 | | | | | | | | — | | | | — | | | | — | | | | — | | | | 11.46 | |
2015(e) | | | 11.18 | | | | — | * | | | (0.16 | ) | | | (0.16 | ) | | | | | | | — | | | | — | | | | — | * | | | — | | | | 11.02 | |
Class I (10/04) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 11.02 | | | | 0.08 | | | | 0.33 | | | | 0.41 | | | | | | | | — | | | | — | | | | — | | | | — | | | | 11.43 | |
2015 | | | 11.35 | | | | (0.01 | ) | | | (0.19 | ) | | | (0.20 | ) | | | | | | | (0.09 | ) | | | — | | | | (0.04 | ) | | | (0.13 | ) | | | 11.02 | |
2014 | | | 11.14 | | | | 0.19 | | | | 0.33 | | | | 0.52 | | | | | | | | (0.11 | ) | | | (0.20 | ) | | | — | | | | (0.31 | ) | | | 11.35 | |
2013 | | | 11.81 | | | | 0.09 | | | | (0.61 | ) | | | (0.52 | ) | | | | | | | (0.15 | ) | | | — | | | | — | | | | (0.15 | ) | | | 11.14 | |
2012 | | | 10.96 | | | | 0.25 | | | | 1.01 | | | | 1.26 | | | | | | | | (0.41 | ) | | | — | | | | — | | | | (0.41 | ) | | | 11.81 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average
Net Assets Before
Waiver/Reimbursement | | | | | | Ratios to Average
Net Assets After
Waiver/Reimbursement(c) | | | | |
| | | | | | | | |
Total
Return(b) | | | Ending
Net
Assets
(000) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | Portfolio
Turnover
Rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3.48 | % | | $ | 93,104 | | | | | | | | 0.96 | % | | | 0.45 | % | | | | | | | 0.83 | % | | | 0.58 | % | | | 26 | % |
| | (2.04 | ) | | | 42,341 | | | | | | | | 0.92 | | | | (0.38 | ) | | | | | | | 0.83 | | | | (0.29 | ) | | | 34 | |
| | 4.35 | | | | 24,020 | | | | | | | | 0.86 | | | | 1.30 | | | | | | | | 0.83 | | | | 1.33 | | | | 48 | |
| | (5.07 | ) | | | 21,949 | | | | | | | | 0.81 | | | | 0.56 | | | | | | | | 0.81 | | | | 0.56 | | | | 52 | |
| | 11.44 | | | | 19,330 | | | | | | | | 1.00 | | | | 1.81 | | | | | | | | 0.84 | | | | 1.97 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.77 | | | | 13,131 | | | | | | | | 1.71 | | | | (0.61 | ) | | | | | | | 1.58 | | | | (0.47 | ) | | | 26 | |
| | (2.75 | ) | | | 9,366 | | | | | | | | 1.66 | | | | (1.06 | ) | | | | | | | 1.58 | | | | (0.98 | ) | | | 34 | |
| | 3.76 | | | | 6,954 | | | | | | | | 1.61 | | | | 0.50 | | | | | | | | 1.58 | | | | 0.52 | | | | 48 | |
| | (5.39 | ) | | | 9,761 | | | | | | | | 1.56 | | | | (0.25 | ) | | | | | | | 1.56 | | | | (0.25 | ) | | | 52 | |
| | 10.62 | | | | 9,703 | | | | | | | | 1.75 | | | | 1.05 | | | | | | | | 1.59 | | | | 1.21 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3.32 | | | | 13,094 | | | | | | | | 1.22 | | | | (0.05 | ) | | | | | | | 1.08 | | | | 0.08 | | | | 26 | |
| | (2.38 | ) | | | 3,693 | | | | | | | | 1.15 | | | | (1.05 | ) | | | | | | | 1.08 | | | | (0.98 | ) | | | 34 | |
| | 3.97 | | | | 3,447 | | | | | | | | 1.13 | | | | 2.63 | | | | | | | | 1.08 | | | | 2.68 | | | | 48 | |
| | (5.02 | ) | | | 519 | | | | | | | | 1.06 | | | | 0.32 | | | | | | | | 1.06 | | | | 0.32 | | | | 52 | |
| | 11.10 | | | | 173 | | | | | | | | 1.25 | | | | 1.72 | | | | | | | | 1.09 | | | | 1.88 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3.99 | | | | 3,773 | | | | | | | | 0.50 | | | | 0.71 | | | | | | | | 0.37 | | | | 0.84 | | | | 26 | |
| | (1.39 | ) | | | 3,074 | | | | | | | | 0.52 | ** | | | (0.12 | )** | | | | | | | 0.41 | ** | | | (0.01 | )** | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3.72 | | | | 404,801 | | | | | | | | 0.71 | | | | 0.57 | | | | | | | | 0.58 | | | | 0.70 | | | | 26 | |
| | (1.78 | ) | | | 331,707 | | | | | | | | 0.66 | | | | (0.13 | ) | | | | | | | 0.58 | | | | (0.05 | ) | | | 34 | |
| | 4.82 | | | | 321,472 | | | | | | | | 0.61 | | | | 1.65 | | | | | | | | 0.58 | | | | 1.68 | | | | 48 | |
| | (4.46 | ) | | | 344,204 | | | | | | | | 0.56 | | | | 0.77 | | | | | | | | 0.56 | | | | 0.77 | | | | 52 | |
| | 11.62 | | | | 321,386 | | | | | | | | 0.75 | | | | 1.99 | | | | | | | | 0.59 | | | | 2.15 | | | | 47 | |
| (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) | 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. | |
| (e) | For the period January 20, 2015 (commencement of operations) through June 30, 2015. | |
| * | Rounds to less than $0.01 per share. | |
See accompanying notes to financial statements.
Financial Highlights (continued)
Intermediate Government Bond
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 (10/02) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 8.80 | | | $ | 0.11 | | | $ | 0.16 | | | $ | 0.27 | | | | | | | $ | (0.11 | ) | | $ | — | | | $ | — | | | $ | (0.11 | ) | | $ | 8.96 | |
2015 | | | 8.81 | | | | 0.10 | | | | (0.02 | ) | | | 0.08 | | | | | | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 8.80 | |
2014 | | | 8.79 | | | | 0.11 | | | | 0.03 | | | | 0.14 | | | | | | | | (0.11 | ) | | | — | | | | (0.01 | ) | | | (0.12 | ) | | | 8.81 | |
2013 | | | 9.02 | | | | 0.14 | | | | (0.20 | ) | | | (0.06 | ) | | | | | | | (0.17 | ) | | | — | | | | — | | | | (0.17 | ) | | | 8.79 | |
2012 | | | 8.84 | | | | 0.18 | | | | 0.19 | | | | 0.37 | | | | | | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | | 9.02 | |
Class C (10/09) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 8.82 | | | | 0.04 | | | | 0.16 | | | | 0.20 | | | | | | | | (0.04 | ) | | | — | | | | — | | | | (0.04 | ) | | | 8.98 | |
2015 | | | 8.83 | | | | 0.04 | | | | (0.02 | ) | | | 0.02 | | | | | | | | (0.03 | ) | | | — | | | | — | | | | (0.03 | ) | | | 8.82 | |
2014 | | | 8.80 | | | | 0.05 | | | | 0.04 | | | | 0.09 | | | | | | | | (0.05 | ) | | | — | | | | (0.01 | ) | | | (0.06 | ) | | | 8.83 | |
2013 | | | 9.03 | | | | 0.07 | | | | (0.21 | ) | | | (0.14 | ) | | | | | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 8.80 | |
2012 | | | 8.85 | | | | 0.10 | | | | 0.20 | | | | 0.30 | | | | | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 9.03 | |
Class R3 (10/09) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 8.80 | | | | 0.09 | | | | 0.16 | | | | 0.25 | | | | | | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 8.97 | |
2015 | | | 8.81 | | | | 0.08 | | | | (0.02 | ) | | | 0.06 | | | | | | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | | 8.80 | |
2014 | | | 8.78 | | | | 0.09 | | | | 0.04 | | | | 0.13 | | | | | | | | (0.09 | ) | | | — | | | | (0.01 | ) | | | (0.10 | ) | | | 8.81 | |
2013 | | | 9.01 | | | | 0.12 | | | | (0.21 | ) | | | (0.09 | ) | | | | | | | (0.14 | ) | | | — | | | | — | | | | (0.14 | ) | | | 8.78 | |
2012 | | | 8.84 | | | | 0.15 | | | | 0.18 | | | | 0.33 | | | | | | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | | 9.01 | |
Class I (10/02) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 8.81 | | | | 0.13 | | | | 0.16 | | | | 0.29 | | | | | | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 8.97 | |
2015 | | | 8.82 | | | | 0.12 | | | | (0.01 | ) | | | 0.11 | | | | | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 8.81 | |
2014 | | | 8.80 | | | | 0.13 | | | | 0.04 | | | | 0.17 | | | | | | | | (0.14 | ) | | | — | | | | (0.01 | ) | | | (0.15 | ) | | | 8.82 | |
2013 | | | 9.03 | | | | 0.16 | | | | (0.21 | ) | | | (0.05 | ) | | | | | | | (0.18 | ) | | | — | | | | — | | | | (0.18 | ) | | | 8.80 | |
2012 | | | 8.84 | | | | 0.19 | | | | 0.21 | | | | 0.40 | | | | | | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) | | | 9.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average
Net Assets Before
Waiver/Reimbursement | | | | | | Ratios to Average
Net Assets After
Waiver/Reimbursement(c) | | | | |
| | | | | | | | |
Total
Return(b) | | | Ending
Net
Assets
(000) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | Portfolio
Turnover
Rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3.06 | % | | $ | 13,760 | | | | | | | | 1.00 | % | | | 1.08 | % | | | | | | | 0.85 | % | | | 1.23 | % | | | 58 | % |
| | 0.93 | | | | 9,010 | | | | | | | | 1.02 | | | | 1.00 | | | | | | | | 0.85 | | | | 1.17 | | | | 59 | |
| | 1.65 | | | | 9,621 | | | | | | | | 1.01 | | | | 1.14 | | | | | | | | 0.85 | | | | 1.30 | | | | 31 | |
| | (0.74 | ) | | | 11,034 | | | | | | | | 1.01 | | | | 1.41 | | | | | | | | 0.85 | | | | 1.57 | | | | 55 | |
| | 4.24 | | | | 12,735 | | | | | | | | 1.11 | | | | 1.65 | | | | | | | | 0.77 | | | | 1.99 | | | | 72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.29 | | | | 1,550 | | | | | | | | 1.75 | | | | 0.34 | | | | | | | | 1.60 | | | | 0.49 | | | | 58 | |
| | 0.18 | | | | 667 | | | | | | | | 1.77 | | | | 0.25 | | | | | | | | 1.60 | | | | 0.42 | | | | 59 | |
| | 0.98 | | | | 639 | | | | | | | | 1.76 | | | | 0.40 | | | | | | | | 1.60 | | | | 0.56 | | | | 31 | |
| | (1.53 | ) | | | 1,090 | | | | | | | | 1.76 | | | | 0.66 | | | | | | | | 1.60 | | | | 0.82 | | | | 55 | |
| | 3.35 | | | | 1,438 | | | | | | | | 1.86 | | | | 0.90 | | | | | | | | 1.60 | | | | 1.16 | | | | 72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.90 | | | | 143 | | | | | | | | 1.25 | | | | 0.83 | | | | | | | | 1.10 | | | | 0.98 | | | | 58 | |
| | 0.66 | | | | 137 | | | | | | | | 1.27 | | | | 0.75 | | | | | | | | 1.10 | | | | 0.92 | | | | 59 | |
| | 1.49 | | | | 137 | | | | | | | | 1.26 | | | | 0.89 | | | | | | | | 1.10 | | | | 1.05 | | | | 31 | |
| | (1.00 | ) | | | 168 | | | | | | | | 1.26 | | | | 1.17 | | | | | | | | 1.10 | | | | 1.32 | | | | 55 | |
| | 3.79 | | | | 214 | | | | | | | | 1.36 | | | | 1.39 | | | | | | | | 1.10 | | | | 1.66 | | | | 72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3.34 | | | | 65,305 | | | | | | | | 0.75 | | | | 1.33 | | | | | | | | 0.60 | | | | 1.48 | | | | 58 | |
| | 1.20 | | | | 65,850 | | | | | | | | 0.77 | | | | 1.24 | | | | | | | | 0.60 | | | | 1.40 | | | | 59 | |
| | 1.90 | | | | 86,186 | | | | | | | | 0.76 | | | | 1.36 | | | | | | | | 0.60 | | | | 1.52 | | | | 31 | |
| | (0.53 | ) | | | 52,291 | | | | | | | | 0.76 | | | | 1.67 | | | | | | | | 0.60 | | | | 1.83 | | | | 55 | |
| | 4.50 | | | | 70,060 | | | | | | | | 0.86 | | | | 1.90 | | | | | | | | 0.60 | | | | 2.16 | | | | 72 | |
| (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) | 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. | |
See accompanying notes to financial statements.
Financial Highlights (continued)
Short Term Bond
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 | | | Total | | | Ending
NAV | |
Class A (12/92) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 9.93 | | | $ | 0.16 | | | $ | (0.06 | ) | | $ | 0.10 | | | | | | | $ | (0.15 | ) | | $ | — | | | $ | (0.15 | ) | | $ | 9.88 | |
2015 | | | 10.05 | | | | 0.16 | | | | (0.13 | ) | | | 0.03 | | | | | | | | (0.15 | ) | | | — | | | | (0.15 | ) | | | 9.93 | |
2014 | | | 9.97 | | | | 0.19 | | | | 0.08 | | | | 0.27 | | | | | | | | (0.19 | ) | | | — | | | | (0.19 | ) | | | 10.05 | |
2013 | | | 9.95 | | | | 0.20 | | | | 0.03 | | | | 0.23 | | | | | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | | 9.97 | |
2012 | | | 10.06 | | | | 0.24 | | | | (0.10 | ) | | | 0.14 | | | | | | | | (0.25 | ) | | | — | | | | (0.25 | ) | | | 9.95 | |
Class C (10/09) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 9.97 | | | | 0.09 | | | | (0.07 | ) | | | 0.02 | | | | | | | | (0.07 | ) | | | — | | | | (0.07 | ) | | | 9.92 | |
2015 | | | 10.08 | | | | 0.08 | | | | (0.12 | ) | | | (0.04 | ) | | | | | | | (0.07 | ) | | | — | | | | (0.07 | ) | | | 9.97 | |
2014 | | | 10.00 | | | | 0.11 | | | | 0.08 | | | | 0.19 | | | | | | | | (0.11 | ) | | | — | | | | (0.11 | ) | | | 10.08 | |
2013 | | | 9.97 | | | | 0.12 | | | | 0.04 | | | | 0.16 | | | | | | | | (0.13 | ) | | | — | | | | (0.13 | ) | | | 10.00 | |
2012 | | | 10.09 | | | | 0.16 | | | | (0.11 | ) | | | 0.05 | | | | | | | | (0.17 | ) | | | — | | | | (0.17 | ) | | | 9.97 | |
Class R3 (9/11) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 9.95 | | | | 0.14 | | | | (0.07 | ) | | | 0.07 | | | | | | | | (0.12 | ) | | | — | | | | (0.12 | ) | | | 9.90 | |
2015 | | | 10.07 | | | | 0.13 | | | | (0.13 | ) | | | — | | | | | | | | (0.12 | ) | | | — | | | | (0.12 | ) | | | 9.95 | |
2014 | | | 9.99 | | | | 0.16 | | | | 0.08 | | | | 0.24 | | | | | | | | (0.16 | ) | | | — | | | | (0.16 | ) | | | 10.07 | |
2013 | | | 9.96 | | | | 0.17 | | | | 0.04 | | | | 0.21 | | | | | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | | 9.99 | |
2012(e) | | | 9.85 | | | | 0.16 | | | | 0.13 | | | | 0.29 | | | | | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | | 9.96 | |
Class R6 (1/15) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 9.95 | | | | 0.19 | | | | (0.06 | ) | | | 0.13 | | | | | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | | 9.90 | |
2015(f) | | | 9.93 | | | | 0.09 | | | | — | * | | | 0.09 | | | | | | | | (0.07 | ) | | | — | | | | (0.07 | ) | | | 9.95 | |
Class I (2/94) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 9.94 | | | | 0.19 | | | | (0.06 | ) | | | 0.13 | | | | | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | | 9.89 | |
2015 | | | 10.06 | | | | 0.18 | | | | (0.12 | ) | | | 0.06 | | | | | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | | 9.94 | |
2014 | | | 9.98 | | | | 0.21 | | | | 0.08 | | | | 0.29 | | | | | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | | 10.06 | |
2013 | | | 9.95 | | | | 0.22 | | | | 0.04 | | | | 0.26 | | | | | | | | (0.23 | ) | | | — | | | | (0.23 | ) | | | 9.98 | |
2012 | | | 10.07 | | | | 0.26 | | | | (0.11 | ) | | | 0.15 | | | | | | | | (0.27 | ) | | | — | | | | (0.27 | ) | | | 9.95 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average
Net Assets Before
Waiver/Reimbursement | | | | | | Ratios to Average
Net Assets After
Waiver/Reimbursement(c) | | | | |
| | | | | | | | |
Total
Return(b) | | | Ending
Net
Assets
(000) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | Portfolio
Turnover
Rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1.04 | % | | $ | 96,201 | | | | | | | | 0.76 | % | | | 1.60 | % | | | | | | | 0.72 | % | | | 1.64 | % | | | 43 | % |
| | 0.32 | | | | 100,544 | | | | | | | | 0.73 | | | | 1.56 | | | | | | | | 0.71 | | | | 1.58 | | | | 43 | |
| | 2.69 | | | | 116,365 | | | | | | | | 0.73 | | | | 1.84 | | | | | | | | 0.71 | | | | 1.86 | | | | 43 | |
| | 2.30 | | | | 141,099 | | | | | | | | 0.73 | | | | 1.96 | | | | | | | | 0.71 | | | | 1.99 | | | | 42 | |
| | 1.42 | | | | 112,851 | | | | | | | | 0.82 | | | | 2.33 | | | | | | | | 0.73 | | | | 2.42 | | | | 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 0.25 | | | | 30,495 | | | | | | | | 1.51 | | | | 0.86 | | | | | | | | 1.47 | | | | 0.90 | | | | 43 | |
| | (0.36 | ) | | | 33,547 | | | | | | | | 1.48 | | | | 0.81 | | | | | | | | 1.46 | | | | 0.83 | | | | 43 | |
| | 1.89 | | | | 39,347 | | | | | | | | 1.48 | | | | 1.11 | | | | | | | | 1.46 | | | | 1.13 | | | | 43 | |
| | 1.61 | | | | 44,414 | | | | | | | | 1.48 | | | | 1.22 | | | | | | | | 1.46 | | | | 1.24 | | | | 42 | |
| | 0.50 | | | | 42,346 | | | | | | | | 1.56 | | | | 1.56 | | | | | | | | 1.55 | | | | 1.57 | | | | 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 0.74 | | | | 285 | | | | | | | | 1.01 | | | | 1.34 | | | | | | | | 0.97 | | | | 1.38 | | | | 43 | |
| | 0.02 | | | | 131 | | | | | | | | 0.98 | | | | 1.29 | | | | | | | | 0.96 | | | | 1.31 | | | | 43 | |
| | 2.38 | | | | 1,049 | | | | | | | | 0.98 | | | | 1.59 | | | | | | | | 0.96 | | | | 1.61 | | | | 43 | |
| | 2.10 | | | | 516 | | | | | | | | 0.98 | | | | 1.71 | | | | | | | | 0.96 | | | | 1.73 | | | | 42 | |
| | 2.92 | | | | 446 | | | | | | | | 1.06 | ** | | | 2.07 | ** | | | | | | | 1.05 | ** | | | 2.07 | ** | | | 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1.29 | | | | 66,836 | | | | | | | | 0.47 | | | | 1.91 | | | | | | | | 0.43 | | | | 1.95 | | | | 43 | |
| | 0.96 | | | | 27,475 | | | | | | | | 0.46 | ** | | | 1.95 | ** | | | | | | | 0.43 | ** | | | 1.98 | ** | | | 43 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1.29 | | | | 416,624 | | | | | | | | 0.51 | | | | 1.85 | | | | | | | | 0.47 | | | | 1.89 | | | | 43 | |
| | 0.57 | | | | 529,027 | | | | | | | | 0.48 | | | | 1.80 | | | | | | | | 0.46 | | | | 1.82 | | | | 43 | |
| | 2.93 | | | | 915,119 | | | | | | | | 0.48 | | | | 2.09 | | | | | | | | 0.46 | | | | 2.11 | | | | 43 | |
| | 2.65 | | | | 720,722 | | | | | | | | 0.48 | | | | 2.22 | | | | | | | | 0.46 | | | | 2.23 | | | | 42 | |
| | 1.51 | | | | 727,242 | | | | | | | | 0.57 | | | | 2.59 | | | | | | | | 0.55 | | | | 2.61 | | | | 56 | |
| (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) | 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. | |
| (e) | For the period September 23, 2011 (commencement of operations) through June 30, 2012. | |
| (f) | For the period January 20, 2015 (commencement of operations) through June 30, 2015. | |
| * | Rounds to less than $0.01 per share. | |
See accompanying notes to financial statements.
Notes to
Financial Statements
1. General Information and Significant Accounting Policies
General Information
Trust and Fund Information
Nuveen Investment Funds, Inc. (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Trust is comprised of Nuveen Core Bond Fund (“Core Bond”), Nuveen Core Plus Bond Fund (“Core Plus Bond”), Nuveen Inflation Protected Securities Fund (“Inflation Protected Securities”), Nuveen Intermediate Government Bond Fund (“Intermediate Government Bond”) and Nuveen Short Term Bond Fund (“Short Term Bond”) (each a “Fund” and collectively, the “Funds”), as diversified funds, among others. The Trust was incorporated in the State of Maryland on August 20, 1987.
The end of the reporting period for the Funds is June 30, 2016, and the period covered by these Notes to Financial Statements is the fiscal year ended June 30, 2016 (the “current fiscal period”).
Investment Adviser
The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). Nuveen is an operating division of TIAA Global Asset Management. The Adviser is responsible for each Fund’s overall investment strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives and Principal Investment Strategies
Core Bond
Core Bond’s investment objective is to provide investors with current income to the extent consistent with preservation of capital. 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 in bonds, such as U.S. government securities (securities issued or guaranteed by the U.S. government or its agencies or instrumentalities), including zero coupon securities, residential and commercial mortgage-backed securities, asset-backed securities, corporate debt obligations, including obligations issued by special-purpose entities that are backed by corporate debt obligations and municipal securities in an amount not to exceed 20% of the Fund’s net assets. Bonds in the Fund will be rated investment grade at the time of purchase or, if unrated, determined to be of comparable quality by the Sub-Adviser. At least 65% of the Fund’s debt securities must be either U.S. government securities or securities that are rated A or better or are unrated and of comparable quality as determined by the Sub-adviser. If the rating of a security is reduced or the credit quality of an unrated security declines after purchase, the Fund is not required to sell the security, but may consider doing so. Unrated securities will not exceed 25% of the Fund’s total assets.
The Fund may invest up to 25% of its total assets in U.S. dollar denominated debt obligations of foreign corporations and governments.
Under normal market conditions, the Fund attempts to maintain a weighted average effective maturity for its portfolio securities of three to ten years and an average effective duration of two to six years. The Fund’s weighted average effective maturity and effective duration are measures of how the value of the Fund’s shares may react to interest rate changes.
To generate additional income, the Fund may invest up to 25% of its total assets in dollar roll transactions. In a dollar roll transaction, the Fund sells mortgage-backed securities for delivery in the current month while contracting with the same party to repurchase similar securities at a future date.
The Fund may utilize the following derivatives: options; futures contracts; options on futures contracts, interest rate caps, collars, and floors; swap agreements, including swap agreements on interest rates, security indexes and specific securities and credit default swap agreements; and options on the foregoing types of swap agreements. The Fund may enter into standardized derivatives contracts traded on domestic or foreign securities exchanges, boards of trade, or similar entities and non-standardized derivatives contracts traded in the over-the-counter (“OTC”) market. The Fund may use these derivatives in an attempt to manage market risk, credit risk and yield curve risk, to manage the effective maturity or duration of securities in the Fund’s portfolio or for speculative purposes in an effort to increase the Fund’s yield or to enhance returns. The use of a derivative is speculative if the Fund is primarily seeking to enhance returns, rather than offset the risk of other positions. The Fund may not use any derivative to gain exposure to a security or type of security that it would be prohibited by its investment restrictions from purchasing directly.
Core Plus Bond
Core Plus Bond’s investment objective is to provide investors with high current income consistent with limited risk to capital. 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 in bonds, such as U.S. government securities (securities issued or guaranteed by the U.S. government or its agencies or instrumentalities), including zero coupon securities, residential and commercial mortgage-backed securities, asset-backed securities, corporate debt obligations, including obligations issued by special-purpose entities that are backed by corporate debt obligations and municipal securities in an amount not to exceed 20% of the Fund’s net assets.
Up to 20% of the Fund’s total assets may be invested in securities rated lower than investment grade or unrated securities of comparable quality as determined by the Sub-Adviser (securities commonly referred to as “high yield” securities or “junk” bonds). The Fund will not invest in securities rated lower than CCC at the time of purchase or in unrated securities of comparable quality as determined by the Sub-Adviser. If the rating of a security is reduced or the credit quality of an unrated security declines after purchase, the Fund is not required to sell the security, but may consider doing so. Unrated securities will not exceed 25% of the Fund’s total assets.
The Fund may invest up to 35% of its total assets in debt obligations of foreign corporations and foreign governments. However, no more than 10% of the Fund’s total assets may be invested in debt obligations of corporations and governments that are located in emerging market countries. A country is considered to have an “emerging market” if it has a relatively low gross national product per capita compared to the world’s major economies, and the potential for rapid economic growth, provided that no issuer included in the Fund’s current benchmark index will be considered to be located in an emerging market country.
Up to 10% of the Fund’s total assets may have non-U.S. dollar currency exposure from non-U.S. dollar denominated securities and currency derivatives, calculated on an absolute notional basis (i.e., adding together the absolute value of net long and net short exposures to individual non-U.S. dollar currencies).
Under normal market conditions, the Fund attempts to maintain a weighted average effective maturity for its portfolio securities of fifteen years or less and an average effective duration of three to eight years. The Fund’s weighted average effective maturity and average effective duration are measures of how the value of the Fund’s shares may react to interest rate changes.
To generate additional income, the Fund may invest up to 25% of its total assets in dollar roll transactions. In a dollar roll transaction, the Fund sells mortgage-backed securities for delivery in the current month while contracting with the same party to repurchase similar securities at a future date.
The Fund may utilize the following derivatives: options; futures contracts; options on futures contracts; interest rate caps, collars, and floors; foreign currency contracts; options on foreign currencies; swap agreements, including swap agreements on interest rates, currency rates, security indexes and specific securities, and credit default swap agreements; and options on the foregoing types of swap agreements. The Fund may enter into standardized derivatives contracts traded on domestic or foreign securities exchanges, boards of trade, or similar entities, and non-standardized derivatives contracts traded in the OTC market. The Fund may use these derivatives in an attempt to manage market risk, currency risk, credit risk and yield curve risk, to manage the effective maturity or duration of securities in the Fund’s portfolio or for speculative purposes in an effort to increase the Fund’s yield or to enhance returns. The Fund may also use derivatives to gain exposure to non-dollar denominated securities markets to the extent it does not do so through direct investments. The use of a derivative is speculative if the Fund is primarily seeking to enhance returns, rather than offset the risk of other positions. The Fund may not use any derivative to gain exposure to a security or type of security that it would be prohibited by its investment restrictions from purchasing directly.
Inflation Protected Securities
Inflation Protected Securities’ investment objective is to provide investors with total return while providing protection against inflation. 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 in inflation protected debt securities. These securities will be issued by the U.S. and non-U.S. governments, their agencies and instrumentalities, and domestic and foreign corporations. The Fund’s investments in U.S. government inflation protected securities will include U.S. Treasury inflation protected securities as well as inflation protected securities issued by agencies and instrumentalities of the U.S. government. Securities issued by the U.S. Treasury are backed by the full faith and credit of the U.S. government. Some securities issued by agencies and instrumentalities of the U.S. government are supported only by the credit of the issuing agency or instrumentality.
Inflation protected debt securities are designed to provide protection against the negative effects of inflation. Unlike traditional debt securities, which pay regular fixed interest payments on a fixed principal amount, interest payments on inflation protected debt securities will vary with the rate of inflation. The U.S. Treasury uses the Consumer Price Index for Urban Consumers (CPI-U) as the inflation measure. Inflation protected debt securities issued by foreign governments and corporations are generally linked to a non-U.S. inflation rate.
Inflation protected debt securities have two common structures. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. If the index measuring the rate of inflation rises, the principal value of the security will increase. Because interest payments will be calculated with respect to a larger principal amount, interest payments also will increase. Conversely, if the index measuring the rate of inflation falls, the principal value of the security will fall and interest payments will decrease. Other issuers adjust the interest rates payable on the security according to the rate of inflation, but the principal amount remains the same.
In the event of sustained deflation, the U.S. Treasury has guaranteed that it will repay at maturity at least the original face value of the inflation protected securities that it issues. Other inflation protected debt securities that accrue inflation into their principal value may or may not provide a similar guarantee. For securities that do not provide such a guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal value.
Up to 20% of the Fund’s assets may be invested in holdings that are not inflation protected, which may include domestic and foreign corporate debt obligations, securities issued or guaranteed by the U.S. government or its agencies and instrumentalities, debt obligations of foreign governments, residential and commercial mortgage-backed securities, asset-backed securities and derivative instruments, as discussed below.
Notes to Financial Statements (continued)
Up to 10% of the Fund’s net assets may be invested in securities that are rated lower than investment grade at the time of purchase or that are unrated and of comparable quality (securities commonly referred to as “high-yield” securities or “junk” bonds). The Fund will not invest in securities rated lower than B at the time of purchase or in unrated securities of comparable quality as determined by the Sub-Adviser. If the rating of a security is reduced or the credit quality of an unrated security declines after purchase, the Fund is not required to sell the security, but may consider doing so.
The Fund may invest up to 20% of its net assets in non-U.S. dollar denominated securities, and may invest without limitation in U.S. dollar denominated securities of foreign corporations and governments.
The Fund may invest in debt securities of any maturity, but expects to maintain, under normal market conditions, a weighted average effective maturity of between eight and fifteen years and an average effective duration of between four and ten years. The Fund’s weighted average effective maturity and average effective duration are measures of how the Fund may react to interest rate changes.
The Fund may utilize the following derivatives: options; futures contracts; options on futures contracts; foreign currency contracts; options on foreign currencies; interest rate caps, collars, and floors; index- and other asset-linked notes; swap agreements, including swap agreements on interest rates, currency rates, security indexes and specific securities, and credit default swap agreements; and options on the foregoing types of swap agreements. The Fund may enter into standardized derivatives contracts traded on domestic or foreign securities exchanges, boards of trade, or similar entities, and non-standardized derivatives contracts traded in the OTC market. The Fund may use these derivatives in an attempt to manage market risk, currency risk, credit risk and yield curve risk, to manage the effective maturity or duration of securities in the Fund’s portfolio or for speculative purposes in an effort to increase the Fund’s yield or to enhance returns. The Fund may also use derivatives to gain exposure to non-dollar denominated securities markets to the extent it does not do so through direct investments. The use of a derivative is speculative if the Fund is primarily seeking to enhance returns, rather than offset the risk of other positions. The Fund may not use any derivative to gain exposure to a security or type of security that it would be prohibited by its investment restrictions from purchasing directly.
Intermediate Government Bond
Intermediate Government Bond’s investment objective is to provide investors with current income to the extent consistent with the preservation of capital. 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 in U.S. government bonds. U.S. government bonds are securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, including U.S. Treasury obligations, mortgage-backed securities issued by the Government National Mortgage Association, the Federal National Mortgage Association (FNMA), and the Federal Home Loan Mortgage Corporation (FHLMC) and non-mortgage-related obligations issued or guaranteed by U.S. government agencies or instrumentalities, such as FNMA, FHLMC, Federal Farm Credit Banks, the Federal Home Loan Bank System, and the Tennessee Valley Authority, including obligations that are issued by private issuers and guaranteed under the Federal Deposit Insurance Corporation (FDIC) Temporary Liquidity Guarantee Program.
U.S. Treasury obligations and some obligations of U.S. government agencies and instrumentalities are supported by the full faith and credit of the U.S. government. Other U.S. government securities are backed by the right of the issuer to borrow from the U.S. Treasury. Still others are supported only by the credit of the issuing agency or instrumentality.
The Fund may invest up to 20% of its total assets, collectively, in non-U.S. government debt obligations, asset-backed securities, residential and commercial mortgage-backed securities, corporate debt obligations, and municipal securities. Such securities will be rated investment grade at the time of purchase or, if unrated, determined to be of comparable quality by the Sub-Adviser. If the rating of a security is reduced or the credit quality of an unrated security declines after purchase, the Fund is not required to sell the security, but may consider doing so.
Under normal market conditions, the Fund attempts to maintain a weighted average effective maturity between three and ten years and an effective duration of between two and one-half and seven years. The Fund’s weighted average effective maturity and effective duration are measures of how the value of the Fund’s shares may react to interest rate changes.
To generate additional income, the Fund may invest up to 10% of its total assets in dollar roll transactions. In a dollar roll transaction, the Fund sells mortgage-backed securities for delivery in the current month while contracting with the same party to repurchase similar securities at a future date.
The Fund may utilize the following derivatives: futures contracts; options on futures contracts, swap agreements, including swap agreements on interest rates, security indexes and specific securities and credit default swap agreements; and options on the foregoing types of swap agreements. The Fund may enter into standardized derivatives contracts that are traded on domestic securities exchanges, boards of trade, or similar entities and non-standardized derivatives contracts traded in the OTC market. The Fund may use these derivatives in an attempt to manage market risk, credit risk and yield curve risk, to manage the effective maturity or duration of securities in the Fund’s portfolio, or for speculative purposes in an effort to increase the Fund’s yield or to enhance returns. The use of a derivative is speculative if the Fund is primarily seeking to enhance returns, rather than offset the risk of other positions. The Fund may not use derivatives to gain exposure to a security or type of security that it would be prohibited by its investment restrictions from purchasing directly.
Short Term Bond
Short Term Bond’s investment objective is to provide investors with current income while maintaining a high degree of principal stability. 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 in bonds, such
as U.S. government securities, which are securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, residential and commercial mortgage-backed securities, asset-backed securities, corporate debt obligations, including obligations issued by special-purpose entities that are backed by corporate debt obligations, and municipal securities.
Up to 20% of the Fund’s total assets may be invested in securities rated lower than investment grade or unrated securities of comparable quality as determined by the Sub-Adviser (securities commonly referred to as “high yield” securities or “junk” bonds). The Fund will not invest in securities rated lower than CCC at the time of purchase or in unrated securities of comparable quality as determined by the Sub-Adviser. If the rating of a security is reduced or the credit quality of an unrated security declines after purchase, the Fund is not required to sell the security, but may consider doing so. Unrated securities will not exceed 5% of the Fund’s total assets.
The Fund may invest up to 35% of its total assets in debt obligations of foreign corporations and foreign governments. However, no more than 10% of the Fund’s total assets may be invested in debt obligations of corporations and governments that are located in emerging market countries. A country is considered to have an “emerging market” if it has a relatively low gross national product per capita compared to the world’s major economies, and the potential for rapid economic growth, provided that no issuer included in the Fund’s current benchmark index will be considered to be located in an emerging market country.
Up to 10% of the Fund’s total assets may have non-U.S. dollar currency exposure from non-U.S. dollar denominated securities and currency derivatives, calculated on an absolute notional basis (i.e., adding together the absolute value of net long and net short exposures to individual non-U.S. dollar currencies).
Under normal market conditions, the Fund attempts to maintain a weighted average effective maturity and an average effective duration for its portfolio securities of one to three years. The Fund’s weighted average effective maturity and effective duration are measures of how the value of the Fund’s shares may react to interest rate changes.
The Fund may utilize the following derivatives: options; futures contracts; options on futures contracts; interest rate caps, collars, and floors; foreign currency contracts; options on foreign currencies; swap agreements, including swap agreements on interest rates, currency rates, security indexes and specific securities, and credit default swap agreements; and options on the foregoing types of swap agreements. The Fund may enter into standardized derivatives contracts traded on domestic or foreign securities exchanges, boards of trade, or similar entities, and non-standardized derivatives contracts traded in the OTC market. The Fund may use these derivatives in an attempt to manage market risk, currency risk, credit risk and yield curve risk, to manage the effective maturity or duration of securities in the Fund’s portfolio or for speculative purposes in an effort to increase the Fund’s yield or to enhance returns. The Fund may also use derivatives to gain exposure to non-dollar denominated securities markets to the extent it does not do so through direct investments. The use of a derivative is speculative if the Fund is primarily seeking to enhance returns, rather than offset the risk of other positions. The Fund may not use any derivative to gain exposure to a security or type of security that it would be prohibited by its investment restrictions from purchasing directly.
The Funds’ most recent prospectus provides further descriptions of each Fund’s investment objective, principal investment strategies and principal risks.
Significant Accounting Policies
Each 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 Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, 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 Funds have earmarked securities in their portfolios 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 following Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:
| | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | |
| Outstanding when-issued/delayed delivery purchase commitments | | $ | 1,699,788 | | | $ | 17,955,477 | |
Investment Income
Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects paydown gains and losses, if any. Securities lending income is comprised of fees earned from borrowers and income earned on cash collateral investments, net of lending agent fees.
Notes to Financial Statements (continued)
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, if any, 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 the Funds, with the exception of Short Term Bond, of $1 million or more are sold at net asset value (“NAV”) without an up-front sales charge. Class A Share purchases of Short Term Bond of $250,000 or more are sold at NAV without an up-front sales charge. Class A Share purchases may be subject to a contingent deferred sales charge (“CDSC”) equal to 1% if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or after November 1, 2015. 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 R3 Shares are sold without an up-front sales charge but incur a 0.25% annual 12b-1 distribution fee and a 0.25% annual 12b-1 service fee. Class R6 Shares and 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 Funds 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.
Sub-transfer agent fees, which are recognized as a component of “Shareholder servicing agent fees” on the Statement of Operations, are not charged to Class R6 Shares and are prorated among the other classes based on their relative net assets.
Realized and unrealized capital gains and losses of the Funds are prorated among the classes based on the relative net assets of each class.
Indemnifications
Under the Trust’s organizational documents, its officers and directors 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 Funds may enter into transactions subject to enforceable International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each 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, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds’ 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 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.
Investments in investment companies are valued at their respective NAVs on the valuation date and are generally classified as Level 1.
Prices of fixed-income securities are provided by an independent pricing service (“pricing service”) approved by the Funds’ Board of Directors (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.
Prices of forward foreign currency exchange contracts and swap contracts are also provided by an independent pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.
Futures contracts are valued using the closing settlement price or, in the absence of such a price, the last traded price and are generally classified as Level 1.
Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of the Funds’ shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.
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 a 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.
Notes to Financial Statements (continued)
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 each Fund’s fair value measurements as of the end of the reporting period:
| | | | | | | | | | | | | | | | |
| Core Bond | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Long-Term Investments*: | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 73,750,369 | | | $ | — | | | $ | 73,750,369 | |
$1,000 Par (or similar) Institutional Preferred | | | — | | | | 691,276 | | | | — | | | | 691,276 | |
Municipal Bonds | | | — | | | | 1,636,371 | | | | — | | | | 1,636,371 | |
U.S. Government and Agency Obligations | | | — | | | | 22,081,386 | | | | — | | | | 22,081,386 | |
Asset-Backed and Mortgage-Backed Securities | | | — | | | | 75,390,027 | | | | — | | | | 75,390,027 | |
Sovereign Debt | | | — | | | | 1,434,300 | | | | — | | | | 1,434,300 | |
| Investments Purchased with Collateral from Securities Lending | | | 12,687,146 | | | | — | | | | — | | | | 12,687,146 | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | | 5,478,482 | | | | — | | | | — | | | | 5,478,482 | |
| Investments in Derivatives: | | | | | | | | | | | | | | | | |
Futures Contracts** | | | (24,165 | ) | | | — | | | | — | | | | (24,165 | ) |
| Total | | $ | 18,141,463 | | | $ | 174,983,729 | | | $ | — | | | $ | 193,125,192 | |
| | | | |
| Core Plus Bond | | | | | | | | | | | | |
| Long-Term Investments*: | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 241,406,877 | | | $ | — | | | $ | 241,406,877 | |
$1,000 Par (or similar) Institutional Preferred | | | — | | | | 24,105,111 | | | | — | | | | 24,105,111 | |
U.S. Government and Agency Obligations | | | — | | | | 69,385 | | | | — | | | | 69,385 | |
Asset-Backed and Mortgage-Backed Securities | | | — | | | | 110,203,648 | | | | — | | | | 110,203,648 | |
Sovereign Debt | | | — | | | | 10,613,193 | | | | — | | | | 10,613,193 | |
| Investments Purchased with Collateral from Securities Lending | | | 40,105,132 | | | | — | | | | — | | | | 40,105,132 | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | | 22,643,737 | | | | — | | | | — | | | | 22,643,737 | |
| Investments in Derivatives: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | (349,642 | ) | | | — | | | | (349,642 | ) |
Interest Rate Swaps** | | | — | | | | (2,134,412 | ) | | | — | | | | (2,134,412 | ) |
Futures Contracts** | | | 149,894 | | | | — | | | | — | | | | 149,894 | |
| Total | | $ | 62,898,763 | | | $ | 383,914,160 | | | $ | — | | | $ | 446,812,923 | |
| | | | |
| Inflation Protected Securities | | | | | | | | | | | | |
| Long-Term Investments*: | | | | | | | | | | | | | | | | |
Convertible Preferred Securities | | $ | 239,000 | | | $ | — | | | $ | — | | | $ | 239,000 | |
Corporate Bonds | | | — | | | | 23,516,571 | | | | — | | | | 23,516,571 | |
$1,000 Par (or similar) Institutional Preferred | | | — | | | | 80,134 | | | | — | | | | 80,134 | |
Municipal Bonds | | | — | | | | 2,079,090 | | | | — | | | | 2,079,090 | |
U.S. Government and Agency Obligations | | | — | | | | 461,344,075 | | | | — | | | | 461,344,075 | |
Asset-Backed and Mortgage-Backed Securities | | | — | | | | 11,056,443 | | | | — | | | | 11,056,443 | |
Sovereign Debt | | | — | | | | 2,305,648 | | | | — | | | | 2,305,648 | |
| Investments Purchased with Collateral from Securities Lending | | | 7,079,719 | | | | — | | | | — | | | | 7,079,719 | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | | 25,360,769 | | | | — | | | | — | | | | 25,360,769 | |
| Investments in Derivatives: | | | | | | | | | | | | | | | | |
Futures Contracts** | | | 544,423 | | | | — | | | | — | | | | 544,423 | |
| Total | | $ | 33,223,911 | | | $ | 500,381,961 | | | $ | — | | | $ | 533,605,872 | |
| | | | |
| Intermediate Government Bond | | | | | | | | | | | | |
| Long-Term Investments*: | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 401,633 | | | $ | — | | | $ | 401,633 | |
Municipal Bonds | | | — | | | | 2,119,476 | | | | — | | | | 2,119,476 | |
U.S. Government and Agency Obligations | | | — | | | | 56,426,423 | | | | — | | | | 56,426,423 | |
Asset-Backed and Mortgage-Backed Securities | | | — | | | | 17,455,174 | | | | — | | | | 17,455,174 | |
| Investments Purchased with Collateral from Securities Lending | | | 360,938 | | | | — | | | | — | | | | 360,938 | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | | 3,045,876 | | | | — | | | | — | | | | 3,045,876 | |
| Investments in Derivatives: | | | | | | | | | | | | | | | | |
Futures Contracts** | | | (31,717 | ) | | | — | | | | — | | | | (31,717 | ) |
| Total | | $ | 3,375,097 | | | $ | 76,402,706 | | | $ | — | | | $ | 79,777,803 | |
| * | Refer to the Fund’s Portfolio of Investments for industry, state and country classifications, where applicable. |
| ** | Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
| | | | | | | | | | | | | | | | |
| Short Term Bond | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Long-Term Investments*: | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 284,615,806 | | | $ | — | | | $ | 284,615,806 | |
Municipal Bonds | | | — | | | | 10,252,573 | | | | — | | | | 10,252,573 | |
U.S. Government and Agency Obligations | | | — | | | | 47,245,523 | | | | — | | | | 47,245,523 | |
Asset-Backed and Mortgage-Backed Securities | | | — | | | | 247,665,080 | | | | — | | | | 247,665,080 | |
| Investments Purchased with Collateral from Securities Lending | | | 30,668,410 | | | | — | | | | — | | | | 30,668,410 | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | | 22,086,045 | | | | — | | | | — | | | | 22,086,045 | |
| Investments in Derivatives: | | | | | | | | | | | | | | | | |
Futures Contracts** | | | (445,569 | ) | | | — | | | | — | | | | (445,569 | ) |
| Total | | $ | 52,308,886 | | | $ | 589,778,982 | | | $ | — | | | $ | 642,087,868 | |
| * | Refer to the Fund’s Portfolio of Investments for industry, state and country classifications, where applicable. |
| ** | Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
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 Funds’ 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 Funds, 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
Foreign Currency Transactions
To the extent that the Funds invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because their currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.
The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern Time. Investment transactions, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Funds and the amounts actually received.
Notes to Financial Statements (continued)
The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) foreign currency, (ii) investments, (iii) investments in derivatives and (iv) other assets and liabilities are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.
The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and (ii) other assets and liabilities are recognized as a component of “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable. The unrealized gains and losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivative’s related “Change in net unrealized appreciation (depreciation)” on the Statement of Operations, when applicable.
Inflation-Indexed Bonds
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recognized as a component of “Interest income” on the Statement of Operations, even though investors do not receive their principal until maturity.
Securities Lending
In order to generate additional income, each Fund may lend securities representing up to one-third of the value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks or other institutions. When loaning securities, the Funds retain the benefits of owning the securities, including the economic equivalent of dividends or interest generated by the security. The Funds also have the ability to recall the securities on loan at any time.
Each Fund’s policy is to receive, at the inception of a loan, cash collateral equal to at least 102% of the value of securities loaned, which is recognized as “Payable for collateral from securities lending program” on the Statement of Assets and Liabilities. Collateral for securities on loan is invested in a money market fund, which is recognized as “Investments purchased with collateral from securities lending, at value” on the Statement of Assets and Liabilities. The market value of the securities loaned is determined at the close of each business day in order to determine the adequacy of the collateral. If the value of the securities on loan increases such that the level of collateralization falls below 100%, additional collateral is received from the borrower on the next business day, which is recognized as “Due from broker” on the Statement of Assets and Liabilities.
Securities out on loan are subject to termination at any time at the option of the borrower or the Fund. Upon termination, the borrower is required to return to the Fund securities identical to the securities loaned. Generally, in the event the borrower defaults on its obligation to return the loaned securities, the Fund has the right to use the collateral to acquire identical securities. In the event the Fund is delayed or prevented from exercising its right to dispose of the collateral, there may be a loss to the Fund. Under each Fund’s securities lending agreement, however, the securities lending agent has indemnified the Fund against losses resulting from borrower default, except to the extent that those losses result from a decrease in the value of the collateral due to its investment by the Fund. The Fund bears the risk of loss with respect to the investment of collateral.
The Funds’ custodian, U.S. Bank National Association, serves as its securities lending agent. Each Fund pays the custodian a fee based on its proportional share of the custodian’s expense of operating its securities lending program. Income earned from the securities lending program is paid to the Fund, net of any fees paid. Income from securities lending, net of fees paid, is recognized as “Securities lending income, net” on the Statement of Operations.
The following table presents the securities out on loan for the Funds and the collateral delivered related to those securities, as of the end of the reporting period.
| | | | | | | | | | | | | | |
| Fund | | Asset Class out on Loan | | Long-Term Investments, at Value | | | Collateral Pledged (From) Counterparty* | | | Net Exposure | |
| Core Bond | | | | | | | | | | | | | | |
| | Corporate Bonds | | $ | 7,496,503 | | | $ | (7,496,503 | ) | | $ | — | |
| | | U.S. Government and Agency Obligations | | | 4,831,475 | | | | (4,831,475 | ) | | | — | |
Total | | | | $ | 12,327,978 | | | $ | (12,327,978 | ) | | $ | — | |
| Core Plus Bond | | | | | | | | | | | | | | |
| | Corporate Bonds | | $ | 31,712,773 | | | $ | (31,712,773 | ) | | $ | — | |
| | | $1,000 par (or similar) Institutional Preferred | | | 7,205,606 | | | | (7,205,606 | ) | | | — | |
Total | | | | $ | 38,918,379 | | | $ | (38,918,379 | ) | | $ | — | |
| Inflation Protected Securities | | | | | | | | | | | | | | |
| | Corporate Bonds | | $ | 2,826,849 | | | $ | (2,826,849 | ) | | $ | — | |
| | | U.S. Government and Agency Obligations | | | 4,048,920 | | | | (4,048,920 | ) | | | — | |
Total | | | | $ | 6,875,769 | | | $ | (6,875,769 | ) | | $ | — | |
| | | | | | | | | | | | | | |
| Fund | | Asset Class out on Loan | | Long-Term Investments, at Value | | | Collateral Pledged (From) Counterparty* | | | Net Exposure | |
| Intermediate Government Bond | | | | | | | | | | | | | | |
| | | U.S. Government and Agency Obligations | | $ | 353,977 | | | $ | (353,977 | ) | | $ | — | |
| Short Term Bond | | | | | | | | | | | | | | |
| | Corporate Bonds | | $ | 16,875,607 | | | $ | (16,875,607 | ) | | $ | — | |
| | | U.S. Government and Agency Obligations | | | 13,063,960 | | | | (13,063,960 | ) | | | — | |
Total | | | | $ | 29,939,567 | | | $ | (29,939,567 | ) | | $ | — | |
| * | As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the securities out on loan. Refer to the Fund's Portfolio of Investments for details on the securities out on loan. |
Securities lending fees paid by each Fund during the current fiscal period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Securities lending fees paid | | $ | 4,484 | | | $ | 27,469 | | | $ | 3,540 | | | $ | 734 | | | $ | 11,910 | |
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investments in Derivatives
Each Fund is authorized to invest in certain derivative instruments. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Forward Foreign Currency Exchange Contracts
Each Fund is authorized to enter into forward foreign currency exchange contracts (“forward contracts”) under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency to “lock in” the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the Sub-Adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar or against another foreign currency.
A forward contract is an agreement between two parties to purchase or sell a specified quantity of a currency at or before a specified date in the future at a specified price. Forward contracts are typically traded in the OTC markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery.
Forward contracts are valued daily at the forward rate. The net amount recorded on these transactions for each counterparty is recognized as a component of “Unrealized appreciation and/or depreciation on forward foreign currency exchange contracts (, net)” on the Statement of Assets and Liabilities. The change in value of the forward contracts during the reporting period is recognized as a component of “Change in net unrealized appreciation (depreciation) of forward foreign currency exchange contracts” on the Statement of Operations. When the contract is closed or offset with the same counterparty, a Fund recognizes the difference between the value of the contract at the time it was entered and the value at the time it was closed or offset as a component of “Net realized gain (loss) from forward foreign currency exchange contracts” on the Statement of Operations.
Forward contracts will generally not be entered into for terms greater than three months, but may have maturities of up to six months or more. The use of forward contracts does not eliminate fluctuations in the underlying prices of a Fund’s investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reflected on the Statement of Assets and Liabilities. Forward contracts are subject to counterparty risk if the counterparty fails to perform as specified in the contract due to financial impairment or other reason.
During the current fiscal period, Core Plus Bond and Short Term Bond invested in forward foreign currency exchange contracts to manage foreign currency exposure. For example, the Fund may reduce unwanted currency exposure from its bond portfolio, or it may take long forward positions in select currencies in an attempt to benefit from the potential price appreciation.
Notes to Financial Statements (continued)
The average notional amount of forward foreign currency exchange contracts outstanding during the current fiscal period was as follows:
| | | | | | | | |
| | | Core Plus
Bond | | | Short Term
Bond | |
| Average notional amount of forward foreign currency exchange contracts outstanding* | | $ | 24,319,732 | | | $ | 588,683 | |
| * | 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 fair value of forward foreign currency exchange contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
| | | | | | | | | | | | | | |
| | | | | Location on the Statement of Assets and Liabilities | |
| | | | | Asset Derivatives | | | (Liability) Derivatives | |
Underlying
Risk Exposure | | Derivative Instrument | | Location | | Value | | | Location | | Value | |
Core Plus Bond | | | | | | | | | | | | | | |
Foreign currency exchange rate | | Forward contracts | | — | | $ | — | | | Unrealized depreciation on
forward foreign currency
exchange contracts | | $ | (349,642 | ) |
The following table presents the forward foreign currency exchange contracts subject to netting agreements and the collateral delivered related to those forward foreign currency exchange contracts as of the end of the reporting period.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Counterparty | | Gross
Unrealized
Appreciation on
Forward Foreign
Currency Exchange
Contracts* | | | Gross
Unrealized
(Depreciation) on
Forward Foreign
Currency Exchange
Contracts* | | | Amounts
Netted on
Statement of
Assets and
Liabilities | | | Net Unrealized
Appreciation
(Depreciation) on
Forward Foreign
Currency Exchange
Contracts | | | Collateral
Pledged
to (from)
Counterparty | | | Net
Exposure | |
| Core Plus Bond | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Bank of America, N.A. | | $ | — | | | $ | (54,156 | ) | | $ | — | | | $ | (54,156 | ) | | $ | — | | | $ | (54,156 | ) |
| | Citigroup Global Markets, Inc. | | | — | | | | (85,859 | ) | | | — | | | | (85,859 | ) | | | — | | | | (85,859 | ) |
| | Goldman Sachs Bank USA | | | — | | | | (13,829 | ) | | | — | | | | (13,829 | ) | | | — | | | | (13,829 | ) |
| | | Morgan Stanley & Co. LLC | | | — | | | | (195,798 | ) | | | — | | | | (195,798 | ) | | | — | | | | (195,798 | ) |
Total | | | | $ | — | | | $ | (349,642 | ) | | $ | — | | | $ | (349,642 | ) | | $ | — | | | $ | (349,642 | ) |
| * | Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments. |
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on forward foreign currency exchange contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
| | | | | | | | | | | | |
| Fund | | Underlying
Risk Exposure | | Derivative
Instrument | | Net Realized
Gain (Loss) from
Forward Foreign Currency
Exchange Contracts | | | Change in Net Unrealized
Appreciation (Depreciation) of
Forward Foreign Currency
Exchange Contracts | |
| Core Plus Bond | | Foreign currency exchange rate | | Forward contracts | | $ | 2,551,574 | | | $ | (593,304 | ) |
| Short Term Bond | | Foreign currency exchange rate | | Forward contracts | | | 141,178 | | | | — | |
Futures Contracts
Upon execution of a futures contract, 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 futures contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in futures contracts obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for “Variation margin on futures contracts” on the Statement of Assets and Liabilities.
During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which is recognized as a component of “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statement of Operations.
Risks of investments in futures contracts include the possible adverse movement in the price of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.
During the current fiscal period, each Fund used U.S. Treasury futures as part of their overall portfolio construction strategy to manage portfolio duration and yield curve exposure.
The average notional amount of futures contracts outstanding during the current fiscal period was as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Average notional amount of futures contracts outstanding* | | $ | 33,580,610 | | | $ | 42,950,519 | | | $ | 63,740,814 | | | $ | 10,288,976 | | | $ | 70,546,976 | |
| * | The average notional amount is calculated based on the absolute aggregate notional of contracts outstanding 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 fair value of all futures contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
| | | | | | | | | | | | | | |
| | | | | Location on the Statement of Assets and Liabilities | |
| | | | | Asset Derivatives | | | (Liability) Derivatives | |
Underlying
Risk Exposure | | Derivative Instrument | | Location | | Value | | | Location | | Value | |
Core Bond | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Futures contracts | | Receivable for variation margin on futures contracts* | | $ | 1,515 | | | Payable for variation margin
on futures contracts* | | $ | 64,917 | |
| | | | | Receivable for variation margin on futures contracts* | | | (90,597 | ) | | — | | | — | |
Total | | | | | | $ | (89,082 | ) | | | | $ | 64,917 | |
| | | | | |
Core Plus Bond | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Futures contracts | | Receivable for variation margin on futures contracts* | | $ | (155,140 | ) | | Payable for variation margin
on futures contracts* | | $ | 322,669 | |
| | | | | — | | | — | | | Payable for variation margin
on futures contract* | | | (17,635 | ) |
Total | | | | | | $ | (155,140 | ) | | | | $ | 305,034 | |
| | | | | |
Inflation Protected Securities | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Futures contracts | | Receivable for variation margin on futures contracts* | | $ | 10,719 | | | Payable for variation margin
on futures contracts* | | $ | 533,704 | |
| | | | | |
Intermediate Government Bond | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Futures contracts | | Receivable for variation margin on futures contracts* | | $ | 466 | | | — | | $ | — | |
| | | | | Receivable for variation margin on futures contracts* | | | (32,183 | ) | | — | | | — | |
Total | | | | | | $ | (31,717 | ) | | | | $ | — | |
| | | | | |
Short Term Bond | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Futures contracts | | — | | $ | — | | | Payable for variation margin
on futures contracts* | | $ | (445,569 | ) |
| * | Value represents unrealized appreciation (depreciation) of futures contracts as reported on the Fund’s Portfolio of Investments and not the asset and/or liability derivatives location as described in the table above. |
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on futures contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
| | | | | | | | | | | | |
| Fund | | Underlying
Risk Exposure | | Derivative
Instrument | | Net Realized
Gain (Loss) from
Futures Contracts | | | Change in Net Unrealized
Appreciation (Depreciation) of
Futures Contracts | |
| Core Bond | | Interest rate | | Futures contracts | | $ | (1,374,998 | ) | | $ | 218,283 | |
| Core Plus Bond | | Interest rate | | Futures contracts | | | (1,704,965 | ) | | | 59,164 | |
| Inflation Protected Securities | | Interest rate | | Futures contracts | | | (539,412 | ) | | | 617,309 | |
| Intermediate Government Bond | | Interest rate | | Futures contracts | | | (546,481 | ) | | | (31,945 | ) |
| Short Term Bond | | Interest rate | | Futures contracts | | | (697,162 | ) | | | (245,584 | ) |
Notes to Financial Statements (continued)
Interest Rate Swap Contracts
Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which begin at a specified date in the future (the “effective date”).
The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.
Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For an OTC swap that is not cleared through a clearing house (“OTC Uncleared”), the net amount recorded on these transactions, for each counterparty, is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net).”
Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the 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 deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the 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 contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the 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 interest rate swaps (, net)” as described in the preceding paragraph.
The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.
During the current fiscal period, each Fund invested in interest rate swap contracts as part of an overall portfolio construction strategy to manage duration and overall portfolio yield curve exposure.
The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Average notional amount of interest rate swap contracts outstanding* | | $ | 4,400,000 | | | $ | 40,400,000 | | | $ | 5,400,000 | | | $ | 800,000 | | | $ | 13,200,000 | |
| * | 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 fair value of all swap contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
| | | | | | | | | | | | | | |
| | | | | Location on the Statement of Assets and Liabilities | |
| | | | | Asset Derivatives | | | (Liability) Derivatives | |
Underlying
Risk Exposure | | Derivative Instrument | | Location | | Value | | | Location | | Value | |
Core Plus Bond | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Swaps (OTC-Cleared) | | Receivable for variation margin on swap contracts* | | $ | (2,134,412 | ) | | — | | $ | — | |
| * | Value represents unrealized appreciation (depreciation) of swaps as reported in the Fund’s Portfolio of Investments and not the asset and/or liability derivative location as described in the table above. |
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.
| | | | | | | | | | | | |
| Fund | | Underlying
Risk Exposure | | Derivative
Instrument | | Net Realized
Gain (Loss) from
Swaps | | | Change in Net Unrealized
Appreciation (Depreciation) of
Swaps | |
| Core Bond | | Interest rate | | Swaps | | $ | (558,892 | ) | | $ | 157,115 | |
| Core Plus Bond | | Interest rate | | Swaps | | | (3,093,979 | ) | | | (909,694 | ) |
| Inflation Protected Securities | | Interest rate | | Swaps | | | (583,194 | ) | | | 80,776 | |
| Intermediate Government Bond | | Interest rate | | Swaps | | | (66,161 | ) | | | (10,105 | ) |
| Short Term Bond | | Interest rate | | Swaps | | | (1,481,338 | ) | | | 258,316 | |
Market and Counterparty Credit Risk
In the normal course of business each 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 each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each 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.
Each 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 each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds 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:
| | | | | | | | | | | | | | | | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
| Core Bond | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 426,304 | | | $ | 4,195,062 | | | | 480,983 | | | $ | 4,953,915 | |
Class C | | | 125,119 | | | | 1,230,992 | | | | 96,329 | | | | 982,982 | |
Class R6 | | | 2,124,538 | | | | 21,050,000 | | | | 4,651,952 | | | | 47,541,741 | |
Class I | | | 1,621,099 | | | | 15,909,483 | | | | 3,159,449 | | | | 32,214,618 | |
| Shares issued to shareholders due to reinvestment of distributions: | | | | | | | | | | | | | | | | |
Class A | | | 42,495 | | | | 418,729 | | | | 58,925 | | | | 602,146 | |
Class C | | | 1,964 | | | | 19,295 | | | | 2,063 | | | | 20,945 | |
Class R6 | | | 197,727 | | | | 1,943,314 | | | | 51,608 | | | | 521,428 | |
Class I | | | 129,005 | | | | 1,265,258 | | | | 470,639 | | | | 4,799,991 | |
| | | | 4,668,251 | | | | 46,032,133 | | | | 8,971,948 | | | | 91,637,766 | |
| Shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (406,929 | ) | | | (4,017,165 | ) | | | (524,861 | ) | | | (5,370,931 | ) |
Class C | | | (48,499 | ) | | | (476,031 | ) | | | (50,490 | ) | | | (511,743 | ) |
Class R6 | | | (1,007,593 | ) | | | (9,930,000 | ) | | | (159,742 | ) | | | (1,625,000 | ) |
Class I | | | (8,803,597 | ) | | | (86,784,059 | ) | | | (17,818,315 | ) | | | (182,116,417 | ) |
| | | | (10,266,618 | ) | | | (101,207,255 | ) | | | (18,553,408 | ) | | | (189,624,091 | ) |
| Net increase (decrease) | | | (5,598,367 | ) | | $ | (55,175,122 | ) | | | (9,581,460 | ) | | $ | (97,986,325 | ) |
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
| Core Plus Bond | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 567,458 | | | $ | 6,169,670 | | | | 1,431,910 | | | $ | 16,573,234 | |
Class C | | | 268,526 | | | | 2,904,616 | | | | 443,728 | | | | 5,107,553 | |
Class R3 | | | 1,337,253 | | | | 14,711,131 | | | | 339,863 | | | | 3,921,356 | |
Class R6 | | | — | | | | — | | | | 3,988,552 | | | | 45,789,116 | |
Class I | | | 2,497,657 | | | | 27,234,585 | | | | 8,121,755 | | | | 93,636,474 | |
| Shares issued to shareholders due to reinvestment of distributions: | | | | | | | | | | | | | | | | |
Class A | | | 235,090 | | | | 2,553,875 | | | | 221,063 | | | | 2,551,674 | |
Class C | | | 18,143 | | | | 196,041 | | | | 13,935 | | | | 159,971 | |
Class R3 | | | 37,598 | | | | 408,551 | | | | 6,838 | | | | 78,938 | |
Class R6 | | | 108,753 | | | | 1,180,728 | | | | 61,527 | | | | 703,660 | |
Class I | | | 538,183 | | | | 5,837,759 | | | | 638,558 | | | | 7,363,664 | |
| | | | 5,608,661 | | | | 61,196,956 | | | | 15,267,729 | | | | 175,885,640 | |
| Shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (1,412,657 | ) | | | (15,338,148 | ) | | | (1,282,745 | ) | | | (14,765,373 | ) |
Class C | | | (287,785 | ) | | | (3,125,250 | ) | | | (349,732 | ) | | | (3,968,520 | ) |
Class R3 | | | (361,604 | ) | | | (3,913,849 | ) | | | (68,508 | ) | | | (785,186 | ) |
Class R6 | | | (1,733,305 | ) | | | (19,329,000 | ) | | | (162,188 | ) | | | (1,865,000 | ) |
Class I | | | (16,439,073 | ) | | | (178,504,469 | ) | | | (13,432,022 | ) | | | (154,528,972 | ) |
| | | | (20,234,424 | ) | | | (220,210,716 | ) | | | (15,295,195 | ) | | | (175,913,051 | ) |
| Net increase (decrease) | | | (14,625,763 | ) | | $ | (159,013,760 | ) | | | (27,466 | ) | | $ | (27,411 | ) |
| | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
| Inflation Protected Securities | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 6,144,400 | | | $ | 67,077,042 | | | | 2,506,090 | | | $ | 27,662,729 | |
Class C | | | 741,824 | | | | 7,990,319 | | | | 397,128 | | | | 4,332,157 | |
Class R3 | | | 1,147,593 | | | | 12,396,121 | | | | 298,987 | | | | 3,263,207 | |
Class R6 | | | 95,255 | | | | 1,059,520 | | | | 298,908 | | | | 3,338,897 | |
Class I | | | 15,260,983 | | | | 168,772,498 | | | | 9,520,020 | | | | 106,097,936 | |
| Shares issued to shareholders due to reinvestment of distributions: | | | | | | | | | | | | | | | | |
Class A | | | — | | | | — | | | | 22,083 | | | | 245,094 | |
Class C | | | — | | | | — | | | | 2,409 | | | | 26,612 | |
Class R3 | | | — | | | | — | | | | 2,564 | | | | 28,322 | |
Class R6 | | | — | | | | — | | | | — | | | | — | |
Class I | | | — | | | | — | | | | 59,165 | | | | 661,822 | |
| | | | 23,390,055 | | | | 257,295,500 | | | | 13,107,354 | | | | 145,656,776 | |
| Shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (1,783,818 | ) | | | (19,428,090 | ) | | | (785,062 | ) | | | (8,679,440 | ) |
Class C | | | (426,654 | ) | | | (4,587,011 | ) | | | (155,985 | ) | | | (1,721,376 | ) |
Class R3 | | | (319,273 | ) | | | (3,455,164 | ) | | | (268,797 | ) | | | (2,971,314 | ) |
Class R6 | | | (44,890 | ) | | | (498,289 | ) | | | (20,018 | ) | | | (225,016 | ) |
Class I | | | (9,954,618 | ) | | | (109,030,688 | ) | | | (7,807,405 | ) | | | (86,933,536 | ) |
| | | | (12,529,253 | ) | | | (136,999,242 | ) | | | (9,037,267 | ) | | | (100,530,682 | ) |
| Net increase (decrease) | | | 10,860,802 | | | $ | 120,296,258 | | | | 4,070,087 | | | $ | 45,126,094 | |
| | | | | | | | | | | | | | | | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
| Intermediate Government Bond | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 856,783 | | | $ | 7,580,588 | | | | 301,596 | | | $ | 2,674,606 | |
Class C | | | 119,557 | | | | 1,060,202 | | | | 25,473 | | | | 225,799 | |
Class R3 | | | 12,500 | | | | 111,134 | | | | 3,672 | | | | 32,381 | |
Class I | | | 2,482,301 | | | | 21,971,582 | | | | 3,567,119 | | | | 31,596,680 | |
| Shares issued to shareholders due to reinvestment of distributions: | | | | | | | | | | | | | | | | |
Class A | | | 15,330 | | | | 135,667 | | | | 10,037 | | | | 88,789 | |
Class C | | | 455 | | | | 4,029 | | | | 218 | | | | 1,929 | |
Class R3 | | | 109 | | | | 969 | | | | 119 | | | | 1,057 | |
Class I | | | 25,834 | | | | 228,793 | | | | 11,379 | | | | 100,789 | |
| | | | 3,512,869 | | | | 31,092,964 | | | | 3,919,613 | | | | 34,722,030 | |
| Shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (360,314 | ) | | | (3,185,923 | ) | | | (379,903 | ) | | | (3,366,166 | ) |
Class C | | | (22,929 | ) | | | (202,864 | ) | | | (22,419 | ) | | | (198,363 | ) |
Class R3 | | | (12,149 | ) | | | (106,934 | ) | | | (3,860 | ) | | | (34,054 | ) |
Class I | | | (2,700,152 | ) | | | (23,889,237 | ) | | | (5,874,316 | ) | | | (52,018,923 | ) |
| | | | (3,095,544 | ) | | | (27,384,958 | ) | | | (6,280,498 | ) | | | (55,617,506 | ) |
| Net increase (decrease) | | | 417,325 | | | $ | 3,708,006 | | | | (2,360,885 | ) | | $ | (20,895,476 | ) |
| | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
| Short Term Bond | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 3,838,769 | | | $ | 37,803,170 | | | | 4,107,721 | | | $ | 40,925,341 | |
Class C | | | 1,251,334 | | | | 12,366,374 | | | | 1,003,522 | | | | 10,034,994 | |
Class R3 | | | 58,023 | | | | 571,798 | | | | 15,685 | | | | 156,648 | |
Class R6 | | | 4,433,924 | | | | 43,872,894 | | | | 3,194,996 | | | | 31,730,928 | |
Class I | | | 12,093,247 | | | | 119,245,506 | | | | 22,741,538 | | | | 226,838,893 | |
| Shares issued to shareholders due to reinvestment of distributions: | | | | | | | | | | | | | | | | |
Class A | | | 137,192 | | | | 1,351,172 | | | | 145,594 | | | | 1,450,839 | |
Class C | | | 17,115 | | | | 169,134 | | | | 19,118 | | | | 191,160 | |
Class R3 | | | 7 | | | | 59 | | | | 9 | | | | 91 | |
Class R6 | | | 65,586 | | | | 646,903 | | | | 17,912 | | | | 178,439 | |
Class I | | | 217,378 | | | | 2,142,574 | | | | 282,764 | | | | 2,820,170 | |
| | | | 22,112,575 | | | | 218,169,584 | | | | 31,528,859 | | | | 314,327,503 | |
| Shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (4,359,518 | ) | | | (42,953,780 | ) | | | (5,710,885 | ) | | | (56,917,931 | ) |
Class C | | | (1,559,144 | ) | | | (15,398,873 | ) | | | (1,560,336 | ) | �� | | (15,591,244 | ) |
Class R3 | | | (42,339 | ) | | | (414,747 | ) | | | (106,775 | ) | | | (1,067,252 | ) |
Class R6 | | | (510,435 | ) | | | (5,027,503 | ) | | | (451,080 | ) | | | (4,490,000 | ) |
Class I | | | (23,387,149 | ) | | | (230,542,093 | ) | | | (60,814,967 | ) | | | (605,795,536 | ) |
| | | | (29,858,585 | ) | | | (294,336,996 | ) | | | (68,644,043 | ) | | | (683,861,963 | ) |
| Net increase (decrease) | | | (7,746,010 | ) | | $ | (76,167,412 | ) | | | (37,115,184 | ) | | $ | (369,534,460 | ) |
5. Investment Transactions
Long-term purchases and sales (including maturities but excluding investments purchased with collateral from securities lending and derivative transactions) during the current fiscal period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Purchases: | | | | | | | | | | | | | | | | | | | | |
Investment securities | | $ | 50,106,703 | | | $ | 151,275,713 | | | $ | 8,853,080 | | | $ | 1,363,116 | | | $ | 222,285,989 | |
U.S. Government and agency obligations | | | 100,734,668 | | | | 200,547,283 | | | | 210,919,977 | | | | 47,815,319 | | | | 72,070,508 | |
| Sales and maturities: | | | | | | | | | | | | | | | | | | | | |
Investment securities | | | 82,667,836 | | | | 299,771,856 | | | | 26,596,950 | | | | 10,849,549 | | | | 237,176,853 | |
U.S. Government and agency obligations | | | 109,883,676 | | | | 199,394,087 | | | | 82,300,130 | | | | 30,710,164 | | | | 40,111,406 | |
Notes to Financial Statements (continued)
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.
For all open tax years and all major taxing jurisdictions, management of the Funds 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 Funds 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 NAVs of the Funds.
As of June 30, 2016, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), as determined on a federal income tax basis, were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Cost of investments | | $ | 184,304,839 | | | $ | 435,468,685 | | | $ | 518,750,437 | | | $ | 77,482,568 | | | $ | 639,386,622 | |
| Gross unrealized: | | | | | | | | | | | | | | | | | | | | |
Appreciation | | $ | 8,996,042 | | | $ | 20,858,008 | | | $ | 17,844,913 | | | $ | 3,246,093 | | | $ | 5,872,913 | |
Depreciation | | | (151,524 | ) | | | (7,179,610 | ) | | | (3,533,901 | ) | | | (15,473 | ) | | | (2,726,098 | ) |
| Net unrealized appreciation (depreciation) of investments | | $ | 8,844,518 | | | $ | 13,678,398 | | | $ | 14,311,012 | | | $ | 3,230,620 | | | $ | 3,146,815 | |
Permanent differences, primarily due to distribution reallocations, expiration of capital loss carryforwards, federal taxes paid, foreign currency transactions, treatment of notional principal contracts and amortization of mark-to-market adjustments on Sec. 311(e) assets, resulted in reclassifications among the Funds’ components of net assets as of June 30, 2016, the Funds’ tax year end, as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Capital paid-in | | $ | (11 | ) | | $ | (11 | ) | | $ | (11 | ) | | $ | (7,265 | ) | | $ | (348,253 | ) |
| Undistributed (Over-distribution of) net investment income | | | (127,984 | ) | | | (3,556,385 | ) | | | (150,514 | ) | | | (21,037 | ) | | | (787,439 | ) |
| Accumulated net realized gain (loss) | | | 127,995 | | | | 3,556,396 | | | | 150,525 | | | | 28,302 | | | | 1,135,692 | |
The tax components of undistributed net ordinary income and net long-term capital gains as of June 30, 2016, the Funds’ tax year end, were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Undistributed net ordinary income1 | | $ | — | | | $ | 1,193,777 | | | $ | 3,346,167 | | | $ | 36,305 | | | $ | — | |
| Undistributed net long-term capital gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| 1 | Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared during the period June 1, 2016 through June 30, 2016 and paid on July 1, 2016. Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any. |
The tax character of distributions paid during the Funds’ tax years ended June 30, 2016 and June 30, 2015, was designated for purposes of the dividends paid deduction as follows:
| | | | | | | | | | | | | | | | | | | | |
| 2016 | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Distributions from net ordinary income2 | | $ | 5,709,771 | | | $ | 19,707,970 | | | $ | — | | | $ | 1,027,409 | | | $ | 11,160,372 | |
| Distributions from net long-term capital gains3 | | | 705,744 | | | | 801,663 | | | | — | | | | — | | | | — | |
| Return of capital | | | 868,307 | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| 2015 | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Distributions from net ordinary income2 | | $ | 9,599,976 | | | $ | 23,402,734 | | | $ | 2,853,684 | | | $ | 1,114,389 | | | $ | 17,072,409 | |
| Distributions from net long-term capital gains | | | 4,146,887 | | | | 884,605 | | | | 128,584 | | | | — | | | | — | |
| Return of capital | | | — | | | | — | | | | 1,423,856 | | | | — | | | | — | |
| 2 | Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any. |
| 3 | The Funds designate as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gain to zero for the tax year ended June 30, 2016. |
As of June 30, 2016, the Funds’ tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.
| | | | | | | | | | | | | | | | | | | | |
| | | Core Bond | | | Core Plus Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Expiration: | | | | | | | | | | | | | | | | | | | | |
June 30, 2017 | | $ | — | | | $ | — | | | $ | — | | | $ | 3,538,398 | | | $ | 1,188,199 | |
June 30, 2018 | | | — | | | | — | | | | — | | | | — | | | | 4,103,631 | |
| Not subject to expiration | | | 92,102 | | | | 10,078,385 | | | | 724,158 | | | | — | | | | 9,157,854 | |
| Total | | $ | 92,102 | | | $ | 10,078,385 | | | $ | 724,158 | | | $ | 3,538,398 | | | $ | 14,449,684 | |
During the Funds’ tax year ended June 30, 2016, the following Fund utilized capital loss carryforwards as follows:
| | | | |
| | | Intermediate
Government
Bond | |
| Utilized capital loss carryforwards | | $ | 285,837 | |
As of June 30, 2016, the Funds’ tax year end, the following Funds’ capital loss carryforwards expired as follows:
| | | | | | | | |
| | | Intermediate
Government Bond | | | Short Term
Bond | |
| Expired capital loss carryforwards | | $ | 7,254 | | | $ | 48,855 | |
The Funds have elected to defer late-year losses in accordance with federal income tax rules. These losses are treated as having arisen on the first day of the following fiscal year. The following Funds have elected to defer losses as follows:
| | | | | | | | | | | | |
| | | Core Bond | | | Core Plus Bond | | | Short Term
Bond | |
| Post-October capital losses4 | | $ | 2,623,381 | | | $ | — | | | $ | — | |
| Late-year ordinary losses5 | | | — | | | | 3,620,103 | | | | 715,420 | |
| 4 | Capital losses incurred from November 1, 2015 through June 30, 2016, the Funds’ tax year end. |
| 5 | Ordinary losses incurred from January 1, 2016 through June 30, 2016 and/or specified losses incurred from November 1, 2015 through June 30, 2016. |
7. Management Fees and Other Transactions with Affiliates
Management Fees
Each Fund’s management fee compensates the Adviser for the overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables each Fund’s shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
Notes to Financial Statements (continued)
The annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Average Daily Net Assets | | Core Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond
(For the period
July 1, 2015
through
June 29, 2016) | | | Intermediate
Government
Bond
(Effective
June 30, 2016) | | | Short Term
Bond | |
| For the first $125 million | | | 0.2700 | % | | | 0.2800 | % | | | 0.2500 | % | | | 0.2700 | % | | | 0.2500 | % | | | 0.2200 | % |
| For the next $125 million | | | 0.2575 | | | | 0.2675 | | | | 0.2375 | | | | 0.2575 | | | | 0.2375 | | | | 0.2075 | |
| For the next $250 million | | | 0.2450 | | | | 0.2550 | | | | 0.2250 | | | | 0.2450 | | | | 0.2250 | | | | 0.1950 | |
| For the next $500 million | | | 0.2325 | | | | 0.2425 | | | | 0.2125 | | | | 0.2325 | | | | 0.2125 | | | | 0.1825 | |
| For the next $1 billion | | | 0.2200 | | | | 0.2300 | | | | 0.2000 | | | | 0.2200 | | | | 0.2000 | | | | 0.1700 | |
| For net assets over $2 billion | | | 0.1950 | | | | 0.2050 | | | | 0.1750 | | | | 0.1950 | | | | 0.1750 | | | | 0.1450 | |
The annual complex-level fee, payable monthly, for each Fund is determined by taking the complex-level fee rate, which is based on the aggregate amount of “eligible assets” of all Nuveen funds as set forth in the schedule below, and making, as appropriate, an upward adjustment to that rate based upon the percentage of the particular fund’s assets that are not “eligible assets.” The complex-level fee schedule for each Fund is as follows:
| | | | |
| 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 the 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 June 30, 2016, the complex-level fee for each Fund was as follows: |
| | | | |
| Fund | | Complex-Level Fee | |
Core Bond | | | 0.1998 | % |
Core Plus Bond | | | 0.1998 | |
Inflation Protected Securities | | | 0.1746 | |
Intermediate Government Bond | | | 0.1998 | |
Short Term Bond | | | 0.1998 | |
The Adviser has agreed to waive fees and/or reimburse expenses (“Expense Cap”) of each Fund so that total annual Fund operating expenses (excluding 12b-1 distribution and/or service fees, interest expenses, taxes, acquired fund fees and expenses, fees occurred in acquiring and disposing of portfolio securities and extraordinary expenses) do not exceed the average daily net assets of any class of Fund shares in the amounts and for the time periods stated in the following table. However, because Class R6 Shares are not subject to sub-transfer agent and similar fees, the total annual Fund operating expenses for the Class R6 Shares will be less than the expense limitation.
| | | | | | |
| Fund | | Expense Cap | | | Expense Cap
Expiration Date |
| Core Bond | | | 0.53 | % | | October 31, 2017 |
| Core Plus Bond | | | 0.52 | | | October 31, 2017 |
| Inflation Protected Securities | | | 0.56 | * | | October 31, 2017 |
| Intermediate Government Bond | | | 0.54 | ** | | October 31, 2017 |
| Short Term Bond | | | 0.47 | | | October 31, 2017 |
| * | Effective June 30, 2016, the Fund’s Temporary Expense Cap changed from 0.60% to 0.56%. |
| ** | Effective June 30, 2016, the Fund’s Temporary Expense Cap changed from 0.60% to 0.54%. |
Other Transactions with Affiliates
The Trust pays no compensation directly to those of its directors 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 directors that enables directors 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:
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| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Sales charges collected (Unaudited) | | $ | 17,771 | | | $ | 59,982 | | | $ | 17,784 | | | $ | 12,495 | | | $ | 140,599 | |
| Paid to financial intermediaries (Unaudited) | | | 14,775 | | | | 52,836 | | | | 15,439 | | | | 11,334 | | | | 136,671 | |
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:
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| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| Commission advances (Unaudited) | | $ | 8,483 | | | $ | 23,168 | | | $ | 15,495 | | | $ | 9,642 | | | $ | 145,396 | |
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:
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| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| 12b-1 fees retained (Unaudited) | | $ | 3,361 | | | $ | 27,311 | | | $ | 14,398 | | | $ | 4,025 | | | $ | 36,270 | |
The remaining 12b-1 fees charged to the Funds were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.
The Distributor also collected and retained CDSC on share redemptions during the current fiscal period, as follows:
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| | | Core
Bond | | | Core Plus
Bond | | | Inflation
Protected
Securities | | | Intermediate
Government
Bond | | | Short Term
Bond | |
| CDSC retained (Unaudited) | | $ | 3,092 | | | $ | 4,334 | | | $ | 1,733 | | | $ | 2,506 | | | $ | 19,540 | |
8. Borrowing Arrangements
Uncommitted Line of Credit
During the current fiscal period, the Funds participated in an unsecured bank line of credit (“Unsecured Credit Line”) under which outstanding balances would bear interest at a variable rate. Although the Funds participated in the Unsecured Credit Line, they did not have any outstanding balances during the current fiscal period.
Committed Line of Credit
The Funds, along with certain other funds managed by the Adviser (“Participating Funds”), have 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 any of the Funds 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 all of the Funds 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, none of the Funds utilized this facility.
Additional
Fund Information (Unaudited)
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| | Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606 Sub-Adviser Nuveen Asset Management, LLC 333 West Wacker Drive Chicago, IL 60606 | | Independent Registered
Public Accounting Firm PricewaterhouseCoopers LLP One North Wacker Drive Chicago, IL 60606 Custodian U.S. Bank National Association 1555 North RiverCenter Drive Suite 302 Milwaukee, WI 53202 | | Legal Counsel Chapman and Cutler LLP Chicago, IL 60603 | | Transfer Agent and
Shareholder Services Boston Financial
Data Services Nuveen Investor Services P.O. Box 8530 Boston, MA 02266-8530 (800) 257-8787 | | |
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| | Distribution Information: Nuveen Core Plus Bond Fund hereby designates its percentage of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction (“DRD”) for corporations and its percentage as qualified dividend income (“QDI”) for individuals under Section 1 (h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end. | | |
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| | | | | | | | | | | Core Plus Bond | | |
| | %QDI | | 3% | | |
| | %DRD | | 2% | | |
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| | Quarterly Form N-Q Portfolio of Investments Information: Each 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. | | |
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| | 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. | | |
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| | 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. | | |
Glossary of Terms
Used in this Report (Unaudited)
Asset-Backed Securities (ABS): Securities whose value and income payments are derived from and collateralized by a specific pool of underlying assets. The pool of assets typically is a group of small and/or illiquid assets that may be difficult to sell individually. The underlying pools of asset-backed securities often include payments from credit cards, auto loans or mortgage loans.
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.
Barclays U.S. Aggregate Bond Index: An unmanaged index that includes all investment-grade, publicly issued, fixed-rate, dollar denominated, nonconvertible debt issues and commercial mortgage-backed securities with maturities of at least one year and outstanding par values of $150 million or more. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.
Barclays Intermediate Government Bond Index: An unmanaged index that includes all publicly issued, U.S. Treasury securities that have a remaining maturity of greater than or equal to 1 year and less than 10 years, are rated investment grade, and have $250 million or more of outstanding face value. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.
Barclays U.S. TIPS Index: An unmanaged index that includes all publicly issued, U.S. Treasury inflation-protected securities that have at least one year remaining to maturity, are rated investment grade, and have $250 million or more of outstanding face value. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.
Barclays 1-3 Year Government/Credit Bond Index: An unmanaged index that includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.
Commercial Mortgage-Backed Securities (CMBS): Commercial mortgage-backed securities are backed by cash flows of a mortgage or pool of mortgages on commercial real estate. CMBS generally are structured to provide protection to the senior class investors against potential losses on the underlying mortgage loans. CMBS are typically characterized by the following: i) loans on multi-family housing, non-residential property, ii) payments based on the amortization schedule of 25-30 years with a balloon payment due usually after 10 years, and iii) restrictions on prepayments.
Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s or bond fund’s value to changes when market interest rates change. Generally, the longer a bond’s or fund’s duration, the more the price of the bond or fund will change as interest rates change.
Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.
Lipper Core Bond Classification Average: Represents the average annualized returns for all reporting funds in the Lipper Core Bond Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charge.
Glossary of Terms Used in this Report (Unaudited) (continued)
Lipper Core Bond Plus Classification Average: Represents the average annualized returns for all reporting funds in the Lipper Core Bond Plus Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charge.
Lipper Inflation-Protected Bond Funds Classification Average: Represents the average annualized returns for all reporting funds in the Lipper Inflation-Protected Bond Funds Classification. The Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charge.
Lipper Intermediate U.S. Government Funds Classification Average: Represents the average annualized returns for all reporting funds in the Lipper Intermediate U.S. Government Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charge.
Lipper Short Investment Grade Debt Funds Classification Average: Represents the average annualized returns for all reporting funds in the Lipper Short Investment Grade Debt Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charge.
Mortgage-Backed Securities (MBS): Mortgage-backed securities (MBS) are bonds backed by pools of mortgages, usually with similar characteristics, and which return principal and interest in each payment. MBS are composed of residential mortgages (RMBS) or commercial mortgages (CMBS). RMBS are further divided into agency RMBS and non-agency RMBS, depending on the issuer.
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.
Residential Mortgage-Backed Securities (RMBS): Residential mortgage-backed securities are securities the payments on which depend primarily on the cash flow from residential mortgage loans made to borrowers that are secured by residential real estate. RMBS consist of agency and non-agency RMBS. Agency RMBS have agency guarantees that assure investors that they will receive timely payment of interest and principal, regardless of delinquency or default rates on the underlying loans. Agency RMBS include securities issued by the Government National Mortgage Association, the
Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, and other federal agencies, or issues guaranteed by them. Non-agency RMBS do not have agency guarantees. Non-agency RMBS have credit enhancement built into the structure to shield investors from borrower delinquencies. The spectrum of non-agency residential mortgage loans includes traditional jumbo loans (prime), alternative-A loans (Alt-A), and home equity loans (sub-prime).
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.
Annual Investment Management Agreement
Approval Process (Unaudited)
The Board of Directors of each Fund (the “Board,” and each Director a “Board Member”), including the Board Members who are not parties to the Funds’ advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), is responsible for overseeing the performance of the investment adviser and sub-adviser to the respective Fund and determining whether to continue such Fund’s advisory agreement (the “Investment Management Agreement”) between the Fund and Nuveen Fund Advisors, LLC (the “Adviser”) and the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Investment Management Agreement, the “Advisory Agreements”) between the Adviser and Nuveen Asset Management, LLC (the “Sub-Adviser”). Following an initial term with respect to each Fund upon its commencement of operations, the Board reviews the Investment Management Agreement and the Sub-Advisory Agreement on behalf of such Fund and votes to determine whether the respective Advisory Agreement should be renewed. Accordingly, at an in-person meeting held on May 24-26, 2016 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the existing Advisory Agreements for the Funds.
During the year, the Board and its Committees met regularly to receive materials and discuss a variety of topics impacting the Funds including, among other things, overall market conditions and market performance, Fund investment performance, brokerage execution, valuation of securities, Rule 12b-1 plans and payments, sub-transfer agency and other payments to financial intermediaries, compliance matters, securities lending, risk management and ongoing initiatives. The Board had established several standing Committees, including the Open-end Fund Committee and Closed-end Fund Committee which permit the Board Members to delve further into the topics particularly relevant to the respective product line and enhance the Board’s effectiveness and oversight of the Funds. The Board also seeks to meet with the Sub-Adviser and its investment team at least once over a multiple year rotation through site visits. The information and knowledge the Board gained throughout the year from the Board and Committee meetings, site visits and the related materials were relevant to the Board’s evaluation of the Advisory Agreements, and the Board took such information into account in its review of the Advisory Agreements.
In addition to the materials received throughout the year, the Board received additional materials prepared specifically for its annual review of the Advisory Agreements in response to a request by independent legal counsel on behalf of the Independent Board Members. The materials addressed a variety of topics, including a description of the services provided by the Adviser and the Sub-Adviser (each, a “Fund Adviser”); a review of fund performance with a detailed focus on any performance outliers; an analysis of the investment teams; an analysis of the fees and expense ratios of the Funds, including information comparing such fees and expenses to that of peer groups; an assessment of shareholder services for the Funds and of the performance of certain service providers; a review of initiatives instituted or continued during the past year; and information regarding the profitability of the Fund Advisers, the compensation of portfolio managers, and compliance and risk matters.
As part of its annual review, the Board held a separate meeting on April 12-13, 2016 to review the Funds’ investment performance and consider an analysis by the Adviser of the Sub-Adviser examining, among other things, the team’s assets under management, investment performance, investment approach, and the stability and structure of the Sub-Adviser’s organization and investment team. During the review, the Independent Board Members requested and received additional information from management. Throughout the year and throughout their review of the Advisory Agreements, the Independent Board Members were assisted by independent legal counsel. The Independent Board Members met separately with independent legal counsel without management present and received a memorandum from such counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements. The Independent Board Members’ review of the Advisory Agreements reflected an ongoing process that incorporated the information and considerations that occurred over the years, including the most recent year, as well as the information specifically furnished for the renewal process. In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as controlling, but rather the decision reflected the comprehensive consideration of all the information presented. The following summarizes the principal factors, but not all the factors, the Board considered in its review of the Advisory Agreements and its conclusions.
A. Nature, Extent and Quality of Services
In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to the respective Fund and the initiatives undertaken during the past year by the Adviser. The Board recognized the comprehensive set of services the Adviser provided to manage and operate the Nuveen funds, including (a) product management (such as setting dividends, positioning the product in the marketplace, managing the relationships with the distribution platforms, maintaining and enhancing shareholder communications and reporting to the Board); (b) investment services (such as overseeing sub-advisers and other service providers; analyzing investment performance and risks; overseeing risk management and disclosure; developing and interpreting investment policies; assisting in the development of products; helping to prepare financial statements and marketing disclosures; and overseeing trade execution); (c) fund administration (such as helping to prepare fund tax returns and complete other tax compliance matters; and helping to prepare regulatory filings and shareholder reports); (d) fund Board administration (such as preparing Board materials and organizing and providing assistance
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
for Board meetings); (e) compliance (such as helping to devise and maintain the funds’ compliance program and related testing); and (f) legal support (such as helping to prepare registration statements and proxy statements, interpreting regulations and policies and overseeing fund activities).
The Board reviewed the continued investment the Adviser had made in its business to continue to strengthen the breadth and quality of its services to the benefit of the Nuveen funds. The Board noted the Adviser’s additional staffing in key areas that support the funds and the Board, including in investment services, operations, fund governance, compliance, fund administration, product management, retail distribution and information technology. Among the enhancements to its services, the Board recognized the Adviser’s (a) expanded activities and support required as a result of regulatory developments, including in areas of compliance and reporting; (b) increased support for dividend management; (c) continued investment in its technical capabilities as the Adviser continued to build out a centralized fund data platform, enhance mobility and remote access capabilities, rationalize and upgrade software platforms, and automate certain regulatory liquidity determinations; (d) continued efforts to rationalize the product line through mergers, liquidations and re-positioning of the Nuveen funds with the goal of increasing efficiencies, reducing costs, improving performance and addressing shareholder needs; (e) continued efforts to develop new lines of business designed to enhance the Nuveen product line and meet investor demands; and (f) continued commitment to enhance risk oversight, including the formation of the operational risk group to provide operational risk assessment, the access to platforms which provide better risk reporting to support investment teams, and the development of a new team to initially review new products and major product initiatives. The Board also recognized the Adviser’s efforts to renegotiate certain fees of other service providers which culminated in reduced expenses for all funds for custody and accounting services without diminishing the breadth and quality of the services provided. The Board considered the Chief Compliance Officer’s report regarding the Adviser’s compliance program, the Adviser’s continued development, execution and management of its compliance program, and the additions to the compliance team to support the continued growth of the Nuveen fund family and address regulatory developments.
The Board also considered information highlighting the various initiatives that the Adviser had implemented or continued during the year to enhance or support the open-end fund product line. The Board noted the Adviser’s continued initiatives (a) to develop and offer new outcome-oriented funds; (b) to refine the reports to the Board, including enhanced reporting regarding payments to intermediaries, as well as provide presentations to the Board to keep it apprised of various topics that are relevant to the open-end fund product line (such as marketing initiatives, portfolio analytics and sales results); (c) to modify the contingent deferred sales load structure for Class A shares to be more competitive with peers; (d) to launch a new share class to attract institutional clients; and (e) to change portfolio managers on various funds. The Board recognized that initiatives that attract assets to the Nuveen family of funds benefited the funds as fixed costs would be spread over a larger asset base and, as described below, through the complex-wide arrangement which generally would provide that the management fees of the funds (subject to limited exceptions) are reduced as asset levels for the complex increase. The Board also considered the Adviser’s review of the pricing on its entire open-end fund line which resulted in either a reduction in the contractual management fee, a reduction in a temporary expense cap or a combination thereof for numerous funds in the complex helping to better position such funds for future growth, including Nuveen Inflation Protected Securities Fund (the “Inflation Protected Fund”), which reduced its temporary expense cap, and Nuveen Intermediate Government Bond Fund (the “Intermediate Government Fund”), which reduced its management fee and temporary expense cap.
As noted, the Adviser also oversees the Sub-Adviser who primarily provides the portfolio advisory services to the Funds. The Board recognized the skill and competency of the Adviser in monitoring and analyzing the performance of the Sub-Adviser and managing the sub-advisory relationship. The Board noted that the Adviser recommended the renewal of each Sub-Advisory Agreement.
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement were satisfactory.
B. The Investment Performance of the Funds and Fund Advisers
The Board considered the long-term and short-term performance history of the Nuveen funds. As noted above, the Board reviewed fund performance at its quarterly meetings throughout the year and took into account the information derived from the discussions with representatives of the Adviser about fund performance at these meetings. The Board also considered the Adviser’s analysis of fund performance with particular focus on any performance outliers and the factors contributing to such performance and any steps the investment team had taken to address performance concerns. The Board reviewed, among other things, each Fund’s investment performance both on an absolute basis and in comparison to peer funds (the “Performance Peer Group”) and to recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks) for the quarter, one-, three- and five-year periods ending December 31, 2015, as well as performance information reflecting the first quarter of 2016.
In evaluating performance information, the Board recognized the following factors may impact the performance data as well as the consideration to be given to particular performance data:
| | • | | The performance data reflected a snapshot in time, in this case as of the end of the most recent calendar year or quarter. A different performance period, however, could generate significantly different results. |
| | • | | Long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme had the ability to disproportionately affect long-term performance. |
| | • | | Shareholders evaluate performance based on their own holding period which may differ from the performance period reviewed by the Board, leading to different performance results. |
| | • | | Open-end funds offered multiple classes and the performance data provided for open-end funds was based on Class A shares. The performance of the other classes of a fund, however, should be substantially similar on a relative basis because all of the classes would be invested in the same portfolio of securities and differences in performance among classes could be principally attributed to the variations in distribution and servicing expenses of each class. |
| | • | | The Board recognized the difficulty in establishing appropriate peer groups and benchmarks for certain funds. The Board noted that management classified the Performance Peer Groups as low, medium and high in relevancy and took the relevancy of the Performance Peer Group into account when considering the comparative performance data. If the Performance Peer Group differed somewhat from a fund, the Board recognized that the comparative performance data may be of limited value. The Board also recognized that each fund operated pursuant to its own investment objective(s), parameters and restrictions which may differ from that of the Performance Peer Group or benchmark and that these variations lead to differences in performance results. |
With respect to any Nuveen funds for which the Board has identified performance concerns, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers those steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. The Board was aware, however, that shareholders chose to invest or remain invested in a fund knowing that the Adviser and the applicable sub-adviser manage the fund, knowing the fund’s investment strategy and seeking exposure to that strategy (even if the strategy was “out of favor” in the marketplace) and knowing the fund’s fee structure.
For Nuveen Core Bond Fund (the “Core Bond Fund”), the Board noted that, although the Fund ranked in its Performance Peer Group in the fourth quartile in the one- and five-year periods, the Fund ranked in the third quartile in the three-year period. The Fund also underperformed its benchmark in the one-, three- and five-year periods. The Board will continue to monitor the progress of this Fund.
For Nuveen Core Plus Bond Fund (the “Core Plus Bond Fund”), the Board noted that, although the Fund underperformed its benchmark in the one-, three- and five-year periods and ranked in the fourth quartile in its Performance Peer Group in the shorter one-year period, the Fund ranked in the third quartile in the three- and five-year periods. The Board determined that the Fund’s performance had been satisfactory.
For the Inflation Protected Fund, the Board noted that, although the Fund underperformed its benchmark in the one-, three- and five-year periods, it ranked in the first quartile in the five-year period, the second quartile in the three-year period and the third quartile in the one-year period. The Board determined that the Fund’s performance had been satisfactory.
For the Intermediate Government Fund, although the Fund underperformed its benchmark in the one-, three- and five-year periods and ranked in its Performance Peer Group in the fourth quartile in the five-year period, the Fund ranked in the second quartile in the three-year period and the third quartile in the one-year period. The Board determined that the Fund’s performance had been satisfactory.
For Nuveen Short Term Bond Fund (the “Short Term Fund”), the Board noted that the Fund ranked in its Performance Peer Group in the second quartile in the one- and five-year periods and the first quartile in the three-year period. Although the Fund underperformed its benchmark in the one-year period, the Fund outperformed its benchmark in the three- and five-year periods. The Board determined that the Fund’s performance had been generally favorable.
C. Fees, Expenses and Profitability
1. Fees and Expenses
The Board evaluated the management fees and other fees and expenses of each Fund. The Board reviewed, among other things, the gross and net management fees and net total expenses of each Fund (expressed as a percentage of average net assets) in absolute terms and also in comparison to the fee and expense levels of a comparable universe of funds (the “Peer Universe”) and to a more focused subset in the Peer Universe (the “Peer Group”), each selected by an independent third-party fund data provider. The Independent Board Members also reviewed the methodology regarding the construction of the applicable Peer Universe and Peer Group.
In their evaluation of the management fee schedule, the Independent Board Members considered the fund-level and complex-wide breakpoint schedules, as described in further detail below. The Independent Board Members also took into account any fee waivers and/or expense reimbursements provided by Nuveen. In this regard, as noted above, the Board considered that management recently completed a review of the pricing of its open-end funds which resulted in the reduction of management fees and/or expense caps of various open-end funds. The Independent Board Members considered that the foregoing changes were estimated to result in significant savings to such funds either through a reduction in advisory fees paid or an increase in the fee waivers absorbed by Nuveen. In this regard, the Board noted that the Adviser agreed to reduce the temporary expense cap for the Inflation Protected Fund and to reduce the contractual management fee and temporary expense cap for the Intermediate Government Fund.
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
In reviewing the comparative fee and expense information, the Independent Board Members recognized that various factors such as the limited size and particular composition of the Peer Universe or Peer Group (including the inclusion of other Nuveen funds in the peer set); expense anomalies; changes in the funds comprising the Peer Universe or Peer Group from year to year; levels of reimbursement or fee waivers; the timing of information used; and differences in services provided can impact the usefulness of the comparative data in helping to assess the appropriateness of a fund’s fees and expenses. In addition, in reviewing a fund’s fees and expenses compared to the fees and expenses of its peers, the Board generally considered the fund’s expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Group. The Board reviewed the net expense ratio in recognition that the net expense ratio generally best represented the net experience of the shareholders of a fund as it directly reflected the costs of investing in the respective fund. The Board noted that the majority of the Nuveen funds had a net expense ratio near or below the average of the respective peers. For funds with a net expense ratio of 6 basis points or higher than their respective peer average, the Independent Board Members reviewed the reasons for the outlier status and were satisfied with the explanation for the difference or with any steps taken to address the difference.
The Board noted that the Core Bond Fund had a net management fee in line with its peer average and a net expense ratio below its peer average; the Core Plus Bond Fund, the Intermediate Government Fund and the Short Term Fund each had a net management fee and net expense ratio below the respective peer averages; and the Inflation Protected Fund had a net management fee and net expense ratio in line with the respective peer averages. As discussed above, the Board also noted that the Adviser agreed to reduce the temporary expense cap for the Inflation Protected Fund and to reduce the contractual management fee and temporary expense cap for the Intermediate Government Fund.
Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund’s management fees (as applicable) to a Fund Adviser were reasonable in light of the nature, extent and quality of services provided to the Fund.
2. Comparisons with the Fees of Other Clients
The Board also reviewed information regarding the fee rates for other types of clients advised or sub-advised by the respective Fund Adviser. For the Adviser and/or its affiliated sub-advisers, such other clients may include: separately managed accounts (such as retail, institutional or wrap accounts), hedge funds, other investment companies that are not offered by Nuveen but are sub-advised by one of Nuveen’s affiliated sub-advisers, foreign investment companies offered by Nuveen, and collective investment trusts.
The Board recognized that each Fund had an affiliated sub-adviser. With respect to affiliated sub-advisers, including the Sub-Adviser, the Board reviewed, among other things, the range of advisory fee rates and average fee rate assessed for the different types of clients. The Board reviewed information regarding the different types of services provided to the Funds compared to that provided to these other clients which typically did not require the same breadth of day-to-day services required for registered funds. The Board further considered information regarding the differences in, among other things, the distribution systems, investment policies, investor profiles, and account sizes between the Nuveen funds and the other types of clients. In addition, the Independent Board Members also recognized that the management fee rates of the foreign funds advised by the Adviser may also vary due to, among other things, differences in the client base, governing bodies, operational complexities and services covered by the management fee. The Independent Board Members recognized that the foregoing variations resulted in different economics among the product structures and culminated in varying management fees among the types of clients and funds.
The Board also was aware that, since the Funds had a sub-adviser, each Fund’s management fee reflected two components, the fee retained by the Adviser for its services and the fee the Adviser paid to the Sub-Adviser. The Board noted that many of the administrative services provided to support the Funds by the Adviser may not be required to the same extent or at all for the institutional clients or other clients. In general, the Board noted that higher fee levels reflected higher levels of service provided by the Fund Adviser, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of the foregoing. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members concluded such facts justify the different levels of fees.
3. Profitability of Fund Advisers
In conjunction with their review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities on an absolute basis and in comparison to other investment advisers. The Independent Board Members reviewed, among other things, Nuveen’s adjusted operating margins, the gross and net revenue margins (pre-tax and after-tax) for advisory activities for the Nuveen funds, and the revenues, expenses, and net income (pre-tax and after-tax) of Nuveen for each of the last two calendar years. The Independent Board Members reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2015. The Independent Board Members also noted that the sub-advisory fees for the Funds are paid by the Adviser, however, the Board recognized that the Sub-Adviser is affiliated with Nuveen. In their review, the Independent Board Members recognized that profitability data is rather subjective as various allocation methodologies may be reasonable to employ but yet yield different results. The Board also reviewed the results of certain alternative methodologies. The Board considered the allocation methodology employed to prepare the profitability data as well as a summary of the refinements to the methodology that had been adopted over the years which may limit some of the comparability of Nuveen’s revenue margins over time. Two Independent Board
Members also served as point persons for the Board throughout the year to review and discuss the methodology employed to develop the profitability analysis and any proposed changes thereto and to keep the Board apprised of such changes during the year. In reviewing the profitability data, the Independent Board Members noted that Nuveen’s operating margin as well as its margins for its advisory activities to the Nuveen funds for 2015 were consistent with such margins for 2014.
The Board also considered Nuveen’s adjusted operating margins compared to that of other comparable investment advisers (based on asset size and composition) with publicly available data. The Independent Board Members recognized, however, the limitations of the comparative data as the other advisers may have a different business mix, employ different allocation methodologies, have different capital structure and costs, may not be representative of the industry or other factors that limit the comparability of the profitability information. Nevertheless, the Independent Board Members noted that Nuveen’s adjusted operating margins appeared comparable to the adjusted margins of the peers.
Further, as the Adviser is a wholly-owned subsidiary of Nuveen which in turn is an operating division of TIAA Global Asset Management, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA-CREF”), the Board reviewed a balance sheet for TIAA-CREF reflecting its assets, liabilities and capital and contingency reserves for the last two calendar years to have a better understanding of the financial stability and strength of the TIAA-CREF complex, together with Nuveen.
Based on the information provided, the Independent Board Members noted that the Adviser appeared to be sufficiently profitable to operate as a viable investment management firm and to honor its obligations as a sponsor of the Nuveen funds.
With respect to the Sub-Adviser, the Independent Board Members also considered the profitability of the Sub-Adviser from its relationship with the Nuveen funds. The Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2015. The Independent Board Members also reviewed profitability analysis reflecting the revenues, expenses and revenue margin (pre- and post-tax) by asset type for the Sub-Adviser for the calendar year ending December 31, 2015.
In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates received or were expected to receive that were directly attributable to the management of a Fund. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds.
Based on their review, the Independent Board Members determined that the Adviser’s and the Sub-Adviser’s levels of profitability were reasonable in light of the respective services provided.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
The Independent Board Members recognized that as the assets of a particular fund or the Nuveen complex in the aggregate increase over time, economies of scale may be realized with respect to the management of the funds, and the Independent Board Members considered the extent to which these economies are shared with the funds and their shareholders. Although the Independent Board Members recognized that economies of scale are difficult to measure with precision, the Board noted that there were several acceptable means to share economies of scale, including through breakpoints in the management fee schedule reducing the fee rates as asset levels grow, fee waiver and expense limitation agreements and the Adviser’s investment in its business which can enhance the services provided to the funds. With respect to breakpoints, the Independent Board Members noted that subject to certain exceptions, the funds in the Nuveen complex, including the Funds, pay a management fee to the Adviser which is generally comprised of a fund-level component and complex-level component. The fund-level fee component declines as the assets of the particular fund grow and the complex-level fee component declines when eligible assets of all the funds in the Nuveen complex combined grow. The complex-wide fee arrangement was designed to capture economies of scale achieved when total fund complex assets increase, even if the assets of a particular fund are unchanged or decrease. The approach reflected the notion that some of Nuveen’s costs were attributable to services provided to all its funds in the complex, and therefore all funds should benefit if these costs were spread over a larger asset base.
The Independent Board Members reviewed the breakpoint and complex-wide schedules and any savings achieved from expense caps (as applicable), fund-level breakpoints and complex-wide fee reductions for the 2015 calendar year for the funds. In this regard, the Independent Board Members noted that additional economies of scale were shared with shareholders of each Fund through its temporary expense cap.
In addition, the Independent Board Members recognized the Adviser’s ongoing investment in its business to expand or enhance the services provided to the Nuveen funds. The Independent Board Members noted, among other things, the additions to groups who play a key role in supporting the funds including in fund administration, operations, fund governance, investment services, compliance, product management, retail distribution and technology. The Independent Board Members also recognized the investments in systems necessary to manage the funds including in areas of risk oversight, information technology and compliance.
Based on their review, the Independent Board Members concluded that the current fee structure was acceptable and reflected economies of scale to be shared with shareholders when assets under management increase.
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
E. Indirect Benefits
The Independent Board Members received and considered information regarding other additional benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Funds, including compensation paid to affiliates and research received in connection with brokerage transactions (i.e., soft dollar arrangements). In this regard, the Independent Board Members recognized that an affiliate of the Adviser served as the Funds’ principal underwriter and may receive compensation therefore from, among other things, sales charges, distribution fees and shareholder services fees (which included fees received pursuant to any 12b-1 plan). The Independent Board Members therefore took into account, among other things, the 12b-1 fees retained by Nuveen during the last calendar year.
In addition to the above, the Independent Board Members considered that the Funds’ portfolio transactions are allocated by the Sub-Adviser and the Sub-Adviser may benefit from research received through soft-dollar arrangements. The Board noted, however, that with respect to transactions in fixed income securities, such securities generally trade on a principal basis and do not generate soft dollar credits. Although the Board recognized the Sub-Adviser may benefit from a soft dollar arrangement if it does not have to pay for this research out of its own assets, the Board also recognized that any such research may benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds.
Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.
F. Other Considerations
The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, concluded that the terms of each Advisory Agreement were fair and reasonable, that the respective Fund Adviser’s fees were reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.
Trustees
and Officers (Unaudited)
The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of directors of the Funds is set at twelve, effective July 1, 2016. None of the trustees who are not “interested” persons of the Funds (referred to herein as “independent trustees”) has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
The Funds’ Statement of Additional Information (“SAI”) includes more information about the trustees. To request a free copy, call Nuveen Investments at (800) 257-8787 or visit the Funds’ website at www.nuveen.com.
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (1) | | Principal Occupation(s)
Including other Directorships
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee |
| |
| Independent Trustee: |
William J. Schneider 1944 333 W. Wacker Drive Chicago, IL 60606 | | Chairman and Trustee | | 1996 | | Chairman of Miller-Valentine Partners, a real estate investment company; Board Member of Med-America Health System and WDPR Public Radio station; formerly, Senior Partner and Chief Operating Officer (retired (2004) of Miller-Valentine Group; formerly, Board member, Business Advisory Council of the Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council; past Chair and Director, Dayton Development Coalition. | | 184 |
Jack B. Evans 1948 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 1999 | | President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; Director, The Gazette Company; Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. | | 184 |
William C. Hunter 1948 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2003 | | Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; Director (since 2005), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University. | | 184 |
David J. Kundert 1942 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2005 | | Formerly, Director, Northwestern Mutual Wealth Management Company (2006-2013); retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Regent Emeritus, Member of Investment Committee, Luther College; member of the Wisconsin Bar Association; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation; member of the Board of Directors (Milwaukee), College Possible; Board member of Milwaukee Repertory Theatre (since 2016). | | 184 |
Trustees and Officers (Unaudited) (continued)
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (1) | | Principal Occupation(s)
Including other Directorships
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee |
Albin F. Moschner(2) 1952 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2016 | | Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); previously, held positions at Leap Wireless International, Inc., including Consultant (2011-2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004-2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications (1999-2000); formerly, Vice Chairman of the Board, Diba, Incorporated (1996-1997); formerly, various executive positions with Zenith Electronics Corporation (1991-1996). Director, USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016). | | 184 |
John K. Nelson 1962 333 West Wacker Drive Chicago, IL 60606 | | Trustee | | 2013 | | Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President’s Council, Fordham University (since 2010); formerly senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014); formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets—the Americas (2006-2007), CEO of Wholesale Banking—North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading—North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City. | | 184 |
Judith M. Stockdale 1947 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 1997 | | Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994). | | 184 |
Carole E. Stone 1947 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2007 | | Director, Chicago Board Options Exchange (since 2006), C2 Options Exchange, Incorporated (since 2009); Director, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010). | | 184 |
Terence J. Toth 1959 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2008 | | Managing Partner, Promus Capital (since 2008); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Chicago Fellowship Board (since 2005), Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its investment committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004). | | 184 |
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (1) | | Principal Occupation(s)
Including other Directorships
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee |
Margaret L. Wolff 1955 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2016 | | Member of the Board of Directors (since 2013) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College. | | 184 |
| |
| Interested Trustee: |
William Adams IV(3) 1955 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2013 | | Co-Chief Executive Officer and Co-President (since March 2016), formerly, Senior Executive Vice President, Global Structured Products (2010-2016), prior thereto, Executive Vice President, U.S. Structured Products (1999-2010) of Nuveen Investments, Inc.; Co-President of Nuveen Fund Advisors, LLC (since 2011); Co-Chief Executive Officer (since 2016), formerly, Senior Executive Vice President of Nuveen Securities, LLC; President (since 2011), of Nuveen Commodities Asset Management, LLC; Board Member of the Chicago Symphony Orchestra and of Gilda’s Club Chicago. | | 184 |
Margo L. Cook(2)(3) 1964 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2016 | | Co-Chief Executive Officer and Co-President (since March 2016), formerly, Senior Executive Vice President of Nuveen Investments, Inc; Co-Chief Executive Officer (since 2015), previously, Executive Vice President (2013-2015) of Nuveen Securities, LLC; Senior Executive Vice President (since 2015) of Nuveen Fund Advisors, LLC (Executive Vice President 2011-2015); formerly, Managing Director of Nuveen Commodities Asset Management, LLC (2011- 2016); Chartered Financial Analyst. | | 184 |
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (4) | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Officer |
| |
| Officers of the Funds: |
Gifford R. Zimmerman 1956 333 W. Wacker Drive Chicago, IL 60606 | | Chief Administrative Officer | | 1988 | | Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Managing Director and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002), and Symphony Asset Management LLC (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Santa Barbara Asset Management, LLC (since 2006) and of Winslow Capital Management, LLC, (since 2010); Vice President and Assistant Secretary (since 2013), formerly, Chief Administrative Officer and Chief Compliance Officer (2006-2013) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst. | | 185 |
Lorna C. Ferguson 1945 333 W. Wacker Drive Chicago, IL 60606 | | Vice President | | 1998 | | Managing Director (since 2005) of Nuveen Fund Advisors, LLC and Nuveen Securities, LLC (since 2004). | | 185 |
Trustees and Officers (Unaudited) (continued)
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (4) | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Officer |
Stephen D. Foy 1954 333 W. Wacker Drive Chicago, IL 60606 | | Vice President and Controller | | 1998 | | Managing Director (since 2014), formerly, Senior Vice President (2013-2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Chief Financial Officer of Nuveen Commodities Asset Management, LLC (since 2010); Managing Director (since 2016) of Nuveen Securities, LLC; Certified Public Accountant. | | 185 |
Nathaniel T. Jones 1979 333 W. Wacker Drive Chicago, IL 60606 | | Vice President and Treasurer | | 2016 | | Senior Vice President (since 2016), formerly, Vice President (2011- 2016) of Nuveen Investments Holdings, Inc.; Chartered Financial Analyst. | | 184 |
Walter M. Kelly 1970 333 W. Wacker Drive Chicago, IL 60606 | | Chief Compliance Officer and Vice President | | 2003 | | Senior Vice President (since 2008) of Nuveen Investments Holdings, Inc. | | 185 |
Tina M. Lazar 1961 333 W. Wacker Drive Chicago, IL 60606 | | Vice President | | 2002 | | Senior Vice President of Nuveen Investments Holdings, Inc. and Nuveen Securities, LLC | | 185 |
Kevin J. McCarthy 1966 333 W. Wacker Drive Chicago, IL 60606 | | Vice President and Secretary | | 2007 | | Executive Vice President, Secretary and General Counsel (since March 2016), formerly, Managing Director and Assistant Secretary of Nuveen Investments, Inc.; Executive Vice President (since March 2016), formerly, Managing Director, and Assistant Secretary (since 2008) of Nuveen Securities, LLC; Executive Vice President and Secretary (since March 2016), formerly, Managing Director (2008-2016) and Assistant Secretary (2007-2016), and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Executive Vice President and Secretary (since March 2016), formerly, Managing Director, Assistant Secretary (2011-2016), and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Executive Vice President and Secretary of Nuveen Investments Advisers, LLC; Vice President (since 2007) and Secretary (since March 2016) of NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, Winslow Capital Management, LLC (since 2010) and Tradewinds Global Investors, LLC (since 2016); Vice President (since 2010) and Secretary (since 2016), formerly, Assistant Secretary of Nuveen Commodities Asset Management, LLC. | | 185 |
Kathleen L. Prudhomme 1953 901 Marquette Avenue Minneapolis, MN 55402 | | Vice President and Assistant Secretary | | 2011 | | Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010). | | 185 |
Joel T. Slager 1978 333 West Wacker Drive Chicago, IL 60606 | | Vice President and Assistant Secretary | | 2013 | | Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013). | | 185 |
Jeffery M. Wilson 1956 333 West Wacker Drive Chicago, IL 60606 | | Vice President | | 2011 | | Senior Vice President of Nuveen Investments Holdings, Inc. (since 2011); formerly Senior Vice President of Nuveen Securities, LLC (since 2011); formerly, Senior Vice President of FAF Advisors, Inc. (2000-2010). | | 101 |
| (1) | Trustees serve an indefinite term until his/her successor is elected or appointed. The year first elected or appointed represents the year in which the director was first elected or appointed to any fund in the Nuveen Fund Complex. |
| (2) | On June 22, 2016, Ms. Cook and Mr. Moschner were appointed as Board Members, effective July 1, 2016. |
| (3) | “Interested persons” of the Trust, as defined in the 1940 Act, by reason of their positions with Nuveen and certain of its subsidiaries. |
| (4) | Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the officer was first elected or appointed to any fund in the Nuveen Fund Complex. |
Notes
Notes
Notes
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| | Nuveen: | | |
| | | | Serving Investors for Generations | | |
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| | | | 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. | | |
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| | | | | | Focused on meeting investor needs. Nuveen helps secure the long-term goals of individual investors and the advisors who serve them. As an operating division of TIAA Global Asset Management, Nuveen provides 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 more than $239 billion in assets as of June 30, 2016. | | |
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| | | | | | 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 | | |
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| | Distributed by Nuveen Securities, LLC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com/mf | | |
MAN-FINC-0616D 18661-INV-Y-08/17
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| Mutual Funds | |
| | | | | | |
| | | | | | | Annual Report June 30, 2016 |
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| | | | | | | Share Class / Ticker Symbol |
| | | Fund Name | | | | Class A | | Class C | | Class R3 | | Class R6 | | Class I | | |
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| | Nuveen Global Total Return Bond Fund | | | | NGTAX | | NGTCX | | NGTRX | | — | | NGTIX | | |
| | Nuveen High Income Bond Fund | | | | FJSIX | | FCSIX | | FANSX | | — | | FJSYX | | |
| | Nuveen Strategic Income Fund | | | | FCDDX | | FCBCX | | FABSX | | FSFRX | | FCBYX | | |
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| | Life is Complex. | | |
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| | Nuveen makes things e-simple. | | |
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| | It only takes a minute to sign up for e-Reports. Once enrolled, you’ll receive an e-mail as soon as your Nuveen Fund information is ready. No more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish. | | |
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| | | | | | Free e-Reports right to your e-mail! | | |
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| | | | | | www.investordelivery.com If you receive your Nuveen Fund distributions and statements from your
financial advisor or brokerage account. |
| | | | |
| | | | or | | www.nuveen.com/accountaccess If you receive your Nuveen Fund distributions and statements directly from Nuveen. Must be preceded by or accompanied by a prospectus. NOT FDIC INSURED MAY LOSE VALUE
NO BANK GUARANTEE | | |
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Table
of Contents
Chairman’s Letter
to Shareholders
Dear Shareholders,
The U.S. economy is now seven years into the recovery, but its pace remains stubbornly subpar compared to past recoveries. Economic data continues to be a mixed bag, as it has been throughout this expansion period. While the unemployment rate fell below its pre-recession level and wages have grown slightly, a surprisingly weak jobs growth report in May cast doubt over the future strength of the labor market. The June employment report was much stronger, however, easing fears that a significant downtrend was emerging. The housing market has improved markedly but its contribution to the recovery has been lackluster. Deflationary pressures, including the dramatic slide in commodity prices, have kept inflation much lower for longer than many expected.
U.S. growth remains modest, while economic conditions elsewhere continue to appear vulnerable. On June 23, 2016, the U.K. voted to leave the European Union, known as “Brexit.” The outcome surprised the global markets, leading to high levels of volatility across equities, fixed income and currencies in the days following the vote. Although the turbulence subsided not long after and many asset classes have largely recovered, uncertainties remain about the Brexit separation process and the economic and political impacts on the U.K., Europe and the rest of the world.
In the meantime, global central banks remain accommodative in efforts to bolster growth. The European Central Bank and Bank of Japan have been providing aggressive monetary stimulus, including adopting negative interest rates in both Europe and Japan, as their economies continue to lag the U.S.’s recovery. China’s policy makers have also continued to manage its slowdown, but investors are still worried about where the world’s second-largest economy might ultimately land.
Many of these ambiguities – both domestic and international – have kept the U.S. Federal Reserve (Fed) from raising short-term interest rates any further since December’s first and only increase thus far. While markets rallied earlier in the year on the widely held expectation that the Fed would defer any increases until June, the unusually weak May jobs report and the Brexit concerns compelled the Fed to hold rates steady at its June meeting. Although labor market conditions improved in June, Britain’s “leave” vote is expected to keep the Fed on hold until later in 2016.
With global economic growth still looking fairly fragile, during certain periods financial markets were volatile over the past year. Although sentiment has improved and conditions have generally recovered from the intense volatility seen in early 2016 and following the Brexit vote in June, we expect that turbulence remains on the horizon for the time being. 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
August 23, 2016
Portfolio Managers’
Comments
Nuveen Global Total Return Bond Fund
Nuveen High Income Bond Fund
Nuveen Strategic Income Fund
These Funds feature portfolio management by Nuveen Asset Management, LLC, an affiliate of Nuveen Investments, Inc. In this report, the various portfolio management teams for the Funds discuss economic and fixed income market conditions, key investment strategies and the Funds’ performance for the twelve-month reporting period ended June 30, 2016. These management teams include:
Nuveen Global Total Return Bond Fund
Timothy A. Palmer, CFA, and Steven S. Lee, CFA, have managed the Fund since its inception in 2011.
Nuveen High Income Bond Fund
John T. Fruit, CFA, has managed the Fund since 2006. Jeffrey T. Schmitz, CFA, has been part of the management team for the Fund since 2008.
Nuveen Strategic Income Fund
Timothy A. Palmer, CFA, has managed the Fund since 2005. Jeffrey J. Ebert and Marie A. Newcome, CFA, joined the Fund as co-portfolio managers in 2000 and 2011, respectively. Douglas M. Baker, CFA, joined the Fund as co-portfolio manager on March 18, 2016.
What factors affected the U.S. economy and financial markets during the twelve-month reporting period ended June 30, 2016?
Over the twelve-month period, U.S. economic data continued to point to subdued growth, rising employment and tame inflation. Economic activity has continued to hover around a 2% annualized growth rate since the end of the Great Recession in 2009, as measured by real gross domestic product (GDP), which is the value of the goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. For the second quarter of 2016, real GDP increased at an annual rate of 1.2%, as reported by the “advance” estimate of the Bureau of Economic Analysis, up from 0.8% in the first quarter of 2016.
The labor and housing markets improved over the reporting period, although the momentum appeared to slow toward the end of the period. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 4.9% in June 2016 from 5.3% in June 2015, and job gains averaged slightly above 200,000 per month for the past twelve months. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, recorded a 5.0% annual gain in May 2016 (most recent data available at the time this report was prepared) (effective July 26, 2016, subsequent to the close of this reporting period, the S&P/Case-Shiller U.S. National Home Price Index was renamed the S&P CoreLogic Case-Shiller U.S. National Home Price Index). The 10-City and 20-City Composites reported year-over-year increases of 4.4% and 5.2%, respectively.
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 Funds disclaim 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). 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.
Portfolio Managers’ Comments (continued)
Consumers, whose purchases comprise the largest component of the U.S. economy, benefited from employment growth and firming wages over the twelve-month reporting period. Although consumer spending gains were rather muted in the latter half of 2015, a spending surge in the second quarter of 2016 helped offset weaker business investment. A backdrop of low inflation also contributed to consumers’ willingness to buy. The Consumer Price Index (CPI) rose 1.0% over the twelve-month period ended June 30, 2016 on a seasonally adjusted basis, as reported by the U.S. Bureau of Labor Statistics. The core CPI (which excludes food and energy) increased 2.3% during the same period, slightly above the Fed’s unofficial longer term inflation objective of 2.0%.
At the start of the reporting period, a slowdown in China and ongoing weakness across emerging markets led to renewed volatility and downward pressure for commodity prices across the board. China fears plus a global supply glut led oil prices to sell off sharply, hitting a 12-year low of approximately $26-per-barrel for West Texas Intermediate (WTI) crude in February 2016. However, in the final four months or so of the reporting period, news of a possible production freeze and a string of unexpected production outages helped prices rally back to around the $50-per-barrel mark for WTI crude.
Business investment remained weak over the reporting period. Corporate earnings growth slowed during 2015, reflecting an array of factors ranging from weakening demand amid sluggish U.S. and global growth to the impact of falling commodity prices and a strong U.S. dollar. Although energy prices rebounded off their lows and the dollar pared some of its gains in the first half of 2016, caution prevailed. Financial market turbulence in early 2016 and political uncertainties surrounding the U.K.’s late-June referendum on whether to stay or leave the European Union (EU) and the upcoming U.S. presidential election dampened capital spending.
With the current expansion considered to be on solid footing, the U.S. Federal Reserve (Fed) prepared to raise one of its main interest rates, which had been held near zero since December 2008 to help stimulate the economy. After delaying the rate change for most of 2015 because of a weak global economic growth outlook, the Fed announced in December 2015 that it would raise the fed funds target rate by 0.25%. The news was widely expected and therefore had a relatively muted impact on the financial markets.
Although the Fed continued to emphasize future rate increases would be gradual, investors worried about the pace. This, along with uncertainties about the global macroeconomic backdrop, another downdraft in oil prices and a spike in stock market volatility triggered significant losses across assets that carry more risk and fueled demand for “safe haven” assets such as Treasury bonds and gold from January through mid-February. However, fear began to subside in March, propelling assets that carry more risk higher. The Fed held the rate steady at both the January and March policy meetings, as well as lowered its expectations to two rate increases in 2016 from four. Also boosting investor confidence were reassuring statements from the European Central Bank (ECB), some positive economic data in the U.S. and abroad, a retreat in the U.S. dollar and an oil price rally. At its April meeting, the Fed indicated its readiness to raise its benchmark rate at the next policy meeting in June. However, concerns surrounding a disappointing jobs growth report in May, the increasing divergence between U.S. and global growth as well as tepid inflation readings led the Fed to again hold rates steady at its June and July meetings.
While the U.S. economy remained on firmer footing, the economic outlook outside the U.S. grew more uncertain as the U.K.’s late-June referendum increasingly weighed on sentiment and markets, especially in Europe. Angst surrounding growth in China also remained front and center as policymakers struggled to promote growth in this weakening economy. Japan attempted to boost growth and stave off deflation with an unexpected rate cut at the end of January, but then held off on any additional response, much to the chagrin of investors. The ECB unleashed its own combination of easing measures in March. Then on June 23, 2106, British voters shocked the world with their unexpected “Brexit” decision to leave the EU, forcing the resignation of the country’s prime minister and temporarily rocking global financial markets. In the days after the vote, U.K. sterling fell precipitously, global equities were turbulent and safe-haven assets such as gold, the U.S. dollar and U.S. Treasuries saw notable inflows. However, the markets stabilized fairly quickly, buoyed by reassurances from global central banks and a perception that the temporary price rout presented an attractive buying opportunity.
As a result of the broad array of factors over the reporting period, the Treasury yield curve flattened as rates for Treasury securities with maturities of one year and less moved modestly higher, while rates for intermediate- and long-term Treasuries fell substantially. For example, yields on one-year T-bills rose by 17 basis points, while 10-year Treasury rates were 85 basis points lower by period end. While Treasury yields ended the reporting period at extremely low levels by historical standards, they remained attractive when compared to the negative rates found in many places across Europe and Asia.
How did the Funds perform during the twelve-month reporting period ended June 30, 2016?
The tables in the Fund Performance and Expense Ratios section of this report provide total returns for the Funds for the one-year, five-year, ten-year and/or since inception periods ended June 30, 2016. Each Funds’ Class A Share total returns at net asset value (NAV) are compared with the performance of the appropriate Barclays Index and Lipper classification average. A more detailed account of each Fund’s performance is provided later in this report.
What strategies were used to manage the Funds during the twelve-month reporting period and how did these strategies influence performance?
All of the Funds continued to employ the same fundamental investment strategies and tactics used previously, although implementation of those strategies depended on the individual characteristics of the portfolios, as well as market conditions. The Funds’ management teams use a highly collaborative, research-driven approach that we believe offers the best opportunity to achieve consistent, superior long-term performance on a risk-adjusted basis across the full range of market environments. During the reporting period, the Funds were generally positioned for an environment of continued moderate economic growth. Nonetheless, during the reporting period we made smaller scaled shifts on an ongoing basis that were geared toward improving each Fund’s profile in response to changing conditions and valuations. These strategic moves are discussed in more detail within each Fund’s section of this report.
Nuveen Global Total Return Bond Fund
The Fund’s Class A Shares at net asset value (NAV) underperformed both the Barclays Global Aggregate Unhedged Bond Index and the Lipper Global Income Funds Classification Average for the twelve-month reporting period. In the first seven-and-a-half months of the reporting period, risk premiums widened across all fixed income sectors as investors favored higher quality segments of the market such as Treasuries and mortgage-backed securities. In the investment grade corporate market, commodity price volatility and heavy new issue supply kept technicals weak in higher risk sectors, causing lower quality bonds and commodity related industries to underperform significantly. Analysts at ratings agencies reduced price forecasts for energy and metals, causing negative outlook changes for several issuers and exacerbating selling pressure in an already weak market. A large amount of merger and acquisition (M&A) related financing in the latter part of 2015 also took a toll on the technical backdrop. Market technicals remained weak as dealers tried to keep inventory levels low, which created stress across all segments of the corporate market. Financial spreads remained steady and this sector outperformed industrials, which were challenged by commodity price volatility and heavy new issue supply. Around mid-February 2016, oil prices began to rebound off their lows and the Fed indicated a more cautious approach to rate hikes, causing a strong rally in both high yield and investment grade credit. The technical backdrop also improved after the ECB announced that it would start buying euro-denominated credit issues in both the primary and secondary markets. This caused foreign investors to increase their holdings of U.S. corporate paper given more attractive valuations in the U.S. market. Industrials outperformed financials in this latter part of the reporting period as commodity prices stabilized and investors became concerned about loan performance given uncertainty in the global economic outlook.
High yield bond prices were under extreme pressure in the first seven months of the reporting period as global growth concerns, the Fed’s mixed messages and accumulating sector specific issues weighed on confidence and led to a poor technical backdrop. A flight-to-quality ensued due to persistent commodity weakness and increased distress among lower rated issues. Energy bonds, which comprise approximately 13% of the market, continued to be pressured by falling crude prices, while the weak global growth outlook also caused base metal, iron ore and coal bonds to trade at multi-year lows. Elevated risks in the commodity sector curbed risk appetites and led to underperformance in the CCC credit rated space, which is more exposed to these cyclically weak areas. However, high yield bond prices finally found support midway through February 2016, after suffering through a 20-month long bear market. High yield spreads tightened significantly and the energy and metals/mining sectors enjoyed strong recoveries after bearing the brunt of the market sell-off. The recovery, however, was not enough to offset earlier underperformance and U.S. high yield fell short of all other U.S. fixed income asset classes for the full reporting period. On the other hand, the segment outperformed European issues, given Brexit uncertainty, as well as the relative richness of euro high yield given its outperformance in 2015’s sell-off.
Non-U.S. interest rates and currencies took the Feds December 2015 rate increase in stride, reacting moderately to prospects for a higher U.S. rate structure. A moderate message from the Fed, below trend global growth, the lack of inflation pressures and ongoing
Portfolio Managers’ Comments (continued)
risk aversion in credit helped keep market rates in check early in the reporting period. Europe and Japan, while posting reasonable growth data, continued to witness broadly disinflationary effects beyond energy, leading to meaningfully lower inflation expectations. After a pause in its quantitative easing efforts, the ECB aggressively ramped up its efforts to reverse disinflation and expand lending activity in March 2016 by expanding its measures and pushing interest rates deeper into negative territory. After the Fed validated the market’s assessment that the pace of its rate hikes would slow further, global rates fell precipitously and the U.S. dollar declined. Risk appetite was supported, particularly corporate credit, in light of the ECB’s move to buy corporate bonds. China worked to stabilize its yuan currency, while rumors flourished that global policymakers agreed to a secret “Shanghai Accord” at the G-20 meeting, in a coordinated effort to weaken the dollar and end recent “currency wars.” In the final days of the reporting period, the unexpected Brexit vote had a significant impact on major currencies, slashing the value of the British pound and other European currencies versus the dollar. Conversely, the yen was driven up by the flight to quality and disappointment over the lack of any stimulative action by the Bank of Japan, as well as the dovish turn from the Fed. However, global leaders were relieved to see the relatively contained short-term asset reaction outside of Europe. The Japanese yen appreciated sharply over the reporting period, given flight-to-quality inflows and appreciation caused by the failure of “Abenomics” to remain on track.
Emerging market (EM) bonds and currencies had a rocky start to the reporting period as decelerating data out of China continued to raise questions about the country’s growth and the resultant impact on the rest of the world. Political disarray, stagnant growth and currency weakness continued to plague Brazil, threatening further instability in this large EM player, while a surprise policy shift in South Africa exacerbated the volatility. As the reporting period progressed, however, EM bonds and currencies benefited from stabilizing domestic fundamentals and positive policy developments globally, which led to investor inflows and a reversal from very cheap valuations. Rising oil prices boosted growth and reduced the stress on commodity-dependent economies. The market was also supported by the aggressive ECB actions, the Fed’s cautious posture and evidence of Chinese fiscal stimulus. Despite elevated volatility in global markets at the end of the reporting period due to the U.K. referendum, EM debt posted strong returns over the reporting period, outperforming all other fixed income asset classes. EM currencies declined versus the U.S. dollar, owing to global growth concerns, volatile commodities and capital outflows. Commodity sensitive currencies were hardest hit.
In the securitized sectors, commercial mortgage-backed securities (CMBS) performed well overall during the reporting period as global central bank support, increased appetite for risk, sharply reduced supply and strong demand for high quality, non-government securities all contributed to the tightening of risk premiums in the segment. Traditional consumer asset-backed securities (ABS) outperformed Treasuries as consumer credit metrics outside of subprime auto remained solid. Agency and non-agency mortgage-backed securities (MBS) performed fairly well during the reporting period, outpacing Treasuries as mortgage delinquencies continued to decline and housing market fundamentals remained broadly supportive of the this segment of the MBS market.
The Fund’s overweight to credit sectors was the largest detractor from relative performance during the reporting period. The volatile market conditions and pressures on credit and economically sensitive sectors of the market drove this shortfall versus the benchmarks. The majority of the negative impact took place in the first seven months of the reporting period. The dramatic sell-off in high yield credit during this reporting period was the most significant factor. The Fund was positioned with an overweight to high yield, while our holdings in cyclical credits within the sector also contributed to some of the underperformance. After oil prices hit bottom in mid-February, the high yield segment surged, contributing favorably to the Fund’s results later in the reporting period, but not enough to offset the earlier underperformance.
Investment grade credit was also a drag on the Fund’s performance, driven by our overweight to credit and positioning within the sector. Within investment grade, our overweight positions in both cyclical credits and BBB rated credits detracted from performance in the first seven months of the reporting period. Also, the benefit of the Fund’s large overweight to financials was more than offset by its smaller, but hard hit, positions in energy, metals and other cyclically sensitive industries. The tables turned in the final five months of the reporting period as some of these same themes in the investment grade sector, particularly our lower quality bias, worked to the Fund’s benefit. However, security selection lagged as financials underperformed industrials later in the reporting period in light of Brexit and credit fears. Our exposure to EM investment grade credit modestly benefited performance, with the positive effect taking place in the second half of the reporting period.
The impact from currency positioning also detracted from the Fund’s relative performance driven largely by our significant underweight to the Japanese yen, which represents a large weight in the index. The yen was among the best performing currencies during
the reporting period as Japanese data disappointed and policymakers failed to respond, as well as from the global flight to quality around Brexit and from lowered expectations for Fed rate hikes and lower Treasury yields. Away from the yen, the overall level of the U.S. dollar had minimal impact, while selection in EM currencies had a net negative impact as the decline in the Mexican peso more than offset gains from our positioning in India, Indonesia and Korea. Mexican peso underperformance was driven by global uncertainties, domestic economic concerns given the proximity to the U.S., and negative technicals associated with large overweights of global investors. On the other hand, an underweight to the euro was additive, while our large underweight to the U.K. pound was also very beneficial, given the Brexit stress and the currency’s dramatic decline.
Our overall global interest rate positioning was a neutral factor during the reporting period with early and late gains, including tactical moves, offset by the sharp rally in Japanese bonds, which we did not hold, during the middle of the reporting period. Overall, our small duration underweight to the index detracted slightly, but this was somewhat offset by market selection gains elsewhere, with gains in the U.S., U.K., the Eurozone and emerging Europe adding value and South Africa and Mexico detracting.
As the reporting period drew to a close, we maintained the Fund’s positioning for moderate economic growth and supportive financial conditions. Our portfolio construction continued to be focused on income generation driven primarily through diversified exposure to credit and selected local bond markets globally. We continued to hold an underweight to mortgages and structured bonds, given better opportunities elsewhere. We also continued to allocate away from U.S. Treasury and Japanese government securities as these offered unattractive duration and yield profiles.
We remained overweight European duration, although we reduced peripheral Eurozone exposure in May in advance of expected Brexit stress. We added selectively to EM, repositioning from local bonds in some markets based on shifting valuations. Other corporate bond activity focused on repositioning individual issues according to relative value opportunities and developing credit views. Owing to our patience and conviction around our core macro themes and fundamental research, our activity more recently has remained generally light.
Currency positioning remained overweight the U.S. dollar, as we reduced some EM currencies before the U.K. referendum, given the binary nature of the outcome. We also reduced the Fund’s underweight to the euro, taking advantage of Brexit-related weakness. We remained cautious on commodity sensitive currencies, awaiting increased visibility on individual country growth outlooks and policy developments. Overall duration and currency positioning reflected a bias for U.S. growth leadership, but tempered by a moderate growth, low inflation outlook.
During the reporting period, we also continued to utilize various derivative instruments. We use foreign currency exchange contracts to gain exposure to selected foreign currencies, as well as in some cases to hedge the currency risk present in a foreign bond. The overall effect of the foreign currency exchange contracts was positive.
We use U.S. Treasury futures and euro dollar futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve exposure and use selected foreign bond futures to actively manage exposure to those markets. The effect of these activities during the reporting period was negative.
We also use interest rate swaps as part of an overall portfolio interest rate strategy to manage duration and overall portfolio yield curve exposure. The swap contracts detracted from performance during the reporting period.
We use credit default swaps to take on credit risk and earn a commensurate credit spread. The effect of these swap positions on performance was negative during the reporting period.
Nuveen High Income Bond Fund
The Fund’s Class A Shares at NAV underperformed both the Barclays High Yield 2% Issuer Capped Index and the Lipper High Current Yield Funds Classification Average for the twelve-month reporting period. In the first seven-and-a-half months of the reporting period, risk premiums widened across all fixed income sectors as investors favored higher quality segments of the market such as Treasuries and mortgage-backed securities. High yield bond prices were under extreme pressure as global growth concerns, the Fed’s mixed messages and accumulating sector specific issues weighed on confidence and led to a poor technical backdrop. A flight-to-quality ensued due to persistent commodity weakness and increased distress among lower-rated issues. Energy bonds,
Portfolio Managers’ Comments (continued)
which comprise approximately 13% of the market, continued to be pressured by falling crude prices, while the weak global growth outlook also caused base metal, iron ore and coal bonds to trade at multi-year lows. The elevated risks in the commodity sector curbed risk appetites and led to underperformance in the CCC credit rated space, which is more exposed to these cyclically weak areas. The sell-off within the high yield market during the latter part of 2015 and into the early part of 2016 was historic in its severity as high yield spreads widened to approximately 840 basis points in February, more than 300 basis points wider than where they had been six months earlier as measured by the Barclays High Yield 2% Issuer Capped Index.
However, in February 2016, oil prices started to rebound and stability in certain economic data gave investors’ confidence that the growth scare that had gripped the market had passed. High yield bond prices finally found support midway through February after suffering through a 20-month long bear market and spreads tightened significantly over Treasuries. The most oversold sectors of energy and basic materials rallied hard as market participants scrambled to regain exposure to many of the same credits that had been liquidated throughout 2015 and the early part of 2016. The major rebound in energy and commodity bond prices also drove the lower rated CCC tier of the market much higher. In addition, the market saw strong performance from “fallen angels” (i.e. former investment grade issuers downgraded to junk status), even though they represent only 5% of the index. Earlier in the reporting period, fallen angels in the energy space had experienced extreme sell-offs as they exited the investment grade universe, but then subsequently recovered once gravitating to high yield. While the high yield market continued its upward momentum as fears of a hard landing in China faded, oil markets found longer-term support and high yield fundamentals were firm, the recovery was not enough to offset earlier underperformance and U.S. high yield fell short of all other U.S. fixed income asset classes for the full reporting period.
In the early part of the reporting period, high yield bonds from emerging markets (EM) remained under pressure due to strength in the U.S. dollar versus various EM currencies and these markets’ disproportionate exposure to weakness in commodities. In September 2015, S&P downgraded the sovereign rating of Brazil, Latin America’s largest EM issuer, from BBB- to BB+ and followed with downgrades to many of the country’s corporate issuers. Despite yet more volatility within the asset class over the U.K. uncertainty as the reporting period progressed, the net outcome was benign for EM bonds as U.S. recessionary fears faded and the Brexit shock ironically ended up being a positive for EM fixed income returns. That was likely due to the fact that fundamentally, the worst has likely passed for EM imbalances, with current accounts largely improved and growth deceleration likely behind us. EM debt, therefore, proved resilient in the second half of the reporting period and significantly outperformed the U.S. high yield market as the market was anchored by supportive technical factors and a higher correlation to Treasuries. On the other hand, European high yield underperformed the U.S. market, given Brexit uncertainty as well as the relative richness of the segment given its outperformance in 2015’s sell-off.
Apart from the commodity sectors, the high yield market continued to experience very little default activity. However, when including commodities, the high yield market year-to-date 2016 has already surpassed 2015’s default volume of $38 billion. Notably, 85% of default activity has come from the energy and metals/mining industries, and has caused Moody’s speculative grade default rate to tick up to 4.5%, surpassing its long-term average of 4.2% for the first time since August 2010. Over the remainder of 2016, we expect the overall default rate to tick gradually higher to around 5%, led by continuing defaults within the energy space.
With this backdrop in mind, the majority of the Fund’s underperformance took place in the first seven months of the reporting period before the price of oil bottomed, due to its exposures to cyclically challenged areas such as basic materials and energy. While the Fund’s weights in both the energy and metals/mining sectors were close to that of the benchmark, we saw a relentless sell-off in higher risk (lower quality) names held in our portfolio. Similarly, exposures to smaller-sized issues, and therefore less liquid areas of the market, saw little in the way of sponsorship from the market, hampering relative returns for a number of our holdings. Also, our lower quality bias also did not serve the Fund well during this reporting period of growing risk aversion. Stylistically, our Fund has long sacrificed some degree of market liquidity and existed with a lower average quality as a byproduct of our bottom-up, value-oriented approach to security selection, which sometimes manifests itself in investments in smaller, less followed credits, and by extension, less liquid holdings. However, fears surrounding the Fed tightening cycle drove investors to hold a greater percentage of liquid bonds due to what the market perceived as a growing redemption risk. During this reporting period, we decided to sell some of the Fund’s money-losing positions and realize losses in order to increase the overall quality of the energy portfolio in particular. However, de-risking proved very challenging, especially and most notably within the energy space as liquidity all but dried up.
The tide finally started to turn for the Fund during second half of February 2016 and throughout the remainder of the reporting period as risk appetites returned and the overall high yield market trended higher. This was most evident among CCC rated debt, but also helped many of the previously lagging growth-sensitive areas of the market, specifically basic materials and energy. Former safe havens, such as BB rated securities, and more defensive areas of the market such as consumer oriented, health care and telecommunications, all lagged the broader market. Market liquidity also improved markedly from earlier in the reporting period, and while not as active as in prior years, capital markets improved and remained accessible for most high yield issuers. These developments also aided performance since the Fund, as noted above, had previously been negatively impacted by price swings in many of the less liquid, smaller issue size credits that were not necessarily an indictment of underlying credit quality, but suffered simply because of illiquid markets. While exposure to some of these areas was a source of underperformance earlier on, it also led to the Fund carrying a high current yield advantage and a lower average dollar price than the broader market.
Toward the end of the reporting period, we tactically increased the Fund’s CCC credit quality exposure to take advantage of historically wide spreads in this area of the market, where yields averaged around 15% at the beginning of April 2016. While the Fund typically has a more modest 3-5% overweight to CCC credit versus the benchmark weight, we gradually increased it to 13% by June 30, 2016. Because this level of overweight represents the high end of our comfort level, we will look for opportunities to reduce the Fund’s CCC credit weight as we monetize certain positions that become more fully valued. However, we anticipate continuing to position the Fund with some degree of overweight to lower rated credit compared to the benchmark because we believe the economy will be resilient enough to support valuations in high yield credit over the coming months. Additionally, we believe the elevated level of default risk among energy and commodity-related credits is largely priced into the market, with most of the damage to those sectors already done. Despite the outperformance of the CCC credit rating in the final months of the reporting period, we believe that investors continue to be generously compensated to accept credit risk in the CCC and less-liquid areas of the market, which suffered the most during the latest round of technical weakness and concerns over oil. High yield investors have now perhaps started to look beyond the trough in oil prices and thus become more immune to the oil price volatility, as the correlation of oil prices to the health of the high yield market seems to be finally diminishing.
We continued to underweight BB rated securities as they still appear rich in valuation following a long stretch of outperformance during which investors preferred a greater degree of safety, given the many sources of macro-related volatility. Spread differentials between BB rated securities and their lower rated counterparts are still meaningfully wide, so we continue to seek out better total return and yield opportunities in lower rated credit. It is important to note here, however, that keeping some allocation to higher quality, and more liquid bonds, will always have sufficient representation in the Fund to help ride out bouts of market volatility or redemptions.
The Fund maintained an underweight to energy versus the index during much of the reporting period, but moved to a market weight in energy by the end of the reporting period via the addition of a number of fallen angels (former investment grade issuers downgraded to junk status). With so much volatility within the sector, we believed it was important to actively reposition to keep an optimal exposure. This was partly out of necessity as the energy sector underwent a number of changes to its index constituents, resulting in a higher index quality. Over the past few quarters, several high yield energy issuers moved into default and hence exited the index, while at the same time we saw a myriad of rather large, former investment grade issuers enter the high yield index. We decided to reposition our exposures to keep up with the new realities of the lower commodity price environment, while taking advantage of certain dislocated prices, with an eye toward long-term price recovery. The global oil glut has shown signs of easing as U.S. production levels have fallen. We maintain some exposure to heavily discounted bonds of energy producers that are positioned to capture upside performance if oil prices stage a further comeback, but at the same time we’ve taken steps to greatly reduce the Fund’s overall risk to the sector.
Elsewhere from a sector standpoint, we maintained the Fund’s overweight to the metals and mining space, which we gradually increased further in 2016 to take advantage of severely dislocated prices and yields, which we viewed as attractive from a longer-term perspective. The Fund’s exposure within the metals and mining sector is well diversified among producers of coal, iron ore, steel/aluminum, precious metals and base metals. We believe that with risk appetites rebounding, many of the past year’s lagging sectors could start to enjoy better relative performance. The same can be said with other global cyclical sectors such as paper and chemicals, where we also maintained overweights and which also enjoyed significant spread premiums to the broader market. While concerns around Chinese growth are likely to linger in the second half of 2016, continued growth in the U.S. and improved economic
Portfolio Managers’ Comments (continued)
conditions in China would certainly benefit these sectors. We also carried an overweight to the transportation sector, predominately among holdings in the shipping and airline leasing segments. In particular, the medium-/long-range product tanker business is enjoying very strong fundamentals.
We kept the Fund’s EM exposure at less than 5%. China remains a source of fragile stability for the EM asset class, given that its economy faces challenging headwinds. However, Brazil credit benefited from some signs that the political situation had calmed with the new government, enjoying an impressive rally along with other sovereign credits following the Brexit vote. EM indexes performed well toward the end of the reporting period, mainly because of their up-in-quality bias given the preponderance of sovereign-related credit in the major indexes. While an inflection point in EM growth has not yet materialized, there is some hope that stabilization may come in the next year and lead to specific opportunities for adding exposure. In fact, we added to two Latin American high yield bonds, both in government-related credits, late in the reporting period. Although European high yield underperformed both U.S. and EM high yield, it was mainly due to the weaker euro and volatility surrounding the Brexit vote. We did maintain modest exposure to certain financial hybrid (preferred) securities from European banks.
We maintained small weights in closed-end investment funds that invest in leveraged loans, high yield and EM debt, as well as equities. While discounts to net asset value have begun to narrow since the market bottomed in February 2016, we still see compelling opportunities to buy securities at attractive discounts and lock in generous distribution yields. The Fund also maintained an allocation to other preferred stocks, most in financials, including real estate investment trusts (REITs).
At the end of the reporting period, the Fund’s average duration (interest rate sensitivity) was 3.72 years, which was about half-a-year shorter than the benchmark’s duration. We continue to believe that high yield investors are well protected from rate moves, with spreads typically absorbing a significant fraction of the change in Treasury yields, given the naturally low duration of the asset class and the incremental spread that helps mitigate any price movements.
During the reporting period, we also continued to utilize various derivative instruments. We use Treasury note and bond futures as part of an overall portfolio construction strategy to manage the Fund’s duration and yield curve exposure. The effect of these activities was positive on performance during the reporting period.
We also used interest rate swaps as part of our portfolio construction strategy to manage the Fund’s duration and yield curve exposure. The interest rate swaps detracted from performance during the reporting period. These contracts were terminated prior to the end of the reporting period.
We used foreign currency exchange contracts to manage the Fund’s foreign currency exposures. During the reporting period, these instruments were used primarily for hedging purposes to reduce unwanted currency exposure from the Fund’s bond portfolio. These positions had a positive impact on performance during the reporting period.
In addition, the Fund entered into CDX and ITRX swaps to take on credit risk and earn a commensurate credit spread. The effect of these activities on performance was negligible during the period. These contracts were terminated prior to the end of the reporting period.
Nuveen Strategic Income Fund
The Fund’s Class A Shares at net asset value (NAV) underperformed both the Barclays U.S. Aggregate Bond Index and the Lipper Multi-Sector Income Funds Classification Average for the twelve-month reporting period. In the first seven-and-a-half months of the reporting period, risk premiums widened across all fixed income sectors as investors favored higher quality segments of the market such as Treasuries and mortgage-backed securities. In the investment-grade corporate market, commodity price volatility and heavy new issue supply kept technicals weak in higher risk sectors, causing lower quality bonds and commodity related industries to underperform significantly. Analysts at ratings agencies reduced price forecasts for energy and metals, causing negative outlook changes for several issuers and exacerbating selling pressure in an already weak market. A large amount of merger and acquisition (M&A) related financing in the latter quarters of 2015 also took a toll on the technical backdrop. Market technicals remained weak as dealers tried to keep inventory levels low, which created stress across all segments of the corporate market. Financial spreads remained steady and this sector outperformed industrials, which were challenged by commodity price volatility and heavy new issue
supply. Around mid-February 2016, oil prices began to rebound off their lows and the Fed indicated a more cautious approach to rate hikes, causing a strong rally in both high yield and investment grade credit. The technical backdrop also improved after the ECB announced that it would start buying euro-denominated credit issues in both the primary and secondary markets. This caused foreign investors to increase their holdings of U.S. corporate paper given more attractive valuations in the U.S. market. Industrials outperformed financials in this latter part of the reporting period as commodity prices stabilized and investors became concerned about loan performance given uncertainty in the global economic outlook.
High yield bond prices were under extreme pressure in the first seven months of the reporting period as global growth concerns, the Fed’s mixed messages and accumulating sector specific issues weighed on confidence and led to a poor technical backdrop. A flight-to-quality ensued due to persistent commodity weakness and increased distress among lower rated issues. Energy bonds, which comprise approximately 13% of the market, continued to be pressured by falling crude prices, while the weak global growth outlook also caused base metal, iron ore and coal bonds to trade at multi-year lows. Elevated risks in the commodity sector curbed risk appetites and led to underperformance in the CCC credit rated space, which is more exposed to these cyclically weak areas. However, high yield bond prices finally found support midway through February 2016, after suffering through a 20-month long bear market. High yield spreads tightened significantly and the energy and metals/mining sectors enjoyed strong recoveries after bearing the brunt of the market sell-off. The recovery, however, was not enough to offset earlier underperformance and U.S. high yield fell short of all other U.S. fixed income asset classes for the full reporting period. On the other hand, the segment outperformed European issues, given Brexit uncertainty, as well as the relative richness of euro high yield given its outperformance in last year’s sell-off.
In the securitized sectors, commercial mortgage-backed securities (CMBS) performed well overall during the reporting period as global central bank support, increased appetite for risk, sharply reduced supply and strong demand for high quality, non-government securities all contributed to the tightening of risk premiums in the segment. Traditional consumer asset-backed securities (ABS) outperformed Treasuries as consumer credit metrics outside of subprime auto remained solid. Agency and non-agency mortgage-backed securities (MBS) performed fairly well during the reporting period, outpacing Treasuries as mortgage delinquencies continued to decline and housing market fundamentals remained broadly supportive of this segment of the MBS market.
Non-U.S. interest rates and currencies took the Fed’s December 2015 rate increase in stride, reacting moderately to prospects for a higher U.S. rate structure. A moderate message from the Fed, below trend global growth, the lack of inflation pressures and ongoing risk aversion in credit helped keep market rates in check early in the reporting period. Europe and Japan, while posting reasonable growth data, continued to witness broadly disinflationary effects beyond energy, leading to meaningfully lower inflation expectations. After a pause in its quantitative easing efforts, the ECB aggressively ramped up its efforts to reverse disinflation and expand lending activity in March 2016 by expanding its measures and pushing interest rates deeper into negative territory. After the Fed validated the market’s assessment that the pace of its rate hikes would slow further, global rates fell precipitously and the U.S. dollar declined. Risk appetite was supported, particularly corporate credit, in light of the ECB’s move to buy corporate bonds. China worked to stabilize its yuan currency, while rumors flourished that global policymakers agreed to a secret “Shanghai Accord” at the G-20 meeting, in a coordinated effort to weaken the dollar and end recent “currency wars.” In the final days of the reporting period, the unexpected Brexit vote had a significant impact on major currencies, slashing the value of the British pound and other European currencies versus the dollar. Conversely, the yen was driven up by the flight to quality and disappointment over the lack of any stimulative action by the Bank of Japan, as well as the dovish turn from the Fed. However, global leaders were relieved to see the relatively contained short-term asset reaction outside of Europe. The Japanese yen appreciated sharply over the reporting period, given flight-to-quality inflows and appreciation caused by the failure of “Abenomics” to remain on track.
Emerging market (EM) bonds and currencies had a rocky start to the reporting period as decelerating data out of China continued to raise questions about the country’s growth and the resultant impact on the rest of the world. Political disarray, stagnant growth and currency weakness continued to plague Brazil, threatening further instability in this large EM player, while a surprise policy shift in South Africa exacerbated the volatility. As the reporting period progressed, however, EM bonds and currencies benefited from stabilizing domestic fundamentals and positive policy developments globally, which led to investor inflows and a reversal from very cheap valuations. Rising oil prices boosted growth and reduced the stress on commodity-dependent economies. The market was also supported by the aggressive ECB actions, the Fed’s cautious posture and evidence of Chinese fiscal stimulus. Despite elevated volatility in global markets at the end of the reporting period due to the U.K. referendum, EM debt posted very strong returns over the
Portfolio Managers’ Comments (continued)
reporting period, outperforming all other fixed income asset classes. EM currencies declined versus the U.S. dollar, owing to global growth concerns, volatile commodities and capital outflows. Commodity sensitive currencies were hardest hit.
The volatile market conditions and pressures on credit and economically sensitive sectors of the market drove the Fund’s shortfall versus the benchmarks, with the majority of the negative impact taking place in the first seven months of the reporting period. The dramatic sell-off in high yield credit during this time frame was the most significant factor. The Fund was positioned with a substantial overweight to high yield, while our holdings in oil and cyclical credits within the sector also contributed to some of the underperformance. After oil prices hit bottom in mid-February 2016, the high yield segment surged, contributing favorably to the Fund’s results later in the reporting period, but not enough to offset the earlier underperformance.
Investment grade credit was also a drag on the Fund’s performance, mainly due to our security selection and lower quality bias within the sector. Within investment grade, our overweight positions in both cyclical credits and BBB rated credits detracted from performance in the first seven months of the reporting period. Also, the benefit of the Fund’s large overweight to financials during this reporting period was more than offset by its smaller, but hard hit, positions in energy, metals and other cyclically sensitive industries. The tables turned in the final five months of the reporting period as some of these same themes in the investment grade sector, particularly our lower quality bias, worked to the Fund’s benefit. However, security selection continued to detract as financials meaningfully underperformed industrials later in the reporting period in light of Brexit and credit fears. Additionally, some of our holdings in the industrial sectors continued to lag. Our exposure to EM investment grade credit modestly detracted from performance, with the negative impact taking place early in the reporting period.
Foreign currency exposure was also a marginal detractor given the strong “risk-off” appreciation of the Japanese yen and downward pressure on the Mexican peso driven by global uncertainties, economic concerns and commodity volatility. Our positions in foreign bonds also had a slightly negative impact. The Fund’s modest exposures in securitized sectors, including CMBS, MBS and ABS, were not meaningful drivers of returns during the reporting period.
In aggregate, our interest rate strategies had little impact on performance as the positive results from our yield curve positioning were mostly offset by the negative effect of our duration moves. We positioned the Fund to benefit from a flatter yield curve, which proved advantageous; however, our generally defensive duration stance meant the Fund did not keep up with the sharp decline in Treasury rates during the reporting period.
As the reporting period drew to a close, we maintained the Fund’s positioning for moderate economic growth and supportive financial conditions. Our portfolio construction continued to be focused on income generation driven primarily through diversified exposure to investment grade and high yield credit. Toward the end of the reporting period, we marginally reduced the Fund’s weight to investment grade credit as some holdings hit near-term valuation targets, using the proceeds to increase exposure across other areas of the portfolio at the margin. Other activity focused on repositioning individual issues according to relative value opportunities and developing credit views. We continue to emphasize financials, which we believe are quite inexpensive in both relative and absolute terms and provide good income and performance potential to the portfolio. Outside of financials, credit selection remains crucial given the cross currents impacting various industries and credits in different ways in a slow-growth economy.
Away from credit, we continued to find opportunities in the CMBS and ABS sectors that provided attractive yields, and added marginally to those weights during the reporting period. We continued to hold large underweights to MBS and Treasuries in the Fund, as these sectors offered unattractive duration and yield profiles.
Although we believe foreign markets and currencies provide select opportunities, we ended the reporting period with only small positions in these segments. We expect some opportunities in currencies as the global recovery progresses, given signs of stabilization in trade and manufacturing and significant adjustments that have occurred, but had relatively low currency exposure at the end of the reporting period. We remain alert for economic shifts in key markets and await better fundamentals and catalysts for our investment themes before adding meaningfully to the Fund’s foreign positions.
We ended the reporting period with the Fund’s duration near the benchmark index, but comprised of sectors we believe will have less sensitivity to increases in U.S. Treasury rates, in the event they move higher. We see interest rate risk as asymmetric, with increases more likely, and will monitor conditions accordingly. However, given the prevailing global economic and monetary
conditions, we do not expect a large, sharp move higher in rates. As a result, we do not believe that an aggressive positioning in interest rates is a beneficial strategy from a risk/reward perspective at this time.
During the reporting period, we also continued to utilize various derivative instruments. We use foreign currency exchange forward contracts to manage the Fund’s foreign currency exposure. For example, the Fund may reduce unwanted currency exposure from the Fund’s portfolio, or may take long forward positions in select currencies in an attempt to benefit from the potential price appreciation. These positions had a positive impact on performance during the reporting period.
We use U.S. Treasury futures and Eurodollar futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve exposure and selected foreign bond futures to actively manage exposure to those markets. The overall effect on performance during the reporting period was negative. We also use interest rate swaps to manage portfolio duration and overall portfolio yield curve exposure and these positions also detracted from performance during the reporting period.
In addition, we entered into credit default swaps as a way to take on credit risk and earn credit spread. The effect of these activities on performance was negative during the reporting period.
Risk Considerations
and Dividend Information
Risk Considerations
Nuveen Global Total Return Bond Fund
Mutual fund investing involves risk; principal loss is possible. Debt securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, and income risk. As interest rates rise, bond prices fall. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. Foreign investments involve additional risks, including currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards. The Fund gains additional exposure to currency rates, and therefore to the risk of currency fluctuation, through investment in foreign currency contracts. The risks of foreign investments are magnified in emerging markets. Asset-backed and mortgage-backed securities are also subject to prepayment risk, liquidity risk, default risk and adverse economic developments. The Fund’s potential use of derivative instruments involves a high degree of financial risk and additional transaction costs.
Nuveen High Income Bond Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, derivatives risk, income risk, and other investment company risk. As interest rates rise, bond prices fall. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. Foreign investments involve additional risks, including currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards.
Nuveen Strategic Income Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, derivatives risk, dollar roll transaction risk, and income risk. As interest rates rise, bond prices fall. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. Foreign investments involve additional risks, including currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards. The Fund gains additional exposure to currency rates, and therefore to the risk of currency fluctuation, through investment in foreign currency contracts. The risks of foreign investments are magnified in emerging markets. Asset-backed and mortgage-backed securities are subject to additional risks such as prepayment risk, liquidity risk, default risk and adverse economic developments.
Dividend Information
Each Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected performance. To permit each 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. Each Fund will, over time, pay all its net investment income as dividends to shareholders.
As of June 30, 2016, Nuveen High Income Bond Fund and Nuveen Strategic Income Fund had positive UNII balances for tax purposes while Nuveen Global Total Return Bond had a zero unit balance for tax purposes. The Nuveen High Income Bond Fund and Nuveen Strategic Income Fund had positive UNII balances while the Nuveen Global Total Return Bond Fund had a negative UNII balance for financial reporting purposes.
All monthly dividends paid by Nuveen High Income Bond and Nuveen Strategic Income Fund during the current reporting period were paid from net investment income. If a portion of a 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 each 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 each 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.
The Nuveen Global Total Return Bond Fund pays a regular monthly distribution to shareholders based on dividends and interest received from fixed-income securities, net of expense. The Fund invests in a global bond strategy that has exposure to non-U.S. dollar denominated fixed-income securities, and when such a security is sold a currency gain/loss may occur. Net currency gains from sales of non-U.S. fixed-income securities are treated as ordinary income for federal tax purposes, and serve to add to the Fund’s net income from interest and dividends received on portfolio securities, while net currency losses will offset any net income from dividends and interest. During the current fiscal year, the Fund experienced significant net currency losses as the U.S. dollar generally strengthened relative to foreign currencies. These net currency losses during the fiscal year were in an amount that offset a substantial portion of the Fund’s net investment income from dividends and interest. Consequently, a significant amount of the distributions paid during the year are being re-characterized as return of capital, which is identified in the table below.
Nuveen Global Total Return Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| Fiscal Year Ended June 30, 2016 | | Class A | | | Class C | | | Class R3 | | | Class I | |
Regular monthly per share distribution | | | | | | | | | | | | | | | | |
From net investment income | | $ | 0.0639 | | | $ | 0.0619 | | | $ | 0.0611 | | | $ | 0.0629 | |
Return of capital | | | 0.6361 | | | | 0.5046 | | | | 0.5949 | | | | 0.6851 | |
Total per share distribution | | $ | 0.7000 | | | $ | 0.5665 | | | $ | 0.6560 | | | $ | 0.7480 | |
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Fund Performance
and Expense Ratios
The Fund Performance and Expense Ratios for each Fund are shown within this section of the report.
Returns quoted represent past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns without sales charges would be lower if the sales charge were included. 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. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.
Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees, and assume reinvestment of dividends and capital gains.
Comparative index and Lipper return information is provided for Class A Shares at net asset value (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.
Fund Performance and Expense Ratios (continued)
Nuveen Global Total Return Bond 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 in this section.
Fund Performance
Average Annual Total Returns as of June 30, 2016
| | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | Since
Inception | |
Class A Shares at NAV | | | 2.42% | | | | 2.52% | |
Class A Shares at maximum Offering Price | | | (2.44)% | | | | 1.44% | |
Barclays Global Aggregate Unhedged Bond Index | | | 8.87% | | | | 1.77% | |
Lipper Global Income Funds Classification Average | | | 4.38% | | | | 2.34% | |
| | |
Class C Shares | | | 1.65% | | | | 1.86% | |
Class R3 Shares | | | 2.16% | | | | 2.33% | |
Class I Shares | | | 2.69% | | | | 2.84% | |
Since inception returns are from 12/02/11. 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), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or of after November 1, 2015. 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 R3 Shares have no sales charge and are only available for purchase by eligible retirement plans. 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 R3 | | | Class I | |
Gross Expense Ratios | | | 1.89% | | | | 2.64% | | | | 2.14% | | | | 1.64% | |
Net Expense Ratios | | | 0.96% | | | | 1.71% | | | | 1.21% | | | | 0.71% | |
The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse expenses through October 31, 2016, 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, and extraordinary expenses) do not exceed 0.75% of the average daily net assets of any class of Fund shares. The expense limitation expiring October 31, 2016, may be terminated or modified prior to that date only with the approval of the Board of Trustees of the Fund.
Growth of an Assumed $10,000 Investment as of June 30, 2016 – Class A Shares
The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.
Fund Performance and Expense Ratios (continued)
Nuveen High Income Bond 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 Glossary of Terms Used in this Report for definitions of terms used in this section.
Fund Performance
Average Annual Total Returns as of June 30, 2016
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | 10-Year | |
Class A Shares at NAV | | | (5.48)% | | | | 3.37% | | | | 5.75% | |
Class A Shares at maximum Offering Price | | | (9.97)% | | | | 2.37% | | | | 5.24% | |
Barclays High Yield 2% Issuer Capped Index | | | 1.65% | | | | 5.84% | | | | 7.61% | |
Lipper High Current Yield Funds Classification Average | | | (0.20)% | | | | 4.57% | | | | 6.01% | |
| | | |
Class C Shares | | | (6.27)% | | | | 2.65% | | | | 5.00% | |
Class R3 Shares | | | (5.76)% | | | | 3.11% | | | | 5.48% | |
Class I Shares | | | (5.21)% | | | | 3.68% | | | | 6.03% | |
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), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or after November 1, 2015. 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 R3 Shares have no sales charge and are only available for purchase by eligible retirement plans. 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 R3 | | | Class I | |
Expense Ratios | | | 1.01% | | | | 1.76% | | | | 1.25% | | | | 0.76% | |
Growth of an Assumed $10,000 Investment as of June 30, 2016 – Class A Shares
The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.
Fund Performance and Expense Ratios (continued)
Nuveen Strategic Income 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 Glossary of Terms Used in this Report for definitions of terms used in this section.
Fund Performance
Average Annual Total Returns as of June 30, 2016
| | | | | | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | 5-Year | | | 10-Year | |
Class A Shares at NAV | | | 0.94% | | | | 4.32% | | | | 5.94% | |
Class A Shares at maximum Offering Price | | | (3.38)% | | | | 3.41% | | | | 5.48% | |
Barclays U.S. Aggregate Bond Index | | | 6.00% | | | | 3.76% | | | | 5.13% | |
Lipper Multi-Sector Income Funds Classification Average | | | 1.75% | | | | 3.64% | | | | 5.13% | |
| | | |
Class C Shares | | | 0.20% | | | | 3.55% | | | | 5.15% | |
Class R3 Shares | | | 0.70% | | | | 4.05% | | | | 5.64% | |
Class I Shares | | | 1.19% | | | | 4.56% | | | | 6.19% | |
| | | | | | | | |
| | | Average Annual | |
| | | 1-Year | | | Since Inception | |
Class R6 Shares | | | 1.28% | | | | 0.82% | |
Since inception return for Class R6 Shares is from 1/20/15. Indexes and Lipper averages are not available for direct investment.
Class A Shares have a maximum 4.25% 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), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Such CDSC will be equal to 1% for any shares purchased on or after November 1, 2015. 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 R3 Shares have no sales charge and are only available for purchase by eligible retirement plans. Class R6 Shares have no sales charge and are available only to certain limited categories of investors as described in the prospectus. 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 R3 | | | Class R6 | | | Class I | |
Gross Expense Ratios | | | 0.92% | | | | 1.67% | | | | 1.17% | | | | 0.61% | | | | 0.67% | |
Net Expense Ratios | | | 0.82% | | | | 1.57% | | | | 1.07% | | | | 0.50% | | | | 0.57% | |
The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse other Fund 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 and extraordinary expenses) do not exceed 0.59% of the average daily net assets of any class of Fund shares. However, because Class R6 shares are not subject to sub-transfer agent and similar fees, the total annual Fund operating expenses for the Class R6 shares will be less than the expense limitation. Fee waivers and/or expense reimbursements will not be terminated prior to that time without the approval of the Board of Directors of the Fund.
Growth of an Assumed $10,000 Investment as of June 30, 2016 – Class A Shares
The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.
Yields as of June 30, 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 Notes to Financial Statements, Note 7—Management Fees and Other Transactions with Affiliates 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 Global Total Return Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A1 | | | Class C | | | Class R3 | | | Class I | |
Dividend Yield | | | 3.29% | | | | 2.74% | | | | 3.21% | | | | 3.70% | |
SEC 30-Day Yield – Subsidized | | | 3.07% | | | | 2.48% | | | | 2.99% | | | | 3.47% | |
SEC 30-Day Yield – Unsubsidized | | | 1.90% | | | | 1.26% | | | | 1.73% | | | | 2.24% | |
Nuveen High Income Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A1 | | | Class C | | | Class R3 | | | Class I | |
Dividend Yield | | | 7.04% | | | | 6.66% | | | | 7.16% | | | | 7.62% | |
SEC 30-Day Yield – Subsidized | | | 8.87% | | | | 8.58% | | | | 9.09% | | | | 9.58% | |
SEC 30-Day Yield – Unsubsidized | | | 8.87% | | | | 8.58% | | | | 9.09% | | | | 9.58% | |
Nuveen Strategic Income Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A1 | | | Class C | | | Class R3 | | | Class R6 | | | Class I | |
Dividend Yield | | | 4.86% | | | | 4.30% | | | | 4.83% | | | | 5.30% | | | | 5.31% | |
SEC 30-Day Yield – Subsidized | | | 4.79% | | | | 4.27% | | | | 4.75% | | | | 5.28% | | | | 5.26% | |
SEC 30-Day Yield – Unsubsidized | | | 4.70% | | | | 4.17% | | | | 4.67% | | | | 5.23% | | | | 5.17% | |
| 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. |
Holding
Summaries as of June 30, 2016
This data relates to the securities held in each 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. 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 definitions of terms used within this section.
Nuveen Global Total Return Bond Fund
Fund Allocation
(% of net assets)
| | | | |
Convertible Preferred Securities | | | 0.7% | |
Corporate Bonds | | | 38.4% | |
$1,000 (par or similar) Institutional Preferred | | | 9.4% | |
Asset-Backed and Mortgage-Backed Securities | | | 5.8% | |
Sovereign Debt | | | 43.1% | |
Repurchase Agreements | | | 6.4% | |
Other Assets Less Liabilities | | | (3.8)% | |
Net Assets | | | 100% | |
Corporate Debt: Industries
(% of total corporate bond holdings)
| | | | |
Banks | | | 17.0% | |
Oil, Gas & Consumable Fuels | | | 7.5% | |
Capital Markets | | | 6.2% | |
Wireless Telecommunication Services | | | 5.9% | |
Chemicals | | | 4.8% | |
Software | | | 4.6% | |
Metals & Mining | | | 4.3% | |
Industrial Conglomerates | | | 4.1% | |
Diversified Financial Services | | | 3.8% | |
Energy Equipment & Services | | | 3.8% | |
Electric Utilities | | | 3.8% | |
Media | | | 3.4% | |
Insurance | | | 3.3% | |
Machinery | | | 3.1% | |
Paper & Forest Products | | | 2.9% | |
Hotels, Restaurants & Leisure | | | 2.9% | |
Other | | | 18.6% | |
Total | | | 100% | |
Portfolio Credit Quality
(% of total long-term
investments)1
| | | | |
AAA/U.S. Guaranteed | | | 26.5% | |
AA | | | 0.3% | |
A | | | 18.3% | |
BBB | | | 31.1% | |
BB or Lower | | | 23.8% | |
Total | | | 100% | |
Country Allocation
(% of net assets)
| | | | |
United States | | | 30.2% | |
Germany | | | 12.0% | |
Mexico | | | 10.8% | |
United Kingdom | | | 6.3% | |
Canada | | | 6.2% | |
France | | | 6.0% | |
Australia | | | 5.2% | |
Italy | | | 4.1% | |
South Africa | | | 3.8% | |
Argentina | | | 2.2% | |
Switzerland | | | 1.7% | |
Portugal | | | 1.7% | |
Other | | | 13.6% | |
Other Assets Less Liabilities | | | (3.8)% | |
Net Assets | | | 100% | |
| 1 | Excluding investments in derivatives. |
Holding Summaries as of June 30, 2016 (continued)
Nuveen High Income Bond Fund
Fund Allocation
(% of net assets)
| | | | |
Common Stocks | | | 0.5% | |
Convertible Preferred Securities | | | 1.6% | |
Variable Rate Senior Loan Interests | | | 4.8% | |
$25 Par (or similar) Retail Preferred | | | 3.8% | |
Corporate Bonds | | | 75.8% | |
Convertible Bonds | | | 0.0% | |
$1,000 (par or similar) Institutional Preferred | | | 4.0% | |
Asset-Backed Securities | | | 0.0% | |
Investment Companies | | | 3.2% | |
Warrants | | | 0.0% | |
Investments Purchased with Collateral from Securities Lending | | | 20.1% | |
Borrowings | | | (5.5)% | |
Other Assets Less Liabilities | | | (8.3)% | |
Net Assets | | | 100% | |
Corporate Debt: Industries
(% of total corporate bond holdings)
| | | | |
Oil, Gas & Consumable Fuels | | | 15.9% | |
Metals & Mining | | | 9.5% | |
Media | | | 7.2% | |
Wireless Telecommunication Services | | | 6.0% | |
Chemicals | | | 5.5% | |
Marine | | | 3.6% | |
Building Products | | | 2.9% | |
Diversified Telecommunication Services | | | 2.9% | |
Aerospace & Defense | | | 2.7% | |
Containers & Packaging | | | 2.7% | |
Energy Equipment & Services | | | 2.6% | |
Construction Materials | | | 2.4% | |
Independent Power & Renewable Electricity Producers | | | 2.4% | |
Diversified Financial Services | | | 2.3% | |
Food & Staples Retailing | | | 2.3% | |
Commercial Services & Supplies | | | 2.2% | |
Electric Utilities | | | 2.1% | |
Hotels, Restaurants & Leisure | | | 1.9% | |
Paper & Forest Products | | | 1.9% | |
Consumer Finance | | | 1.8% | |
Other | | | 19.2% | |
Total | | | 100% | |
Portfolio Credit Quality
(% of total long-term fixed-income investments)1
| | | | |
AA | | | 0.0% | |
BBB | | | 5.3% | |
BB or Lower | | | 87.7% | |
N/R (not rated) | | | 7.0% | |
Total | | | 100% | |
| 1 | Excluding investments in derivatives. |
Nuveen Strategic Income Fund
Fund Allocation
(% of net assets)
| | | | |
Common Stocks | | | 0.0% | |
Convertible Preferred Securities | | | 0.2% | |
Variable Rate Senior Loan Interests | | | 1.6% | |
$25 Par (or similar) Retail Preferred | | | 0.3% | |
Corporate Bonds | | | 74.2% | |
$1,000 (par or similar) Institutional Preferred | | | 8.0% | |
Asset-Backed and Mortgage-Backed Securities | | | 9.2% | |
Sovereign Debt | | | 5.2% | |
Investments Purchased with Collateral from Securities Lending | | | 13.3% | |
Money Market Funds | | | 0.9% | |
Other Assets Less Liabilities | | | (12.9)% | |
Net Assets | | | 100% | |
Corporate Debt: Industries
(% of total corporate bond holdings)
| | | | |
Banks | | | 11.8% | |
Oil, Gas & Consumable Fuels | | | 10.7% | |
Media | | | 6.8% | |
Capital Markets | | | 6.7% | |
Insurance | | | 4.3% | |
Diversified Telecommunication Services | | | 4.3% | |
Real Estate Investment Trust | | | 3.7% | |
Metals & Mining | | | 3.5% | |
Chemicals | | | 3.3% | |
Consumer Finance | | | 2.7% | |
Wireless Telecommunication Services | | | 2.4% | |
Diversified Financial Services | | | 2.3% | |
Household Durables | | | 2.3% | |
Specialty Retail | | | 2.1% | |
Commercial Services & Supplies | | | 2.0% | |
Containers & Packaging | | | 1.9% | |
Independent Power & Renewable Electricity Producers | | | 1.7% | |
Aerospace & Defense | | | 1.7% | |
Hotels, Restaurants & Leisure | | | 1.5% | |
Machinery | | | 1.5% | |
Energy Equipment & Services | | | 1.4% | |
Food & Staples Retailing | | | 1.4% | |
Building Products | | | 1.3% | |
Other | | | 18.7% | |
Total | | | 100% | |
Portfolio Credit Quality
(% of total long-term fixed-income investments)1
| | | | |
AAA/U.S. Guaranteed | | | 3.7% | |
AA | | | 1.0% | |
A | | | 21.6% | |
BBB | | | 34.8% | |
BB or Lower | | | 38.7% | |
N/R (not rated) | | | 0.2% | |
Total | | | 100% | |
| 1 | Excluding investments in derivatives. |
Expense
Examples
As a shareholder of one or more of the Funds, 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 Funds 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 June 30, 2016.
The beginning of the period is January 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 each Fund’s actual expense ratios 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 Global Total Return Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A | | | Class C | | | Class R3 | | | Class I | |
Actual Performance | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,062.80 | | | $ | 1,058.80 | | | $ | 1,061.40 | | | $ | 1,064.10 | |
Expenses Incurred During Period | | $ | 4.92 | | | $ | 8.75 | | | $ | 6.20 | | | $ | 3.64 | |
Hypothetical Performance (5% annualized return before expenses) | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,020.09 | | | $ | 1,016.36 | | | $ | 1,018.85 | | | $ | 1,021.33 | |
Expenses Incurred During Period | | $ | 4.82 | | | $ | 8.57 | | | $ | 6.07 | | | $ | 3.57 | |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.96%, 1.71%, 1.21% and 0.71% for Classes A, C, R3 and I, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Nuveen High Income Bond Fund
| | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A | | | Class C | | | Class R3 | | | Class I | |
Actual Performance | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,091.00 | | | $ | 1,086.80 | | | $ | 1,089.80 | | | $ | 1,092.20 | |
Expenses Incurred During Period | | $ | 5.46 | | | $ | 9.39 | | | $ | 6.81 | | | $ | 4.21 | |
Hypothetical Performance (5% annualized return before expenses) | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,019.64 | | | $ | 1,015.86 | | | $ | 1,018.35 | | | $ | 1,020.84 | |
Expenses Incurred During Period | | $ | 5.27 | | | $ | 9.07 | | | $ | 6.57 | | | $ | 4.07 | |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 1.05%, 1.81%, 1.31% and 0.81% for Classes A, C, R3 and I, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Nuveen Strategic Income Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Share Class | |
| | | Class A | | | Class C | | | Class R3 | | | Class R6 | | | Class I | |
Actual Performance | | | | | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,059.60 | | | $ | 1,055.60 | | | $ | 1,058.10 | | | $ | 1,061.90 | | | $ | 1,060.90 | |
Expenses Incurred During Period | | $ | 4.35 | | | $ | 8.18 | | | $ | 5.63 | | | $ | 2.67 | | | $ | 3.07 | |
Hypothetical Performance (5% annualized return before expenses) | | | | | | | | | | | | | | | | | | | | |
Beginning Account Value | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 1,000.00 | |
Ending Account Value | | $ | 1,020.64 | | | $ | 1,016.91 | | | $ | 1,019.39 | | | $ | 1,024.86 | | | $ | 1,021.88 | |
Expenses Incurred During Period | | $ | 4.27 | | | $ | 8.02 | | | $ | 5.52 | | | $ | 2.62 | | | $ | 3.02 | |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.85%, 1.60%, 1.10%, 0.52% and 0.60% for Classes A, C, R3, R6 and I, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Report of
Independent Registered Public Accounting Firm
To the Board of Trustees/Directors and Shareholders of
Nuveen Investment Trust and Nuveen Investment Funds, Inc.:
In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Nuveen Global Total Return Bond Fund (a series of Nuveen Investment Trust), and Nuveen High Income Bond Fund and Nuveen Strategic Income Fund (each a series of Nuveen Investment Funds, Inc.) (hereinafter collectively referred to as the “Funds”) at June 30, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Chicago, IL
August 26, 2016
Nuveen Global Total Return Bond Fund
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | Ratings (2) | | | Value | |
| |
| | | | LONG-TERM INVESTMENTS – 97.4% | |
| |
| | | | CONVERTIBLE PREFERRED SECURITIES – 0.7% | |
| | | | | |
| | | | Banks – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 75 | | | Bank of America Corporation | | | 7.250% | | | | | | | | BB+ | | | $ | 89,625 | |
| | | | Total Convertible Preferred Securities (cost $63,225) | | | | | | | | 89,625 | |
| | | | | |
Principal
Amount (000) (3) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| |
| | | | CORPORATE BONDS – 38.4% | |
| | | | | |
| | | | Air Freight & Logistics – 0.1% | | | | | | | | | | | | |
| | | | | |
| $ | 10 | | | XPO Logistics, Inc., 144A | | | 6.500% | | | | 6/15/22 | | | | B2 | | | $ | 9,537 | |
| | | | | |
| | | | Auto Components – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 45 | | | American & Axle Manufacturing Inc. | | | 6.625% | | | | 10/15/22 | | | | BB– | | | | 48,150 | |
| | | | | |
| | | | Automobiles – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 30 | | | General Motors Financial Company Inc. | | | 4.250% | | | | 5/15/23 | | | | BBB– | | | | 30,856 | |
| | | | | |
| | | | Banks – 6.5% | | | | | | | | | | | | |
| | | | | |
| | 100 | | | Bank of America Corporation | | | 4.200% | | | | 8/26/24 | | | | A– | | | | 103,417 | |
| | | | | |
| | 200 | | | Barclays Bank PLC | | | 3.650% | | | | 3/16/25 | | | | A | | | | 192,314 | |
| | | | | |
| | 20 | | | CIT Group Inc. | | | 5.000% | | | | 8/01/23 | | | | BB+ | | | | 20,150 | |
| | | | | |
| | 30 | | | Citigroup Inc. | | | 6.125% | | | | 8/25/36 | | | | A– | | | | 35,831 | |
| | | | | |
| | 25 | | | HSBC Holdings PLC | | | 6.800% | | | | 6/01/38 | | | | A+ | | | | 31,157 | |
| | | | | |
| | 45 | | | JPMorgan Chase & Company | | | 6.400% | | | | 5/15/38 | | | | A+ | | | | 61,664 | |
| | | | | |
| | 35 | | | Royal Bank of Scotland Group PLC | | | 6.100% | | | | 6/10/23 | | | | BBB | | | | 35,809 | |
| | | | | |
| | 200 | | | Santander UK PLC, 144A | | | 5.000% | | | | 11/07/23 | | | | A– | | | | 205,300 | |
| | | | | |
| | 200 | | | Societe Generale, 144A | | | 5.000% | | | | 1/17/24 | | | | A– | | | | 208,064 | |
| | | | Total Banks | | | | | | | | | | | | | | | 893,706 | |
| | | | | |
| | | | Building Products – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 60 | | | Owens Corning Incorporated | | | 4.200% | | | | 12/15/22 | | | | BBB– | | | | 63,989 | |
| | | | | |
| | | | Capital Markets – 2.4% | | | | | | | | | | | | |
| | | | | |
| | 75 | | | Goldman Sachs Group, Inc. | | | 5.750% | | | | 1/24/22 | | | | A | | | | 87,134 | |
| | | | | |
| | 85 | | | Goldman Sachs Group, Inc. | | | 3.625% | | | | 1/22/23 | | | | A | | | | 89,193 | |
| | | | | |
| | 75 | | | Morgan Stanley | | | 4.000% | | | | 7/23/25 | | | | A | | | | 80,348 | |
| | | | | |
| | 70 | | | Morgan Stanley | | | 3.950% | | | | 4/23/27 | | | | A– | | | | 70,607 | |
| | | | Total Capital Markets | | | | | | | | | | | | | | | 327,282 | |
| | | | | |
| | | | Chemicals – 1.8% | | | | | | | | | | | | |
| | | | | |
| | 25 | | | Hexion Inc. | | | 6.625% | | | | 4/15/20 | | | | B3 | | | | 20,907 | |
| | | | | |
| | 25 | | | Momentive Performance Materials Inc., (4), (5) | | | 8.875% | | | | 10/15/20 | | | | N/R | | | | — | |
| | | | | |
| | 25 | | | Momentive Performance Materials Inc. | | | 3.880% | | | | 10/24/21 | | | | B | | | | 19,875 | |
Nuveen Global Total Return Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (3) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Chemicals (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 200 | | | Office Cherifien Des Phosphates SA, 144A | | | 5.625% | | | | 4/25/24 | | | | BBB– | | | $ | 212,000 | |
| | | | Total Chemicals | | | | | | | | | | | | | | | 252,782 | |
| | | | | |
| | | | Consumer Finance – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 75 | | | Discover Financial Services | | | 5.200% | | | | 4/27/22 | | | | BBB+ | | | | 82,282 | |
| | | | | |
| | | | Containers & Packaging – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 50 | CAD | | Cascades Inc., 144A | | | 5.500% | | | | 7/15/21 | | | | BB– | | | | 39,220 | |
| | | | | |
| | | | Diversified Financial Services – 1.5% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | BNP Paribas, 144A | | | 4.375% | | | | 5/12/26 | | | | A | | | | 202,068 | |
| |
| | | | Diversified Telecommunication Services – 0.9% | |
| | | | | |
| | 30 | | | AT&T, Inc. | | | 3.800% | | | | 3/15/22 | | | | A– | | | | 31,958 | |
| | | | | |
| | 25 | | | AT&T, Inc. | | | 5.550% | | | | 8/15/41 | | | | A– | | | | 28,039 | |
| | | | | |
| | 65 | | | Qwest Corporation | | | 6.750% | | | | 12/01/21 | | | | BBB– | | | | 70,200 | |
| | | | Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 130,197 | |
| | | | | |
| | | | Electric Utilities – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Eskom Holdings Limited, 144A | | | 7.125% | | | | 2/11/25 | | | | BB+ | | | | 198,230 | |
| | | | | |
| | | | Energy Equipment & Services – 1.5% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Origin Energy Finance Limited, 144A | | | 3.500% | | | | 10/09/18 | | | | BBB– | | | | 201,224 | |
| | | | | |
| | | | Food & Staples Retailing – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 40 | | | Sysco Corporation | | | 3.300% | | | | 7/15/26 | | | | A3 | | | | 41,521 | |
| | | | | |
| | | | Health Care Equipment & Supplies – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 100 | EUR | | Ephios Bondco PLC, 144A | | | 6.250% | | | | 7/01/22 | | | | B+ | | | | 116,728 | |
| | | | | |
| | | | Hotels, Restaurants & Leisure – 1.1% | | | | | | | | | | | | |
| | | | | |
| | 150 | | | Grupo Posadas SAB de CV, 144A | | | 7.875% | | | | 6/30/22 | | | | B+ | | | | 152,250 | |
| | | | | |
| | | | Household Durables – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 50 | | | Brookfield Residential Properties Inc., 144A | | | 6.500% | | | | 12/15/20 | | | | B+ | | | | 49,875 | |
| | | | | |
| | | | Household Products – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 100 | | | Kimberly-Clark de Mexico, S.A.B. de C.V, 144A | | | 3.250% | | | | 3/12/25 | | | | A | | | | 101,266 | |
| | | | | |
| | | | Independent Power & Renewable Electricity Producers – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 15 | | | GenOn Energy Inc. | | | 9.500% | | | | 10/15/18 | | | | CCC+ | | | | 11,925 | |
| | | | | |
| | | | Industrial Conglomerates – 1.6% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Alfa SAB de CV, 144A | | | 5.250% | | | | 3/25/24 | | | | BBB– | | | | 213,500 | |
| | | | | |
| | | | Insurance – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 50 | | | Genworth Holdings Inc. | | | 4.800% | | | | 2/15/24 | | | | Ba3 | | | | 37,375 | |
| | | | | |
| | 30 | | | Liberty Mutual Group Inc., 144A | | | 4.950% | | | | 5/01/22 | | | | BBB | | | | 33,156 | |
| | | | | |
| | 100 | | | Symetra Financial Corporation | | | 4.250% | | | | 7/15/24 | | | | Baa1 | | | | 103,961 | |
| | | | Total Insurance | | | | | | | | | | | | | | | 174,492 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (3) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Machinery – 1.2% | | | | | | | | | | | | |
| | | | | |
| $ | 55 | | | Eaton Corporation | | | 4.150% | | | | 11/01/42 | | | | A– | | | $ | 59,279 | |
| | | | | |
| | 50 | | | Ingersoll Rand | | | 5.750% | | | | 6/15/43 | | | | BBB | | | | 61,668 | |
| | | | | |
| | 40 | | | Terex Corporation | | | 6.000% | | | | 5/15/21 | | | | BB | | | | 40,050 | |
| | | | Total Machinery | | | | | | | | | | | | | | | 160,997 | |
| | | | | |
| | | | Media – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 70 | | | 21st Century Fox America Inc. | | | 6.650% | | | | 11/15/37 | | | | BBB+ | | | | 91,847 | |
| | | | | |
| | 20 | | | Cequel Communication Holdings I, 144A | | | 5.125% | | | | 12/15/21 | | | | B– | | | | 19,050 | |
| | | | | |
| | 45 | | | SES SA, 144A | | | 3.600% | | | | 4/04/23 | | | | BBB | | | | 45,289 | |
| | | | | |
| | 25 | CAD | | Videotron Limited, 144A | | | 5.625% | | | | 6/15/25 | | | | BB | | | | 20,111 | |
| | | | Total Media | | | | | | | | | | | | | | | 176,297 | |
| | | | | |
| | | | Metals & Mining – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 20 | | | Alcoa Inc. | | | 5.400% | | | | 4/15/21 | | | | BBB– | | | | 21,225 | |
| | | | | |
| | 30 | | | Allegheny Technologies Inc. | | | 7.625% | | | | 8/15/23 | | | | B | | | | 25,050 | |
| | | | | |
| | 25 | | | Anglogold Holdings PLC | | | 6.500% | | | | 4/15/40 | | | | Baa3 | | | | 24,375 | |
| | | | | |
| | 55 | | | ArcelorMittal | | | 7.250% | | | | 2/25/22 | | | | BB+ | | | | 57,888 | |
| | | | | |
| | 35 | | | Century Aluminum Company, 144A | | | 7.500% | | | | 6/01/21 | | | | BB– | | | | 31,500 | |
| | | | | |
| | 25 | | | First Quantum Minerals Limited, 144A | | | 6.750% | | | | 2/15/20 | | | | B | | | | 20,875 | |
| | | | | |
| | 30 | | | Teck Resources Limited | | | 3.750% | | | | 2/01/23 | | | | B+ | | | | 22,800 | |
| | | | | |
| | 25 | | | Vale Overseas Limited | | | 6.875% | | | | 11/10/39 | | | | BBB | | | | 22,758 | |
| | | | Total Metals & Mining | | | | | | | | | | | | | | | 226,471 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 2.9% | | | | | | | | | | | | |
| | | | | |
| | 25 | | | Anadarko Petroleum Corporation | | | 6.200% | | | | 3/15/40 | | | | BBB | | | | 28,043 | |
| | | | | |
| | 80 | | | Apache Corporation | | | 4.250% | | | | 1/15/44 | | | | BBB | | | | 77,490 | |
| | | | | |
| | 150 | CAD | | Baytex Energy Corporation | | | 6.625% | | | | 7/19/22 | | | | BB | | | | 98,543 | |
| | | | | |
| | 15 | | | Calumet Specialty Products | | | 7.625% | | | | 1/15/22 | | | | CCC+ | | | | 10,613 | |
| | | | | |
| | 5 | | | Concho Resources Inc. | | | 5.500% | | | | 10/01/22 | | | | BB+ | | | | 5,025 | |
| | | | | |
| | 10 | | | Martin Mid-Stream Partners LP Finance | | | 7.250% | | | | 2/15/21 | | | | B– | | | | 9,250 | |
| | | | | |
| | 25 | | | Petrobras International Finance Company | | | 5.375% | | | | 1/27/21 | | | | BB | | | | 23,062 | |
| | | | | |
| | 40 | | | Transocean Inc. | | | 4.300% | | | | 10/15/22 | | | | BB– | | | | 28,300 | |
| | | | | |
| | 50 | | | Western Refining Inc. | | | 6.250% | | | | 4/01/21 | | | | B | | | | 45,500 | |
| | | | | |
| | 45 | | | Woodside Finance Limited, 144A | | | 3.650% | | | | 3/05/25 | | | | BBB+ | | | | 43,977 | |
| | | | | |
| | 25 | | | YPF Sociedad Anonima, 144A | | | 8.500% | | | | 3/23/21 | | | | B | | | | 26,820 | |
| | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 396,623 | |
| | | | | |
| | | | Paper & Forest Products – 1.1% | | | | | | | | | | | | |
| | | | | |
| | 25 | | | Domtar Corporation | | | 4.400% | | | | 4/01/22 | | | | BBB– | | | | 25,927 | |
| | | | | |
| | 80 | | | Domtar Corporation | | | 6.750% | | | | 2/15/44 | | | | BBB– | | | | 87,557 | |
| | | | | |
| | 50 | | | Resolute Forest Products | | | 5.875% | | | | 5/15/23 | | | | BB– | | | | 39,375 | |
| | | | Total Paper & Forest Products | | | | | | | | | | | | | | | 152,859 | |
Nuveen Global Total Return Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (3) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Personal Products – 0.3% | | | | | | | | | | | | |
| | | | | |
| $ | 30 | | | International Paper Company | | | 8.700% | | | | 6/15/38 | | | | BBB | | | $ | 43,631 | |
| | | | | |
| | | | Real Estate Investment Trust – 1.1% | | | | | | | | | | | | |
| | | | | |
| | 45 | | | American Tower Company | | | 5.000% | | | | 2/15/24 | | | | BBB | | | | 50,864 | |
| | | | | |
| | 75 | | | Digital Realty Trust Inc. | | | 3.625% | | | | 10/01/22 | | | | BBB | | | | 77,228 | |
| | | | | |
| | 20 | | | Vereit Operating Partner | | | 4.600% | | | | 2/06/24 | | | | BB+ | | | | 20,150 | |
| | | | Total Real Estate Investment Trust | | | | | | | | | | | | | | | 148,242 | |
| | | | | |
| | | | Software – 1.8% | | | | | | | | | | | | |
| | | | | |
| | 40 | | | Computer Sciences Corporation | | | 4.450% | | | | 9/15/22 | | | | BBB | | | | 42,648 | |
| | | | | |
| | 200 | | | SixSigma Networks Mexico SA de CV, 144A | | | 8.250% | | | | 11/07/21 | | | | B+ | | | | 199,750 | |
| | | | Total Software | | | | | | | | | | | | | | | 242,398 | |
| | | | | |
| | | | Specialty Retail – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 35 | | | Swiss Re Treasury US Corporation, 144A | | | 4.250% | | | | 12/06/42 | | | | AA– | | | | 36,521 | |
| | | | | |
| | | | Transportation Infrastructure – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 20 | | | Aeropuerto Internacional de Tocumen SA | | | 5.750% | | | | 10/09/23 | | | | BBB | | | | 20,900 | |
| | | | | |
| | | | Wireless Telecommunication Services – 2.2% | | | | | | | | | | | | |
| | | | | |
| | 75 | | | Colombia Telecommunicaciones S.A. ESP, 144A | | | 8.500% | | | | 9/30/65 | | | | B+ | | | | 66,000 | |
| | | | | |
| | 200 | | | ENTEL Chile SA, 144A | | | 4.750% | | | | 8/01/26 | | | | BBB | | | | 198,864 | |
| | | | | |
| | 50 | | | Sprint Corporation | | | 7.250% | | | | 9/15/21 | | | | B+ | | | | 42,625 | |
| | | | Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 307,489 | |
| | | | Total Corporate Bonds (cost $5,194,073) | | | | | | | | | | | | | | | 5,253,508 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| |
| | | | $1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 9.4% | |
| | | | | |
| | | | Banks – 5.2% | | | | | | | | | | | | |
| | | | | |
| $ | 200 | | | Australia and New Zealand Banking Group Limited of the United Kingdom, 144A | | | 6.750% | | | | N/A (6) | | | | Baa1 | | | $ | 206,540 | |
| | | | | |
| | 200 | | | Barclays PLC | | | 8.250% | | | | N/A (6) | | | | BB+ | | | | 195,492 | |
| | | | | |
| | 50 | | | Citigroup Inc. | | | 6.125% | | | | N/A (6) | | | | BB+ | | | | 50,750 | |
| | | | | |
| | 200 | | | HSBC Holdings PLC | | | 6.875% | | | | N/A (6) | | | | BBB | | | | 199,000 | |
| | | | | |
| | 60 | | | JPMorgan Chase & Company | | | 6.750% | | | | N/A (6) | | | | BBB– | | | | 66,075 | |
| | 710 | | | Total Banks | | | | | | | | | | | | | | | 717,857 | |
| | | | | |
| | | | Capital Markets – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 40 | | | Goldman Sachs Capital II | | | 4.000% | | | | N/A (6) | | | | Ba1 | | | | 29,957 | |
| | | | | |
| | 200 | | | UBS Group AG, Reg S | | | 7.125% | | | | N/A (6) | | | | BB+ | | | | 198,500 | |
| | 240 | | | Total Capital Markets | | | | | | | | | | | | | | | 228,457 | |
| | | | | |
| | | | Diversified Financial Services – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | BNP Paribas, 144A | | | 7.375% | | | | N/A (6) | | | | BBB– | | | | 195,800 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Electric Utilities – 0.7% | | | | | | | | | | | | |
| | | | | |
| $ | 100 | | | Electricite de France, 144A | | | 5.250% | | | | N/A (6) | | | | Baa2 | | | $ | 95,250 | |
| | | | | |
| | | | Insurance – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 50 | | | Prudential Financial Inc. | | | 5.200% | | | | | | | | BBB+ | | | | 49,025 | |
| $ | 1,300 | | | Total $1,000 Par (or similar) Institutional Preferred (cost $1,294,458) | | | | | | | | | | | | | | | 1,286,389 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 5.8% | |
| | | | | |
| $ | 6 | | | Countrywide Asset Backed Certificates, Series 2007-4 A2 | | | 5.368% | | | | 4/25/47 | | | | Caa1 | | | $ | 6,082 | |
| | | | | |
| | 25 | | | Countrywide Home Loans Mortgage, Series 2005-27 | | | 5.500% | | | | 12/25/35 | | | | Caa1 | | | | 23,002 | |
| | | | | |
| | 285 | | | Fannie Mae TBA Mortgage Pool, (WI/DD) | | | 3.500% | | | | TBA | | | | Aaa | | | | 300,308 | |
| | | | | |
| | 145 | | | Fannie Mae TBA Mortgage Pool, (WI/DD) | | | 4.500% | | | | TBA | | | | Aaa | | | | 158,177 | |
| | | | | |
| | 250 | | | Fannie Mae TBA Mortgage Pool, (WI/DD) | | | 4.000% | | | | TBA | | | | Aaa | | | | 267,759 | |
| | | | | |
| | 40 | | | Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2013-K712, 144A | | | 3.369% | | | | 5/25/45 | | | | Aaa | | | | 40,931 | |
| $ | 751 | | | Total Asset-Backed and Mortgage-Backed Securities (cost $795,076) | | | | | | | | | | | | | | | 796,259 | |
| | | | | |
Principal
Amount (000) (3) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | SOVEREIGN DEBT – 43.1% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Argentina – 2.0% | | | | | | | | | | | | |
| | | | | |
| $ | 250 | | | Republic of Argentina, 144A | | | 7.625% | | | | 4/22/46 | | | | B | | | $ | 270,375 | |
| | | | | |
| | | | Australia – 2.0% | | | | | | | | | | | | |
| | | | | |
| | 300 | AUD | | Australian Government, Reg S | | | 5.750% | | | | 5/15/21 | | | | Aaa | | | | 266,615 | |
| | | | | |
| | | | Canada – 4.7% | | | | | | | | | | | | |
| | | | | |
| | 330 | CAD | | Canadian Government Bond | | | 1.500% | | | | 6/01/26 | | | | AAA | | | | 265,579 | |
| | | | | |
| | 480 | CAD | | Canadian Government Treasury Bill | | | 0.750% | | | | 3/01/21 | | | | AAA | | | | 374,597 | |
| | | | Total Canada | | | | | | | | | | | | | | | 640,176 | |
| | | | | |
| | | | Costa Rica – 1.5% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Republic of Costa Rica, 144A | | | 7.000% | | | | 4/04/44 | | | | Ba1 | | | | 199,500 | |
| | | | | |
| | | | Dominican Republic – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 100 | | | Dominican Republic, 144A | | | 5.500% | | | | 1/27/25 | | | | BB– | | | | 101,750 | |
| | | | | |
| | | | Germany – 12.0% | | | | | | | | | | | | |
| | | | | |
| | 250 | EUR | | Deutschland Republic, Reg S | | | 0.500% | | | | 2/15/25 | | | | Aaa | | | | 293,828 | |
| | | | | |
| | 400 | EUR | | Deutschland Republic, Reg S | | | 1.000% | | | | 8/15/25 | | | | Aaa | | | | 489,252 | |
| | | | | |
| | 490 | EUR | | Deutschland Republic, Reg S | | | 2.500% | | | | 8/15/46 | | | | Aaa | | | | 856,684 | |
| | | | Total Germany | | | | | | | | | | | | | | | 1,639,764 | |
| | | | | |
| | | | Indonesia – 1.6% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Republic of Indonesia, 144A | | | 4.750% | | | | 1/08/26 | | | | Baa3 | | | | 217,774 | |
Nuveen Global Total Return Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (3) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | |
| | | | Italy – 4.1% | | | | | | | | | | | | |
| | | | | |
| $ | 110 | EUR | | Buoni Poliennali del Tesoro, Italian Treasury Bond | | | 3.750% | | | | 9/01/24 | | | | BBB+ | | | $ | 147,269 | |
| | | | | |
| | 350 | EUR | | Buoni Poliennali del Tesoro, Italian Treasury Bond | | | 2.000% | | | | 12/01/25 | | | | BBB+ | | | | 412,730 | |
| | | | Total Italy | | | | | | | | | | | | | | | 559,999 | |
| | | | | |
| | | | Mexico – 5.9% | | | | | | | | | | | | |
| | | | | |
| | 3,400 | MXN | | Mexico Bonos de DeSarrollo | | | 4.750% | | | | 6/14/18 | | | | A3 | | | | 186,061 | |
| | | | | |
| | 3,000 | MXN | | Mexico Bonos de DeSarrollo | | | 5.000% | | | | 12/11/19 | | | | A | | | | 163,463 | |
| | | | | |
| | 2,450 | MXN | | Mexico Bonos de DeSarrollo | | | 8.000% | | | | 12/07/23 | | | | A | | | | 152,673 | |
| | | | | |
| | 2,975 | MXN | | Mexico Bonos de DeSarrollo | | | 7.750% | | | | 11/13/42 | | | | A | | | | 189,672 | |
| | | | | |
| | 100 | | | United Mexican States | | | 5.550% | | | | 1/21/45 | | | | A3 | | | | 119,750 | |
| | | | Total Mexico | | | | | | | | | | | | | | | 811,619 | |
| | | | | |
| | | | Portugal – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 210 | EUR | | Portugal Obrigacoes do Tesouro, 144A,
Reg S | | | 2.875% | | | | 10/15/25 | | | | Ba1 | | | | 232,526 | |
| | | | | |
| | | | Romania – 1.2% | | | | | | | | | | | | |
| | | | | |
| | 150 | | | Republic of Romania, 144A | | | 4.875% | | | | 1/22/24 | | | | BBB– | | | | 165,390 | |
| | | | | |
| | | | South Africa – 2.1% | | | | | | | | | | | | |
| | | | | |
| | 2,500 | ZAR | | Republic of South Africa | | | 7.250% | | | | 1/15/20 | | | | BBB+ | | | | 165,147 | |
| | | | | |
| | 1,700 | ZAR | | Republic of South Africa | | | 10.500% | | | | 12/21/26 | | | | BBB+ | | | | 128,190 | |
| | | | Total South Africa | | | | | | | | | | | | | | | 293,337 | |
| | | | | |
| | | | Spain – 1.5% | | | | | | | | | | | | |
| | | | | |
| | 170 | EUR | | Kingdom of Spain, Bonos y Obligado Del Esatado, 144A,
Reg S | | | 1.950% | | | | 4/30/26 | | | | BBB+ | | | | 200,356 | |
| | | | | |
| | | | Sri Lanka – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 200 | | | Republic of Sri Lanka, 144A | | | 6.850% | | | | 11/03/25 | | | | B+ | | | | 194,822 | |
| | | | | |
| | | | Uruguay – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 100 | | | Republic of Uruguay | | | 5.100% | | | | 6/18/50 | | | | BBB | | | | 100,000 | |
| | | | Total Sovereign Debt (cost $6,000,033) | | | | | | | | | | | | | | | 5,894,003 | |
| | | | Total Long-Term Investments (cost $13,346,865) | | | | | | | | 13,319,784 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | | | | Value | |
| | | | | |
| | | | SHORT-TERM INVESTMENTS – 6.4% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | REPURCHASE AGREEMENTS – 6.4% | | | | | | | | | | | | |
| | | | | |
| $ | 879 | | | Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/16, repurchase price $879,345, collateralized by $825,000 U.S. Treasury Notes, 2.500%, due 8/15/23, value $899,250 | | | 0.030% | | | | 7/01/16 | | | | | | | $ | 879,344 | |
| | | | Total Short-Term Investments (cost $879,344) | | | | | | | | | | | | | | | 879,344 | |
| | | | Total Investments (cost $14,226,209) – 103.8% | | | | | | | | | | | | | | | 14,199,128 | |
| | | | Other Assets Less Liabilities – (3.8)% (7) | | | | | | | | | | | | | | | (525,976 | ) |
| | | | Net Assets – 100% | | | | | | | | | | | | | | $ | 13,673,152 | |
Investment in Derivatives as of June 30, 2016
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Contracts to Deliver | | Amount
(Local Currency) | | | In Exchange
For Currency | | | Amount
(Local Currency) | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(U.S. Dollars) | |
| Bank of America, N.A. | | Hungarian Forint | | | 71,774,000 | | | | U.S. Dollar | | | | 254,046 | | | | 7/29/16 | | | $ | 1,792 | |
| Bank of America, N.A. | | Indonesian Rupiah | | | 7,400,000,000 | | | | U.S. Dollar | | | | 551,416 | | | | 8/05/16 | | | | (8,131 | ) |
| Bank of America, N.A. | | Swiss Franc | | | 620,000 | | | | U.S. Dollar | | | | 635,496 | | | | 8/30/16 | | | | (1,473 | ) |
| Bank of America, N.A. | | U.S. Dollar | | | 248,628 | | | | Hungarian Forint | | | | 71,774,000 | | | | 7/29/16 | | | | 3,627 | |
| Bank of America, N.A. | | U.S. Dollar | | | 535,844 | | | | Indonesian Rupiah | | | | 7,400,000,000 | | | | 8/05/16 | | | | 23,703 | |
| Bank of America, N.A. | | U.S. Dollar | | | 629,823 | | | | Mexican Peso | | | | 11,850,000 | | | | 8/22/16 | | | | 15,351 | |
| Bank of America, N.A. | | U.S. Dollar | | | 636,054 | | | | Swiss Franc | | | | 620,000 | | | | 8/30/16 | | | | 915 | |
| Citibank, National Association | | Euro | | | 1,114,000 | | | | U.S. Dollar | | | | 1,266,731 | | | | 8/22/16 | | | | 28,356 | |
| Citibank, National Association | | Euro | | | 180,000 | | | | U.S. Dollar | | | | 199,462 | | | | 8/22/16 | | | | (635 | ) |
| Citibank, National Association | | Singapore Dollar | | | 980,000 | | | | U.S. Dollar | | | | 721,118 | | | | 7/15/16 | | | | (6,328 | ) |
| Citibank, National Association | | U.S. Dollar | | | 667,743 | | | | Euro | | | | 605,000 | | | | 8/22/16 | | | | 4,803 | |
| Citibank, National Association | | U.S. Dollar | | | 48,580 | | | | Euro | | | | 44,000 | | | | 8/22/16 | | | | 332 | |
| Citibank, National Association | | U.S. Dollar | | | 665,258 | | | | Euro | | | | 600,000 | | | | 8/22/16 | | | | 1,730 | |
| Deutsche Bank AG | | Australian Dollar | | | 693,000 | | | | U.S. Dollar | | | | 500,407 | | | | 7/29/16 | | | | (15,975 | ) |
| Deutsche Bank AG | | U.S. Dollar | | | 446,296 | | | | Australian Dollar | | | | 602,000 | | | | 7/29/16 | | | | 2,278 | |
| Goldman Sachs Bank USA | | Canadian Dollar | | | 204,000 | | | | U.S. Dollar | | | | 155,807 | | | | 7/29/16 | | | | (2,109 | ) |
| Goldman Sachs Bank USA | | Canadian Dollar | | | 342,000 | | | | U.S. Dollar | | | | 262,078 | | | | 7/29/16 | | | | (2,664 | ) |
| JPMorgan Chase Bank, N.A. | | Indian Rupee | | | 26,700,000 | | | | U.S. Dollar | | | | 393,052 | | | | 8/05/16 | | | | (232 | ) |
| JPMorgan Chase Bank, N.A. | | U.S. Dollar | | | 392,330 | | | | Indian Rupee | | | | 26,700,000 | | | | 8/05/16 | | | | 954 | |
| JPMorgan Chase Bank, N.A. | | U.S. Dollar | | | 393,778 | | | | Malaysian Ringgit | | | | 1,600,000 | | | | 8/23/16 | | | | 7,008 | |
| Morgan Stanley Capital Services LLC | | U.S. Dollar | | | 404,882 | | | | South African Rand | | | | 6,403,000 | | | | 7/15/16 | | | | 28,992 | |
| | | | | | | | | | | | | | | | | | | | | $ | 82,294 | |
Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Notional
Amount | | Fund
Pay/
Receive
Floating
Rate | | | Floating
Rate
Index | | | Fixed Rate
(Annualized) | | | Fixed Rate
Payment
Frequency | | | Termination
Date | | | Value | | | Variation
Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
JPMorgan Chase Bank, N.A.* | | $1,000,000 | | | Receive | | | | 3-Month
USD-LIBOR
-ICE | | | | 2.258 | % | | | Semi-Annually | | | | 9/02/25 | | | $ | (88,328 | ) | | $ | 2,004 | | | $ | (88,328 | ) |
| * | Citigroup Global Markets, Inc. is the clearing broker for this transaction. |
Credit Default Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Referenced
Entity | | Buy/Sell
Protection (8) | | | Current
Credit
Spread (9) | | | Notional
Amount | | | Fixed Rate
(Annualized) | | | Termination
Date | | | Value | | | Variation
Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
Citigroup Global Markets
Inc.* | | Markit
iTraxx Europe
Crossover | | | Sell | | | | 3.52 | % | | $ | 100,000 | | | | 5.000 | % | | | 6/20/21 | | | $ | 6,661 | | | $ | 843 | | | $ | (1,863 | ) |
| * | Citigroup Global Markets, Inc. is also the clearing broker for this transaction. |
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Contract
Position | | | Number of
Contracts | | | Contract
Expiration | | | Notional
Amount at
Value | | | Variation
Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
U.S. Treasury 5-Year Note | | | Short | | | | (9 | ) | | | 9/16 | | | $ | (1,099,476 | ) | | $ | (703 | ) | | $ | (19,917 | ) |
U.S. Treasury 10-Year Note | | | Short | | | | (7 | ) | | | 9/16 | | | | (930,891 | ) | | | 547 | | | | (23,266 | ) |
| | | | | | | | | | | | | | | $ | (2,030,367 | ) | | $ | (156 | ) | | $ | (43,183 | ) |
Nuveen Global Total Return Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
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) | For financial reporting purposes, the ratings disclosed (not covered by the report of independent registered public accounting firm) are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (3) | Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted. |
| (4) | 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. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information. |
| (5) | 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. |
| (6) | Perpetual security. Maturity date is not applicable. |
| (7) | Other assets less liabilities includes the unrealized appreciation (depreciation) of the over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| (8) | The Fund entered into the credit default swaps to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning the referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short. |
| (9) | The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of higher likelihood of performance by the seller of protection. |
| Reg S | Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States. |
| TBA | To be announced. Maturity date not known prior to settlement of this transaction. |
| (WI/DD) | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. |
| USD-LIBOR-ICE | United States Dollar-London Inter-Bank Offered Rate-Intercontinental Exchange. |
See accompanying notes to financial statements.
Nuveen High Income Bond Fund
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
| Shares | | | Description (1) | | | | | | | | | | | Value | |
| | | | | |
| | | | LONG-TERM INVESTMENTS – 93.7% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | COMMON STOCKS – 0.5% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Banks – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 41,000 | | | CIT Group Inc. | | | | | | | | | | | | | | $ | 1,308,310 | |
| | | | | |
| | | | Building Products – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 527 | | | Dayton Superior Class A, (2), (3) | | | | | | | | | | | | | | | 30,195 | |
| | | | | |
| | 585 | | | Dayton Superior, Class 1, (2), (3) | | | | | | | | | | | | | | | 33,550 | |
| | | | Total Building Products | | | | | | | | | | | | | | | 63,745 | |
| | | | | |
| | | | Capital Markets – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 5,732 | | | Adamas Finance Asia Limited, (2) | | | | | | | | | | | | | | | 2,579 | |
| | | | | |
| | 20,000 | | | Och-Ziff Capital Management Group, Class A Shares | | | | | | | | | | | | | | | 76,000 | |
| | | | Total Capital Markets | | | | | | | | | | | | | | | 78,579 | |
| | | | | |
| | | | Energy Equipment & Services – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 10,000 | | | Patterson-UTI Energy, Inc. | | | | | | | | | | | | | | | 213,200 | |
| | | | | |
| | | | Metals & Mining – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 499,059 | | | Northland Resources SA, (2), (3) | | | | | | | | | | | | | | | 50 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 50,119 | | | Connacher Oil and Gas Limited, (2), (3) | | | | | | | | | | | | | | | 501 | |
| | | | Total Common Stocks (cost $2,589,658) | | | | | | | | | | | | | | | 1,664,385 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | Ratings (4) | | | Value | |
| |
| | | | CONVERTIBLE PREFERRED SECURITIES – 1.6% | |
| | | | | |
| | | | Electric Utilities – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 50,000 | | | Exelon Corporation | | | 6.500% | | | | | | | | BB+ | | | $ | 2,467,000 | |
| | | | | |
| | | | Independent Power & Renewable Electricity Producers – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 29,500 | | | Dynegy Inc., (5) | | | 5.375% | | | | | | | | N/R | | | | 1,827,525 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 45,000 | | | Anadarko Petroleum Corporation | | | 7.500% | | | | | | | | N/R | | | | 1,649,700 | |
| | | | Total Convertible Preferred Securities (cost $6,448,797) | | | | | | | | | | | | | | | 5,944,225 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon (7) | | | Maturity (6) | | | Ratings (4) | | | Value | |
| |
| | | | VARIABLE RATE SENIOR LOAN INTERESTS – 4.8% (7) | |
| | | | | |
| | | | Construction Materials – 0.7% | | | | | | | | | | | | |
| | | | | |
| $ | 2,500 | | | Atkore International Inc. | | | 7.750% | | | | 9/27/21 | | | | CCC+ | | | $ | 2,487,500 | |
| | | | | |
| | | | Containers & Packaging – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Packaging Coordinators Inc. Term Loan B, (WI/DD) | | | TBD | | | | TBD | | | | CCC+ | | | | 980,000 | |
Nuveen High Income Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon (7) | | | Maturity (6) | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Diversified Financial Services – 0.5% | | | | | | | | | | | | |
| | | | | |
| $ | 1,985 | | | Jill Acquisition LLC, First Lien Term Loan B | | | 6.000% | | | | 5/08/22 | | | | B | | | $ | 1,955,225 | |
| |
| | | | Diversified Telecommunication Services – 0.3% | |
| | | | | |
| | 1,400 | | | Birch Communications Inc., First Lien Term
Loan B | | | 7.750% | | | | 4/19/20 | | | | B | | | | 1,169,302 | |
| | | | | |
| | | | Hotels, Restaurants & Leisure – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 983 | | | Amaya BV, First Lien Term Loan | | | 5.000% | | | | 7/29/21 | | | | BB | | | | 955,144 | |
| | | | | |
| | 656 | | | Amaya BV, Second Lien Term Loan | | | 8.000% | | | | 7/29/22 | | | | B+ | | | | 651,875 | |
| | | | | |
| | 1,945 | | | Rock Ohio Caesar LLC, Term Loan B | | | 5.000% | | | | 3/29/19 | | | | B+ | | | | 1,867,200 | |
| | 3,584 | | | Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 3,474,219 | |
| | | | | |
| | | | Independent Power & Renewable Electricity Producers – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 130 | | | Empire Generating Company LLC, Term Loan C | | | 5.250% | | | | 3/13/21 | | | | B+ | | | | 111,848 | |
| | | | | |
| | 1,640 | | | Empire Generating Company LLC | | | 5.250% | | | | 3/13/21 | | | | B+ | | | | 1,406,022 | |
| | 1,770 | | | Total Independent Power & Renewable Electricity Producers | | | | | | | | | | | | | | | 1,517,870 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 2,942 | | | Arch Coal Inc., Term Loan B | | | 7.500% | | | | 5/16/18 | | | | C | | | | 1,386,311 | |
| | | | | |
| | 2,493 | | | Fieldwood Energy LLC, Second Lien Term Loan | | | 8.375% | | | | 9/30/20 | | | | CCC– | | | | 708,836 | |
| | | | | |
| | 2,000 | | | Samson Investment Company Second Lien Term Loan, (8) | | | 5.000% | | | | 9/25/18 | | | | N/R | | | | 116,250 | |
| | 7,435 | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 2,211,397 | |
| | | | | |
| | | | Professional Services – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Sedgwick Claims Management Service Inc., Second Lien Term Loan | | | 6.750% | | | | 2/28/22 | | | | CCC+ | | | | 1,930,000 | |
| | | | | |
| | 1,000 | | | Sedgwick Claims Management Service Inc., Second Lien Term Loan | | | 6.750% | | | | 2/28/22 | | | | Caa2 | | | | 965,000 | |
| | 3,000 | | | Total Professional Services | | | | | | | | | | | | | | | 2,895,000 | |
| | | | | |
| | | | Software – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Deltek Incorporated, Second Lien Term Loan | | | 9.500% | | | | 6/19/23 | | | | CCC+ | | | | 1,013,125 | |
| $ | 23,674 | | | Total Variable Rate Senior Loan Interests (cost $22,427,749) | | | | 17,703,638 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | Ratings (4) | | | Value | |
| |
| | | | $25 PAR (OR SIMILAR) RETAIL PREFERRED – 3.8% | |
| | | | | |
| | | | Banks – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 32,380 | | | Bank of America Corporation | | | 4.000% | | | | | | | | BB+ | | | $ | 735,997 | |
| | | | | |
| | | | Capital Markets – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 127,330 | | | Morgan Stanley | | | 4.000% | | | | | | | | Ba1 | | | | 2,635,731 | |
| | | | | |
| | | | Food Products – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 41,734 | | | CHS Inc. | | | 6.750% | | | | | | | | N/R | | | | 1,189,419 | |
| | | | | |
| | | | Household Durables – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 63,610 | | | Hovnanian Enterprises Incorporated, (16) | | | 7.625% | | | | | | | | Ca | | | | 316,778 | |
| | | | | |
| | | | Insurance – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 60,000 | | | AmTrust Financial Services Inc. | | | 7.250% | | | | | | | | N/R | | | | 1,551,600 | |
| | | | | | | | | | | | | | | | | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Multi-Utilities – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 27,000 | | | Dominion Resources Inc. | | | 6.375% | | | | | | | | Baa3 | | | $ | 1,399,680 | |
| | | | | |
| | | | Real Estate Investment Trust – 1.6% | | | | | | | | | | | | |
| | | | | |
| | 60,000 | | | Colony Financial Inc., (16) | | | 7.500% | | | | | | | | N/R | | | | 1,476,600 | |
| | | | | |
| | 50,960 | | | Colony Financial Inc. | | | 7.125% | | | | | | | | N/R | | | | 1,191,955 | |
| | | | | |
| | 52,558 | | | Coresite Realty Corporation | | | 7.250% | | | | | | | | N/R | | | | 1,390,159 | |
| | | | | |
| | 72,767 | | | Northstar Realty Finance Corporation | | | 8.500% | | | | | | | | N/R | | | | 1,803,166 | |
| | | | Total Real Estate Investment Trust | | | | | | | | | | | | | | | 5,861,880 | |
| | | | Total $25 Par (or similar) Preferred Securities (cost $13,449,446) | | | | | | | | | | | | | | | 13,691,085 | |
| | | | | |
Principal
Amount (000) (9) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | CORPORATE BONDS – 75.8% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Aerospace & Defense – 2.1% | | | | | | | | | | | | |
| | | | | |
| $ | 1,700 | | | Bombardier Inc., 144A, (5) | | | 6.000% | | | | 10/15/22 | | | | B | | | $ | 1,462,000 | |
| | | | | |
| | 1,000 | | | DigitalGlobe Inc., 144A | | | 5.250% | | | | 2/01/21 | | | | BB | | | | 930,000 | |
| | | | | |
| | 2,500 | | | StandardAero Aviation Holdings Inc., 144A | | | 10.000% | | | | 7/15/23 | | | | CCC | | | | 2,493,750 | |
| | | | | |
| | 2,867 | | | Triumph Group Inc., (5) | | | 4.875% | | | | 4/01/21 | | | | Ba3 | | | | 2,694,980 | |
| | | | Total Aerospace & Defense | | | | | | | | | | | | | | | 7,580,730 | |
| | | | | |
| | | | Airlines – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 175 | | | American Airlines Group Inc., 144A, (5) | | | 4.625% | | | | 3/01/20 | | | | BB– | | | | 167,125 | |
| | | | | |
| | 4,000 | | | VistaJet Malta Finance PLC, 144A | | | 7.750% | | | | 6/01/20 | | | | B | | | | 1,810,000 | |
| | | | Total Airlines | | | | | | | | | | | | | | | 1,977,125 | |
| | | | | |
| | | | Auto Components – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,950 | | | Tupy S/A, 144A | | | 6.625% | | | | 7/17/24 | | | | BB | | | | 1,867,125 | |
| | | | | |
| | | | Banks – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Royal Bank of Scotland, (5) | | | 5.125% | | | | 5/28/24 | | | | BBB | | | | 1,951,000 | |
| | | | | |
| | | | Building Products – 2.2% | | | | | | | | | | | | |
| | | | | |
| | 1,450 | | | Associated Materials Inc. | | | 9.125% | | | | 11/01/17 | | | | B– | | | | 1,290,500 | |
| | | | | |
| | 1,850 | | | Builders FirstSource, Inc., 144A | | | 10.750% | | | | 8/15/23 | | | | B– | | | | 2,011,875 | |
| | | | | |
| | 809 | | | Corporativo Javer S.A. de C.V, 144A | | | 9.875% | | | | 4/06/21 | | | | BB– | | | | 833,270 | |
| | | | | |
| | 1,500 | | | NCI Building Systems, Inc., 144A | | | 8.250% | | | | 1/15/23 | | | | BB– | | | | 1,612,185 | |
| | | | | |
| | 2,000 | | | NWH Escrow Corporation, 144A | | | 7.500% | | | | 8/01/21 | | | | B | | | | 1,480,000 | |
| | | | | |
| | 1,800 | | | Odebrecht Finance Limited, 144A | | | 7.125% | | | | 6/26/42 | | | | B+ | | | | 774,000 | |
| | | | Total Building Products | | | | | | | | | | | | | | | 8,001,830 | |
| | | | | |
| | | | Chemicals – 4.2% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Chemours Co, (5) | | | 6.625% | | | | 5/15/23 | | | | B+ | | | | 1,700,000 | |
| | | | | |
| | 2,000 | | | CVR Partners LP / CVR Nitrogen Finance Corp., 144A, (5) | | | 9.250% | | | | 6/15/23 | | | | B+ | | | | 2,035,000 | |
| | | | | |
| | 1,000 | | | Hexion Inc., (5) | | | 10.000% | | | | 4/15/20 | | | | B3 | | | | 935,000 | |
| | | | | |
| | 1,500 | | | Hexion US Finance Corporation, (5) | | | 8.875% | | | | 2/01/18 | | | | CCC | | | | 1,301,250 | |
Nuveen High Income Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (9) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Chemicals (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 2,488 | | | Kraton Polymers LLC/CAP, 144A | | | 10.500% | | | | 4/15/23 | | | | B3 | | | $ | 2,649,720 | |
| | | | | |
| | 3,525 | | | Momentive Performance Materials Inc., (3), (8) | | | 8.875% | | | | 10/15/20 | | | | N/R | | | | — | |
| | | | | |
| | 3,525 | | | Momentive Performance Materials Inc. | | | 3.880% | | | | 10/24/21 | | | | B | | | | 2,802,375 | |
| | | | | |
| | 2,000 | | | Platform Specialty Products Corporation,
144A, (5) | | | 10.375% | | | | 5/01/21 | | | | B+ | | | | 2,015,000 | |
| | | | | |
| | 125 | | | PolyOne Corporation | | | 5.250% | | | | 3/15/23 | | | | BB– | | | | 125,938 | |
| | | | | |
| | 2,200 | | | Tronox Finance LLC, (5) | | | 6.375% | | | | 8/15/20 | | | | B | | | | 1,633,500 | |
| | | | Total Chemicals | | | | | | | | | | | | | | | 15,197,783 | |
| | | | | |
| | | | Commercial Services & Supplies – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 1,730 | | | APX Group, Inc., 144A | | | 7.875% | | | | 12/01/22 | | | | B1 | | | | 1,742,975 | |
| | | | | |
| | 2,000 | | | GFL Environmental Corporation, 144A | | | 9.875% | | | | 2/01/21 | | | | B | | | | 2,130,000 | |
| | | | | |
| | 2,315 | | | NES Rental Holdings Inc., 144A | | | 7.875% | | | | 5/01/18 | | | | B– | | | | 2,199,250 | |
| | | | Total Commercial Services & Supplies | | | | | | | | | | | | | | | 6,072,225 | |
| | | | | |
| | | | Construction & Engineering – 1.0% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | Boart Longyear Management Pty Ltd, 144A | | | 7.000% | | | | 4/01/21 | | | | CCC+ | | | | 266,250 | |
| | | | | |
| | 1,500 | | | HC2 Holdings, Inc., 144A | | | 11.000% | | | | 12/01/19 | | | | B– | | | | 1,357,500 | |
| | | | | |
| | 2,472 | | | Michael Baker Holdings LLC Finance Corporation, 144A | | | 8.875% | | | | 4/15/19 | | | | B– | | | | 1,989,777 | |
| | | | Total Construction & Engineering | | | | | | | | | | | | | | | 3,613,527 | |
| | | | | |
| | | | Construction Materials – 1.8% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | Cemex Finance LLC, 144A | | | 9.375% | | | | 10/12/22 | | | | BB– | | | | 550,000 | |
| | | | | |
| | 2,750 | | | Norbord Inc., 144A | | | 6.250% | | | | 4/15/23 | | | | Ba2 | | | | 2,818,750 | |
| | | | | |
| | 3,180 | | | Reliance Intermediate Holdings LP, 144A, (5) | | | 6.500% | | | | 4/01/23 | | | | BB– | | | | 3,307,200 | |
| | | | Total Construction Materials | | | | | | | | | | | | | | | 6,675,950 | |
| | | | | |
| | | | Consumer Finance – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 2,800 | | | Constellis Holdings LLC / Constellis Finance Corporation, 144A | | | 9.750% | | | | 5/15/20 | | | | B | | | | 2,673,300 | |
| | | | | |
| | 600 | | | Covenant Surgical Partners Inc., 144A | | | 8.750% | | | | 8/01/19 | | | | B– | | | | 576,000 | |
| | | | | |
| | 2,350 | | | Enova International, Inc., (5) | | | 9.750% | | | | 6/01/21 | | | | B | | | | 1,850,625 | |
| | | | Total Consumer Finance | | | | | | | | | | | | | | | 5,099,925 | |
| | | | | |
| | | | Containers & Packaging – 2.0% | | | | | | | | | | | | |
| | | | | |
| | 2,315 | | | Ardagh Finance Holdings SA, 144A | | | 8.625% | | | | 6/15/19 | | | | CCC+ | | | | 2,338,203 | |
| | | | | |
| | 882 | | | Ardagh Packaging Finance / MP HD USA, 144A | | | 7.000% | | | | 11/15/20 | | | | B3 | | | | 864,706 | |
| | | | | |
| | 1,750 | | | Coveris Holdings SA, 144A | | | 7.875% | | | | 11/01/19 | | | | B– | | | | 1,699,688 | |
| | | | | |
| | 2,250 | | | PaperWorks Industries Inc., 144A | | | 9.500% | | | | 8/15/19 | | | | B– | | | | 2,070,000 | |
| | | | | |
| | 500 | | | Reynolds Group, 144A | | | 7.000% | | | | 7/15/24 | | | | CCC+ | | | | 514,750 | |
| | | | Total Containers & Packaging | | | | | | | | | | | | | | | 7,487,347 | |
| | | | | |
| | | | Diversified Consumer Services – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 1,205 | | | Gibson Brands Inc., 144A | | | 8.875% | | | | 8/01/18 | | | | CCC+ | | | | 668,775 | |
| | | | | |
| | 3,185 | | | Jones Group Inc. | | | 6.125% | | | | 11/15/34 | | | | CCC– | | | | 398,125 | |
| | | | | |
| | 2,000 | | | Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, (5) | | | 9.250% | | | | 5/15/23 | | | | B– | | | | 2,120,000 | |
| | | | Total Diversified Consumer Services | | | | | | | | | | | | | | | 3,186,900 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (9) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Diversified Financial Services – 1.8% | | | | | | | | | | | | |
| | | | | |
| $ | 1,750 | | | CNG Holdings Inc., 144A | | | 9.375% | | | | 5/15/20 | | | | B– | | | $ | 857,500 | |
| | | | | |
| | 2,180 | | | James Hardie International Finance Limited, 144A | | | 5.875% | | | | 2/15/23 | | | | BBB– | | | | 2,229,050 | |
| | | | | |
| | 1,500 | | | Nationstar Mortgage LLC Capital Corporation, (5) | | | 7.875% | | | | 10/01/20 | | | | B+ | | | | 1,406,250 | |
| | | | | |
| | 2,113 | | | NewStar Financial, Inc. | | | 7.250% | | | | 5/01/20 | | | | BB– | | | | 1,965,090 | |
| | | | Total Diversified Financial Services | | | | | | | | | | | | | | | 6,457,890 | |
| |
| | | | Diversified Telecommunication Services – 2.2% | |
| | | | | |
| | 1,000 | | | CenturyLink Inc., (5) | | | 7.500% | | | | 4/01/24 | | | | BB+ | | | | 1,010,000 | |
| | | | | |
| | 1,950 | | | Consolidated Communications Finance Company | | | 6.500% | | | | 10/01/22 | | | | B– | | | | 1,750,125 | |
| | | | | |
| | 1,000 | | | Frontier Communications Corporation | | | 11.000% | | | | 9/15/25 | | | | BB | | | | 1,038,750 | |
| | | | | |
| | 1,750 | | | GCI Inc., (5) | | | 6.875% | | | | 4/15/25 | | | | BB– | | | | 1,770,790 | |
| | | | | |
| | 1,000 | | | IntelSat Jackson Holdings | | | 7.250% | | | | 4/01/19 | | | | CCC | | | | 730,000 | |
| | | | | |
| | 2,000 | | | IntelSat Jackson Holdings | | | 6.625% | | | | 12/15/22 | | | | Caa3 | | | | 1,350,000 | |
| | | | | |
| | 1,000 | | | IntelSat Limited | | | 7.750% | | | | 6/01/21 | | | | CC | | | | 245,000 | |
| | | | Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 7,894,665 | |
| | | | | |
| | | | Electric Utilities – 1.6% | | | | | | | | | | | | |
| | | | | |
| | 1,587 | | | Energy Future Intermediate Holding Company LLC, 144A, (8) | | | 11.750% | | | | 3/01/22 | | | | N/R | | | | 1,860,584 | |
| | | | | |
| | 1,935 | | | Intergen NV, 144A | | | 7.000% | | | | 6/30/23 | | | | B+ | | | | 1,369,012 | |
| | | | | |
| | 2,750 | | | Talen Energy Supply LLC | | | 6.500% | | | | 6/01/25 | | | | B+ | | | | 2,282,500 | |
| | | | | |
| | 1,000 | | | Texas Competitive Electric Holdings, 144A, (8) | | | 11.500% | | | | 10/01/20 | | | | N/R | | | | 340,000 | |
| | | | Total Electric Utilities | | | | | | | | | | | | | | | 5,852,096 | |
| | | | | |
| | | | Energy Equipment & Services – 2.0% | | | | | | | | | | | | |
| | | | | |
| | 700 | | | Calfrac Holdings LP, 144A | | | 7.500% | | | | 12/01/20 | | | | B | | | | 451,500 | |
| | | | | |
| | 1,000 | | | Murray Energy Corporation, 144A | | | 11.250% | | | | 4/15/21 | | | | C | | | | 280,000 | |
| | | | | |
| | 2,000 | | | Noble Holding International Limited | | | 6.050% | | | | 3/01/41 | | | | BBB | | | | 1,200,000 | |
| | | | | |
| | 1,670 | | | Pacific Drilling V Limited, 144A | | | 7.250% | | | | 12/01/17 | | | | B– | | | | 684,700 | |
| | | | | |
| | 1,000 | | | SAExploration Holdings Inc. | | | 10.000% | | | | 7/15/19 | | | | Caa3 | | | | 460,000 | |
| | | | | |
| | 2,209 | | | SESI, LLC | | | 7.125% | | | | 12/15/21 | | | | BB | | | | 2,126,163 | |
| | | | | |
| | 2,000 | | | Weatherford International Limited Bermuda, (5) | | | 7.750% | | | | 6/15/21 | | | | BB– | | | | 1,947,500 | |
| | | | Total Energy Equipment & Services | | | | | | | | | | | | | | | 7,149,863 | |
| | | | | |
| | | | Food & Staples Retailing – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Albertson’s, Inc. | | | 7.450% | | | | 8/01/29 | | | | B– | | | | 1,940,000 | |
| | | | | |
| | 2,250 | | | Pomegranate Merger Sub, Inc., 144A | | | 9.750% | | | | 5/01/23 | | | | B | | | | 2,113,594 | |
| | | | | |
| | 1,750 | | | Supervalu Inc., (5) | | | 7.750% | | | | 11/15/22 | | | | B | | | | 1,460,900 | |
| | | | | |
| | 1,000 | | | Tops Holding LLC / Tops Markets II Corporation, 144A, (5) | | | 8.000% | | | | 6/15/22 | | | | B– | | | | 880,000 | |
| | | | Total Food & Staples Retailing | | | | | | | | | | | | | | | 6,394,494 | |
| | | | | |
| | | | Food Products – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | Southern States Cooperative Inc., 144A | | | 10.000% | | | | 8/15/21 | | | | B– | | | | 377,500 | |
Nuveen High Income Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (9) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Health Care Equipment & Supplies – 1.1% | | | | | | | | | | | | |
| | | | | |
| $ | 1,500 | | | GreatBatch Limited, 144A | | | 9.125% | | | | 11/01/23 | | | | B– | | | $ | 1,494,375 | |
| | | | | |
| | 1,000 | | | Tenet Healthcare Corporation | | | 8.125% | | | | 4/01/22 | | | | B– | | | | 1,024,800 | |
| | | | | |
| | 1,800 | | | Tenet Healthcare Corporation | | | 6.875% | | | | 11/15/31 | | | | B– | | | | 1,451,250 | |
| | | | Total Health Care Equipment & Supplies | | | | | | | | | | | | | | | 3,970,425 | |
| | | | | |
| | | | Health Care Providers & Services – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | Community Health Systems, Inc. | | | 6.875% | | | | 2/01/22 | | | | B+ | | | | 1,312,500 | |
| | | | | |
| | 2,000 | | | Kindred Healthcare Inc., (5) | | | 8.750% | | | | 1/15/23 | | | | B– | | | | 1,973,760 | |
| | | | | |
| | 1,500 | | | Select Medical Corporation, (5) | | | 6.375% | | | | 6/01/21 | | | | B– | | | | 1,440,000 | |
| | | | Total Health Care Providers & Services | | | | | | | | | | | | | | | 4,726,260 | |
| | | | | |
| | | | Hotels, Restaurants & Leisure – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Caesars Growth Properties Holdings LLC / Caesars Growth Properties Finance Inc., (5) | | | 9.375% | | | | 5/01/22 | | | | B– | | | | 930,000 | |
| | | | | |
| | 1,100 | CAD | | River Cree Enterprises LP, 144A | | | 11.000% | | | | 1/20/21 | | | | B– | | | | 804,598 | |
| | | | | |
| | 2,285 | | | Scientific Games International Inc. | | | 6.250% | | | | 9/01/20 | | | | B– | | | | 1,445,263 | |
| | | | | |
| | 2,100 | | | Wynn Las Vegas LLC Corporation, 144A, (5) | | | 5.500% | | | | 3/01/25 | | | | BB+ | | | �� | 2,031,750 | |
| | | | Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 5,211,611 | |
| | | | | |
| | | | Household Durables – 1.1% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | K. Hovnanian Enterprises Inc. | | | 5.000% | | | | 11/01/21 | | | | B2 | | | | 1,440,000 | |
| | | | | |
| | 2,500 | | | KB Home | | | 7.625% | | | | 5/15/23 | | | | B+ | | | | 2,537,500 | |
| | | | Total Household Durables | | | | | | | | | | | | | | | 3,977,500 | |
| | | | | |
| | | | Independent Power & Renewable Electricity Producers – 1.8% | | | | | | | | | | | | |
| | | | | |
| | 1,750 | | | AES Corporation | | | 6.000% | | | | 5/15/26 | | | | BB | | | | 1,787,187 | |
| | | | | |
| | 2,750 | | | Dynegy Inc., (5) | | | 6.750% | | | | 11/01/19 | | | | B+ | | | | 2,756,875 | |
| | | | | |
| | 1,500 | | | GenOn Energy Inc. | | | 9.500% | | | | 10/15/18 | | | | CCC+ | | | | 1,192,500 | |
| | | | | |
| | 1,300 | | | GenOn Energy Inc., (5) | | | 9.875% | | | | 10/15/20 | | | | CCC+ | | | | 923,000 | |
| | | | Total Independent Power & Renewable Electricity Producers | | | | | | | | | | | | | | | 6,659,562 | |
| | | | | |
| | | | Industrial Conglomerates – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Techniplas, LLC, 144A | | | 10.000% | | | | 5/01/20 | | | | B | | | | 740,000 | |
| | | | | |
| | | | Insurance – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 570 | | | Genworth Holdings Inc. | | | 4.800% | | | | 2/15/24 | | | | Ba3 | | | | 426,075 | |
| | | | | |
| | | | Leisure Products – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | CAD | | Gateway Casinos & Entertainment Limited, 144A | | | 8.500% | | | | 11/26/20 | | | | B+ | | | | 1,089,922 | |
| | | | | |
| | | | Machinery – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 1,960 | | | BlueLine Rental Finance Corporation, 144A | | | 7.000% | | | | 2/01/19 | | | | B+ | | | | 1,685,600 | |
| | | | | |
| | 1,750 | | | CNH Industrial Capital LLC, (5) | | | 4.375% | | | | 11/06/20 | | | | Ba1 | | | | 1,767,500 | |
| | | | Total Machinery | | | | | | | | | | | | | | | 3,453,100 | |
| | | | | |
| | | | Marine – 2.7% | | | | | | | | | | | | |
| | | | | |
| | 3,000 | | | Eletson Holdings Inc., 144A | | | 9.625% | | | | 1/15/22 | | | | B+ | | | | 2,340,000 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (9) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Marine (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 702 | | | Global Ship Lease Inc., 144A | | | 10.000% | | | | 4/01/19 | | | | B | | | $ | 626,535 | |
| | | | | |
| | 2,900 | | | Navios Maritime Acquisition Corporation, 144A | | | 8.125% | | | | 11/15/21 | | | | B+ | | | | 2,276,500 | |
| | | | | |
| | 1,336 | | | Navios South American Logistics Inc., Finance US Inc., 144A | | | 7.250% | | | | 5/01/22 | | | | B– | | | | 941,880 | |
| | | | | |
| | 2,000 | | | Teekay Offshore Partners LP/Teekay Offshore Finance Corporation | | | 6.000% | | | | 7/30/19 | | | | N/R | | | | 1,615,000 | |
| | | | | |
| | 2,200 | | | Topaz Marine SA, 144A | | | 8.625% | | | | 11/01/18 | | | | B– | | | | 2,072,532 | |
| | | | Total Marine | | | | | | | | | | | | | | | 9,872,447 | |
| | | | | |
| | | | Media – 5.5% | | | | | | | | | | | | |
| | | | | |
| | 1,850 | | | Charter Communications, CCO Holdings LLC | | | 5.125% | | | | 2/15/23 | | | | BB+ | | | | 1,873,125 | |
| | | | | |
| | 2,650 | | | Clear Channel Communications, Inc. | | | 9.000% | | | | 12/15/19 | | | | Caa1 | | | | 2,014,000 | |
| | | | | |
| | 750 | | | Clear Channel Communications, Inc. | | | 11.250% | | | | 3/01/21 | | | | Caa1 | | | | 536,250 | |
| | | | | |
| | 1,110 | | | Dish DBS Corporation | | | 5.125% | | | | 5/01/20 | | | | BB– | | | | 1,132,200 | |
| | | | | |
| | 1,400 | | | Dish DBS Corporation, 144A | | | 7.750% | | | | 7/01/26 | | | | BB– | | | | 1,445,500 | |
| | | | | |
| | 1,750 | | | Lee Enterprises Inc., 144A, (5) | | | 9.500% | | | | 3/15/22 | | | | B2 | | | | 1,723,750 | |
| | | | | |
| | 1,500 | | | McClatchy Company, (5) | | | 9.000% | | | | 12/15/22 | | | | B1 | | | | 1,462,500 | |
| | | | | |
| | 3,350 | | | Numericable Group SA, 144A, (5) | | | 7.375% | | | | 5/01/26 | | | | B+ | | | | 3,312,308 | |
| | | | | |
| | 1,750 | | | Radio One Inc., 144A | | | 7.375% | | | | 10/15/22 | | | | B | | | | 1,671,250 | |
| | | | | |
| | 1,750 | | | SiTV Inc., 144A | | | 10.375% | | | | 7/01/19 | | | | B– | | | | 1,347,500 | �� |
| | | | | |
| | 3,150 | CAD | | Videotron Limited, 144A | | | 5.625% | | | | 6/15/25 | | | | BB | | | | 2,533,971 | |
| | | | | |
| | 1,000 | | | VTR Finance BV, 144A | | | 6.875% | | | | 1/15/24 | | | | B+ | | | | 996,980 | |
| | | | Total Media | | | | | | | | | | | | | | | 20,049,334 | |
| | | | | |
| | | | Metals & Mining – 7.2% | | | | | | | | | | | | |
| | | | | |
| | 1,750 | | | AK Steel Corporation, (5) | | | 7.625% | | | | 10/01/21 | | | | B– | | | | 1,605,625 | |
| | | | | |
| | 2,000 | | | Alcoa Inc., (5) | | | 5.125% | | | | 10/01/24 | | | | BBB– | | | | 1,995,000 | |
| | | | | |
| | 1,500 | | | Aleris International Inc., (5) | | | 7.875% | | | | 11/01/20 | | | | B– | | | | 1,327,500 | |
| | | | | |
| | 2,000 | | | BlueScope Steel Limited Finance, 144A | | | 6.500% | | | | 5/15/21 | | | | BB | | | | 2,070,800 | |
| | | | | |
| | 2,500 | | | Cliffs Natural Resources Inc., 144A | | | 8.250% | | | | 3/31/20 | | | | B | | | | 2,525,000 | |
| | | | | |
| | 2,000 | EUR | | Constellium N.V, 144A | | | 4.625% | | | | 5/15/21 | | | | CCC+ | | | | 1,741,585 | |
| | | | | |
| | 2,349 | | | First Quantum Minerals Limited, 144A | | | 6.750% | | | | 2/15/20 | | | | B | | | | 1,961,415 | |
| | | | | |
| | 1,425 | | | Freeport McMoRan, Inc., (5) | | | 4.550% | | | | 11/14/24 | | | | BBB– | | | | 1,246,875 | |
| | | | | |
| | 1,135 | | | Hudbay Minerals, Inc. | | | 9.500% | | | | 10/01/20 | | | | B– | | | | 959,075 | |
| | | | | |
| | 2,100 | | | New Gold Incorporated, 144A | | | 7.000% | | | | 4/15/20 | | | | B+ | | | | 2,142,000 | |
| | | | | |
| | 3,504 | | | Northland Resources AB, 144A, Reg S | | | 15.000% | | | | 7/15/19 | | | | N/R | | | | 35,044 | |
| | | | | |
| | 1,583 | | | Northland Resources AB, 144A, Reg S (8) | | | 4.000% | | | | 10/15/20 | | | | N/R | | | | 16 | |
| | | | | |
| | 2,000 | | | Novellis Inc., (5) | | | 8.750% | | | | 12/15/20 | | | | B | | | | 2,085,000 | |
| | | | | |
| | 2,000 | | | Teck Resources Limited | | | 4.750% | | | | 1/15/22 | | | | B+ | | | | 1,689,800 | |
| | | | | |
| | 1,250 | | | United States Steel Corporation, 144A | | | 8.375% | | | | 7/01/21 | | | | BB | | | | 1,317,188 | |
| | | | | |
| | 2,000 | | | Vedanta Resources PLC, 144A | | | 8.250% | | | | 6/07/21 | | | | B | | | | 1,645,000 | |
| | | | | |
| | 2,500 | | | Westmoreland Coal Co, 144A | | | 8.750% | | | | 1/01/22 | | | | B– | | | | 1,868,750 | |
| | | | Total Metals & Mining | | | | | | | | | | | | | | | 26,215,673 | |
Nuveen High Income Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (9) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Multiline Retail – 0.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,000 | | | J.C. Penney Company Inc. | | | 7.400% | | | | 4/01/37 | | | | B+ | | | $ | 800,000 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 12.0% | | | | | | | | | | | | |
| | | | | |
| | 3,000 | | | American Eagle Energy Corporation, 144A, (8) | | | 11.000% | | | | 9/01/19 | | | | N/R | | | | 240,000 | |
| | | | | |
| | 1,900 | | | Armstrong Energy Inc. | | | 11.750% | | | | 12/15/19 | | | | B– | | | | 836,000 | |
| | | | | |
| | 1,000 | | | Atlas Energy Holdings Operating Company, (8) | | | 9.250% | | | | 8/15/21 | | | | C | | | | 130,000 | |
| | | | | |
| | 1,100 | CAD | | Baytex Energy Corporation | | | 6.625% | | | | 7/19/22 | | | | BB | | | | 722,648 | |
| | | | | |
| | 2,750 | | | Bellatrix Exploration Limited, 144A | | | 8.500% | | | | 5/15/20 | | | | CCC+ | | | | 1,897,500 | |
| | | | | |
| | 2,000 | | | Calumet Specialty Products | | | 7.625% | | | | 1/15/22 | | | | CCC+ | | | | 1,415,000 | |
| | | | | |
| | 3,000 | | | CGG SA | | | 6.875% | | | | 1/15/22 | | | | CCC | | | | 1,305,000 | |
| | | | | |
| | 1,500 | | | Chesapeake Energy Corporation | | | 3.878% | | | | 4/15/19 | | | | B– | | | | 1,128,750 | |
| | | | | |
| | 950 | | | Chesapeake Energy Corporation | | | 6.875% | | | | 11/15/20 | | | | B– | | | | 660,250 | |
| | | | | |
| | 627 | | | Chesapeake Energy Corporation, 144A, (5) | | | 8.000% | | | | 12/15/22 | | | | B+ | | | | 533,734 | |
| | | | | |
| | 2,350 | | | Cloud Peak Energy Resources LLC and Cloud Peak Energy Finance Corporation | | | 8.500% | | | | 12/15/19 | | | | B+ | | | | 1,038,959 | |
| | | | | |
| | 1,950 | | | CONSOL Energy Inc. | | | 5.875% | | | | 4/15/22 | | | | B | | | | 1,703,813 | |
| | | | | |
| | 1,850 | | | EnLink Midstream Partners LP | | | 4.400% | | | | 4/01/24 | | | | BBB– | | | | 1,736,129 | |
| | | | | |
| | 1,460 | | | EV Energy Partners LP / EV Energy Finance Corporation | | | 8.000% | | | | 4/15/19 | | | | CCC+ | | | | 876,000 | |
| | | | | |
| | 2,550 | | | Genesis Energy LP, (5) | | | 5.750% | | | | 2/15/21 | | | | B+ | | | | 2,409,750 | |
| | | | | |
| | 900 | | | Genesis Energy LP | | | 6.000% | | | | 5/15/23 | | | | B+ | | | | 841,500 | |
| | | | | |
| | 4,500 | | | Golden Close Maritime Corporation Limited, 144A, Reg S, (8) | | | 9.000% | | | | 10/24/19 | | | | N/R | | | | 1,034,928 | |
| | | | | |
| | 2,125 | | | Halcon Resources Corporation, 144A, (5) | | | 8.625% | | | | 2/01/20 | | | | B3 | | | | 2,004,130 | |
| | | | | |
| | 390 | | | Halcon Resources Corporation, 144A | | | 12.000% | | | | 2/15/22 | | | | CCC+ | | | | 356,850 | |
| | | | | |
| | 148 | | | Key Energy Services Inc. | | | 6.750% | | | | 3/01/21 | | | | Ca | | | | 59,200 | |
| | | | | |
| | 1,410 | | | Martin Mid-Stream Partners LP Finance | | | 7.250% | | | | 2/15/21 | | | | B– | | | | 1,304,250 | |
| | | | | |
| | 2,455 | | | MEG Energy Corporation, 144A | | | 6.375% | | | | 1/30/23 | | | | BB– | | | | 1,816,700 | |
| | | | | |
| | 2,711 | | | Metro Exploration Holding Inc., (8) | | | 11.500% | | | | 2/16/20 | | | | N/R | | | | 271 | |
| | | | | |
| | 2,500 | | | Peabody Energy Corporation, (8) | | | 6.500% | | | | 9/15/20 | | | | C | | | | 331,250 | |
| | | | | |
| | 750 | | | Penn Virginia Corporation, (8) | | | 8.500% | | | | 5/01/20 | | | | N/R | | | | 288,750 | |
| | | | | |
| | 1,950 | | | Petrobras Global Finance BV | | | 8.375% | | | | 5/23/21 | | | | BB | | | | 2,012,400 | |
| | | | | |
| | 2,250 | | | Range Resources Corporation, (5) | | | 5.000% | | | | 3/15/23 | | | | BB+ | | | | 2,109,375 | |
| | | | | |
| | 2,000 | | | Rose Rock Midstream LP / Rose Rock Finance Corporation | | | 5.625% | | | | 7/15/22 | | | | B | | | | 1,760,000 | |
| | | | | |
| | 352 | | | Sabine Pass LNG LP | | | 7.500% | | | | 11/30/16 | | | | BB+ | | | | 358,688 | |
| | | | | |
| | 1,000 | | | Southwestern Energy Company | | | 5.800% | | | | 1/23/20 | | | | BB– | | | | 977,500 | |
| | | | | |
| | 860 | | | Summit Midstream Holdings LLC Finance | | | 7.500% | | | | 7/01/21 | | | | B | | | | 825,600 | |
| | | | | |
| | 2,000 | | | Sunoco LP / Sunoco Finance Corp., 144A | | | 5.500% | | | | 8/01/20 | | | | BB | | | | 1,975,000 | |
| | | | | |
| | 700 | | | Sunoco LP / Sunoco Finance Corp., 144A, (5) | | | 6.250% | | | | 4/15/21 | | | | BB | | | | 701,309 | |
| | | | | |
| | 2,030 | | | Talos Production LLC, 144A | | | 9.750% | | | | 2/15/18 | | | | CCC+ | | | | 715,575 | |
| | | | | |
| | 1,750 | | | Teekay Corporation, 144A, (5) | | | 8.500% | | | | 1/15/20 | | | | B+ | | | | 1,465,625 | |
| | | | | |
| | 1,445 | | | Vanguard Natural Resources Finance | | | 7.875% | | | | 4/01/20 | | | | CC | | | | 462,400 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (9) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 2,500 | | | Williams Partners LP | | | 5.250% | | | | 3/15/20 | | | | BBB– | | | $ | 2,572,243 | |
| | | | | |
| | 500 | | | WPX Energy Inc. | | | 7.500% | | | | 8/01/20 | | | | B | | | | 499,060 | |
| | | | | |
| | 1,000 | | | WPX Energy Inc., (5) | | | 6.000% | | | | 1/15/22 | | | | B | | | | 930,000 | |
| | | | | |
| | 1,770 | | | YPF Sociedad Anonima, 144A | | | 8.500% | | | | 3/23/21 | | | | B | | | | 1,898,856 | |
| | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 43,934,993 | |
| | | | | |
| | | | Paper & Forest Products – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 4,550 | | | Millar Western Forest Products Ltd | | | 8.500% | | | | 4/01/21 | | | | B– | | | | 2,093,000 | |
| | | | | |
| | 2,000 | | | Resolute Forest Products | | | 5.875% | | | | 5/15/23 | | | | BB– | | | | 1,575,000 | |
| | | | | |
| | 1,500 | | | Tembec Industries, Inc., 144A | | | 9.000% | | | | 12/15/19 | | | | B– | | | | 1,162,500 | |
| | | | | |
| | 1,950 | | | Verso Paper Holdings LLC, (8) | | | 11.750% | | | | 1/15/19 | | | | N/R | | | | 316,875 | |
| | | | Total Paper & Forest Products | | | | | | | | | | | | | | | 5,147,375 | |
| | | | | |
| | | | Pharmaceuticals – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 1,700 | | | VP Escrow Corporation, 144A, (5) | | | 6.375% | | | | 10/15/20 | | | | B– | | | | 1,462,000 | |
| | | | | |
| | | | Professional Services – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 2,625 | | | CEB Inc., 144A | | | 5.625% | | | | 6/15/23 | | | | BB– | | | | 2,556,094 | |
| | | | | |
| | | | Real Estate Investment Trust – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Communications Sales & Leasing Inc., 144A | | | 6.000% | | | | 4/15/23 | | | | BB+ | | | | 2,035,000 | |
| |
| | | | Real Estate Management & Development – 0.8% | |
| | | | | |
| | 3,000 | | | Hunt Companies Inc., 144A | | | 9.625% | | | | 3/01/21 | | | | N/R | | | | 3,015,000 | |
| | | | | |
| | | | Road & Rail – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Avis Budget Car Rental, 144A, (5) | | | 5.125% | | | | 6/01/22 | | | | B+ | | | | 1,930,000 | |
| | | | | |
| | 2,357 | | | Jack Cooper Enterprises, Inc., 144A | | | 10.500% | | | | 3/15/19 | | | | CCC– | | | | 742,405 | |
| | | | Total Road & Rail | | | | | | | | | | | | | | | 2,672,405 | |
| | | | | |
| | | | Semiconductors & Semiconductor Equipment – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,275 | | | Advanced Micro Devices, Inc., (5) | | | 7.000% | | | | 7/01/24 | | | | CCC | | | | 1,077,375 | |
| | | | | |
| | | | Software – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | BCP Singapore VI Cayman Financing Company Limited, 144A | | | 8.000% | | | | 4/15/21 | | | | B+ | | | | 428,750 | |
| | | | | |
| | 180 | | | SS&C Technologies Holdings, Inc. | | | 5.875% | | | | 7/15/23 | | | | B+ | | | | 183,150 | |
| | | | Total Software | | | | | | | | | | | | | | | 611,900 | |
| | | | | |
| | | | Specialty Retail – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 2,851 | | | Sally Holdings Inc. | | | 5.750% | | | | 6/01/22 | | | | BB+ | | | | 2,954,349 | |
| | | | | |
| | | | Technology Hardware, Storage & Peripherals – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 700 | | | Western Digital Corporation, 144A, (5) | | | 10.500% | | | | 4/01/24 | | | | BB+ | | | | 749,000 | |
| | | | | |
| | | | Trading Companies & Distributors – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Avation Capital SA, 144A | | | 7.500% | | | | 5/27/20 | | | | B+ | | | | 1,900,000 | |
| | | | | |
| | | | Transportation Infrastructure – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Navigator Holdings Limited, 144A, Reg S | | | 9.000% | | | | 12/18/17 | | | | N/R | | | | 2,030,218 | |
Nuveen High Income Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (9) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| |
| | | | Wireless Telecommunication Services – 4.6% | |
| | | | | |
| $ | 2,000 | | | Altice Financing SA, 144A, (5) | | | 6.625% | | | | 2/15/23 | | | | BB– | | | $ | 1,963,740 | |
| | | | | |
| | 2,000 | | | Altice Financing SA, 144A | | | 7.500% | | | | 5/15/26 | | | | BB– | | | | 1,965,000 | |
| | | | | |
| | 1,900 | | | Colombia Telecommunicaciones S.A. ESP, 144A | | | 8.500% | | | | 9/30/65 | | | | B+ | | | | 1,672,000 | |
| | | | | |
| | 2,000 | | | Digicel Limited, 144A | | | 6.000% | | | | 4/15/21 | | | | B1 | | | | 1,725,000 | |
| | | | | |
| | 2,255 | | | FairPoint Communications Inc., 144A | | | 8.750% | | | | 8/15/19 | | | | B | | | | 2,221,175 | |
| | | | | |
| | 3,000 | | | Millicom International Cellular SA, 144A, (5) | | | 6.000% | | | | 3/15/25 | | | | BB+ | | | | 2,925,000 | |
| | | | | |
| | 2,000 | | | Sprint Communications Inc., 144A, (5) | | | 7.000% | | | | 3/01/20 | | | | BB | | | | 2,093,980 | |
| | | | | |
| | 2,000 | | | T-Mobile USA Inc., (5) | | | 6.625% | | | | 4/01/23 | | | | BB | | | | 2,114,240 | |
| | | | Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 16,680,135 | |
| | | | Total Corporate Bonds (cost $314,136,519) | | | | | | | | | | | | | | | 276,855,728 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | CONVERTIBLE BONDS – 0.0% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Metals & Mining – 0.0% | | | | | | | | | | | | |
| | | | | |
| $ | 1,500 | | | Great Western Mineral Group, Reg S, (8) | | | 8.000% | | | | 4/06/17 | | | | N/R | | | $ | 7,500 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 1,465 | | | Alpha Natural Resources Inc., (8) | | | 4.875% | | | | 12/15/20 | | | | N/R | | | | 3,663 | |
| $ | 2,965 | | | Total Convertible Bonds (cost $2,564,846) | | | | | | | | | | | | | | | 11,163 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | $1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 4.0% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Banks – 2.8% | | | | | | | | | | | | |
| | | | | |
| $ | 1,600 | | | HSBC Holdings PLC, (5) | | | 6.375% | | | | N/A (10) | | | | BBB | | | $ | 1,524,000 | |
| | | | | |
| | 2,000 | | | Intesa Sanpaolo SpA, 144A, (5) | | | 7.700% | | | | N/A (10) | | | | Ba3 | | | | 1,725,000 | |
| | | | | |
| | 1,903 | | | Lloyd’s Banking Group PLC, (5) | | | 7.500% | | | | N/A (10) | | | | BB+ | | | | 1,860,182 | |
| | | | | |
| | 1,500 | | | Royal Bank of Scotland Group PLC, (5) | | | 7.500% | | | | N/A (10) | | | | BB– | | | | 1,380,000 | |
| | | | | |
| | 2,600 | | | Societe Generale, 144A | | | 7.875% | | | | N/A (10) | | | | BB+ | | | | 2,411,500 | |
| | | | | |
| | 2,000 | | | SunTrust Capital Trust I, Series A | | | 4.000% | | | | N/A (10) | | | | Baa3 | | | | 1,510,000 | |
| | 11,603 | | | Total Banks | | | | | | | | | | | | | | | 10,410,682 | |
| | | | | |
| | | | Capital Markets – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,513 | | | Goldman Sachs Capital II | | | 4.000% | | | | N/A (10) | | | | Ba1 | | | | 1,133,116 | |
| | | | | |
| | | | Food Products – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Land O’Lakes Inc., 144A | | | 8.000% | | | | N/A (10) | | | | BB | | | | 2,045,000 | |
| | | | | |
| | | | Industrial Conglomerates – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | OAS Financial Limited, 144A | | | 8.875% | | | | N/A (10) | | | | N/R | | | | 23,000 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 0.3% | | | | | | | | | | | | |
| | | | | |
| $ | 1,300 | | | DCP Midstream LLC, 144A | | | 5.850% | | | | 5/21/43 | | | | BB– | | | $ | 936,000 | |
| $ | 18,416 | | | Total $1,000 Par (or similar) Institutional Preferred (cost $16,803,137) | | | | | | | | | | | | | | | 14,547,798 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | ASSET–BACKED SECURITIES – 0.0% | | | | | | | | | | | | |
| | | | | |
| $ | 1 | | | Green Tree Financial Corporation, Manufactured Housing Contract Pass-Through Certificates, Series 1998-1 | | | 6.040% | | | | 11/01/29 | | | | AA | | | $ | 717 | |
| $ | 1 | | | Total Asset-Backed Securities (cost $709) | | | | | | | | | | | | | | | 717 | |
| | | | | |
| Shares | | | Description (1), (11) | | | | | | | | | | | Value | |
| | | | | |
| | | | INVESTMENT COMPANIES – 3.2% | | | | | | | | | | | | |
| | | | | |
| | 28,000 | | | Adams Natural Resources Fund Inc. | | | | | | | | | | | | | | $ | 563,080 | |
| | | | | |
| | 124,000 | | | Blackrock Credit Allocation Income Trust IV | | | | | | | | | | | | | | | 1,614,480 | |
| | | | | |
| | 165,500 | | | First Trust Strategic High Income Fund II | | | | | | | | | | | | | | | 1,979,380 | |
| | | | | |
| | 28,500 | | | Gabelli Global Gold Natural Resources and Income Trust | | | | | | | | | | | | | | | 185,250 | |
| | | | | |
| | 191,500 | | | Invesco Dynamic Credit Opportunities Fund | | | | | | | | | | | | | | | 2,110,330 | |
| | | | | |
| | 188,500 | | | Pimco Income Strategy Fund | | | | | | | | | | | | | | | 1,935,895 | |
| | | | | |
| | 115,000 | | | Pioneer Floating Rate Trust | | | | | | | | | | | | | | | 1,296,050 | |
| | | | | |
| | 150,309 | | | Western Asset Emerging Markets Income Fund | | | | | | | | | | | | | | | 1,629,349 | |
| | | | | |
| | 34,351 | | | WhiteHorse Finance Incorporated | | | | | | | | | | | | | | | 371,678 | |
| | | | Total Investment Companies (cost $12,516,306) | | | | 11,685,492 | |
| | | | | |
| Shares | | | Description (1) | | | | | | | | | | | Value | |
| | | | | |
| | | | WARRANTS – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 336,891 | | | Iona Energy Inc., (3) | | | | | | | | | | | | | | $ | — | |
| | | | | |
| | 6,707 | | | FairPoint Communications Inc., (16) | | | | | | | | | | | | | | | 101 | |
| | | | Total Warrants (cost $0) | | | | | | | | | | | | | | | 101 | |
| | | | Total Long-Term Investments (cost $390,937,167) | | | | 342,104,332 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | |
| | | | INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 20.1% | | | | | |
| | | | | |
| | | | Money Market Funds – 20.1% | | | | | | | | | | | | |
| | | | | |
| | 73,403,049 | | | Mount Vernon Securities Lending Trust Prime Portfolio, (13) | | | 0.557% (12) | | | | | | | | | | | $ | 73,403,049 | |
| | | | Total Investments Purchased with Collateral from Securities Lending (cost $73,403,049) | | | | | | | | 73,403,049 | |
| | | | Total Investments (cost 464,340,216) – 113.8% | | | | | | | | 415,507,381 | |
| | | | Borrowings – (5.5)% (14) | | | | | | | | | | | | | | | (20,000,000 | ) |
| | | | Other Assets Less Liabilities – (8.3)% (15) | | | | | | | | | | | | | | | (30,465,075 | ) |
| | | | Net Assets – 100% | | | | | | | | | | | | | | $ | 365,042,306 | |
Nuveen High Income Bond Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
Investments in Derivatives as of June 30, 2016
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Contracts to Deliver | | Amount
(Local Currency) | | | In Exchange
For Currency | | | Amount
(Local Currency) | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(U.S. Dollars) | |
| Citigroup Global Markets, Inc. | | Euro | | | 1,430,900 | | | | U.S. Dollar | | | | 1,609,691 | | | | 7/29/16 | | | $ | 20,014 | |
| Goldman Sacks Bank USA | | Canadian Dollar | | | 7,622,000 | | | | U.S. Dollar | | | | 5,821,365 | | | | 7/29/16 | | | | (78,951 | ) |
| Goldman Sacks Bank USA | | U.S. Dollar | | | 1,030,196 | | | | Canadian Dollar | | | | 1,320,000 | | | | 7/29/16 | | | | (8,362 | ) |
| | | | | | | | | | | | | | | | | | | | | $ | (67,299 | ) |
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Contract Position | | | Number of
Contracts | | | Contract
Expiration | | | Notional
Amount at
Value | | | Variation
Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
Depreciation | |
U.S. Treasury 5-Year Note | | | Short | | | | (89 | ) | | | 9/16 | | | $ | (10,872,602 | ) | | $ | (6,953 | ) | | $ | (195,832 | ) |
U.S. Treasury 10-Year Note | | | Long | | | | 135 | | | | 9/16 | | | | 17,952,891 | | | | (10,547 | ) | | | 468,295 | |
| | | | | | | | | | | | | | | $ | 7,080,289 | | | $ | (17,500 | ) | | $ | 272,463 | |
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) | Investment valued at fair value using methods determined in good faith by, or at discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information. |
| (4) | For financial reporting purposes, the ratings disclosed (not covered by the report of independent registered public accounting firm) are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (5) | Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $70,945,221. |
| (6) | 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. |
| (7) | 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. |
| (8) | 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. |
| (9) | Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted. |
| (10) | Perpetual security. Maturity date is not applicable. |
| (11) | A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission (SEC) on its website at http://www.sec.gov. |
| (12) | The rate shown is the annualized seven-day effective yield as of the end of the reporting period. |
| (13) | The Fund may loan securities representing up to one third of the fair value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks and other institutions. The Fund maintains collateral equal to at least 100% of the fair value of the securities loaned. The cash collateral received by the Fund is invested in this money market fund. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Securities Lending for more information. |
| (14) | Borrowings as a percentage of total investments is 4.8%. |
| (15) | Other assets less liabilities includes the unrealized appreciation (depreciation) of over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| (16) | For fair value measurement disclosure purposes, investment classified as Level 2. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information. |
| Reg S | Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States. |
| 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. |
| 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. |
See accompanying notes to financial statements.
Nuveen Strategic Income Fund
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
| Shares | | | Description (1) | | | | | | | | | | | Value | |
| | | | | |
| | | | LONG-TERM INVESTMENTS – 98.7% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | COMMON STOCKS – 0.0% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Building Products – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 50 | | | Dayton Superior, Class A, (2), (3) | | | | | | | | | | | | | | $ | 2,839 | |
| | | | | |
| | 55 | | | Dayton Superior, Class 1, (2), (3) | | | | | | | | | | | | | | | 3,154 | |
| | | | Total Building Products | | | | | | | | | | | | | | | 5,993 | |
| | | | Total Common Stocks (cost $20,079) | | | | | | | | | | | | | | | 5,993 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | Ratings (4) | | | Value | |
| |
| | | | CONVERTIBLE PREFERRED SECURITIES – 0.2% | |
| | | | | |
| | | | Electric Utilities – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 15,000 | | | Exelon Corporation | | | 6.500% | | | | | | | | BB+ | | | $ | 740,100 | |
| | | | | |
| | | | Independent Power & Renewable Electricity Producers – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 7,500 | | | Dynegy Inc., (5) | | | 5.375% | | | | | | | | N/R | | | | 464,625 | |
| | | | Total Convertible Preferred Securities (cost $1,488,400) | | | | | | | | | | | | | | | 1,204,725 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon (7) | | | Maturity (6) | | | Ratings (4) | | | Value | |
| |
| | | | VARIABLE RATE SENIOR LOAN INTERESTS – 1.6% (7) | |
| | | | | |
| | | | Auto Components – 0.1% | | | | | | | | | | | | |
| | | | | |
| $ | 983 | | | Cooper-Standard Automotive Inc., Term Loan B | | | 4.000% | | | | 3/28/21 | | | | BB– | | | $ | 982,090 | |
| | | | | |
| | | | Containers & Packaging – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Packaging Coordinators Inc., Second Lien Term Loan, (WI/DD) | | | TBD | | | | TBD | | | | CCC+ | | | | 980,000 | |
| | | | | |
| | 1,000 | | | Packaging Coordinators Inc., First Lien Term Loan, (WI/DD) | | | TBD | | | | TBD | | | | B | | | | 1,000,000 | |
| | 2,000 | | | Total Containers & Packaging | | | | | | | | | | | | | | | 1,980,000 | |
| | | | | |
| | | | Diversified Financial Services – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 993 | | | Jill Acquisition LLC, First Lien Term Loan B | | | 6.000% | | | | 5/08/22 | | | | B | | | | 977,613 | |
| | | | | |
| | | | Health Care Equipment & Supplies – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 988 | | | Surgery Center Holdings Inc., First Lien Term Loan | | | 5.250% | | | | 7/24/20 | | | | B | | | | 988,426 | |
| | | | | |
| | | | Hotels, Restaurants & Leisure – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,970 | | | Amaya BV, First Lien Term Loan | | | 5.000% | | | | 7/29/21 | | | | BB | | | | 1,915,113 | |
| | | | | |
| | 1,489 | | | Lifetime Fitness, Term Loan B | | | 4.250% | | | | 6/03/22 | | | | BB– | | | | 1,459,441 | |
| | | | | |
| | 975 | | | Rock Ohio Caesar LLC, Term Loan B | | | 5.000% | | | | 3/29/19 | | | | B+ | | | | 936,000 | |
| | 4,434 | | | Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 4,310,554 | |
| | | | | |
| | | | Independent Power & Renewable Electricity Producers – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 65 | | | Empire Generating Company LLC, Term Loan C | | | 5.250% | | | | 3/13/21 | | | | B+ | | | | 55,924 | |
| | | | | |
| | 819 | | | Empire Generating Company LLC | | | 5.250% | | | | 3/13/21 | | | | B+ | | | | 703,011 | |
| | 884 | | | Total Independent Power & Renewable Electricity Producers | | | | | | | | | | | | | | | 758,935 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon (7) | | | Maturity (6) | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 0.1% | | | | | | | | | | | | |
| | | | | |
| $ | 977 | | | Arch Coal Inc., Term Loan B | | | 7.500% | | | | 5/16/18 | | | | C | | | $ | 460,537 | |
| | | | | |
| | 2,000 | | | Samson Investment Company Second Lien Term Loan, (8) | | | 5.000% | | | | 9/25/18 | | | | N/R | | | | 116,250 | |
| | 2,977 | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 576,787 | |
| | | | | |
| | | | Professional Services – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Sedgwick Claims Management Service Inc., Second Lien Term Loan | | | 6.750% | | | | 2/28/22 | | | | CCC+ | | | | 965,000 | |
| | | | | |
| | 1,000 | | | Sedgwick Claims Management Service Inc., Second Lien Term Loan | | | 6.750% | | | | 2/28/22 | | | | CCC+ | | | | 965,000 | |
| | 2,000 | | | Total Professional Services | | | | | | | | | | | | | | | 1,930,000 | |
| $ | 15,259 | | | Total Variable Rate Senior Loan Interests (cost $15,132,195) | | | | | | | | | | | | | | | 12,504,405 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | Ratings (4) | | | Value | |
| | | | | |
| | | | $25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.3% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Banks – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 20,600 | | | AgriBank FCB, (9) | | | 6.875% | | | | | | | | BBB+ | | | $ | 2,172,657 | |
| | | | | |
| | | | Multi-Utilities – 0.0% | | | | | | | | | | | | |
| | | | | |
| | 5,000 | | | Dominion Resources Inc. | | | 6.375% | | | | | | | | Baa3 | | | | 259,200 | |
| | | | Total $25 Par (or similar) Retail Preferred (cost $2,310,000) | | | | | | | | | | | | | | | 2,431,857 | |
| | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | CORPORATE BONDS – 74.2% | | | | | | | | | | | | |
| | | | | |
| | | | Aerospace & Defense – 1.2% | | | | | | | | | | | | |
| | | | | |
| $ | 2,785 | | | BAE Systems Holdings, 144A | | | 3.850% | | | | 12/15/25 | | | | BBB+ | | | $ | 2,953,395 | |
| | | | | |
| | 1,000 | | | Bombardier Inc., 144A | | | 7.500% | | | | 3/15/18 | | | | B | | | | 1,027,500 | |
| | | | | |
| | 1,140 | | | Exelis, Inc. | | | 5.550% | | | | 10/01/21 | | | | BBB– | | | | 1,293,412 | |
| | | | | |
| | 3,000 | | | Martin Marietta Materials | | | 4.250% | | | | 7/02/24 | | | | BBB+ | | | | 3,196,737 | |
| | | | | |
| | 1,500 | | | Triumph Group Inc., (5) | | | 4.875% | | | | 4/01/21 | | | | Ba3 | | | | 1,410,000 | |
| | | | Total Aerospace & Defense | | | | | | | | | | | | | | | 9,881,044 | |
| | | | | |
| | | | Air Freight & Logistics – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 1,200 | | | XPO Logistics, Inc., 144A, (5) | | | 6.500% | | | | 6/15/22 | | | | B2 | | | | 1,144,500 | |
| | | | | |
| | | | Airlines – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | American Airlines Group Inc., 144A, (5) | | | 4.625% | | | | 3/01/20 | | | | BB– | | | | 1,910,000 | |
| | | | | |
| | 1,641 | | | American Airlines Inc., Pass-Through Trust 2013-2B, 144A | | | 5.600% | | | | 7/15/20 | | | | BBB– | | | | 1,689,934 | |
| | | | | |
| | 2,764 | | | Northwest Airlines Trust Pass-Through Certificates 2007-1 | | | 7.027% | | | | 11/01/19 | | | | A | | | | 3,116,773 | |
| | | | | |
| | 1,500 | | | VistaJet Malta Finance PLC, 144A | | | 7.750% | | | | 6/01/20 | | | | B | | | | 678,750 | |
| | | | Total Airlines | | | | | | | | | | | | | | | 7,395,457 | |
| | | | | |
| | | | Auto Components – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,575 | | | American & Axle Manufacturing Inc., (5) | | | 6.625% | | | | 10/15/22 | | | | BB– | | | | 1,685,250 | |
| | | | | |
| | 1,580 | | | Tenneco Inc., (5) | | | 5.375% | | | | 12/15/24 | | | | BB+ | | | | 1,639,250 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Auto Components (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 1,000 | | | Tupy S/A, 144A | | | 6.625% | | | | 7/17/24 | | | | BB | | | $ | 957,500 | |
| | | | Total Auto Components | | | | | | | | | | | | | | | 4,282,000 | |
| | | | | |
| | | | Automobiles – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 3,000 | | | General Motors Corporation, (5) | | | 4.000% | | | | 4/01/25 | | | | BBB– | | | | 3,025,224 | |
| | | | | |
| | 3,240 | | | General Motors Financial Company Inc. | | | 4.250% | | | | 5/15/23 | | | | BBB– | | | | 3,332,457 | |
| | | | Total Automobiles | | | | | | | | | | | | | | | 6,357,681 | |
| | | | | |
| | | | Banks – 8.8% | | | | | | | | | | | | |
| | | | | |
| | 6,520 | | | Bank of America Corporation, (5) | | | 4.000% | | | | 4/01/24 | | | | A | | | | 6,961,704 | |
| | | | | |
| | 4,210 | | | Bank of America Corporation | | | 4.200% | | | | 8/26/24 | | | | A– | | | | 4,353,856 | |
| | | | | |
| | 6,100 | | | Bank of America Corporation, (5) | | | 4.450% | | | | 3/03/26 | | | | A– | | | | 6,383,394 | |
| | | | | |
| | 4,025 | | | Bank of America Corporation | | | 4.250% | | | | 10/22/26 | | | | A– | | | | 4,176,489 | |
| | | | | |
| | 2,700 | | | Barclays Bank PLC | | | 3.650% | | | | 3/16/25 | | | | A | | | | 2,596,236 | |
| | | | | |
| | 1,250 | | | CIT Group Inc. | | | 5.000% | | | | 8/01/23 | | | | BB+ | | | | 1,259,375 | |
| | | | | |
| | 5,710 | | | Citigroup Inc. | | | 3.750% | | | | 6/16/24 | | | | A | | | | 6,012,339 | |
| | | | | |
| | 1,610 | | | Citigroup Inc. | | | 3.300% | | | | 4/27/25 | | | | A | | | | 1,649,928 | |
| | | | | |
| | 6,000 | | | Citigroup Inc. | | | 4.300% | | | | 11/20/26 | | | | A– | | | | 6,184,836 | |
| | | | | |
| | 2,695 | | | Citigroup Inc. | | | 4.450% | | | | 9/29/27 | | | | A– | | | | 2,770,692 | |
| | | | | |
| | 3,465 | | | GE Capital International Funding CO, 144A | | | 4.418% | | | | 11/15/35 | | | | AA+ | | | | 3,886,957 | |
| | | | | |
| | 2,360 | | | HSBC Holdings PLC | | | 6.800% | | | | 6/01/38 | | | | A+ | | | | 2,941,235 | |
| | | | | |
| | 3,605 | | | JPMorgan Chase & Company | | | 3.375% | | | | 5/01/23 | | | | A | | | | 3,675,925 | |
| | | | | |
| | 3,000 | | | JPMorgan Chase & Company | | | 3.875% | | | | 9/10/24 | | | | A | | | | 3,103,905 | |
| | | | | |
| | 2,280 | | | JPMorgan Chase & Company | | | 6.400% | | | | 5/15/38 | | | | A+ | | | | 3,124,302 | |
| | | | | |
| | 1,250 | | | Popular Inc. | | | 7.000% | | | | 7/01/19 | | | | BB– | | | | 1,225,000 | |
| | | | | |
| | 1,220 | | | Royal Bank of Scotland Group PLC | | | 6.100% | | | | 6/10/23 | | | | BBB | | | | 1,248,186 | |
| | | | | |
| | 3,335 | | | Santander UK PLC, 144A | | | 5.000% | | | | 11/07/23 | | | | A– | | | | 3,423,374 | |
| | | | | |
| | 2,485 | | �� | Societe Generale, 144A | | | 5.000% | | | | 1/17/24 | | | | A– | | | | 2,585,193 | |
| | | | | |
| | 1,960 | | | Standard Chartered PLC, 144A | | | 5.700% | | | | 3/26/44 | | | | A | | | | 1,994,263 | |
| | | | Total Banks | | | | | | | | | | | | | | | 69,557,189 | |
| | | | | |
| | | | Beverages – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 1,250 | | | Andalou Efes Biracilik ve Malt Sanayii AS, 144A | | | 3.375% | | | | 11/01/22 | | | | BBB– | | | | 1,128,125 | |
| | | | | |
| | 1,350 | | | Constellation Brands Inc. | | | 4.250% | | | | 5/01/23 | | | | BB+ | | | | 1,404,000 | |
| | | | | |
| | 2,000 | | | DS Services of America, Inc., 144A | | | 10.000% | | | | 9/01/21 | | | | Ba2 | | | | 2,245,000 | |
| | | | Total Beverages | | | | | | | | | | | | | | | 4,777,125 | |
| | | | | |
| | | | Building Products – 1.0% | | | | | | | | | | | | |
| | | | | |
| | 1,415 | | | Builders FirstSource, Inc., 144A, (5) | | | 7.625% | | | | 6/01/21 | | | | B+ | | | | 1,478,675 | |
| | | | | |
| | 750 | | | Hardwoods Acquisition Inc., 144A | | | 7.500% | | | | 8/01/21 | | | | B | | | | 570,000 | |
| | | | | |
| | 1,080 | | | Masco Corporation | | | 5.950% | | | | 3/15/22 | | | | BBB | | | | 1,207,580 | |
| | | | | |
| | 1,500 | | | NCI Building Systems, Inc., 144A | | | 8.250% | | | | 1/15/23 | | | | BB– | | | | 1,612,185 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Building Products (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 2,740 | | | Owens Corning Incorporated | | | 4.200% | | | | 12/15/22 | | | | BBB– | | | $ | 2,922,142 | |
| | | | Total Building Products | | | | | | | | | | | | | | | 7,790,582 | |
| | | | | |
| | | | Capital Markets – 5.0% | | | | | | | | | | | | |
| | | | | |
| | 900 | | | Goldman Sachs Group, Inc., (5) | | | 5.750% | | | | 1/24/22 | | | | A | | | | 1,045,607 | |
| | | | | |
| | 14,800 | | | Goldman Sachs Group, Inc. | | | 4.000% | | | | 3/03/24 | | | | A | | | | 15,879,216 | |
| | | | | |
| | 1,920 | | | Goldman Sachs Group, Inc. | | | 4.250% | | | | 10/21/25 | | | | A– | | | | 1,986,864 | |
| | | | | |
| | 9,295 | | | Morgan Stanley | | | 4.000% | | | | 7/23/25 | | | | A | | | | 9,957,808 | |
| | | | | |
| | 10,500 | | | Morgan Stanley, (5) | | | 3.950% | | | | 4/23/27 | | | | A– | | | | 10,591,109 | |
| | | | Total Capital Markets | | | | | | | | | | | | | | | 39,460,604 | |
| | | | | |
| | | | Chemicals – 2.5% | | | | | | | | | | | | |
| | | | | |
| | 3,000 | | | Agrium Inc. | | | 3.375% | | | | 3/15/25 | | | | BBB | | | | 3,053,037 | |
| | | | | |
| | 2,125 | | | Braskem Finance Limited, 144A | | | 5.750% | | | | 4/15/21 | | | | BBB– | | | | 2,130,312 | |
| | | | | |
| | 1,000 | | | Chemours Co, (5) | | | 6.625% | | | | 5/15/23 | | | | B+ | | | | 850,000 | |
| | | | | |
| | 1,450 | | | Hexion Inc. | | | 6.625% | | | | 4/15/20 | | | | B3 | | | | 1,212,635 | |
| | | | | |
| | 500 | | | Huntsman International LLC, (5) | | | 4.875% | | | | 11/15/20 | | | | B1 | | | | 502,500 | |
| | | | | |
| | 1,500 | | | Kraton Polymers LLC/CAP, 144A | | | 10.500% | | | | 4/15/23 | | | | B3 | | | | 1,597,500 | |
| | | | | |
| | 2,000 | | | Momentive Performance Materials Inc., (3), (8) | | | 8.875% | | | | 10/15/20 | | | | N/R | | | | — | |
| | | | | |
| | 2,000 | | | Momentive Performance Materials Inc. | | | 3.880% | | | | 10/24/21 | | | | B | | | | 1,590,000 | |
| | | | | |
| | 1,500 | | | NOVA Chemicals Corporation, 144A, (5) | | | 5.250% | | | | 8/01/23 | | | | BBB– | | | | 1,507,500 | |
| | | | | |
| | 1,350 | | | NOVA Chemicals Corporation, 144A, (5) | | | 5.000% | | | | 5/01/25 | | | | BBB– | | | | 1,336,500 | |
| | | | | |
| | 1,000 | | | Office Cherifien Des Phosphates SA, 144A | | | 5.625% | | | | 4/25/24 | | | | BBB– | | | | 1,060,000 | |
| | | | | |
| | 1,975 | | | Platform Specialty Products Corporation, 144A, (5) | | | 6.500% | | | | 2/01/22 | | | | B+ | | | | 1,738,000 | |
| | | | | |
| | 1,605 | | | PolyOne Corporation | | | 5.250% | | | | 3/15/23 | | | | BB– | | | | 1,617,037 | |
| | | | | |
| | 715 | | | Rayonier AM Products Inc., 144A | | | 5.500% | | | | 6/01/24 | | | | BB– | | | | 611,325 | |
| | | | | |
| | 1,055 | | | Tronox Finance LLC, (5) | | | 6.375% | | | | 8/15/20 | | | | B | | | | 783,337 | |
| | | | Total Chemicals | | | | | | | | | | | | | | | 19,589,683 | |
| | | | | |
| | | | Commercial Services & Supplies – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | ADS Waste Holdings Inc. | | | 8.250% | | | | 10/01/20 | | | | CCC+ | | | | 507,500 | |
| | | | | |
| | 1,290 | | | ADT Corporation | | | 6.250% | | | | 10/15/21 | | | | Ba2 | | | | 1,378,365 | |
| | | | | |
| | 1,585 | | | AerCap Ireland Capital Limited / AerCap Global Aviation Trust | | | 3.950% | | | | 2/01/22 | | | | BBB– | | | | 1,585,000 | |
| | | | | |
| | 1,975 | | | APX Group, Inc., 144A, (5) | | | 7.875% | | | | 12/01/22 | | | | B1 | | | | 1,989,812 | |
| | | | | |
| | 1,157 | | | Casella Waste Systems Inc. | | | 7.750% | | | | 2/15/19 | | | | B | | | | 1,180,863 | |
| | | | | |
| | 1,220 | | | Covanta Energy Corporation, Synthetic Letter of Credit | | | 6.375% | | | | 10/01/22 | | | | Ba3 | | | | 1,253,550 | |
| | | | | |
| | 1,500 | | | GFL Environmental Corporation, 144A | | | 9.875% | | | | 2/01/21 | | | | B | | | | 1,597,500 | |
| | | | | |
| | 1,250 | | | NES Rental Holdings Inc., 144A | | | 7.875% | | | | 5/01/18 | | | | B– | | | | 1,187,500 | |
| | | | | |
| | 800 | | | R.R. Donnelley & Sons Company | | | 7.625% | | | | 6/15/20 | | | | BB– | | | | 838,000 | |
| | | | Total Commercial Services & Supplies | | | | | | | | | | | | | | | 11,518,090 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Construction & Engineering – 0.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,450 | | | AECOM Technology Corporation | | | 5.750% | | | | 10/15/22 | | | | BB– | | | $ | 1,479,000 | |
| | | | | |
| | 500 | | | Boart Longyear Management Pty Ltd, 144A | | | 7.000% | | | | 4/01/21 | | | | CCC+ | | | | 88,750 | |
| | | | Total Construction & Engineering | | | | | | | | | | | | | | | 1,567,750 | |
| | | | | |
| | | | Construction Materials – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | Cemex Finance LLC, 144A | | | 9.375% | | | | 10/12/22 | | | | BB– | | | | 1,650,000 | |
| | | | | |
| | 1,500 | | | Cemex SAB de CV, 144A, (5) | | | 5.700% | | | | 1/11/25 | | | | BB– | | | | 1,421,250 | |
| | | | | |
| | 1,000 | | | Norbord Inc., 144A | | | 5.375% | | | | 12/01/20 | | | | Ba2 | | | | 1,027,500 | |
| | | | | |
| | 2,000 | | | Reliance Intermediate Holdings LP, 144A | | | 6.500% | | | | 4/01/23 | | | | BB– | | | | 2,080,000 | |
| | | | Total Construction Materials | | | | | | | | | | | | | | | 6,178,750 | |
| | | | | |
| | | | Consumer Finance – 2.0% | | | | | | | | | | | | |
| | | | | |
| | 2,495 | | | Ally Financial Inc. | | | 5.750% | | | | 11/20/25 | | | | BB | | | | 2,501,237 | |
| | | | | |
| | 3,938 | | | Capital One Bank | | | 3.375% | | | | 2/15/23 | | | | Baa1 | | | | 4,029,578 | |
| | | | | |
| | 750 | | | Credit Acceptance Corporation | | | 7.375% | | | | 3/15/23 | | | | BB | | | | 720,000 | |
| | | | | |
| | 3,500 | | | Discover Bank | | | 4.250% | | | | 3/13/26 | | | | BBB+ | | | | 3,662,642 | |
| | | | | |
| | 3,215 | | | Discover Financial Services | | | 5.200% | | | | 4/27/22 | | | | BBB+ | | | | 3,527,173 | |
| | | | | |
| | 1,500 | | | First Data Corporation, 144A, (5) | | | 7.000% | | | | 12/01/23 | | | | B | | | | 1,522,500 | |
| | | | Total Consumer Finance | | | | | | | | | | | | | | | 15,963,130 | |
| | | | | |
| | | | Containers & Packaging – 1.4% | | | | | | | | | | | | |
| | | | | |
| | 1,202 | | | Ardagh Finance Holdings SA, 144A | | | 8.625% | | | | 6/15/19 | | | | CCC+ | | | | 1,213,596 | |
| | | | | |
| | 2,100 | CAD | | Cascades Inc., 144A | | | 5.500% | | | | 7/15/21 | | | | BB– | | | | 1,647,247 | |
| | | | | |
| | 2,385 | | | Packaging Corporation of America | | | 3.650% | | | | 9/15/24 | | | | BBB | | | | 2,464,573 | |
| | | | | |
| | 1,500 | | | PaperWorks Industries Inc., 144A | | | 9.500% | | | | 8/15/19 | | | | B– | | | | 1,380,000 | |
| | | | | |
| | 1,350 | | | Reynolds Group, 144A | | | 5.125% | | | | 7/15/23 | | | | B+ | | | | 1,366,875 | |
| | | | | |
| | 2,640 | | | Rock–Tenn Company | | | 4.900% | | | | 3/01/22 | | | | BBB | | | | 2,930,915 | |
| | | | Total Containers & Packaging | | | | | | | | | | | | | | | 11,003,206 | |
| | | | | |
| | | | Diversified Consumer Services – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | Gibson Brands Inc., 144A | | | 8.875% | | | | 8/01/18 | | | | CCC+ | | | | 277,500 | |
| | | | | |
| | 1,750 | | | Prime Security Services Borrower LLC / Prime Finance, Inc., 144A | | | 9.250% | | | | 5/15/23 | | | | B– | | | | 1,855,000 | |
| | | | Total Diversified Consumer Services | | | | | | | | | | | | | | | 2,132,500 | |
| | | | | |
| | | | Diversified Financial Services – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 3,510 | | | BNP Paribas, 144A | | | 4.375% | | | | 5/12/26 | | | | A | | | | 3,546,293 | |
| | | | | |
| | 750 | | | CNG Holdings Inc., 144A | | | 9.375% | | | | 5/15/20 | | | | B– | | | | 367,500 | |
| | | | | |
| | 1,650 | | | Fly Leasing Limited, (5) | | | 6.750% | | | | 12/15/20 | | | | BB | | | | 1,658,250 | |
| | | | | |
| | 1,750 | | | James Hardie International Finance Limited, 144A | | | 5.875% | | | | 2/15/23 | | | | BBB– | | | | 1,789,375 | |
| | | | | |
| | 1,745 | | | Nationstar Mortgage LLC Capital Corporation, (5) | | | 7.875% | | | | 10/01/20 | | | | B+ | | | | 1,635,937 | |
| | | | | |
| | 1,000 | | | NewStar Financial, Inc. | | | 7.250% | | | | 5/01/20 | | | | BB– | | | | 930,000 | |
| | | | | |
| | 3,705 | | | Synchrony Financial | | | 4.250% | | | | 8/15/24 | | | | BBB– | | | | 3,836,038 | |
| | | | Total Diversified Financial Services | | | | | | | | | | | | | | | 13,763,393 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| |
| | | | Diversified Telecommunication Services – 3.2% | |
| | | | | |
| $ | 3,335 | | | AT&T, Inc. | | | 3.800% | | | | 3/15/22 | | | | A– | | | $ | 3,552,715 | |
| | | | | |
| | 1,250 | | | AT&T, Inc. | | | 5.550% | | | | 8/15/41 | | | | A– | | | | 1,401,955 | |
| | | | | |
| | 1,000 | | | CenturyLink Inc. | | | 6.750% | | | | 12/01/23 | | | | BB+ | | | | 982,500 | |
| | | | | |
| | 2,240 | | | Frontier Communications Corporation | | | 8.500% | | | | 4/15/20 | | | | BB | | | | 2,377,200 | |
| | | | | |
| | 2,500 | | | Frontier Communications Corporation | | | 11.000% | | | | 9/15/25 | | | | BB | | | | 2,596,875 | |
| | | | | |
| | 2,750 | | | GCI Inc., (5) | | | 6.875% | | | | 4/15/25 | | | | BB– | | | | 2,782,670 | |
| | | | | |
| | 900 | | | IntelSat Jackson Holdings | | | 7.500% | | | | 4/01/21 | | | | Caa2 | | | | 621,000 | |
| | | | | |
| | 1,000 | | | IntelSat Jackson Holdings | | | 6.625% | | | | 12/15/22 | | | | Caa3 | | | | 675,000 | |
| | | | | |
| | 1,000 | | | Level 3 Financing Inc. | | | 5.375% | | | | 8/15/22 | | | | BB | | | | 1,010,000 | |
| | | | | |
| | 2,500 | | | Neptune Finco Corporation, 144A, (5) | | | 10.125% | | | | 1/15/23 | | | | B2 | | | | 2,800,000 | |
| | | | | |
| | 2,360 | | | Qwest Corporation | | | 6.750% | | | | 12/01/21 | | | | BBB– | | | | 2,548,800 | |
| | | | | |
| | 1,540 | | | Verizon Communications | | | 5.150% | | | | 9/15/23 | | | | A– | | | | 1,794,223 | |
| | | | | |
| | 1,165 | | | Verizon Communications | | | 3.500% | | | | 11/01/24 | | | | A– | | | | 1,241,311 | |
| | | | | |
| | 675 | | | Verizon Communications | | | 4.862% | | | | 8/21/46 | | | | A– | | | | 737,133 | |
| | | | Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 25,121,382 | |
| | | | | |
| | | | Electric Utilities – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 2,600 | | | Eskom Holdings Limited, 144A | | | 7.125% | | | | 2/11/25 | | | | BB+ | | | | 2,576,990 | |
| | | | | |
| | 1,115 | | | FirstEnergy Transmission LLC, 144A | | | 4.350% | | | | 1/15/25 | | | | Baa3 | | | | 1,179,333 | |
| | | | | |
| | 1,250 | | | Intergen NV, 144A | | | 7.000% | | | | 6/30/23 | | | | B+ | | | | 884,375 | |
| | | | | |
| | 1,000 | | | RJS Power Holdings LLC, 144A | | | 4.625% | | | | 7/15/19 | | | | B+ | | | | 880,000 | |
| | | | | |
| | 1,300 | | | Talen Energy Supply LLC | | | 6.500% | | | | 6/01/25 | | | | B+ | | | | 1,079,000 | |
| | | | Total Electric Utilities | | | | | | | | | | | | | | | 6,599,698 | |
| | | | | |
| | | | Electronic Equipment, Instruments & Components – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 1,165 | | | Anixter Inc. | | | 5.125% | | | | 10/01/21 | | | | BB+ | | | | 1,182,475 | |
| | | | | |
| | | | Energy Equipment & Services – 1.0% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | Ensco PLC | | | 5.200% | | | | 3/15/25 | | | | BBB | | | | 1,042,500 | |
| | | | | |
| | 2,430 | | | Noble Holding International Limited | | | 5.950% | | | | 4/01/25 | | | | BBB | | | | 1,937,925 | |
| | | | | |
| | 2,000 | | | Origin Energy Finance Limited, 144A | | | 3.500% | | | | 10/09/18 | | | | BBB– | | | | 2,012,236 | |
| | | | | |
| | 750 | | | Pacific Drilling V Limited, 144A | | | 7.250% | | | | 12/01/17 | | | | B– | | | | 307,500 | |
| | | | | |
| | 2,750 | | | Regency Energy Partners Finance | | | 5.000% | | | | 10/01/22 | | | | BBB– | | | | 2,822,124 | |
| | | | Total Energy Equipment & Services | | | | | | | | | | | | | | | 8,122,285 | |
| | | | | |
| | | | Food & Staples Retailing – 1.0% | | | | | | | | | | | | |
| | | | | |
| | 1,675 | | | Pomegranate Merger Sub, Inc., 144A | | | 9.750% | | | | 5/01/23 | | | | B | | | | 1,573,453 | |
| | | | | |
| | 1,475 | | | Sysco Corporation | | | 3.300% | | | | 7/15/26 | | | | A3 | | | | 1,531,085 | |
| | | | | |
| | 2,000 | | | Tops Holding LLC / Tops Markets II Corporation, 144A | | | 8.000% | | | | 6/15/22 | | | | B– | | | | 1,760,000 | |
| | | | | |
| | 3,000 | | | Walgreens Boots Alliance, Inc. | | | 3.800% | | | | 11/18/24 | | | | BBB | | | | 3,179,862 | |
| | | | Total Food & Staples Retailing | | | | | | | | | | | | | | | 8,044,400 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Food Products – 0.9% | | | | | | | | | | | | |
| | | | | |
| $ | 1,500 | | | BRF Brasil Foods SA, 144A | | | 4.750% | | | | 5/22/24 | | | | BBB | | | $ | 1,488,750 | |
| | | | | |
| | 2,000 | | | Grupo Bimbo SAB de CV, 144A | | | 3.875% | | | | 6/27/24 | | | | BBB | | | | 2,080,398 | |
| | | | | |
| | 2,235 | | | Kraft Heinz Foods Company, 144A | | | 4.375% | | | | 6/01/46 | | | | BBB– | | | | 2,365,263 | |
| | | | | |
| | 1,295 | | | Pilgrim’s Pride Corporation, 144A | | | 5.750% | | | | 3/15/25 | | | | BB+ | | | | 1,291,762 | |
| | | | Total Food Products | | | | | | | | | | | | | | | 7,226,173 | |
| | | | | |
| | | | Gas Utilities – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,250 | | | Suburban Propane Partners LP | | | 5.500% | | | | 6/01/24 | | | | BB– | | | | 1,228,125 | |
| | | | | |
| | | | Health Care Equipment & Supplies – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 400 | EUR | | Ephios Bondco PLC, 144A | | | 6.250% | | | | 7/01/22 | | | | B+ | | | | 466,913 | |
| | | | | |
| | 1,375 | | | GreatBatch Limited, 144A | | | 9.125% | | | | 11/01/23 | | | | B– | | | | 1,369,844 | |
| | | | | |
| | 1,000 | | | Tenet Healthcare Corporation, (5) | | | 4.375% | | | | 10/01/21 | | | | BB | | | | 995,000 | |
| | | | Total Health Care Equipment & Supplies | | | | | | | | | | | | | | | 2,831,757 | |
| | | | | |
| | | | Health Care Providers & Services – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Community Health Systems, Inc. | | | 6.875% | | | | 2/01/22 | | | | B+ | | | | 1,750,000 | |
| | | | | |
| | 1,250 | | | HCA Inc. | | | 5.375% | | | | 2/01/25 | | | | BB | | | | 1,281,250 | |
| | | | | |
| | 1,750 | | | Kindred Healthcare Inc., (5) | | | 6.375% | | | | 4/15/22 | | | | B– | | | | 1,561,875 | |
| | | | | |
| | 1,000 | | | Mednax Inc., 144A | | | 5.250% | | | | 12/01/23 | | | | BBB– | | | | 1,012,500 | |
| | | | | |
| | 1,250 | | | Select Medical Corporation, (5) | | | 6.375% | | | | 6/01/21 | | | | B– | | | | 1,200,000 | |
| | | | Total Health Care Providers & Services | | | | | | | | | | | | | | | 6,805,625 | |
| | | | | |
| | | | Hotels, Restaurants & Leisure – 1.1% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | 1011778 BC ULC/New Red Finance Inc., 144A | | | 6.000% | | | | 4/01/22 | | | | B– | | | | 1,555,785 | |
| | | | | |
| | 1,550 | | | Caesars Entertainment Resort Properties LLC | | | 8.000% | | | | 10/01/20 | | | | B+ | | | | 1,553,875 | |
| | | | | |
| | 750 | | | Caesars Growth Properties Holdings LLC / Caesars Growth Properties Finance
Inc., (5) | | | 9.375% | | | | 5/01/22 | | | | B– | | | | 697,500 | |
| | | | | |
| | 1,100 | | | Grupo Posadas SAB de CV, 144A | | | 7.875% | | | | 6/30/22 | | | | B+ | | | | 1,116,500 | |
| | | | | |
| | 1,100 | | | International Game Technology PLC, 144A | | | 6.250% | | | | 2/15/22 | | | | BB+ | | | | 1,127,269 | |
| | | | | |
| | 1,500 | | | Scientific Games Corporation, 144A, (5) | | | 7.000% | | | | 1/01/22 | | | | BB– | | | | 1,507,500 | |
| | | | | |
| | 1,450 | | | Wynn Macau Limited, 144A, (5) | | | 5.250% | | | | 10/15/21 | | | | BB | | | | 1,410,560 | |
| | | | Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 8,968,989 | |
| | | | | |
| | | | Household Durables – 1.7% | | | | | | | | | | | | |
| | | | | |
| | 1,875 | | | Brookfield Residential Properties Inc., 144A | | | 6.500% | | | | 12/15/20 | | | | B+ | | | | 1,870,312 | |
| | | | | |
| | 2,940 | | | Harman International Industries, Inc. | | | 4.150% | | | | 5/15/25 | | | | BBB– | | | | 3,067,449 | |
| | | | | |
| | 1,750 | | | KB Home, (5) | | | 7.000% | | | | 12/15/21 | | | | B+ | | | | 1,758,750 | |
| | | | | |
| | 1,000 | | | KB Home | | | 7.625% | | | | 5/15/23 | | | | B+ | | | | 1,015,000 | |
| | | | | |
| | 2,505 | | | Newell Brands Inc. | | | 4.200% | | | | 4/01/26 | | | | BBB– | | | | 2,716,908 | |
| | | | | |
| | 1,350 | | | RSI Home Products Incorporated, 144A | | | 6.500% | | | | 3/15/23 | | | | B+ | | | | 1,387,125 | |
| | | | | |
| | 1,740 | | | William Lyon Homes Incorporated | | | 8.500% | | | | 11/15/20 | | | | B– | | | | 1,787,850 | |
| | | | Total Household Durables | | | | | | | | | | | | | | | 13,603,394 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Household Products – 0.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,300 | | | Kimberly-Clark de Mexico, S.A.B. de C.V, 144A | | | 3.250% | | | | 3/12/25 | | | | A | | | $ | 1,316,453 | |
| | | | | |
| | | | Independent Power & Renewable Electricity Producers – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | AES Corporation | | | 7.375% | | | | 7/01/21 | | | | BB | | | | 2,255,000 | |
| | | | | |
| | 1,000 | | | Columbia Pipeline Group, Inc. | | | 4.500% | | | | 6/01/25 | | | | Baa2 | | | | 1,075,412 | |
| | | | | |
| | 1,250 | | | Dynegy Inc., (5) | | | 6.750% | | | | 11/01/19 | | | | B+ | | | | 1,253,125 | |
| | | | | |
| | 2,000 | | | Dynegy Inc., (5) | | | 7.625% | | | | 11/01/24 | | | | B+ | | | | 1,917,500 | |
| | | | | |
| | 1,395 | | | GenOn Energy Inc. | | | 9.500% | | | | 10/15/18 | | | | CCC+ | | | | 1,109,025 | |
| | | | | |
| | 1,500 | | | GenOn Energy Inc., (5) | | | 9.875% | | | | 10/15/20 | | | | CCC+ | | | | 1,065,000 | |
| | | | | |
| | 1,500 | | | NRG Energy Inc. | | | 6.625% | | | | 3/15/23 | | | | BB– | | | | 1,477,500 | |
| | | | Total Independent Power & Renewable Electricity Producers | | | | | | | | | | | | | | | 10,152,562 | |
| | | | | |
| | | | Industrial Conglomerates – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Alfa SAB de CV, 144A | | | 5.250% | | | | 3/25/24 | | | | BBB– | | | | 1,067,500 | |
| | | | | |
| | 1,000 | | | Stena AB, 144A, (5) | | | 7.000% | | | | 2/01/24 | | | | BB | | | | 787,500 | |
| | | | Total Industrial Conglomerates | | | | | | | | | | | | | | | 1,855,000 | |
| | | | | |
| | | | Insurance – 3.2% | | | | | | | | | | | | |
| | | | | |
| | 2,475 | | | AFLAC Insurance | | | 6.450% | | | | 8/15/40 | | | | A– | | | | 3,293,621 | |
| | | | | |
| | 3,000 | | | Fairfax US Inc., 144A | | | 4.875% | | | | 8/13/24 | | | | BBB– | | | | 3,027,867 | |
| | | | | |
| | 3,255 | | | Genworth Holdings Inc. | | | 4.800% | | | | 2/15/24 | | | | Ba3 | | | | 2,433,112 | |
| | | | | |
| | 3,370 | | | Liberty Mutual Group Inc., 144A | | | 4.950% | | | | 5/01/22 | | | | BBB | | | | 3,724,548 | |
| | | | | |
| | 2,535 | | | Lincoln National Corporation | | | 4.000% | | | | 9/01/23 | | | | A– | | | | 2,636,517 | |
| | | | | |
| | 3,015 | | | Symetra Financial Corporation | | | 4.250% | | | | 7/15/24 | | | | Baa1 | | | | 3,134,412 | |
| | | | | |
| | 1,830 | | | UnumProvident Corporation | | | 5.625% | | | | 9/15/20 | | | | BBB | | | | 2,054,779 | |
| | | | | |
| | 4,790 | | | XLIT Limited | | | 4.450% | | | | 3/31/25 | | | | BBB | | | | 4,835,927 | |
| | | | Total Insurance | | | | | | | | | | | | | | | 25,140,783 | |
| | | | | |
| | | | Internet Software & Services – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 2,865 | | | eBay Inc. | | | 3.800% | | | | 3/09/22 | | | | BBB+ | | | | 3,044,656 | |
| | | | | |
| | | | IT Services – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,730 | | | Zayo Group LLC / Zayo Capital Inc. | | | 6.000% | | | | 4/01/23 | | | | B– | | | | 1,764,600 | |
| | | | | |
| | | | Machinery – 1.1% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | BlueLine Rental Finance Corporation, 144A | | | 7.000% | | | | 2/01/19 | | | | B+ | | | | 1,290,000 | |
| | | | | |
| | 1,260 | | | CTP Transportation Products LLC-Finance Inc., 144A | | | 8.250% | | | | 12/15/19 | | | | B | | | | 1,108,800 | |
| | | | | |
| | 1,060 | | | Dana Financing Luxembourg Sarl, 144A | | | 6.500% | | | | 6/01/26 | | | | BB+ | | | | 1,032,175 | |
| | | | | |
| | 3,280 | | | Pentair Finance SA | | | 4.650% | | | | 9/15/25 | | | | BBB– | | | | 3,398,254 | |
| | | | | |
| | 1,784 | | | Terex Corporation | | | 6.000% | | | | 5/15/21 | | | | BB | | | | 1,786,230 | |
| | | | Total Machinery | | | | | | | | | | | | | | | 8,615,459 | |
| | | | | |
| | | | Marine – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 1,900 | | | Eletson Holdings Inc., 144A | | | 9.625% | | | | 1/15/22 | | | | B+ | | | | 1,482,000 | |
| | | | | |
| | 1,340 | | | Navios Maritime Acquisition Corporation, 144A | | | 8.125% | | | | 11/15/21 | | | | B+ | | | | 1,051,900 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Marine (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 820 | | | Navios South American Logistics Inc., Finance US Inc., 144A | | | 7.250% | | | | 5/01/22 | | | | B– | | | $ | 578,100 | |
| | | | Total Marine | | | | | | | | | | | | | | | 3,112,000 | |
| | | | | |
| | | | Media – 5.0% | | | | | | | | | | | | |
| | | | | |
| | 2,750 | | | 21st Century Fox America Inc. | | | 6.650% | | | | 11/15/37 | | | | BBB+ | | | | 3,608,294 | |
| | | | | |
| | 1,500 | | | Altice S.A, 144A | | | 7.750% | | | | 5/15/22 | | | | B | | | | 1,515,000 | |
| | | | | |
| | 2,260 | | | CBS Corporation, (5) | | | 4.000% | | | | 1/15/26 | | | | BBB | | | | 2,413,443 | |
| | | | | |
| | 1,175 | | | Cequel Communication Holdings I, 144A | | | 5.125% | | | | 12/15/21 | | | | B– | | | | 1,119,187 | |
| | | | | |
| | 740 | | | Charter Communications, CCO Holdings LLC | | | 5.125% | | | | 2/15/23 | | | | BB+ | | | | 749,250 | |
| | | | | |
| | 2,560 | | | Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation, 144A | | | 4.908% | | | | 7/23/25 | | | | BBB | | | | 2,790,136 | |
| | | | | |
| | 1,000 | | | Clear Channel Communications, Inc. | | | 11.250% | | | | 3/01/21 | | | | Caa1 | | | | 715,000 | |
| | | | | |
| | 1,790 | | | Comcast Corporation | | | 6.400% | | | | 5/15/38 | | | | A– | | | | 2,458,481 | |
| | | | | |
| | 3,000 | | | Cox Communications Inc., 144A | | | 3.850% | | | | 2/01/25 | | | | BBB+ | | | | 3,023,001 | |
| | | | | |
| | 1,000 | | | CSC Holdings Inc. | | | 8.625% | | | | 2/15/19 | | | | B+ | | | | 1,100,000 | |
| | | | | |
| | 1,590 | | | Dish DBS Corporation | | | 5.875% | | | | 11/15/24 | | | | BB– | | | | 1,484,662 | |
| | | | | |
| | 1,000 | | | Lamar Media Corporation, 144A | | | 5.750% | | | | 2/01/26 | | | | Ba1 | | | | 1,040,630 | |
| | | | | |
| | 1,500 | | | Lee Enterprises Inc., 144A | | | 9.500% | | | | 3/15/22 | | | | B2 | | | | 1,477,500 | |
| | | | | |
| | 1,000 | | | Midcontinent Communications Finance Company, 144A | | | 6.250% | | | | 8/01/21 | | | | B | | | | 1,030,000 | |
| | | | | |
| | 2,006 | | | Numericable Group SA, 144A, (5) | | | 6.000% | | | | 5/15/22 | | | | B+ | | | | 1,950,835 | |
| | | | | |
| | 1,500 | | | Radio One Inc., 144A | | | 7.375% | | | | 10/15/22 | | | | B | | | | 1,432,500 | |
| | | | | |
| | 1,310 | | | Sinclair Television Group | | | 6.375% | | | | 11/01/21 | | | | B+ | | | | 1,375,500 | |
| | | | | |
| | 1,000 | | | Sirius XM Radio Inc., 144A | | | 5.750% | | | | 8/01/21 | | | | BB | | | | 1,038,750 | |
| | | | | |
| | 1,805 | | | Time Warner Inc. | | | 3.875% | | | | 1/15/26 | | | | BBB+ | | | | 1,947,052 | |
| | | | | |
| | 1,750 | | | Tribune Media Company, (5) | | | 5.875% | | | | 7/15/22 | | | | BB– | | | | 1,741,250 | |
| | | | | |
| | 750 | | | Unitymedia KabelBW GmbH, 144A | | | 6.125% | | | | 1/15/25 | | | | B | | | | 768,675 | |
| | | | | |
| | 1,750 | CAD | | Videotron Limited, 144A | | | 5.625% | | | | 6/15/25 | | | | BB | | | | 1,407,762 | |
| | | | | |
| | 2,000 | | | VTR Finance BV, 144A | | | 6.875% | | | | 1/15/24 | | | | B+ | | | | 1,993,960 | |
| | | | | |
| | 1,750 | | | WMG Acquisition Group, 144A | | | 6.000% | | | | 1/15/21 | | | | Ba3 | | | | 1,802,500 | |
| | | | Total Media | | | | | | | | | | | | | | | 39,983,368 | |
| | | | | |
| | | | Metals & Mining – 2.6% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | AK Steel Corporation, (5) | | | 7.625% | | | | 10/01/21 | | | | B– | | | | 917,500 | |
| | | | | |
| | 1,400 | | | Alcoa Inc., (5) | | | 5.400% | | | | 4/15/21 | | | | BBB– | | | | 1,485,750 | |
| | | | | |
| | 1,500 | | | Aleris International Inc., 144A | | | 9.500% | | | | 4/01/21 | | | | B | | | | 1,541,250 | |
| | | | | |
| | 1,930 | | | Allegheny Technologies Inc. | | | 7.625% | | | | 8/15/23 | | | | B | | | | 1,611,550 | |
| | | | | |
| | 1,780 | | | Anglogold Holdings PLC | | | 6.500% | | | | 4/15/40 | | | | Baa3 | | | | 1,735,500 | |
| | | | | |
| | 2,015 | | | ArcelorMittal, (5) | | | 7.250% | | | | 2/25/22 | | | | BB+ | | | | 2,120,788 | |
| | | | | |
| | 1,500 | | | ArcelorMittal, (5) | | | 6.125% | | | | 6/01/25 | | | | BB+ | | | | 1,492,500 | |
| | | | | |
| | 500 | | | Constellium N.V, 144A | | | 8.000% | | | | 1/15/23 | | | | CCC+ | | | | 440,000 | |
| | | | | |
| | 1,450 | | | Eldorado Gold Corporation, 144A | | | 6.125% | | | | 12/15/20 | | | | BB– | | | | 1,450,000 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Metals & Mining (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 935 | | | First Quantum Minerals Limited, 144A | | | 6.750% | | | | 2/15/20 | | | | B | | | $ | 780,725 | |
| | | | | |
| | 1,885 | | | Freeport McMoRan, Inc., (5) | | | 3.550% | | | | 3/01/22 | | | | BBB– | | | | 1,658,800 | |
| | | | | |
| | 2,150 | | | Newmont Mining Corporation | | | 3.500% | | | | 3/15/22 | | | | BBB | | | | 2,232,786 | |
| | | | | |
| | 1,250 | | | Novellis Inc., (5) | | | 8.750% | | | | 12/15/20 | | | | B | | | | 1,303,125 | |
| | | | | |
| | 1,200 | | | Teck Resources Limited | | | 3.750% | | | | 2/01/23 | | | | B+ | | | | 912,000 | |
| | | | | |
| | 1,125 | | | Xstrata Finance Canada Limited, 144A | | | 6.900% | | | | 11/15/37 | | | | BBB– | | | | 1,046,250 | |
| | | | Total Metals & Mining | | | | | | | | | | | | | | | 20,728,524 | |
| | | | | |
| | | | Multiline Retail – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | J.C. Penney Company Inc. | | | 8.125% | | | | 10/01/19 | | | | B+ | | | | 1,036,250 | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels – 8.0% | | | | | | | | | | | | |
| | | | | |
| | 1,565 | | | Anadarko Petroleum Corporation | | | 6.200% | | | | 3/15/40 | | | | BBB | | | | 1,755,476 | |
| | | | | |
| | 1,000 | | | Antero Resources Corporation, (5) | | | 5.125% | | | | 12/01/22 | | | | BB | | | | 960,000 | |
| | | | | |
| | 3,650 | | | Apache Corporation | | | 4.250% | | | | 1/15/44 | | | | BBB | | | | 3,535,467 | |
| | | | | |
| | 1,700 | CAD | | Baytex Energy Corporation | | | 6.625% | | | | 7/19/22 | | | | BB | | | | 1,116,820 | |
| | | | | |
| | 1,500 | | | Bellatrix Exploration Limited, 144A | | | 8.500% | | | | 5/15/20 | | | | CCC+ | | | | 1,035,000 | |
| | | | | |
| | 1,295 | | | Berkshire Hathaway Energy Company | | | 6.125% | | | | 4/01/36 | | | | A– | | | | 1,715,075 | |
| | | | | |
| | 419 | | | California Resources Corporation, 144A | | | 8.000% | | | | 12/15/22 | | | | B | | | | 297,490 | |
| | | | | |
| | 1,025 | | | Calumet Specialty Products | | | 7.625% | | | | 1/15/22 | | | | CCC+ | | | | 725,187 | |
| | | | | |
| | 1,410 | | | Canadian Natural Resources Limited | | | 5.850% | | | | 2/01/35 | | | | BBB+ | | | | 1,425,434 | |
| | | | | |
| | 1,000 | | | Chesapeake Energy Corporation, 144A, (5) | | | 8.000% | | | | 12/15/22 | | | | B+ | | | | 851,250 | |
| | | | | |
| | 1,425 | | | Concho Resources Inc. | | | 5.500% | | | | 10/01/22 | | | | BB+ | | | | 1,432,125 | |
| | | | | |
| | 1,500 | | | CONSOL Energy Inc. | | | 5.875% | | | | 4/15/22 | | | | B | | | | 1,310,625 | |
| | | | | |
| | 1,865 | | | Continental Resources Inc., (5) | | | 5.000% | | | | 9/15/22 | | | | BB+ | | | | 1,817,685 | |
| | | | | |
| | 1,400 | | | Energy Transfer Equity LP | | | 5.875% | | | | 1/15/24 | | | | BB+ | | | | 1,361,500 | |
| | | | | |
| | 1,000 | | | Energy Transfer Equity LP | | | 5.500% | | | | 6/01/27 | | | | BB+ | | | | 940,000 | |
| | | | | |
| | 2,315 | | | EnLink Midstream Partners LP | | | 4.150% | | | | 6/01/25 | | | | BBB– | | | | 2,134,520 | |
| | | | | |
| | 500 | | | EV Energy Partners LP / EV Energy Finance Corporation | | | 8.000% | | | | 4/15/19 | | | | CCC+ | | | | 300,000 | |
| | | | | |
| | 1,400 | | | Gibson Energy, 144A | | | 6.750% | | | | 7/15/21 | | | | BB | | | | 1,393,000 | |
| | | | | |
| | 910 | | | Global Partners LP/GLP Finance | | | 6.250% | | | | 7/15/22 | | | | B+ | | | | 757,575 | |
| | | | | |
| | 292 | | | Halcon Resources Corporation., 144A | | | 12.000% | | | | 2/15/22 | | | | CCC+ | | | | 267,180 | |
| | | | | |
| | 2,300 | | | Hess Corporation, (5) | | | 3.500% | | | | 7/15/24 | | | | BBB | | | | 2,217,844 | |
| | | | | |
| | 2,415 | | | Kinder Morgan Energy Partners, LP | | | 4.250% | | | | 9/01/24 | | | | BBB– | | | | 2,446,298 | |
| | | | | |
| | 2,375 | | | Marathon Petroleum Corporation, (5) | | | 3.625% | | | | 9/15/24 | | | | BBB | | | | 2,333,281 | |
| | | | | |
| | 685 | | | Martin Mid-Stream Partners LP Finance | | | 7.250% | | | | 2/15/21 | | | | B– | | | | 633,625 | |
| | | | | |
| | 1,950 | | | MEG Energy Corporation, 144A | | | 6.375% | | | | 1/30/23 | | | | BB– | | | | 1,443,000 | |
| | | | | |
| | 2,000 | | | MPLX LP | | | 4.000% | | | | 2/15/25 | | | | BBB– | | | | 1,817,532 | |
| | | | | |
| | 2,060 | | | Newfield Exploration Company | | | 5.375% | | | | 1/01/26 | | | | BB+ | | | | 2,003,350 | |
| | | | | |
| | 1,550 | | | NGL Energy Partners LP/Fin Co | | | 5.125% | | | | 7/15/19 | | | | BB– | | | | 1,410,500 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Oil, Gas & Consumable Fuels (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 625 | | | Oasis Petroleum Inc., (5) | | | 6.875% | | | | 3/15/22 | | | | B+ | | | $ | 578,125 | |
| | | | | |
| | 1,275 | | | Petro Canada | | | 6.800% | | | | 5/15/38 | | | | A– | | | | 1,677,909 | |
| | | | | |
| | 1,250 | | | Range Resources Corporation, (5) | | | 5.000% | | | | 3/15/23 | | | | BB+ | | | | 1,171,875 | |
| | | | | |
| | 2,000 | | | Reliance Holdings USA Inc., 144A | | | 5.400% | | | | 2/14/22 | | | | BBB+ | | | | 2,239,690 | |
| | | | | |
| | 1,570 | | | Rose Rock Midstream LP / Rose Rock Finance Corporation | | | 5.625% | | | | 7/15/22 | | | | B | | | | 1,381,600 | |
| | | | | |
| | 1,345 | | | Sabine Pass Liquefaction LLC | | | 5.625% | | | | 2/01/21 | | | | BB+ | | | | 1,358,450 | |
| | | | | |
| | 2,600 | | | Southeast Supply Header LLC, 144A | | | 4.250% | | | | 6/15/24 | | | | Baa2 | | | | 2,576,808 | |
| | | | | |
| | 1,445 | | | Southwestern Energy Company | | | 4.100% | | | | 3/15/22 | | | | BB– | | | | 1,289,662 | |
| | | | | |
| | 1,765 | | | Summit Midstream Holdings LLC Finance | | | 7.500% | | | | 7/01/21 | | | | B | | | | 1,694,400 | |
| | | | | |
| | 1,520 | | | Targa Resources Inc. | | | 4.250% | | | | 11/15/23 | | | | BB– | | | | 1,364,200 | |
| | | | | |
| | 2,585 | | | Transocean Inc. | | | 4.300% | | | | 10/15/22 | | | | BB– | | | | 1,828,887 | |
| | | | | |
| | 2,075 | | | Valero Energy Corporation, (5) | | | 3.650% | | | | 3/15/25 | | | | BBB | | | | 2,078,870 | |
| | | | | |
| | 825 | | | Vanguard Natural Resources Finance | | | 7.875% | | | | 4/01/20 | | | | CC | | | | 264,000 | |
| | | | | |
| | 500 | | | Western Refining Inc. | | | 6.250% | | | | 4/01/21 | | | | B | | | | 455,000 | |
| | | | | |
| | 2,875 | | | Woodside Finance Limited, 144A | | | 3.650% | | | | 3/05/25 | | | | BBB+ | | | | 2,809,654 | |
| | | | | |
| | 885 | | | WPX Energy Inc. | | | 7.500% | | | | 8/01/20 | | | | B | | | | 883,336 | |
| | | | Total Oil, Gas, & Consumable Fuels | | | | | | | | | | | | | | | 63,089,305 | |
| | | | | |
| | | | Paper & Forest Products – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 2,100 | | | Domtar Corporation | | | 6.750% | | | | 2/15/44 | | | | BBB– | | | | 2,298,364 | |
| | | | | |
| | 1,200 | | | Mercer International Inc., (5) | | | 7.750% | | | | 12/01/22 | | | | B+ | | | | 1,200,000 | |
| | | | | |
| | 1,500 | | | Millar Western Forest Products Ltd | | | 8.500% | | | | 4/01/21 | | | | B– | | | | 690,000 | |
| | | | | |
| | 1,250 | | | Resolute Forest Products, (5) | | | 5.875% | | | | 5/15/23 | | | | BB– | | | | 984,375 | |
| | | | | |
| | 750 | | | Tembec Industries, Inc., 144A | | | 9.000% | | | | 12/15/19 | | | | B– | | | | 581,250 | |
| | | | Total Paper & Forest Products | | | | | | | | | | | | | | | 5,753,989 | |
| | | | | |
| | | | Personal Products – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,915 | | | International Paper Company | | | 8.700% | | | | 6/15/38 | | | | BBB | | | | 2,785,134 | |
| | | | | |
| | | | Pharmaceuticals – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Endo Finance LLC, 144A | | | 5.750% | | | | 1/15/22 | | | | B | | | | 1,804,800 | |
| | | | | |
| | | | Professional Services – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | CEB Inc., 144A | | | 5.625% | | | | 6/15/23 | | | | BB– | | | | 1,460,625 | |
| | | | | |
| | | | Real Estate Investment Trust – 2.8% | | | | | | | | | | | | |
| | | | | |
| | 3,070 | | | American Tower Company, (5) | | | 5.000% | | | | 2/15/24 | | | | BBB | | | | 3,470,089 | |
| | | | | |
| | 1,500 | | | Communications Sales & Leasing Inc., 144A, (5) | | | 6.000% | | | | 4/15/23 | | | | BB+ | | | | 1,526,250 | |
| | | | | |
| | 2,000 | | | Digital Realty Trust Inc. | | | 3.625% | | | | 10/01/22 | | | | BBB | | | | 2,059,422 | |
| | | | | |
| | 1,000 | | | Geo Group Inc. | | | 6.000% | | | | 4/15/26 | | | | Ba3 | | | | 1,010,000 | |
| | | | | |
| | 2,060 | | | Omega Healthcare Investors Inc. | | | 4.950% | | | | 4/01/24 | | | | BBB– | | | | 2,144,005 | |
| | | | | |
| | 2,080 | | | Piedmont Operating Partnership LP | | | 4.450% | | | | 3/15/24 | | | | BBB | | | | 2,151,228 | |
| | | | | |
| | 1,420 | | | Plum Creek Timberlands LP | | | 4.700% | | | | 3/15/21 | | | | Baa2 | | | | 1,546,318 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Real Estate Investment Trust (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 1,225 | | | Realogy Group LLC / Realogy Co-Issuer Corporation, 144A | | | 5.250% | | | | 12/01/21 | | | | B | | | $ | 1,254,094 | |
| | | | | |
| | 3,000 | | | Senior Housing Properties Trust | | | 4.750% | | | | 5/01/24 | | | | BBB– | | | | 3,056,619 | |
| | | | | |
| | 1,165 | | | Vereit Operating Partner | | | 4.600% | | | | 2/06/24 | | | | BB+ | | | | 1,173,737 | |
| | | | | |
| | 2,500 | | | Wells Fargo & Company | | | 4.100% | | | | 6/03/26 | | | | A+ | | | | 2,671,128 | |
| | | | Total Real Estate Investment Trust | | | | | | | | | | | | | | | 22,062,890 | |
| | | | | |
| | | | Real Estate Management & Development – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 500 | | | Crescent Resources LLC, 144A | | | 10.250% | | | | 8/15/17 | | | | B+ | | | | 500,000 | |
| | | | | |
| | 1,250 | | | Hunt Companies Inc., 144A | | | 9.625% | | | | 3/01/21 | | | | N/R | | | | 1,256,250 | |
| | | | | |
| | 705 | | | Mattamy Group Corporation, 144A | | | 6.500% | | | | 11/15/20 | | | | BB | | | | 676,800 | |
| | | | Total Real Estate Management & Development | | | | | | | | | | | | | | | 2,433,050 | |
| | | | | |
| | | | Road & Rail – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,130 | | | Avis Budget Car Rental, 144A, (5) | | | 6.375% | | | | 4/01/24 | | | | B+ | | | | 1,118,700 | |
| | | | | |
| | 500 | | | HERC Rental Inc. | | | 7.750% | | | | 6/01/24 | | | | B+ | | | | 487,500 | |
| | | | | |
| | 1,000 | | | Hertz Corporation, (5) | | | 7.375% | | | | 1/15/21 | | | | B | | | | 1,032,500 | |
| | | | | |
| | 1,350 | | | Watco Companies LLC Finance, 144A | | | 6.375% | | | | 4/01/23 | | | | B | | | | 1,336,500 | |
| | | | Total Road & Rail | | | | | | | | | | | | �� | | | 3,975,200 | |
| | | | | |
| | | | Software – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 1,730 | | | Computer Sciences Corporation | | | 4.450% | | | | 9/15/22 | | | | BBB | | | | 1,844,529 | |
| | | | | |
| | 1,000 | | | SS&C Technologies Holdings, Inc. | | | 5.875% | | | | 7/15/23 | | | | B+ | | | | 1,017,500 | |
| | | | | |
| | 2,500 | | | Total System Services Inc. | | | 3.750% | | | | 6/01/23 | | | | BBB– | | | | 2,539,413 | |
| | | | Total Software | | | | | | | | | | | | | | | 5,401,442 | |
| | | | | |
| | | | Specialty Retail – 1.6% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | AutoNation Inc. | | | 4.500% | | | | 10/01/25 | | | | BBB– | | | | 2,116,564 | |
| | | | | |
| | 2,745 | | | Bed Bath and Beyond Incorporated | | | 4.915% | | | | 8/01/34 | | | | BBB+ | | | | 2,563,495 | |
| | | | | |
| | 1,175 | | | Guitar Center Inc., 144A | | | 6.500% | | | | 4/15/19 | | | | B2 | | | | 1,010,500 | |
| | | | | |
| | 1,500 | | | L Brands, Inc. | | | 6.875% | | | | 11/01/35 | | | | BB+ | | | | 1,518,750 | |
| | | | | |
| | 4,485 | | | Signet UK Finance PLC | | | 4.700% | | | | 6/15/24 | | | | BBB– | | | | 4,378,930 | |
| | | | | |
| | 1,000 | | | The Men’s Warehouse Inc., (5) | | | 7.000% | | | | 7/01/22 | | | | B2 | | | | 840,000 | |
| | | | Total Specialty Retail | | | | | | | | | | | | | | | 12,428,239 | |
| | | | | |
| | | | Technology Hardware, Storage & Peripherals – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 2,970 | | | Hewlett Packard Enterprise Co, 144A, (5) | | | 4.900% | | | | 10/15/25 | | | | A– | | | | 3,104,562 | |
| | | | | |
| | 950 | | | NCR Corporation | | | 6.375% | | | | 12/15/23 | | | | BB | | | | 969,000 | |
| | | | | |
| | 1,425 | | | Western Digital Corporation, 144A | | | 7.375% | | | | 4/01/23 | | | | BBB– | | | | 1,517,625 | |
| | | | Total Technology Hardware, Storage & Peripherals | | | | | | | | | | | | | | | 5,591,187 | |
| | | | | |
| | | | Textiles, Apparel & Luxury Goods – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,195 | | | Levi Strauss & Company | | | 5.000% | | | | 5/01/25 | | | | BB | | | | 2,205,975 | |
| | | | | |
| | | | Thrifts & Mortgage Finance – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | Radian Group Inc. | | | 7.000% | | | | 3/15/21 | | | | BB– | | | | 1,604,070 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Tobacco – 0.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,006 | | | Altria Group Inc. | | | 9.950% | | | | 11/10/38 | | | | A– | | | $ | 1,810,674 | |
| | | | | |
| | | | Trading Companies & Distributors – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 1,995 | | | Air Lease Corporation, (5) | | | 3.875% | | | | 4/01/21 | | | | BBB– | | | | 2,054,850 | |
| | | | | |
| | | | Transportation Infrastructure – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,185 | | | Aeropuerto Internacional de Tocumen SA | | | 5.750% | | | | 10/09/23 | | | | BBB | | | | 1,238,325 | |
| | | | | |
| | | | Wireless Telecommunication Services – 1.8% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | Altice Financing SA, 144A | | | 6.625% | | | | 2/15/23 | | | | BB– | | | | 1,472,805 | |
| | | | | |
| | 2,000 | | | Colombia Telecommunicaciones S.A. ESP, 144A | | | 8.500% | | | | 9/30/65 | | | | B+ | | | | 1,760,000 | |
| | | | | |
| | 1,250 | | | Digicel Group, Limited, 144A | | | 8.250% | | | | 9/30/20 | | | | B– | | | | 1,043,750 | |
| | | | | |
| | 3,000 | | | ENTEL Chile SA, 144A | | | 4.750% | | | | 8/01/26 | | | | BBB | | | | 2,982,954 | |
| | | | | |
| | 1,000 | | | FairPoint Communications Inc., 144A | | | 8.750% | | | | 8/15/19 | | | | B | | | | 985,000 | |
| | | | | |
| | 2,100 | | | Millicom International Cellular SA, 144A, (5) | | | 6.000% | | | | 3/15/25 | | | | BB+ | | | | 2,047,500 | |
| | | | | |
| | 1,500 | | | Sprint Corporation | | | 7.250% | | | | 9/15/21 | | | | B+ | | | | 1,278,750 | |
| | | | | |
| | 1,350 | | | Telecom Italia SpA, 144A | | | 5.303% | | | | 5/30/24 | | | | BBB– | | | | 1,346,625 | |
| | | | | |
| | 1,050 | | | T-Mobile USA Inc. | | | 6.731% | | | | 4/28/22 | | | | BB | | | | 1,104,128 | |
| | | | Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 14,021,512 | |
| | | | Total Corporate Bonds (cost $585,296,440) | | | | | | | | | | | | | | | 588,567,909 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | $1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 8.0% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Banks – 4.1% | | | | | | | | | | | | |
| | | | | |
| $ | 1,590 | | | Australia and New Zealand Banking Group Limited of the United Kingdom, 144A, (5) | | | 6.750% | | | | N/A (11) | | | | Baa1 | | | $ | 1,641,993 | |
| | | | | |
| | 1,000 | | | Banco Bilbao Vizcaya Argentaria S.A, Reg S | | | 9.000% | | | | N/A (11) | | | | BB | | | | 997,700 | |
| | | | | |
| | 1,695 | | | Bank of America Corporation | | | 6.300% | | | | N/A (11) | | | | BB+ | | | | 1,794,581 | |
| | | | | |
| | 3,895 | | | Barclays PLC | | | 8.250% | | | | N/A (11) | | | | BB+ | | | | 3,807,207 | |
| | | | | |
| | 1,965 | | | Citigroup Inc. | | | 6.250% | | | | N/A (11) | | | | BB+ | | | | 2,023,950 | |
| | | | | |
| | 2,000 | | | Cobank Agricultural Credit Bank | | | 6.250% | | | | N/A (11) | | | | BBB+ | | | | 2,112,024 | |
| | | | | |
| | 1,525 | | | Fifth Third Bancorp. | | | 5.100% | | | | N/A (11) | | | | Baa3 | | | | 1,441,125 | |
| | | | | |
| | 2,410 | | | HSBC Holdings PLC, (5) | | | 6.875% | | | | N/A (11) | | | | BBB | | | | 2,397,950 | |
| | | | | |
| | 2,000 | | | ING Groep N.V | | | 6.000% | | | | N/A (11) | | | | BBB– | | | | 1,880,000 | |
| | | | | |
| | 1,300 | | | Intesa Sanpaolo SpA, 144A, (5) | | | 7.700% | | | | N/A (11) | | | | Ba3 | | | | 1,121,250 | |
| | | | | |
| | 2,000 | | | JPMorgan Chase & Company, (5) | | | 6.750% | | | | N/A (11) | | | | BBB– | | | | 2,202,500 | |
| | | | | |
| | 2,413 | | | Lloyd’s Banking Group PLC, (5) | | | 7.500% | | | | N/A (11) | | | | BB+ | | | | 2,358,707 | |
| | | | | |
| | 1,600 | | | Nordea Bank AB, 144A | | | 6.125% | | | | N/A (11) | | | | BBB | | | | 1,512,000 | |
| | | | | |
| | 655 | | | Royal Bank of Scotland Group PLC | | | 7.500% | | | | N/A (11) | | | | BB– | | | | 602,600 | |
| | | | | |
| | 2,000 | | | Societe Generale, 144A | | | 7.875% | | | | N/A (11) | | | | BB+ | | | | 1,855,000 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | Banks (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 2,000 | | | Standard Chartered PLC, 144A, (5) | | | 6.500% | | | | N/A (11) | | | | BBB– | | | $ | 1,835,000 | |
| | | | | |
| | 2,620 | | | SunTrust Bank Inc., (5) | | | 5.625% | | | | N/A (11) | | | | Baa3 | | | | 2,633,100 | |
| | 32,668 | | | Total Banks | | | | | | | | | | | | | | | 32,216,687 | |
| | | | | |
| | | | Capital Markets – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 2,300 | | | Goldman Sachs Group Inc. | | | 5.375% | | | | N/A (11) | | | | Ba1 | | | | 2,274,516 | |
| | | | | |
| | 2,800 | | | UBS Group AG, Reg S | | | 7.125% | | | | N/A (11) | | | | BB+ | | | | 2,779,000 | |
| | 5,100 | | | Total Capital Markets | | | | | | | | | | | | | | | 5,053,516 | |
| | | | | |
| | | | Consumer Finance – 0.2% | | | | | | | | | | | | |
| | | | | |
| | 1,620 | | | American Express Company | | | 5.200% | | | | N/A (11) | | | | Baa2 | | | | 1,568,970 | |
| | | | | |
| | | | Diversified Financial Services – 0.7% | | | | | | | | | | | | |
| | | | | |
| | 3,110 | | | BNP Paribas, 144A | | | 7.375% | | | | N/A (11) | | | | BBB– | | | | 3,044,690 | |
| | | | | |
| | 2,445 | | | BNP Paribas, 144A | | | 7.625% | | | | N/A (11) | | | | BBB– | | | | 2,445,000 | |
| | 5,555 | | | Total Diversified Financial Services | | | | | | | | | | | | | | | 5,489,690 | |
| | | | | |
| | | | Electric Utilities – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,720 | | | Electricite de France, 144A | | | 5.250% | | | | N/A (11) | | | | Baa2 | | | | 2,590,800 | |
| | | | | |
| | | | Food Products – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 2,780 | | | Land O’ Lakes Incorporated, 144A | | | 8.000% | | | | N/A (11) | | | | BB | | | | 2,842,550 | |
| | | | | |
| | | | Industrial Conglomerates – 0.4% | | | | | | | | | | | | |
| | | | | |
| | 3,086 | | | General Electric Company | | | 5.000% | | | | N/A (11) | | | | AA– | | | | 3,278,875 | |
| | | | | |
| | 1,000 | | | OAS Financial Limited, 144A | | | 8.875% | | | | N/A (11) | | | | N/R | | | | 11,500 | |
| | 4,086 | | | Total Industrial Conglomerates | | | | | | | | | | | | | | | 3,290,375 | |
| | | | | |
| | | | Insurance – 0.5% | | | | | | | | | | | | |
| | | | | |
| | 1,500 | | | Allstate Corporation | | | 5.750% | | | | 8/15/53 | | | | Baa1 | | | | 1,538,250 | |
| | | | | |
| | 2,500 | | | Sirius International Group Limited, 144A | | | 7.506% | | | | N/A (11) | | | | BB+ | | | | 2,509,375 | |
| | 4,000 | | | Total Insurance | | | | | | | | | | | | | | | 4,047,625 | |
| | | | | |
| | | | Real Estate Investment Trust – 0.8% | | | | | | | | | | | | |
| | | | | |
| | 3,000 | | | Wachovia Capital Trust III | | | 5.570% | | | | N/A (11) | | | | BBB | | | | 2,962,614 | |
| | | | | |
| | 3,000 | | | Wells Fargo & Company | | | 5.875% | | | | N/A (11) | | | | BBB | | | | 3,198,750 | |
| | 6,000 | | | Total Real Estate Investment Trust | | | | | | | | | | | | | | | 6,161,364 | |
| $ | 64,529 | | | Total $1,000 Par (or similar) Institutional Preferred (cost $63,602,042) | | | | | | | | | | | | | | | 63,261,577 | |
| | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 9.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,056 | | | 321 Henderson Receivables LLC, Series 2010-3A | | | 3.820% | | | | 12/15/48 | | | | Aaa | | | $ | 1,097,780 | |
| | | | | |
| | 2,344 | | | American Homes 4 Rent, Series 2014-SFR2 | | | 3.786% | | | | 10/17/36 | | | | Aaa | | | | 2,515,289 | |
| | | | | |
| | 2,270 | | | AmeriCold LLC Trust, Series 2010 | | | 6.811% | | | | 1/14/29 | | | | A+ | | | | 2,558,176 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 31 | | | Bank of America Alternative Loan Trust, Series 2005-5 2 CB1 | | | 6.000% | | | | 6/25/35 | | | | Caa1 | | | $ | 29,890 | |
| | | | | |
| | 1,200 | | | Bank of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7 | | | 4.512% | | | | 9/17/48 | | | | A– | | | | 1,215,010 | |
| | | | | |
| | 770 | | | Bank of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7 | | | 3.167% | | | | 9/17/48 | | | | BBB– | | | | 574,521 | |
| | | | | |
| | 2,400 | | | Barclays Commercial Mortgage, Mortgage Pass-Through Certificates, Series 2015-STP | | | 4.427% | | | | 9/10/28 | | | | BBB– | | | | 2,412,899 | |
| | | | | |
| | 4,544 | | | Colony American Homes Trust 2014-1A | | | 1.596% | | | | 5/17/31 | | | | Aaa | | | | 4,506,259 | |
| | | | | |
| | 3,000 | | | Commercial Mortgage Pass-Through Certificates, Series 2014-SAVA | | | 2.843% | | | | 6/15/34 | | | | A | | | | 2,959,665 | |
| | | | | |
| | 3,940 | | | Commercial Mortgage Pass-Through Certificates 2015-CR22 | | | 4.264% | | | | 3/12/48 | | | | A– | | | | 3,925,416 | |
| | | | | |
| | 2,860 | | | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26 | | | 4.645% | | | | 10/13/48 | | | | A– | | | | 2,795,703 | |
| | | | | |
| | 181 | | | Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2004-24CB | | | 5.000% | | | | 11/25/19 | | | | B3 | | | | 181,857 | |
| | | | | |
| | 202 | | | Countrywide Asset Backed Certificates, Series 2007-4 A2 | | | 5.530% | | | | 3/25/29 | | | | Caa1 | | | | 194,629 | |
| | | | | |
| | 341 | | | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-2 | | | 2.611% | | | | 2/25/34 | | | | BB+ | | | | 327,221 | |
| | | | | |
| | 1,004 | | | Countrywide Home Loans Mortgage, Series 2005-27 | | | 5.500% | | | | 1/25/23 | | | | Caa1 | | | | 920,073 | |
| | | | | |
| | 157 | | | Credit Suisse First Boston Mortgage Securities Corporation, Mortgage-Backed Pass-Through Certificates, Series 2003-23 | | | 5.750% | | | | 9/25/33 | | | | AA+ | | | | 164,339 | |
| | | | | |
| | 296 | | | Fannie Mae Mortgage Interest Stripss 366 25, (I/O) | | | 5.000% | | | | 9/01/24 | | | | Aaa | | | | 17,940 | |
| | | | | |
| | 960 | | | Fannie Mae Mortgage Pool 255956 | | | 5.500% | | | | 10/01/25 | | | | Aaa | | | | 1,077,494 | |
| | | | | |
| | 109 | | | Fannie Mae Mortgage Pool 256890 | | | 6.000% | | | | 9/01/37 | | | | Aaa | | | | 121,916 | |
| | | | | |
| | 121 | | | Fannie Mae Mortgage Pool 725205 | | | 5.000% | | | | 3/01/34 | | | | Aaa | | | | 135,277 | |
| | | | | |
| | 33 | | | Fannie Mae Mortgage Pool 725553 | | | 2.505% | | | | 9/01/33 | | | | Aaa | | | | 35,567 | |
| | | | | |
| | 170 | | | Fannie Mae Mortgage Pool 725773 | | | 5.500% | | | | 9/01/34 | | | | Aaa | | | | 193,418 | |
| | | | | |
| | 67 | | | Fannie Mae Mortgage Pool 735060 | | | 6.000% | | | | 11/01/34 | | | | Aaa | | | | 77,198 | |
| | | | | |
| | 53 | | | Fannie Mae Mortgage Pool 735606 | | | 2.226% | | | | 5/01/35 | | | | Aaa | | | | 54,930 | |
| | | | | |
| | 48 | | | Fannie Mae Mortgage Pool 745101 | | | 6.000% | | | | 4/01/32 | | | | Aaa | | | | 54,340 | |
| | | | | |
| | 248 | | | Fannie Mae Mortgage Pool 745324 | | | 6.000% | | | | 3/01/34 | | | | Aaa | | | | 279,979 | |
| | | | | |
| | 245 | | | Fannie Mae Mortgage Pool 745548 | | | 2.659% | | | | 1/01/35 | | | | Aaa | | | | 253,500 | |
| | | | | |
| | 52 | | | Fannie Mae Mortgage Pool 824163 | | | 5.500% | | | | 4/01/35 | | | | Aaa | | | | 58,564 | |
| | | | | |
| | 86 | | | Fannie Mae Mortgage Pool 831377 | | | 6.500% | | | | 4/01/36 | | | | Aaa | | | | 98,737 | |
| | | | | |
| | 68 | | | Fannie Mae Mortgage Pool 838948 | | | 2.070% | | | | 8/01/35 | | | | Aaa | | | | 71,163 | |
| | | | | |
| | 46 | | | Fannie Mae Mortgage Pool 852909 | | | 6.500% | | | | 4/01/36 | | | | Aaa | | | | 53,331 | |
| | | | | |
| | — | (12) | | Fannie Mae Mortgage Pool 889618 | | | 5.500% | | | | 5/01/38 | | | | Aaa | | | | 189 | |
| | | | | |
| | 128 | | | Fannie Mae Mortgage Pool 893318 | | | 6.500% | | | | 8/01/36 | | | | Aaa | | | | 146,750 | |
| | | | | |
| | 14 | | | Fannie Mae Mortgage Pool 905597 | | | 5.678% | | | | 12/01/36 | | | | Aaa | | | | 14,765 | |
| | | | | |
| | 65 | | | Fannie Mae Mortgage Pool 944340 | | | 6.000% | | | | 6/01/37 | | | | Aaa | | | | 74,241 | |
| | | | | |
| | 56 | | | Fannie Mae Mortgage Pool 946228 | | | 6.159% | | | | 9/01/37 | | | | Aaa | | | | 60,450 | |
| | | | | |
| | — | (12) | | Fannie Mae Mortgage Pool 985344 | | | 5.500% | | | | 7/01/38 | | | | Aaa | | | | 97 | |
| | | | | |
| | 306 | | | Fannie Mae Mortgage Pool AA0005 | | | 5.500% | | | | 11/01/38 | | | | Aaa | | | | 344,152 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 265 | | | Fannie Mae Mortgage Pool AA0889 | | | 5.500% | | | | 12/01/38 | | | | Aaa | | | $ | 297,768 | |
| | | | | |
| | 46 | | | Fannie Mae Mortgage Pool AL1187 | | | 5.500% | | | | 7/01/24 | | | | Aaa | | | | 47,153 | |
| | | | | |
| | 13,060 | | | Fannie Mae TBA Mortgage Pool, (WI/DD) | | | 3.500% | | | | TBA | | | | Aaa | | | | 13,761,464 | |
| | | | | |
| | 239 | | | FDIC Structures Sale Guaranteed Notes, Series 2010-S1 | | | 1.007% | | | | 2/25/48 | | | | Aaa | | | | 238,702 | |
| | | | | |
| | 11 | | | Federal Home Loan Mortgage Corporation, Mortgage Pool 1B3220 | | | 2.649% | | | | 1/01/37 | | | | Aaa | | | | 12,331 | |
| | | | | |
| | 1 | | | Federal Home Loan Mortgage Corporation, Series 2376 | | | 5.500% | | | | 11/15/16 | | | | Aaa | | | | 1,240 | |
| | | | | |
| | 651 | | | Freddie Mac Gold Pool 1K1238 | | | 2.525% | | | | 7/01/36 | | | | Aaa | | | | 689,379 | |
| | | | | |
| | 355 | | | Freddie Mac Gold Pool 1L0117 | | | 2.842% | | | | 10/01/29 | | | | Aaa | | | | 371,300 | |
| | | | | |
| | 147 | | | Freddie Mac Gold Pool 847240 | | | 2.587% | | | | 7/01/30 | | | | Aaa | | | | 153,349 | |
| | | | | |
| | 89 | | | Freddie Mac Gold Pool 847411 | | | 2.618% | | | | 5/01/33 | | | | Aaa | | | | 93,516 | |
| | | | | |
| | 297 | | | Freddie Mac Mortgage Pool, Various A17212 | | | 6.500% | | | | 7/01/31 | | | | Aaa | | | | 341,086 | |
| | | | | |
| | 65 | | | Freddie Mac Mortgage Pool, Various H09059 | | | 7.000% | | | | 8/01/37 | | | | Aaa | | | | 72,309 | |
| | | | | |
| | 1,405 | | | Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2013-K712 | | | 3.484% | | | | 5/25/45 | | | | Aaa | | | | 1,437,693 | |
| | | | | |
| | 17 | | | Freddie Mac Non Gold Participation Certificates 847681 | | | 2.530% | | | | 12/01/36 | | | | Aaa | | | | 18,316 | |
| | | | | |
| | 3,430 | | | Goldman Sachs Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2015-GC32 | | | 3.345% | | | | 7/10/48 | | | | BBB– | | | | 2,587,435 | |
| | | | | |
| | 56 | | | Government National Mortgage Association, Guaranteed REMIC Pass-Through Securities and MX Securities Trust | | | 4.500% | | | | 5/16/38 | | | | Aaa | | | | 56,962 | |
| | | | | |
| | 1,363 | | | Impac Secured Assets Corporation, Mortgage Pass-Through Certificates, Series 2000-3 | | | 8.000% | | | | 10/25/30 | | | | CCC | | | | 1,168,913 | |
| | | | | |
| | 222 | | | IndyMac INDX Mortgage Loan Trust, Pass-Through Certificates, Series 2005-AR1 | | | 2.750% | | | | 3/25/35 | | | | BBB+ | | | | 220,654 | |
| | | | | |
| | 3,910 | | | Invitation Homes Trust 2014-SFR1 | | | 3.046% | | | | 6/19/31 | | | | Baa2 | | | | 3,892,341 | |
| | | | | |
| | 883 | | | JPMorgan Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2007-S1 | | | 0.733% | | | | 6/25/37 | | | | Caa1 | | | | 785,266 | |
| | | | | |
| | 1,370 | | | JPMorgan Chase Commercial Mortgage Securities Trust, Pass-Through Certificates 2015-C29 | | | 3.842% | | | | 5/15/48 | | | | BBB– | | | | 965,151 | |
| | | | | |
| | 3,376 | | | JPMorgan Madison Avenue Securities Trust, Mortgage Pass-Through Certificates, Series 2014-1 | | | 2.696% | | | | 11/25/24 | | | | BBB– | | | | 3,380,222 | |
| | | | | |
| | 222 | | | Lehman Mortgage Trust, Mortgage Pass-Through Certificates, Series 2008-6 | | | 5.177% | | | | 4/25/38 | | | | BB+ | | | | 222,616 | |
| | | | | |
| | 2,579 | | | Master RePerforming Loan Trust 2005-1 | | | 7.500% | | | | 8/25/34 | | | | B1 | | | | 2,626,928 | |
| | | | | |
| | 230 | | | Merrill Lynch Mortgage Investors Inc., Commercial Mortgage Pass-Through Certificates, Series 2006 | | | 5.204% | | | | 12/12/49 | | | | AA | | | | 232,133 | |
| | | | | |
| | 1,955 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22 | | | 4.384% | | | | 4/17/48 | | | | BBB– | | | | 1,555,676 | |
| | | | | |
| | 3,860 | | | New Residential Advance Receivable Trust , Series 2016-T1 | | | 4.377% | | | | 6/15/49 | | | | BBB | | | | 3,882,766 | |
| | | | | |
| | 108 | | | Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2005-QS12 | | | 5.500% | | | | 8/25/35 | | | | Caa2 | | | | 96,807 | |
| | | | | |
| | 344 | | | Wachovia Mortgage Loan Trust LLC, Mortgage Pass-Through Certificates, Series 2005-B | | | 2.774% | | | | 10/20/35 | | | | D | | | | 297,893 | |
| | | | | |
| | 256 | | | Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2004-RA3 | | | 6.338% | | | | 8/25/38 | | | | AA | | | | 268,611 | |
| | | | | | | | | | | | | | | | | | | | |
Principal
Amount (000) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
| | | | | |
| $ | 3,430 | | | Wells Fargo Commercial Mortgage Trust, Commercial Mortgage-Pass- Through Certificates, Series 2015-C26 | | | 3.586% | | | | 2/18/48 | | | | BBB– | | | $ | 2,378,280 | |
| | | | | |
| | 17 | | | Wells Fargo Mortgage Backed Securities, 2005-AR16 Class 3A2 | | | 2.938% | | | | 2/25/35 | | | | A+ | | | | 16,568 | |
| | | | | |
| | 1,352 | | | Wells Fargo-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-C15 | | | 4.629% | | | | 8/17/46 | | | | BBB– | | | | 1,193,401 | |
| $ | 75,082 | | | Total Asset-Backed and Mortgage-Backed Securities (cost $72,742,580) | | | | | | | | | | | | | | | 72,966,954 | |
| | | | | |
Principal
Amount (000) (10) | | | Description (1) | | Coupon | | | Maturity | | | Ratings (4) | | | Value | |
| | | | | |
| | | | SOVEREIGN DEBT – 5.2% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Argentina – 0.2% | | | | | | | | | | | | |
| | | | | |
| $ | 1,200 | | | Republic of Argentina, 144A, (5) | | | 7.625% | | | | 4/22/46 | | | | B | | | $ | 1,297,800 | |
| | | | | |
| | | | Costa Rica – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,000 | | | Republic of Costa Rica, 144A | | | 7.000% | | | | 4/04/44 | | | | Ba1 | | | | 1,995,000 | |
| | | | | |
| | | | Dominican Republic – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,500 | | | Dominican Republic, 144A | | | 5.500% | | | | 1/27/25 | | | | BB– | | | | 2,543,750 | |
| | | | | |
| | | | Mexico – 2.0% | | | | | | | | | | | | |
| | | | | |
| | 34,700 | MXN | | Mexico Bonos de DeSarrollo | | | 8.500% | | | | 12/13/18 | | | | A | | | | 2,060,799 | |
| | | | | |
| | 72,550 | MXN | | Mexico Bonos de DeSarrollo | | | 8.000% | | | | 12/07/23 | | | | A | | | | 4,520,984 | |
| | | | | |
| | 60,500 | MXN | | Mexico Bonos de DeSarrollo | | | 10.000% | | | | 12/05/24 | | | | A | | | | 4,251,483 | |
| | | | | |
| | 84,800 | MXN | | Mexico Bonos de DeSarrollo | | | 7.750% | | | | 11/13/42 | | | | A | | | | 5,406,453 | |
| | | | Total Mexico | | | | | | | | | | | | | | | 16,239,719 | |
| | | | | |
| | | | Portugal – 0.6% | | | | | | | | | | | | |
| | | | | |
| | 4,300 | EUR | | Portugal Obrigacoes do Tesouro, 144A, Reg S | | | 2.875% | | | | 10/15/25 | | | | Ba1 | | | | 4,761,256 | |
| | | | | |
| | | | Romania – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 1,000 | | | Republic of Romania, 144A, (5) | | | 4.875% | | | | 1/22/24 | | | | BBB– | | | | 1,102,600 | |
| | | | | |
| | | | South Africa – 1.3% | | | | | | | | | | | | |
| | | | | |
| | 124,375 | ZAR | | Republic of South Africa | | | 6.750% | | | | 3/31/21 | | | | Baa2 | | | | 7,937,444 | |
| | | | | |
| | 2,250 | | | Republic of South Africa | | | 5.875% | | | | 9/16/25 | | | | Baa2 | | | | 2,505,375 | |
| | | | Total South Africa | | | | | | | | | | | | | | | 10,442,819 | |
| | | | | |
| | | | Sri Lanka – 0.3% | | | | | | | | | | | | |
| | | | | |
| | 2,100 | | | Republic of Sri Lanka, 144A | | | 6.850% | | | | 11/03/25 | | | | B+ | | | | 2,045,627 | |
| | | | | |
| | | | Uruguay – 0.1% | | | | | | | | | | | | |
| | | | | |
| | 850 | | | Republic of Uruguay | | | 5.100% | | | | 6/18/50 | | | | BBB | | | | 850,000 | |
| | | | Total Sovereign Debt (cost $47,421,571) | | | | | | | | | | | | | | | 41,278,571 | |
| | | | Total Long-Term Investments (cost $788,013,307) | | | | | | | | | | | | | | | 782,221,991 | |
Nuveen Strategic Income Fund (continued)
| | |
| Portfolio of Investments | | June 30, 2016 |
| | | | | | | | | | | | | | | | | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| |
| | | | INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 13.3% | |
| | | | | |
| | | | Money Market Funds – 13.3% | | | | | | | | | | | | |
| | | | | |
| | 105,884,834 | | | Mount Vernon Securities Lending Trust Prime Portfolio, (14) | | | 0.557% (13) | | | | | | | | | | | $ | 105,884,834 | |
| | | | Total Investments Purchased with Collateral from Securities Lending (cost $105,884,834) | | | | 105,884,834 | |
| | | | | |
| Shares | | | Description (1) | | Coupon | | | | | | | | | Value | |
| | | | | |
| | | | SHORT-TERM INVESTMENTS – 0.9% | | | | | | | | | | | | | | | | |
| | | | | |
| | | | Money Market Funds – 0.9% | | | | | | | | | | | | |
| | | | | |
| | 7,256,915 | | | First American Treasury Obligations Fund, Class Z | | | 0.230% (13) | | | | | | | | | | | $ | 7,256,915 | |
| | | | Total Short-Term Investments (cost $7,256,915) | | | | | | | | | | | | | | | 7,256,915 | |
| | | | Total Investments (cost $901,155,056) – 112.9% | | | | | | | | | | | | | | | 895,363,740 | |
| | | | Other Assets Less Liabilities – (12.9)% (15) | | | | | | | | | | | | | | | (102,583,274 | ) |
| | | | Net Assets – 100% | | | | | | | | | | | | | | $ | 792,780,466 | |
Investments in Derivatives as of June 30, 2016
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Contracts to Deliver | | Amount
(Local Currency) | | | In Exchange
For Currency | | | Amount
(Local Currency) | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(U.S. Dollars) | |
| Bank of America, N.A. | | Euro | | | 5,640,000 | | | | U.S. Dollar | | | | 6,345,485 | | | | 7/29/16 | | | $ | 79,654 | |
| Bank of America, N.A. | | Mexican Peso | | | 187,530,000 | | | | U.S. Dollar | | | | 9,967,154 | | | | 8/22/16 | | | | (235,091 | ) |
| Bank of America, N.A. | | U.S. Dollar | | | 880,267 | | | | Euro | | | | 798,000 | | | | 7/29/16 | | | | 6,281 | |
| Bank of America, N.A. | | U.S. Dollar | | | 157,830 | | | | Euro | | | | 142,000 | | | | 7/29/16 | | | | (74 | ) |
| Bank of America, N.A. | | U.S. Dollar | | | 8,053,264 | | | | Swiss Franc | | | | 7,850,000 | | | | 8/30/16 | | | | 14,574 | |
| Citigroup Global Markets, Inc. | | Japanese Yen | | | 1,386,000,000 | | | | U.S. Dollar | | | | 13,299,174 | | | | 8/22/16 | | | | (145,470 | ) |
| Citigroup Global Markets, Inc. | | U.S. Dollar | | | 6,774,510 | | | | Japanese Yen | | | | 691,000,000 | | | | 8/22/16 | | | | (71,588 | ) |
| Goldman Sachs Bank USA | | Canadian Dollar | | | 5,111,000 | | | | U.S. Dollar | | | | 3,903,568 | | | | 7/29/16 | | | | (52,941 | ) |
| JPMorgan Chase Bank, N.A. | | Indian Rupee | | | 535,000,000 | | | | U.S. Dollar | | | | 7,940,042 | | | | 8/05/16 | | | | 64,867 | |
| JPMorgan Chase Bank, N.A. | | U.S. Dollar | | | 7,861,289 | | | | Indian Rupee | | | | 535,000,000 | | | | 8/05/16 | | | | 13,886 | |
| Morgan Stanley Capital Services LLC | | South African Rand | | | 117,000,000 | | | | U.S. Dollar | | | | 7,509,194 | | | | 7/20/16 | | | | (401,902 | ) |
| | | | | | | | | | | | | | | | | | | | | $ | (727,804 | ) |
Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Notional
Amount | | Fund
Pay/Receive
Floating
Rate | | | Floating
Rate Index | | | Fixed Rate
(Annualized) | | | Fixed Rate
Payment
Frequency | | | Termination
Date | | | Value | | | Variation
Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
Morgan Stanley Capital Services LLC* | | $26,000,000 | | | Receive | | | | 3-Month
USD
-LIBOR
-ICE | | | | 2.743 | % | | | Semi
-Annually | | | | 4/15/24 | | | $ | (3,083,040 | ) | | $ | 46,627 | | | $ | (3,083,040 | ) |
| * | Citigroup Global Markets, Inc. is the clearing broker for this transaction. |
Credit Default Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Referenced
Entity | | Buy/Sell
Protection
(16) | | | Current
Credit
Spread
(17) | | | Notional
Amount | | | Fixed
Rate
(Annualized) | | | Termination
Date | | | Value | | | Variation
Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
Citigroup Global Markets, Inc. | | Markit iTraxx Europe
Crossover | | | Sell | | | | 3.52 | % | | $ | 5,900,000 | | | | 5.000 | % | | | 6/20/21 | | | $ | 393,001 | | | $ | 52,153 | | | $ | (109,378 | ) |
| * | Citigroup Global Markets, Inc. is also the clearing broker for this transaction. |
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Contract
Position | | | Number of
Contracts | | | Contract
Expiration | | | Notional
Amount at
Value* | | | Variation
Margin
Receivable/
(Payable) | | | Unrealized
Appreciation
(Depreciation) | |
U.S. Treasury 5-Year Note | | | Short | | | | (163 | ) | | | 9/16 | | | $ | (19,912,742 | ) | | $ | (12,734 | ) | | $ | (150,659 | ) |
U.S. Treasury 10-Year Note | | | Short | | | | (919 | ) | | | 9/16 | | | | (122,212,641 | ) | | | 71,797 | | | | (3,218,963 | ) |
U.S. Treasury Long Bond | | | Short | | | | (44 | ) | | | 9/16 | | | | (7,583,125 | ) | | | 28,875 | | | | (267,140 | ) |
U.S. Treasury Ultra Bond | | | Long | | | | 291 | | | | 9/16 | | | | 54,235,125 | | | | (263,719 | ) | | | 3,480,616 | |
| | | | | | | | | | | | | | | $ | (95,473,383 | ) | | $ | (175,781 | ) | | $ | (156,146 | ) |
| * | Total aggregate Notional Amount at Value of long and short positions is $54,235,125 and $(149,708,508). |
| | 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) | Investment valued at fair value using methods determined in good faith by, or at discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information. |
| (4) | For financial reporting purposes ratings disclosed (not covered by the report of independent registered public accounting firm) are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (5) | Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $102,580,963. |
| (6) | 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. |
| (7) | 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. |
| (8) | 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. |
| (9) | For fair value measurement disclosure purposes, investment classified as Level 2. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information. |
| (10) | Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted. |
| (11) | Perpetual security. Maturity date is not applicable. |
| (12) | Principal Amount (000) rounds to less than $1,000. |
| (13) | The rate shown is the annualized seven-day effective yield as of the end of the reporting period. |
| (14) | The Fund may loan securities representing up to one third of the fair value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks and other institutions. The Fund maintains collateral equal to at least 100% of the fair value of the securities loaned. The cash collateral received by the Fund is invested in this money market fund. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Securities Lending for more information. |
| (15) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| (16) | The Fund entered into the credit default swaps to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning the referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short. |
| (17) | The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of higher likelihood of performance by the seller of protection. |
| (I/O) | Interest only security. |
| Reg S | Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States. |
| TBA | To be announced. Maturity date not known prior to settlement of this transaction. |
| 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. |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. |
| (WI/DD) | Purchased on a when-issued or delayed delivery basis. |
| USD-LIBOR-ICE | United States Dollar – London Inter-Bank Offered Rate – Intercontinental Exchange. |
See accompanying notes to financial statements.
Statement of
| | | | |
| | Assets and Liabilities | | June 30, 2016 |
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
Assets | | | | | | | | | | | | |
Long-term investments, at value (cost $13,346,865, $390,937,167 and $788,013,307, respectively) | | $ | 13,319,784 | | | $ | 342,104,332 | | | $ | 782,221,991 | |
Investments purchased with collateral from securities lending, at value (cost approximates value) | | | — | | | | 73,403,049 | | | | 105,884,834 | |
Short-term investments, at value (cost approximates value) | | | 879,344 | | | | — | | | | 7,256,915 | |
Cash denominated in foreign currencies (cost $—, $— and $936, respectively) | | | — | | | | — | | | | 937 | |
Cash | | | — | | | | 442,261 | | | | — | |
Cash collateral at brokers(1) | | | 62,240 | | | | 154,400 | | | | 2,100,938 | |
Credit default swap premiums paid | | | 8,524 | | | | — | | | | 502,379 | |
Unrealized appreciation on forward foreign currency exchange contracts, net | | | 100,764 | | | | 20,014 | | | | 78,753 | |
Receivable for: | | | | | | | | | | | | |
Dividends | | | 1,359 | | | | 187,221 | | | | 39,392 | |
Due from broker | | | — | | | | 43,944 | | | | 43,237 | |
Interest | | | 143,407 | | | | 6,761,283 | | | | 10,123,848 | |
Investments sold | | | 594,532 | | | | 36,280,088 | | | | 29,621,673 | |
Reclaims | | | 1,190 | | | | — | | | | — | |
Reimbursement from Adviser | | | 7,611 | | | | — | | | | — | |
Shares sold | | | — | | | | 5,113,162 | | | | 911,458 | |
Variation margin on futures contracts | | | 547 | | | | — | | | | 100,672 | |
Variation margin on swap contracts | | | 2,847 | | | | — | | | | 98,780 | |
Other assets | | | 19,546 | | | | 54,348 | | | | 45,231 | |
Total assets | | | 15,141,695 | | | | 464,564,102 | | | | 939,031,038 | |
Liabilities | | | | | | | | | | | | |
Borrowings | | | — | | | | 20,000,000 | | | | — | |
Cash overdraft denominated in foreign currencies (cost $16,183, $— and $—, respectively) | | | 16,166 | | | | — | | | | — | |
Unrealized depreciation on forward foreign currency exchange contracts, net | | | 18,470 | | | | 87,313 | | | | 806,557 | |
Payable for: | | | | | | | | | | | | |
Collateral from securities lending program | | | — | | | | 73,403,049 | | | | 105,884,834 | |
Dividends | | | 38,140 | | | | 901,476 | | | | 1,437,314 | |
Investments purchased | | | 1,318,879 | | | | 2,932,751 | | | | 31,185,025 | |
Shares redeemed | | | 1,583 | | | | 1,714,667 | | | | 5,910,800 | |
Variation margin on futures contracts | | | 703 | | | | 17,500 | | | | 276,453 | |
Accrued expenses: | | | | | | | | | | | | |
Management fees | | | — | | | | 199,647 | | | | 287,531 | |
Directors/Trustees fees | | | 76 | | | | 28,890 | | | | 44,390 | |
12b-1 distribution and service fees | | | 428 | | | | 64,726 | | | | 116,492 | |
Other | | | 74,098 | | | | 171,777 | | | | 301,176 | |
Total liabilities | | | 1,468,543 | | | | 99,521,796 | | | | 146,250,572 | |
Net assets | | $ | 13,673,152 | | | $ | 365,042,306 | | | $ | 792,780,466 | |
| (1) | Cash pledged to collateralize the net payment obligations for investments in derivatives. |
See accompanying notes to financial statements.
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
Class A Shares | | | | | | | | | | | | |
Net assets | | $ | 1,011,872 | | | $ | 114,537,280 | | | $ | 187,052,003 | |
Shares outstanding | | | 55,980 | | | | 15,870,421 | | | | 17,776,474 | |
Net asset value (“NAV”) per share | | $ | 18.08 | | | $ | 7.22 | | | $ | 10.52 | |
Offering price per share (NAV per share plus maximum sales charge of 4.75%, 4.75%, 4.25%, respectively, of offering price) | | $ | 18.98 | | | $ | 7.58 | | | $ | 10.99 | |
Class C Shares | | | | | | | | | | | | |
Net assets | | $ | 252,545 | | | $ | 41,662,648 | | | $ | 89,173,444 | |
Shares outstanding | | | 13,905 | | | | 5,779,593 | | | | 8,522,831 | |
NAV and offering price per share | | $ | 18.16 | | | $ | 7.21 | | | $ | 10.46 | |
Class R3 Shares | | | | | | | | | | | | |
Net assets | | $ | 44,467 | | | $ | 833,765 | | | $ | 7,646,594 | |
Shares outstanding | | | 2,452 | | | | 113,149 | | | | 724,009 | |
NAV and offering price per share | | $ | 18.13 | | | $ | 7.37 | | | $ | 10.56 | |
Class R6 Shares | | | | | | | | | | | | |
Net assets | | $ | — | | | $ | — | | | $ | 33,371,964 | |
Shares outstanding | | | — | | | | — | | | | 3,171,447 | |
NAV and offering price per share | | $ | — | | | $ | — | | | $ | 10.52 | |
Class I Shares | | | | | | | | | | | | |
Net assets | | $ | 12,364,268 | | | $ | 208,008,613 | | | $ | 475,536,461 | |
Shares outstanding | | | 681,469 | | | | 28,747,869 | | | | 45,227,155 | |
NAV and offering price per share | | $ | 18.14 | | | $ | 7.24 | | | $ | 10.51 | |
Net assets consist of: | | | | | | | | | | | | |
Capital paid-in | | $ | 14,388,642 | | | $ | 506,958,362 | | | $ | 902,554,385 | |
Undistributed (Over-distribution of) net investment income | | | (178,645 | ) | | | 533,552 | | | | (5,931,705 | ) |
Accumulated net realized gain (loss) | | | (459,280 | ) | | | (93,823,054 | ) | | | (94,000,818 | ) |
Net unrealized appreciation (depreciation) | | | (77,565 | ) | | | (48,626,554 | ) | | | (9,841,396 | ) |
Net assets | | $ | 13,673,152 | | | $ | 365,042,306 | | | $ | 792,780,466 | |
Authorized shares – per class | | | Unlimited | | | | 2 billion | | | | 2 billion | |
Par value per share | | $ | 0.01 | | | $ | 0.0001 | | | $ | 0.0001 | |
See accompanying notes to financial statements.
Statement of
| | | | |
| | Operations | | Year Ended June 30, 2016 |
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
Investment Income | | | | | | | | | | | | |
Dividend income (net of foreign tax withheld of $—, $2,447 and $—, respectively) | | $ | 11,691 | | | $ | 2,724,955 | | | $ | 747,109 | |
Interest income (net of foreign tax withheld of $—, $1,476 and $3,397, respectively) | | | 666,811 | | | | 37,209,383 | | | | 52,643,983 | |
Securities lending income, net | | | — | | | | 356,293 | | | | 531,478 | |
Total investment income | | | 678,502 | | | | 40,290,631 | | | | 53,922,570 | |
Expenses | | | | | | | | | | | | |
Management fees | | | 83,417 | | | | 2,616,522 | | | | 4,983,407 | |
12b-1 service fees – Class A Shares | | | 3,499 | | | | 304,015 | | | | 584,057 | |
12b-1 distribution and service fees – Class C Shares | | | 2,138 | | | | 432,413 | | | | 989,679 | |
12b-1 distribution and service fees – Class R3 Shares | | | 218 | | | | 4,390 | | | | 47,997 | |
Shareholder servicing agent fees | | | 2,693 | | | | 367,868 | | | | 760,195 | |
Custodian fees | | | 72,442 | | | | 146,892 | | | | 281,666 | |
Directors/Trustees fees | | | 440 | | | | 11,325 | | | | 25,486 | |
Professional fees | | | 45,738 | | | | 66,263 | | | | 107,783 | |
Shareholder reporting expenses | | | 18,608 | | | | 40,735 | | | | 118,440 | |
Federal and state registration fees | | | 48,808 | | | | 83,169 | | | | 125,524 | |
Other | | | 13,381 | | | | 183,246 | | | | 41,673 | |
Total expenses before fee waiver/expense reimbursement | | | 291,382 | | | | 4,256,838 | | | | 8,065,907 | |
Fee waiver/expense reimbursement | | | (179,947 | ) | | | (554 | ) | | | (941,570 | ) |
Net expenses | | | 111,435 | | | | 4,256,284 | | | | 7,124,337 | |
Net investment income (loss) | | | 567,067 | | | | 36,034,347 | | | | 46,798,233 | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments and foreign currency | | | (1,454,774 | ) | | | (69,385,392 | ) | | | (70,792,612 | ) |
Forward foreign currency exchange contracts | | | 47,529 | | | | 1,656,267 | | | | 13,528,427 | |
Futures contracts | | | 19,342 | | | | 431,364 | | | | (4,939,649 | ) |
Swaps | | | (44,978 | ) | | | (556,245 | ) | | | (6,260,347 | ) |
Change in net unrealized appreciation (depreciation) of: | | | | | | | | | | | | |
Investments and foreign currency | | | 1,128,084 | | | | (7,410,663 | ) | | | 18,506,687 | |
Forward foreign currency exchange contracts | | | 189,522 | | | | (240,417 | ) | | | (1,335,064 | ) |
Futures contracts | | | (66,004 | ) | | | 547,980 | | | | 247,635 | |
Swaps | | | (88,943 | ) | | | 250,790 | | | | (1,362,803 | ) |
Net realized and unrealized gain (loss) | | | (270,222 | ) | | | (74,706,316 | ) | | | (52,407,726 | ) |
Net increase (decrease) in net assets from operations | | $ | 296,845 | | | $ | (38,671,969 | ) | | $ | (5,609,493 | ) |
See accompanying notes to financial statements.
Statement of
| | | | | | | | | | | | | | | | | | | | |
| | | Global Total Return Bond | | | | | | High Income Bond | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | | | | | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 567,067 | | | $ | 782,049 | | | | | | | $ | 36,034,347 | | | $ | 52,325,710 | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | | | | | |
Investments and foreign currency | | | (1,454,774 | ) | | | (326,542 | ) | | | | | | | (69,385,392 | ) | | | (34,123,226 | ) |
Forward foreign currency exchange contracts | | | 47,529 | | | | (250,808 | ) | | | | | | | 1,656,267 | | | | 13,219,277 | |
Futures contracts | | | 19,342 | | | | (182,445 | ) | | | | | | | 431,364 | | | | (578,896 | ) |
Swaps | | | (44,978 | ) | | | 13,589 | | | | | | | | (556,245 | ) | | | (1,827,472 | ) |
Change in net unrealized appreciation (depreciation) of: | | | | | | | | | | | | | | | | | | | | |
Investments and foreign currency | | | 1,128,084 | | | | (1,418,081 | ) | | | | | | | (7,410,663 | ) | | | (73,863,867 | ) |
Forward foreign currency exchange contracts | | | 189,522 | | | | (103,660 | ) | | | | | | | (240,417 | ) | | | 146,922 | |
Futures contracts | | | (66,004 | ) | | | 13,462 | | | | | | | | 547,980 | | | | (352,543 | ) |
Swaps | | | (88,943 | ) | | | (28,185 | ) | | | | | | | 250,790 | | | | 320,392 | |
Net increase (decrease) in net assets from operations | | | 296,845 | | | | (1,500,621 | ) | | | | | | | (38,671,969 | ) | | | (44,733,703 | ) |
Distributions to Shareholders | | | | | | | | | | | | | | | | | | | | |
From net investment income: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | (5,028 | ) | | | (64,249 | ) | | | | | | | (8,982,839 | ) | | | (10,263,959 | ) |
Class C Shares | | | (769 | ) | | | (6,623 | ) | | | | | | | (2,834,762 | ) | | | (3,494,239 | ) |
Class R3 Shares | | | (157 | ) | | | (1,868 | ) | | | | | | | (62,186 | ) | | | (68,691 | ) |
Class R6 Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class I Shares | | | (47,025 | ) | | | (798,173 | ) | | | | | | | (21,369,935 | ) | | | (37,801,973 | ) |
From accumulated net realized gains: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | — | | | | (20,483 | ) | | | | | | | — | | | | (1,298,112 | ) |
Class C Shares | | | — | | | | (2,560 | ) | | | | | | | — | | | | (551,922 | ) |
Class R3 Shares | | | — | | | | (670 | ) | | | | | | | — | | | | (10,919 | ) |
Class R6 Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class I Shares | | | — | | | | (250,904 | ) | | | | | | | — | | | | (5,141,766 | ) |
Return of capital: | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | (50,553 | ) | | | — | | | | | | | | — | | | | — | |
Class C Shares | | | (6,026 | ) | | | — | | | | | | | | — | | | | — | |
Class R3 Shares | | | (1,449 | ) | | | — | | | | | | | | — | | | | — | |
Class R6 Shares | | | — | | | | — | | | | | | | | — | | | | — | |
Class I Shares | | | (504,084 | ) | | | — | | | | | | | | — | | | | — | |
Decrease in net assets from distributions to shareholders | | | (615,091 | ) | | | (1,145,530 | ) | | | | | | | (33,249,722 | ) | | | (58,631,581 | ) |
Fund Share Transactions | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | 431,552 | | | | 1,078,129 | | | | | | | | 290,281,180 | | | | 477,217,806 | |
Proceeds from shares issued to shareholders due to reinvestment of distributions | | | 104,173 | | | | 364,059 | | | | | | | | 17,581,399 | | | | 25,563,889 | |
| | | 535,725 | | | | 1,442,188 | | | | | | | | 307,862,579 | | | | 502,781,695 | |
Cost of shares redeemed | | | (5,363,722 | ) | | | (688,048 | ) | | | | | | | (493,243,683 | ) | | | (779,613,360 | ) |
Net increase (decrease) in net assets from Fund share transactions | | | (4,827,997 | ) | | | 754,140 | | | | | | | | (185,381,104 | ) | | | (276,831,665 | ) |
Net increase (decrease) in net assets | | | (5,146,243 | ) | | | (1,892,011 | ) | | | | | | | (257,302,795 | ) | | | (380,196,949 | ) |
Net assets at the beginning of period | | | 18,819,395 | | | | 20,711,406 | | | | | | | | 622,345,101 | | | | 1,002,542,050 | |
Net assets at the end of period | | $ | 13,673,152 | | | $ | 18,819,395 | | | | | | | $ | 365,042,306 | | | $ | 622,345,101 | |
Undistributed (Over-distribution of) net investment income at the end of period | | $ | (178,645 | ) | | $ | (471,513 | ) | | | | | | $ | 533,552 | | | $ | 2,281,412 | |
See accompanying notes to financial statements.
Statement of Changes in Net Assets (continued)
| | | | | | | | |
| | | Strategic Income | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
Operations | | | | | | | | |
Net investment income (loss) | | $ | 46,798,233 | | | $ | 47,638,574 | |
Net realized gain (loss) from: | | | | | | | | |
Investments and foreign currency | | | (70,792,612 | ) | | | (9,317,210 | ) |
Forward foreign currency exchange contracts | | | 13,528,427 | | | | 18,051,609 | |
Futures contracts | | | (4,939,649 | ) | | | (6,149,196 | ) |
Swaps | | | (6,260,347 | ) | | | (863,146 | ) |
Change in net unrealized appreciation (depreciation) of: | | | | | | | | |
Investments and foreign currency | | | 18,506,687 | | | | (56,122,617 | ) |
Forward foreign currency exchange contracts | | | (1,335,064 | ) | | | 790,473 | |
Futures contracts | | | 247,635 | | | | (495,755 | ) |
Swaps | | | (1,362,803 | ) | | | (1,179,760 | ) |
Net increase (decrease) in net assets from operations | | | (5,609,493 | ) | | | (7,647,028 | ) |
Distributions to Shareholders | | | | | | | | |
From net investment income: | | | | | | | | |
Class A Shares | | | (11,921,409 | ) | | | (10,648,005 | ) |
Class C Shares | | | (4,273,552 | ) | | | (3,444,106 | ) |
Class R3 Shares | | | (464,157 | ) | | | (433,800 | ) |
Class R6 Shares | | | (1,603,676 | ) | | | (447,293 | ) |
Class I Shares | | | (31,361,137 | ) | | | (37,555,701 | ) |
From accumulated net realized gains: | | | | | | | | |
Class A Shares | | | — | | | | — | |
Class C Shares | | | — | | | | — | |
Class R3 Shares | | | — | | | | — | |
Class R6 Shares | | | — | | | | — | |
Class I Shares | | | — | | | | — | |
Return of capital: | | | | | | | | |
Class A Shares | | | — | | | | — | |
Class C Shares | | | — | | | | — | |
Class R3 Shares | | | — | | | | — | |
Class R6 Shares | | | — | | | | — | |
Class I Shares | | | — | | | | — | |
Decrease in net assets from distributions to shareholders | | | (49,623,931 | ) | | | (52,528,905 | ) |
Fund Share Transactions | | | | | | | | |
Proceeds from sale of shares | | | 192,983,898 | | | | 804,277,621 | |
Proceeds from shares issued to shareholders due to reinvestment of distributions | | | 28,548,825 | | | | 26,744,855 | |
| | | 221,532,723 | | | | 831,022,476 | |
Cost of shares redeemed | | | (578,746,922 | ) | | | (359,677,544 | ) |
Net increase (decrease) in net assets from Fund share transactions | | | (357,214,199 | ) | | | 471,344,932 | |
Net increase (decrease) in net assets | | | (412,447,623 | ) | | | 411,168,999 | |
Net assets at the beginning of period | | | 1,205,228,089 | | | | 794,059,090 | |
Net assets at the end of period | | $ | 792,780,466 | | | $ | 1,205,228,089 | |
Undistributed (Over-distribution of) net investment income at the end of period | | $ | (5,931,705 | ) | | $ | 14,977,584 | |
See accompanying notes to financial statements.
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Financial
Highlights
Global Total Return Bond
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 (12/11) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 18.35 | | | $ | 0.65 | | | $ | (0.22 | ) | | $ | 0.43 | | | | | | | $ | (0.06 | ) | | $ | — | | | $ | (0.64 | ) | | $ | (0.70 | ) | | $ | 18.08 | |
2015 | | | 20.97 | | | | 0.73 | | | | (2.26 | ) | | | (1.53 | ) | | | | | | | (0.82 | ) | | | (0.27 | ) | | | — | | | | (1.09 | ) | | | 18.35 | |
2014 | | | 20.54 | | | | 0.79 | | | | 0.68 | | | | 1.47 | | | | | | | | (0.73 | ) | | | (0.31 | ) | | | — | | | | (1.04 | ) | | | 20.97 | |
2013 | | | 21.19 | | | | 0.72 | | | | (0.14 | ) | | | 0.58 | | | | | | | | (0.86 | ) | | | (0.37 | ) | | | — | | | | (1.23 | ) | | | 20.54 | |
2012(d) | | | 20.00 | | | | 0.41 | | | | 1.07 | | | | 1.48 | | | | | | | | (0.29 | ) | | | — | | | | — | | | | (0.29 | ) | | | 21.19 | |
Class C (12/11) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 18.44 | | | | 0.50 | | | | (0.21 | ) | | | 0.29 | | | | | | | | (0.06 | ) | | | — | | | | (0.51 | ) | | | (0.57 | ) | | | 18.16 | |
2015 | | | 21.04 | | | | 0.58 | | | | (2.26 | ) | | | (1.68 | ) | | | | | | | (0.65 | ) | | | (0.27 | ) | | | — | | | | (0.92 | ) | | | 18.44 | |
2014 | | | 20.58 | | | | 0.63 | | | | 0.70 | | | | 1.33 | | | | | | | | (0.56 | ) | | | (0.31 | ) | | | — | | | | (0.87 | ) | | | 21.04 | |
2013 | | | 21.18 | | | | 0.56 | | | | (0.10 | ) | | | 0.46 | | | | | | | | (0.69 | ) | | | (0.37 | ) | | | — | | | | (1.06 | ) | | | 20.58 | |
2012(d) | | | 20.00 | | | | 0.29 | | | | 1.13 | | | | 1.42 | | | | | | | | (0.24 | ) | | | — | | | | — | | | | (0.24 | ) | | | 21.18 | |
Class R3 (12/11) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 18.41 | | | | 0.60 | | | | (0.22 | ) | | | 0.38 | | | | | | | | (0.06 | ) | | | — | | | | (0.60 | ) | | | (0.66 | ) | | | 18.13 | |
2015 | | | 21.03 | | | | 0.68 | | | | (2.27 | ) | | | (1.59 | ) | | | | | | | (0.76 | ) | | | (0.27 | ) | | | — | | | | (1.03 | ) | | | 18.41 | |
2014 | | | 20.58 | | | | 0.74 | | | | 0.69 | | | | 1.43 | | | | | | | | (0.67 | ) | | | (0.31 | ) | | | — | | | | (0.98 | ) | | | 21.03 | |
2013 | | | 21.20 | | | | 0.66 | | | | (0.11 | ) | | | 0.55 | | | | | | | | (0.80 | ) | | | (0.37 | ) | | | — | | | | (1.17 | ) | | | 20.58 | |
2012(d) | | | 20.00 | | | | 0.35 | | | | 1.13 | | | | 1.48 | | | | | | | | (0.28 | ) | | | — | | | | — | | | | (0.28 | ) | | | 21.20 | |
Class I (12/11) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 18.42 | | | | 0.69 | | | | (0.22 | ) | | | 0.47 | | | | | | | | (0.06 | ) | | | — | | | | (0.69 | ) | | | (0.75 | ) | | | 18.14 | |
2015 | | | 21.05 | | | | 0.78 | | | | (2.27 | ) | | | (1.49 | ) | | | | | | | (0.87 | ) | | | (0.27 | ) | | | — | | | | (1.14 | ) | | | 18.42 | |
2014 | | | 20.61 | | | | 0.84 | | | | 0.69 | | | | 1.53 | | | | | | | | (0.78 | ) | | | (0.31 | ) | | | — | | | | (1.09 | ) | | | 21.05 | |
2013 | | | 21.23 | | | | 0.77 | | | | (0.11 | ) | | | 0.66 | | | | | | | | (0.91 | ) | | | (0.37 | ) | | | — | | | | (1.28 | ) | | | 20.61 | |
2012(d) | | | 20.00 | | | | 0.42 | | | | 1.12 | | | | 1.54 | | | | | | | | (0.31 | ) | | | — | | | | — | | | | (0.31 | ) | | | 21.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average
Net Assets Before
Waiver/Reimbursement | | | | | | Ratios to Average
Net Assets After
Waiver/Reimbursement(c) | | | | |
| | | | | | | | |
Total
Return(b) | | | Ending
Net
Assets
(000) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | Portfolio
Turnover
Rate(e) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.42 | % | | $ | 1,012 | | | | | | | | 2.19 | % | | | 2.40 | % | | | | | | | 0.96 | % | | | 3.63 | % | | | 118 | % |
| | (7.45 | ) | | | 1,612 | | | | | | | | 1.82 | | | | 2.85 | | | | | | | | 0.96 | | | | 3.71 | | | | 89 | |
| | 7.45 | | | | 1,378 | | | | | | | | 2.03 | | | | 2.81 | | | | | | | | 0.97 | | | | 3.87 | | | | 109 | |
| | 2.47 | | | | 1,037 | | | | | | | | 2.16 | | | | 2.10 | | | | | | | | 0.97 | | | | 3.29 | | | | 176 | |
| | 7.42 | | | | 310 | | | | | | | | 2.44 | * | | | 1.99 | * | | | | | | | 0.98 | * | | | 3.46 | * | | | 116 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1.65 | | | | 253 | | | | | | | | 2.97 | | | | 1.57 | | | | | | | | 1.71 | | | | 2.82 | | | | 118 | |
| | (8.15 | ) | | | 204 | | | | | | | | 2.57 | | | | 2.11 | | | | | | | | 1.71 | | | | 2.96 | | | | 89 | |
| | 6.74 | | | | 204 | | | | | | | | 2.77 | | | | 2.06 | | | | | | | | 1.72 | | | | 3.11 | | | | 109 | |
| | 1.94 | | | | 158 | | | | | | | | 2.99 | | | | 1.29 | | | | | | | | 1.72 | | | | 2.56 | | | | 176 | |
| | 7.10 | | | | 53 | | | | | | | | 2.74 | * | | | 1.41 | * | | | | | | | 1.72 | * | | | 2.42 | * | | | 116 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.16 | | | | 44 | | | | | | | | 2.45 | | | | 2.12 | | | | | | | | 1.21 | | | | 3.36 | | | | 118 | |
| | (7.72 | ) | | | 45 | | | | | | | | 2.07 | | | | 2.60 | | | | | | | | 1.21 | | | | 3.46 | | | | 89 | |
| | 7.26 | | | | 51 | | | | | | | | 2.26 | | | | 2.57 | | | | | | | | 1.22 | | | | 3.61 | | | | 109 | |
| | 2.34 | | | | 50 | | | | | | | | 2.31 | | | | 1.91 | | | | | | | | 1.22 | | | | 3.00 | | | | 176 | |
| | 7.38 | | | | 53 | | | | | | | | 2.24 | * | | | 1.91 | * | | | | | | | 1.23 | * | | | 2.92 | * | | | 116 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2.69 | | | | 12,364 | | | | | | | | 1.93 | | | | 2.66 | | | | | | | | 0.71 | | | | 3.87 | | | | 118 | |
| | (7.26 | ) | | | 16,958 | | | | | | | | 1.57 | | | | 3.10 | | | | | | | | 0.71 | | | | 3.95 | | | | 89 | |
| | 7.76 | | | | 19,078 | | | | | | | | 1.77 | | | | 3.09 | | | | | | | | 0.72 | | | | 4.13 | | | | 109 | |
| | 2.86 | | | | 16,392 | | | | | | | | 1.81 | | | | 2.41 | | | | | | | | 0.72 | | | | 3.50 | | | | 176 | |
| | 7.71 | | | | 14,767 | | | | | | | | 1.74 | * | | | 2.41 | * | | | | | | | 0.73 | * | | | 3.42 | * | | | 116 | |
| (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) | For the period December 2, 2011 (commencement of operations) through June 30, 2012. | |
| (e) | 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. | |
See accompanying notes to financial statements.
Financial Highlights (continued)
High Income Bond
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 | | | Total | | | Ending
NAV | |
Class A (8/01) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 8.23 | | | $ | 0.57 | | | $ | (1.05 | ) | | $ | (0.48 | ) | | | | | | $ | (0.53 | ) | | $ | — | | | $ | (0.53 | ) | | $ | 7.22 | |
2015 | | | 9.29 | | | | 0.55 | | | | (1.00 | ) | | | (0.45 | ) | | | | | | | (0.54 | ) | | | (0.07 | ) | | | (0.61 | ) | | | 8.23 | |
2014 | | | 8.99 | | | | 0.58 | | | | 0.53 | | | | 1.11 | | | | | | | | (0.61 | ) | | | (0.20 | ) | | | (0.81 | ) | | | 9.29 | |
2013 | | | 8.64 | | | | 0.63 | | | | 0.39 | | | | 1.02 | | | | | | | | (0.67 | ) | | | — | | | | (0.67 | ) | | | 8.99 | |
2012 | | | 9.05 | | | | 0.69 | | | | (0.38 | ) | | | 0.31 | | | | | | | | (0.69 | ) | | | (0.03 | ) | | | (0.72 | ) | | | 8.64 | |
Class C (8/01) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 8.22 | | | | 0.53 | | | | (1.07 | ) | | | (0.54 | ) | | | | | | | (0.47 | ) | | | — | | | | (0.47 | ) | | | 7.21 | |
2015 | | | 9.27 | | | | 0.49 | | | | (0.99 | ) | | | (0.50 | ) | | | | | | | (0.48 | ) | | | (0.07 | ) | | | (0.55 | ) | | | 8.22 | |
2014 | | | 8.98 | | | | 0.51 | | | | 0.52 | | | | 1.03 | | | | | | | | (0.54 | ) | | | (0.20 | ) | | | (0.74 | ) | | | 9.27 | |
2013 | | | 8.62 | | | | 0.56 | | | | 0.40 | | | | 0.96 | | | | | | | | (0.60 | ) | | | — | | | | (0.60 | ) | | | 8.98 | |
2012 | | | 9.01 | | | | 0.63 | | | | (0.37 | ) | | | 0.26 | | | | | | | | (0.62 | ) | | | (0.03 | ) | | | (0.65 | ) | | | 8.62 | |
Class R3 (9/01) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 8.40 | | | | 0.57 | | | | (1.08 | ) | | | (0.51 | ) | | | | | | | (0.52 | ) | | | — | | | | (0.52 | ) | | | 7.37 | |
2015 | | | 9.48 | | | | 0.53 | | | | (1.01 | ) | | | (0.48 | ) | | | | | | | (0.53 | ) | | | (0.07 | ) | | | (0.60 | ) | | | 8.40 | |
2014 | | | 9.17 | | | | 0.57 | | | | 0.54 | | | | 1.11 | | | | | | | | (0.60 | ) | | | (0.20 | ) | | | (0.80 | ) | | | 9.48 | |
2013 | | | 8.81 | | | | 0.62 | | | | 0.40 | | | | 1.02 | | | | | | | | (0.66 | ) | | | — | | | | (0.66 | ) | | | 9.17 | |
2012 | | | 9.23 | | | | 0.67 | | | | (0.38 | ) | | | 0.29 | | | | | | | | (0.68 | ) | | | (0.03 | ) | | | (0.71 | ) | | | 8.81 | |
Class I (8/01) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 8.26 | | | | 0.60 | | | | (1.07 | ) | | | (0.47 | ) | | | | | | | (0.55 | ) | | | — | | | | (0.55 | ) | | | 7.24 | |
2015 | | | 9.31 | | | | 0.57 | | | | (0.98 | ) | | | (0.41 | ) | | | | | | | (0.57 | ) | | | (0.07 | ) | | | (0.64 | ) | | | 8.26 | |
2014 | | | 9.01 | | | | 0.60 | | | | 0.53 | | | | 1.13 | | | | | | | | (0.63 | ) | | | (0.20 | ) | | | (0.83 | ) | | | 9.31 | |
2013 | | | 8.65 | | | | 0.66 | | | | 0.39 | | | | 1.05 | | | | | | | | (0.69 | ) | | | — | | | | (0.69 | ) | | | 9.01 | |
2012 | | | 9.05 | | | | 0.71 | | | | (0.37 | ) | | | 0.34 | | | | | | | | (0.71 | ) | | | (0.03 | ) | | | (0.74 | ) | | | 8.65 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average
Net Assets Before
Waiver/Reimbursement | | | | | | Ratios to Average
Net Assets After
Waiver/Reimbursement(c) | | | | |
| | | | | | | | |
Total
Return(b) | | | Ending
Net
Assets
(000) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | Portfolio
Turnover
Rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (5.48 | )% | | $ | 114,537 | | | | | | | | 1.03 | % | | | 7.99 | % | | | | | | | 1.03 | % | | | 7.99 | % | | | 91 | % |
| | (4.82 | ) | | | 119,535 | | | | | | | | 0.97 | | | | 6.31 | | | | | | | | 0.97 | | | | 6.31 | | | | 80 | |
| | 12.88 | | | | 209,830 | | | | | | | | 0.95 | | | | 6.37 | | | | | | | | 0.95 | | | | 6.37 | | | | 85 | |
| | 11.99 | | | | 141,132 | | | | | | | | 0.94 | | | | 6.92 | | | | | | | | 0.94 | | | | 6.92 | | | | 133 | |
| | 3.76 | | | | 92,018 | | | | | | | | 1.06 | | | | 7.98 | | | | | | | | 1.04 | | | | 7.99 | | | | 124 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (6.27 | ) | | | 41,663 | | | | | | | | 1.79 | | | | 7.26 | | | | | | | | 1.79 | | | | 7.26 | | | | 91 | |
| | (5.45 | ) | | | 55,409 | | | | | | | | 1.72 | | | | 5.62 | | | | | | | | 1.72 | | | | 5.62 | | | | 80 | |
| | 11.98 | | | | 71,974 | | | | | | | | 1.70 | | | | 5.64 | | | | | | | | 1.70 | | | | 5.64 | | | | 85 | |
| | 11.33 | | | | 67,466 | | | | | | | | 1.70 | | | | 6.21 | | | | | | | | 1.70 | | | | 6.21 | | | | 133 | |
| | 3.18 | | | | 48,667 | | | | | | | | 1.80 | | | | 7.26 | | | | | | | | 1.79 | | | | 7.27 | | | | 124 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (5.76 | ) | | | 834 | | | | | | | | 1.29 | | | | 7.78 | | | | | | | | 1.29 | | | | 7.78 | | | | 91 | |
| | (5.07 | ) | | | 995 | | | | | | | | 1.21 | | | | 6.03 | | | | | | | | 1.21 | | | | 6.03 | | | | 80 | |
| | 12.65 | | | | 1,099 | | | | | | | | 1.20 | | | | 6.09 | | | | | | | | 1.20 | | | | 6.09 | | | | 85 | |
| | 11.79 | | | | 697 | | | | | | | | 1.19 | | | | 6.69 | | | | | | | | 1.19 | | | | 6.69 | | | | 133 | |
| | 3.46 | | | | 615 | | | | | | | | 1.31 | | | | 7.66 | | | | | | | | 1.29 | | | | 7.68 | | | | 124 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (5.21 | ) | | | 208,009 | | | | | | | | 0.78 | | | | 8.12 | | | | | | | | 0.78 | | | | 8.12 | | | | 91 | |
| | (4.55 | ) | | | 446,406 | | | | | | | | 0.72 | | | | 6.56 | | | | | | | | 0.72 | | | | 6.56 | | | | 80 | |
| | 13.15 | | | | 719,640 | | | | | | | | 0.71 | | | | 6.61 | | | | | | | | 0.71 | | | | 6.61 | | | | 85 | |
| | 12.39 | | | | 495,863 | | | | | | | | 0.70 | | | | 7.24 | | | | | | | | 0.70 | | | | 7.24 | | | | 133 | |
| | 4.15 | | | | 465,299 | | | | | | | | 0.84 | | | | 8.19 | | | | | | | | 0.80 | | | | 8.23 | | | | 124 | |
| (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. For the period October 31, 2013 through June 29, 2016, the Adviser did not reimburse the Fund for any fees and expenses. | |
| (d) | 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. | |
See accompanying notes to financial statements.
Financial Highlights (continued)
Strategic Income
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 | | | Total | | | Ending
NAV | |
Class A (2/00) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | $ | 10.97 | | | $ | 0.50 | | | $ | (0.42 | ) | | $ | 0.08 | | | | | | | $ | (0.53 | ) | | $ | — | | | $ | (0.53 | ) | | $ | 10.52 | |
2015 | | | 11.60 | | | | 0.49 | | | | (0.58 | ) | | | (0.09 | ) | | | | | | | (0.54 | ) | | | — | | | | (0.54 | ) | | | 10.97 | |
2014 | | | 11.02 | | | | 0.53 | | | | 0.59 | | | | 1.12 | | | | | | | | (0.54 | ) | | | — | | | | (0.54 | ) | | | 11.60 | |
2013 | | | 10.83 | | | | 0.52 | | | | 0.16 | | | | 0.68 | | | | | | | | (0.49 | ) | | | — | | | | (0.49 | ) | | | 11.02 | |
2012 | | | 10.72 | | | | 0.44 | | | | 0.10 | | | | 0.54 | | | | | | | | (0.43 | ) | | | — | | | | (0.43 | ) | | | 10.83 | |
Class C (2/00) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 10.90 | | | | 0.42 | | | | (0.41 | ) | | | 0.01 | | | | | | | | (0.45 | ) | | | — | | | | (0.45 | ) | | | 10.46 | |
2015 | | | 11.52 | | | | 0.40 | | | | (0.57 | ) | | | (0.17 | ) | | | | | | | (0.45 | ) | | | — | | | | (0.45 | ) | | | 10.90 | |
2014 | | | 10.94 | | | | 0.44 | | | | 0.60 | | | | 1.04 | | | | | | | | (0.46 | ) | | | — | | | | (0.46 | ) | | | 11.52 | |
2013 | | | 10.76 | | | | 0.43 | | | | 0.16 | | | | 0.59 | | | | | | | | (0.41 | ) | | | — | | | | (0.41 | ) | | | 10.94 | |
2012 | | | 10.65 | | | | 0.36 | | | | 0.09 | | | | 0.45 | | | | | | | | (0.34 | ) | | | — | | | | (0.34 | ) | | | 10.76 | |
Class R3 (9/01) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 11.01 | | | | 0.48 | | | | (0.42 | ) | | | 0.06 | | | | | | | | (0.51 | ) | | | — | | | | (0.51 | ) | | | 10.56 | |
2015 | | | 11.64 | | | | 0.46 | | | | (0.57 | ) | | | (0.11 | ) | | | | | | | (0.52 | ) | | | — | | | | (0.52 | ) | | | 11.01 | |
2014 | | | 11.05 | | | | 0.51 | | | | 0.60 | | | | 1.11 | | | | | | | | (0.52 | ) | | | — | | | | (0.52 | ) | | | 11.64 | |
2013 | | | 10.88 | | | | 0.49 | | | | 0.15 | | | | 0.64 | | | | | | | | (0.47 | ) | | | — | | | | (0.47 | ) | | | 11.05 | |
2012 | | | 10.77 | | | | 0.41 | | | | 0.10 | | | | 0.51 | | | | | | | | (0.40 | ) | | | — | | | | (0.40 | ) | | | 10.88 | |
Class R6 (1/15) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 10.96 | | | | 0.53 | | | | (0.41 | ) | | | 0.12 | | | | | | | | (0.56 | ) | | | — | | | | (0.56 | ) | | | 10.52 | |
2015(f) | | | 11.22 | | | | 0.24 | | | | (0.25 | ) | | | (0.01 | ) | | | | | | | (0.25 | ) | | | — | | | | (0.25 | ) | | | 10.96 | |
Class I (2/00) | | | | | | | | | | | | | | | | | | | | | | | | | |
2016 | | | 10.96 | | | | 0.53 | | | | (0.42 | ) | | | 0.11 | | | | | | | | (0.56 | ) | | | — | | | | (0.56 | ) | | | 10.51 | |
2015 | | | 11.59 | | | | 0.52 | | | | (0.58 | ) | | | (0.06 | ) | | | | | | | (0.57 | ) | | | — | | | | (0.57 | ) | | | 10.96 | |
2014 | | | 11.01 | | | | 0.56 | | | | 0.59 | | | | 1.15 | | | | | | | | (0.57 | ) | | | — | | | | (0.57 | ) | | | 11.59 | |
2013 | | | 10.83 | | | | 0.55 | | | | 0.15 | | | | 0.70 | | | | | | | | (0.52 | ) | | | — | | | | (0.52 | ) | | | 11.01 | |
2012 | | | 10.71 | | | | 0.45 | | | | 0.12 | | | | 0.57 | | | | | | | | (0.45 | ) | | | — | | | | (0.45 | ) | | | 10.83 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average
Net Assets Before
Waiver/Reimbursement | | | | | | Ratios to Average
Net Assets After
Waiver/Reimbursement(c) | | | | |
| | | | | | | | |
Total
Return(b) | | | Ending
Net
Assets
(000) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | | | | Expenses | | | Net
Investment
Income
(Loss) | | | Portfolio
Turnover
Rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 0.94 | % | | $ | 187,052 | | | | | | | | 0.92 | % | | | 4.71 | % | | | | | | | 0.83 | % | | | 4.80 | % | | | 56 | % |
| | (0.80 | ) | | | 288,080 | | | | | | | | 0.92 | | | | 4.25 | | | | | | | | 0.82 | | | | 4.34 | | | | 47 | |
| | 10.46 | | | | 128,189 | | | | | | | | 0.91 | | | | 4.65 | | | | | | | | 0.84 | | | | 4.73 | | | | 50 | |
| | 6.25 | | | | 72,341 | | | | | | | | 0.90 | | | | 4.50 | | | | | | | | 0.84 | | | | 4.57 | | | | 69 | |
| | 5.14 | | | | 52,802 | | | | | | | | 0.93 | | | | 4.01 | | | | | | | | 0.85 | | | | 4.10 | | | | 199 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 0.20 | | | | 89,173 | | | | | | | | 1.67 | | | | 3.97 | | | | | | | | 1.58 | | | | 4.06 | | | | 56 | |
| | (1.50 | ) | | | 110,660 | | | | | | | | 1.67 | | | | 3.51 | | | | | | | | 1.57 | | | | 3.60 | | | | 47 | |
| | 9.59 | | | | 48,335 | | | | | | | | 1.66 | | | | 3.91 | | | | | | | | 1.59 | | | | 3.98 | | | | 50 | |
| | 5.50 | | | | 35,146 | | | | | | | | 1.65 | | | | 3.75 | | | | | | | | 1.59 | | | | 3.81 | | | | 69 | |
| | 4.32 | | | | 31,085 | | | | | | | | 1.67 | | | | 3.30 | | | | | | | | 1.60 | | | | 3.37 | | | | 199 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 0.70 | | | | 7,647 | | | | | | | | 1.17 | | | | 4.44 | | | | | | | | 1.08 | | | | 4.54 | | | | 56 | |
| | (1.01 | ) | | | 12,272 | | | | | | | | 1.17 | | | | 4.00 | | | | | | | | 1.07 | | | | 4.09 | | | | 47 | |
| | 10.19 | | | | 5,321 | | | | | | | | 1.16 | | | | 4.41 | | | | | | | | 1.09 | | | | 4.48 | | | | 50 | |
| | 5.89 | | | | 2,926 | | | | | | | | 1.15 | | | | 4.27 | | | | | | | | 1.09 | | | | 4.34 | | | | 69 | |
| | 4.83 | | | | 1,903 | | | | | | | | 1.19 | | | | 3.73 | | | | | | | | 1.12 | | | | 3.80 | | | | 199 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1.28 | | | | 33,372 | | | | | | | | 0.60 | | | | 5.07 | | | | | | | | 0.50 | | | | 5.17 | | | | 56 | |
| | (0.10 | ) | | | 20,498 | | | | | | | | 0.61 | * | | | 4.70 | * | | | | | | | 0.50 | * | | | 4.81 | * | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1.19 | | | | 475,536 | | | | | | | | 0.67 | | | | 4.95 | | | | | | | | 0.58 | | | | 5.05 | | | | 56 | |
| | (0.54 | ) | | | 773,719 | | | | | | | | 0.67 | | | | 4.48 | | | | | | | | 0.57 | | | | 4.57 | | | | 47 | |
| | 10.77 | | | | 612,214 | | | | | | | | 0.66 | | | | 4.92 | | | | | | | | 0.59 | | | | 5.00 | | | | 50 | |
| | 6.42 | | | | 517,292 | | | | | | | | 0.65 | | | | 4.75 | | | | | | | | 0.59 | | | | 4.81 | | | | 69 | |
| | 5.35 | | | | 534,608 | | | | | | | | 0.69 | | | | 4.19 | | | | | | | | 0.63 | | | | 4.26 | | | | 199 | |
| (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) | 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. | |
| (e) | For the period January 20, 2015 (commencement of operations) through June 30, 2015. | |
See accompanying notes to financial statements.
Notes to
Financial Statements
1. General Information and Significant Accounting Policies
General Information
Trust and Fund Information
Nuveen Investment Funds, Inc. and Nuveen Investment Trust (each a “Trust” and collectively, the “Trusts”), are open-end management investment companies registered under the Investment Company Act of 1940, as amended. Nuveen Investment Funds, Inc. is comprised of the Nuveen High Income Bond Fund (“High Income Bond”) and Nuveen Strategic Income Fund (“Strategic Income”), among others and Nuveen Investment Trust is comprised of the Nuveen Global Total Return Bond Fund (“Global Total Return Bond”), among others (each a “Fund” and collectively, the “Funds”), as diversified funds. Nuveen Investment Funds, Inc. was incorporated in the state of Maryland on August 20, 1987. Nuveen Investment Trust was organized as a Massachusetts business trust in May 6, 1996.
The end of the reporting period for the Funds is June 30, 2016, and the period covered by these Notes to Financial Statements is the fiscal year ended June 30, 2016 (the “current fiscal period”).
Investment Adviser
The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). Nuveen is an operating division of TIAA Global Asset Management. The Adviser is responsible for each Fund’s overall investment strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives and Principal Investment Strategies
Global Total Return Bond
Global Total Return Bond’s investment objective is to seek total return. 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, in bonds from issuers located around the world. The bonds in which the Fund may invest may be of any maturity and include: debt obligations of foreign governments; domestic and foreign corporate debt obligations, including obligations issued by special-purpose entities that are backed by corporate debt obligations; U.S. government securities (securities issued or guaranteed by the U.S. government or its agencies or instrumentalities); residential and commercial mortgage-backed securities; and asset-backed securities.
Under normal market conditions, the Fund invests at least 40% of its net assets in non-U.S. issuers and is invested in issuers located in at least three countries (including the U.S.). The Fund may invest in debt obligations issued by governmental and corporate issuers located in emerging markets countries.
The Fund invests in securities that are U.S. dollar-denominated and in securities that are denominated in foreign currencies. As described in more detail below, the Fund may utilize various currency-related derivatives in an effort to enhance the Fund’s total return or to manage risk.
Up to 30% of the Fund’s net assets may be invested in securities rated lower than investment grade or in unrated securities of comparable quality as determined by the Sub-Adviser (such securities commonly referred to as “high yield” securities or “junk” bonds). If the rating of a security is reduced or the credit quality of an unrated security declines after purchase, the Fund is not required to sell the security, but may consider doing so.
The Fund may utilize the following derivatives: options; futures contracts; options on futures contracts; interest rate caps, collars, and floors; foreign currency contracts; options on foreign currencies; swap agreements, including swap agreements on interest rates, currency rates, security indexes and specific securities, and credit default swap agreements; and options on foregoing types of swap agreements. The Fund may enter into standardized derivatives contracts traded on domestic or foreign securities exchanges, boards of trade, or similar entities, and non-standardized derivatives contracts traded in the over-the-counter (“OTC”) market. The Fund may use these derivatives in an attempt to manage market risk, currency risk, credit risk and yield curve risk, to manage the effective maturity or duration of securities in the Fund’s portfolio or for speculative purposes in an effort to enhance returns. The Fund may also use derivatives to gain exposure to non-dollar denominated securities markets to the extent it does not do so through direct investments. The use of a derivative is speculative if the Fund is primarily seeking to enhance returns, rather than offset the risk of other positions. The Fund may not use any derivative to gain exposure to a security or type of security that it would be prohibited by its investment restrictions from purchasing directly.
High Income Bond
High Income Bond’s investment objective is to provide investors with a high level of current income. 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 in bonds rated lower than investment grade at the time of purchase or in unrated bonds of comparable quality (securities commonly referred to as “high-yield” securities or “junk” bonds). These bonds generally provide high income in an effort to compensate investors for their higher risk of default, which is the failure to make required interest or principal payments. High-yield bond issuers include small or relatively new companies lacking the history or capital to merit investment-grade status, former blue chip companies downgraded because of financial problems, companies electing to borrow heavily to finance or avoid a takeover or buyout, and firms with heavy debt loads. The Fund may invest up to 20% of its net assets in fixed and floating rate loans, including senior loans and secured and unsecured junior loans. The Fund may invest in exchange-traded funds (“ETFs”), closed-end funds and other investment companies.
There is no minimum rating requirement and no limitation on the average maturity or average effective duration of securities held by the Fund.
The Fund may invest without limitation in debt obligations of foreign corporations and governments, provided that no more than 20% of the Fund’s total assets may be invested in debt obligations issued by governmental and corporate issuers that are located in emerging market countries. A country is considered to have an “emerging market” if it has a relatively low gross national product per capita compared to the world’s major economies, and the potential for rapid economic growth, provided that no issuer included in the Fund’s current benchmark index will be considered to be located in an emerging market country.
The Fund may utilize the following derivatives: options; futures contracts; options on futures contracts; foreign currency contracts; options on foreign currencies; swap agreements, including interest rate swaps, currency swaps, total return swaps, and credit default swaps; and options on swap agreements. The Fund may use these derivatives in an attempt to manage market risk, currency risk, credit risk and yield curve risk, to manage the effective maturity or duration of securities in the Fund’s portfolio or for speculative purposes in an effort to increase the Fund’s yield or to enhance returns. The use of a derivative is speculative if the Fund is primarily seeking to enhance returns, rather than offset the risk of other positions.
Strategic Income
Strategic Income’s investment objective is to provide investors with total return. 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 in debt securities, including U.S. government securities (securities issued or guaranteed by the U.S. government or its agencies or instrumentalities), residential and commercial mortgage-backed securities, asset-backed securities, domestic and foreign corporate debt obligations, including obligations issued by special-purpose entities that are backed by corporate debt obligations and debt obligations of foreign governments. The Fund may invest in fixed and floating rate loans, including senior loans and secured and unsecured junior loans, in an amount not to exceed 20% of the Fund’s net assets and municipal securities in an amount not to exceed 20% of net assets.
The Fund may invest up to 30% of its total assets in non-U.S. dollar denominated debt obligations of foreign corporations and governments, including debt obligations issued by governmental and corporate issuers that are located in emerging market countries. The Fund may invest without limitation in U.S. dollar denominated securities of foreign issuers.
The Fund may invest up to 50% of its total assets in securities rated lower than investment grade or unrated securities of comparable quality as determined by the Sub-Adviser (securities commonly referred to as “high yield” securities or “junk” bonds). The Fund will not invest in securities rated lower than CCC at the time of purchase or in unrated securities of comparable quality as determined by the Sub-Adviser. If the rating of a security is reduced or the credit quality of an unrated security declines after purchase, the Fund is not required to sell the security, but may consider doing so. Unrated securities will not exceed 25% of the Fund’s total assets.
To generate additional income, the Fund may invest up to 25% of its total assets in dollar roll transactions. In a dollar roll transaction, the Fund sells mortgage-backed securities for delivery in the current month while contracting with the same party to repurchase similar securities at a future date.
Under normal market conditions the Fund attempts to maintain a weighted average effective maturity for its portfolio securities of fifteen years or less and an average effective duration of three to eight years. The Fund’s weighted average effective maturity and average effective duration are measures of how the value of the Fund’s shares may react to interest rate changes.
The Fund may utilize the following derivatives: options; futures contracts; options on futures contracts; interest rate caps, collars, and floors; foreign currency contracts; options on foreign currencies; swap agreements, including swap agreements on interest rates, currency rates, security indexes and specific securities, and credit default swap agreements; and options on the foregoing types of swap agreements. The Fund may enter into standardized derivatives contracts traded on domestic or foreign securities exchanges, boards of trade, or similar entities, and non-standardized derivatives contracts traded in the OTC market. The Fund may use these derivatives in an attempt to manage market risk, currency risk, credit risk and yield curve risk, to manage the effective maturity or duration of securities in the Fund’s portfolio or for speculative purposes in an effort to increase the Fund’s yield or to enhance returns. The Fund may also use derivatives to gain exposure to non-dollar denominated securities markets to the extent it does not do so through direct investments. The use of a derivative is speculative if the Fund is primarily seeking to enhance returns, rather than offset the risk of other positions. The Fund may not use any derivative to gain exposure to a security or type of security that it would be prohibited by its investment restrictions from purchasing directly.
Notes to Financial Statements (continued)
The Funds’ most recent prospectus provides further descriptions of each Fund’s investment objective, principal investment strategies and principal risks.
Significant Accounting Policies
Each 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 Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States of America (“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 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 Funds have earmarked securities in their portfolios 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 Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Outstanding when-issued/delayed delivery purchase commitments | | $ | 725,652 | | | $ | 970,000 | | | $ | 15,703,278 | |
Investment Income
Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects pay down gains and losses, if any. 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, if any, are recognized as a component of “Interest income” on the Statement of Operations. Securities lending income is comprised of fees earned from borrowers and income earned on cash collateral investments, net of lending agent fees.
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”) if redeemed within eighteen months of purchase. Such CDSC will be equal to 1.00% for any shares purchased on or after November 1, 2015. 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 1.00% if redeemed within twelve months of purchase. Class R3 Shares are sold without an up-front sales charge but incur a 0.25% annual 12b-1 distribution fee and a 0.25% annual 12b-1 service fee. Class R6 and 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 Funds 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.
Sub-transfer agent fees, which are recognized as a component of “Shareholder servicing agent fees” on the Statement of Operations, are not charged to Class R6 Shares and are prorated among the other classes based on their relative net assets.
Realized and unrealized capital gains and losses of the Funds are prorated among the classes based on the relative net assets of each class.
Indemnifications
Under each Trust’s organizational documents, its officers and directors/trustees are indemnified against certain liabilities arising out of the performance of their duties to each Trust. In addition, in the normal course of business, each Trust enters into contracts that provide general indemnifications to other parties. Each Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Trust that have not yet occurred. However, each 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 Funds may enter into transactions subject to enforceable master repurchase agreements (Global Total Return Bond only), International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each 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, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds’ 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 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.
ETFs 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.
Investments in investment companies are valued at their respective NAVs on valuation date and are generally classified as Level 1.
Prices of fixed-income securities are provided by an independent pricing service (“pricing service”) approved by the Funds’ Board of Directors/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
Notes to Financial Statements (continued)
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 Funds invest 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 forward foreign currency exchange contracts and swap contracts are also priced by an independent pricing service approved by the Board using the same methods as described above, and are generally classified as Level 2.
Futures contracts are valued using the closing settlement price or, in the absence of such a price, the last traded price and are generally classified as Level 1.
Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.
Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.
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 a 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 each Fund’s fair value measurements as of the end of the reporting period:
| | | | | | | | | | | | | | | | |
| Global Total Return Bond | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Long-Term Investments*: | | | | | | | | | | | | | | | | |
Convertible Preferred Securities | | $ | 89,625 | | | $ | — | | | $ | — | | | $ | 89,625 | |
Corporate Bonds | | | — | | | | 5,253,508 | | | | — | **** | | | 5,253,508 | |
$1,000 Par (or similar) Institutional Preferred | | | — | | | | 1,286,389 | | | | — | | | | 1,286,389 | |
Asset-Backed and Mortgage-Backed Securities | | | — | | | | 796,259 | | | | — | | | | 796,259 | |
Sovereign Debt | | | — | | | | 5,894,003 | | | | — | | | | 5,894,003 | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | — | | | | 879,344 | | | | — | | | | 879,344 | |
| Investments in Derivatives: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts*** | | | — | | | | 82,294 | | | | — | | | | 82,294 | |
Interest Rate Swaps*** | | | — | | | | (88,328 | ) | | | — | | | | (88,328 | ) |
Credit Default Swaps*** | | | — | | | | (1,863 | ) | | | — | | | | (1,863 | ) |
Futures Contracts*** | | | (43,183 | ) | | | — | | | | — | | | | (43,183 | ) |
| Total | | $ | 46,442 | | | $ | 14,101,606 | | | $ | — | | | $ | 14,148,048 | |
| | | | | | | | | | | | | | | | |
| High Income Bond | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Long-Term Investments*: | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 1,600,089 | | | $ | — | | | $ | 64,296 | ** | | $ | 1,664,385 | |
Convertible Preferred Securities | | | 5,944,225 | | | | — | | | | — | | | | 5,944,225 | |
Variable Rate Senior Loan Interests | | | — | | | | 17,703,638 | | | | — | | | | 17,703,638 | |
$25 Par (or similar) Retail Preferred | | | 11,897,707 | | | | 1,793,378 | ** | | | — | | | | 13,691,085 | |
Corporate Bonds | | | — | | | | 276,855,728 | | | | — | **** | | | 276,855,728 | |
Convertible Bonds | | | — | | | | 11,163 | | | | — | | | | 11,163 | |
$1,000 Par (or similar) Institutional Preferred | | | — | | | | 14,547,798 | | | | — | | | | 14,547,798 | |
Asset-Backed Securities | | | — | | | | 717 | | | | — | | | | 717 | |
Investment Companies | | | 11,685,492 | | | | — | | | | — | | | | 11,685,492 | |
Warrants | | | — | | | | 101 | | | | — | **** | | | 101 | |
| Investments Purchased with Collateral from Securities Lending | | | 73,403,049 | | | | — | | | | — | | | | 73,403,049 | |
| Investments in Derivatives: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts*** | | | — | | | | (67,299 | ) | | | — | | | | (67,299 | ) |
Futures Contracts*** | | | 272,463 | | | | — | | | | — | | | | 272,463 | |
| Total | | $ | 104,803,025 | | | $ | 310,845,224 | | | $ | 64,296 | | | $ | 415,712,545 | |
| | | | |
| Strategic Income | | | | | | | | | | | | |
| Long-Term Investments*: | | | | | | | | | | | | | | | | |
Common Stocks | | $ | — | | | $ | — | | | $ | 5,993 | ** | | $ | 5,993 | |
Convertible Preferred Securities | | | 1,204,725 | | | | — | | | | — | | | | 1,204,725 | |
Variable Rate Senior Loan Interests | | | — | | | | 12,504,405 | | | | — | | | | 12,504,405 | |
$25 Par (or similar) Retail Preferred | | | 259,200 | | | | 2,172,657 | ** | | | — | | | | 2,431,857 | |
Corporate Bonds | | | — | | | | 588,567,909 | | | | — | **** | | | 588,567,909 | |
$1,000 Par (or similar) Institutional Preferred | | | — | | | | 63,261,577 | | | | — | | | | 63,261,577 | |
Asset-Backed and Mortgage-Backed Securities | | | — | | | | 72,966,954 | | | | — | | | | 72,966,954 | |
Sovereign Debt | | | — | | | | 41,278,571 | | | | — | | | | 41,278,571 | |
| Investments Purchased with Collateral from Securities Lending | | | 105,884,834 | | | | — | | | | — | | | | 105,884,834 | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | | 7,256,915 | | | | — | | | | — | | | | 7,256,915 | |
| Investments in Derivatives: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts*** | | | — | | | | (727,804 | ) | | | — | | | | (727,804 | ) |
Interest Rate Swaps*** | | | — | | | | (3,083,040 | ) | | | — | | | | (3,083,040 | ) |
Credit Default Swaps*** | | | — | | | | (109,378 | ) | | | — | | | | (109,378 | ) |
Futures Contracts*** | | | (156,146 | ) | | | — | | | | — | | | | (156,146 | ) |
| Total | | $ | 114,449,528 | | | $ | 776,831,851 | | | $ | 5,993 | | | $ | 891,287,372 | |
| * | Refer to the Fund’s Portfolio of Investments for industry, state and/or country classifications, where applicable. |
| ** | Refer to the Fund’s Portfolio of Investments for securities classified as Level 2 and/or Level 3. |
| *** | Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
| **** | Value equals zero as of the end of the reporting period. Refer to the Fund’s Portfolio of Investments for securities classified as Level 3. |
The Board is responsible for the valuation process and has delegated 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 Funds’ 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 Funds, 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. |
Notes to Financial Statements (continued)
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
Foreign Currency Transactions
To the extent that the Funds invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because their currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.
As of the end of the reporting period, Global Total Return Bond’s investments in non-U.S. securities were as follows:
| | | | | | | | |
| Global Total Return Bond | | Value | | | % of
Net Assets | |
| Country: | | | | | | | | |
Germany | | $ | 1,639,766 | | | | 12.0 | % |
Mexico | | | 1,478,384 | | | | 10.8 | |
United Kingdom | | | 859,071 | | | | 6.3 | |
Canada | | | 841,724 | | | | 6.2 | |
France | | | 817,910 | | | | 6.0 | |
Australia | | | 718,355 | | | | 5.2 | |
Italy | | | 560,000 | | | | 4.1 | |
South Africa | | | 515,942 | | | | 3.8 | |
Argentina | | | 297,195 | | | | 2.2 | |
Switzerland | | | 235,021 | | | | 1.7 | |
Portugal | | | 232,525 | | | | 1.7 | |
Other | | | 1,868,978 | | | | 13.6 | |
| Total non-U.S. securities | | $ | 10,064,871 | | | | 73.6 | % |
The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern Time. Investment transactions, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Funds and the amounts actually received.
The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) foreign currency, (ii) investments, (iii) investments in derivatives and (iv) other assets and liabilities are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.
The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i)��investments and (ii) other assets and liabilities are recognized as a component of “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable. The unrealized gains and losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivative’s related “Change in net unrealized appreciation (depreciation)” on the Statement of Operations, when applicable.
Repurchase Agreements
Global Total Return Bond is authorized to invest in 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.
| | | | | | | | | | | | | | |
| Fund | | Counterparty | | Short-Term
Investments, at Value | | | Collateral
Pledged (From)
Counterparty* | | | Net
Exposure | |
| Global Total Return Bond | | Fixed Income Clearing Corporation | | $ | 879,344 | | | $ | (879,344 | ) | | $ | — | |
| * | 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. |
Securities lending
In order to generate additional income, High Income Bond and Strategic Income may lend securities representing up to one-third of the value of each Fund’s total assets (which includes collateral for securities on loan) to broker-dealers, banks or other institutions. When loaning securities, each Fund retains the benefits of owning the securities, including the economic equivalent of dividends or interest generated by the security. Each Fund also has the ability to recall the securities on loan at any time.
Each Fund’s policy is to receive, at the inception of a loan, cash collateral equal to at least 102% of the value of securities loaned, which is recognized as “Payable for collateral from securities lending program” on the Statement of Assets and Liabilities. Collateral for securities on loan is invested in a money market fund, which is recognized as “Investments purchased with collateral from securities lending, at value” on the Statement of Assets and Liabilities. The market value of the securities loaned is determined at the close of each business day in order to determine the adequacy of the collateral. If the value of the securities on loan increases such that the level of collateralization falls below 100%, additional collateral is received from the borrower on the next business day, which is recognized as “Due from broker” on the Statement of Assets and Liabilities.
Securities out on loan are subject to termination at any time at the option of the borrower or the Funds. Upon termination, the borrower is required to return to the Funds securities identical to the securities loaned. Generally, in the event the borrower defaults on its obligation to return the loaned securities, the Funds have the right to use the collateral to acquire identical securities. In the event the Funds are delayed or prevented from exercising its right to dispose of the collateral, there may be a loss to the Funds. Under each Fund’s securities lending agreement, however, the securities lending agent has indemnified the Fund against losses resulting from borrower default, except to the extent that those losses result from a decrease in the value of the collateral due to its investment by the Fund. The Funds bear the risk of loss with respect to the investment of collateral.
The Funds’ custodian, U.S. Bank National Association, serves as its securities lending agent. Each Fund pays the custodian a fee based on its proportional share of the custodian’s expense of operating its securities lending program. Income earned from the securities lending program is paid to the Fund, net of any fees paid. Income from securities lending, net of fees paid, is recognized as “Securities lending income, net” on the Statement of Operations.
The following table presents the securities out on loan for the Funds, and the collateral delivered related to those securities, as of the end of the reporting period.
| | | | | | | | | | | | | | |
| Fund | | Asset Class out on Loan | | Long-Term
Investments, at Value | | | Collateral
Pledged (From)
Counterparty* | | | Net
Exposure | |
High Income Bond | | | | | | | | | | | | | | |
| | Convertible Preferred Securities | | $ | 1,827,525 | | | $ | (1,827,525 | ) | | $ | — | |
| | Corporate Bonds | | | 62,628,514 | | | | (62,628,514 | ) | | | — | |
| | | $1,000 Par or Similar Institutional Preferred | | | 6,489,182 | | | | (6,489,182 | ) | | | — | |
| | | Total | | | $70,945,221 | | | $ | (70,945,221 | ) | | $ | — | |
Strategic Income | | | | | | | | | | | | | | |
| | Convertible Preferred Securities | | $ | 464,625 | | | $ | (464,625 | ) | | $ | — | |
| | Corporate Bonds | | | 90,256,162 | | | | (90,256,162 | ) | | | — | |
| | $1,000 Par or Similar Institutional Preferred | | | 9,461,576 | | | | (9,461,576 | ) | | | — | |
| | | Sovereign Debt | | | 2,398,600 | | | | (2,398,600 | ) | | | — | |
| | | Total | | | $102,580,963 | | | $ | (102,580,963 | ) | | $ | — | |
| * | As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the securities out on loan. Refer to the Fund’s Portfolio of Investments for details on the securities out on loan. |
Securities lending fees paid by each Fund during the current fiscal period were as follows:
| | | | | | | | |
| | | High Income
Bond | | | Strategic
Income | |
| Securities lending fees paid | | $ | 55,162 | | | $ | 77,960 | |
Notes to Financial Statements (continued)
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investments in Derivatives
Each Fund is authorized to invest in certain derivative instruments. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Forward Foreign Currency Exchange Contracts
Each Fund is authorized to enter into forward foreign currency exchange contracts (“forward contract”) under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency to “lock in” the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the Sub-Adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar or against another foreign currency.
A forward contract is an agreement between two parties to purchase or sell a specified quantity of a currency at or before a specified date in the future at a specified price. Forward contracts are typically traded in the OTC markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery.
Forward contracts are valued daily at the forward rate. The net amount recorded on these transactions for each counterparty is recognized as a component of “Unrealized appreciation and/or depreciation on forward foreign currency exchange contracts (, net)” on the Statement of Assets and Liabilities. The change in value of the forward contracts during the reporting period is recognized as a component of “Change in net unrealized appreciation (depreciation) of forward foreign currency exchange contracts” on the Statement of Operations. When the contract is closed or offset with the same counterparty, a Fund recognizes the difference between the value of the contract at the time it was entered and the value at the time it was closed or offset as a component of “Net realized gain (loss) from forward foreign currency exchange contracts” on the Statement of Operations.
Forward contracts will generally not be entered into for terms greater than three months, but may have maturities of up to six months or more. The use of forward contracts does not eliminate fluctuations in the underlying prices of a Fund’s investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reflected on the Statement of Assets and Liabilities. Forward contracts are subject to counterparty risk if the counterparty fails to perform as specified in the contract due to financial impairment or other reason.
During the current fiscal period, the Funds invested in forward foreign currency exchange contracts. Global Total Return Bond used foreign currency exchange contracts to gain exposure to selected foreign currencies, and in some cases, to hedge the currency risk present in a foreign bond. High Income Bond and Strategic Income used forward foreign currency exchange contracts to manage foreign currency exposure. High Income Bond used foreign currency exchange contracts to reduce unwanted currency exposure from its portfolio. Strategic Income, may reduce unwanted currency exposure from its portfolio, or may take long forward positions in select currencies in an attempt to benefit from the potential price appreciation.
The average notional amount of forward foreign currency exchange contracts outstanding during the current fiscal period was as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Average notional amount of forward foreign currency exchange contracts outstanding* | | $ | 12,271,597 | | | $ | 34,012,871 | | | $ | 141,562,030 | |
| * | 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 fair value of all forward foreign currency exchange contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
| | | | | | | | | | | | | | |
| | | | | Location on the Statement of Assets and Liabilities | |
| | | | | Asset Derivatives | | | (Liability) Derivatives | |
Underlying
Risk Exposure | | Derivative Instrument | | Location | | Value | | | Location | | Value | |
Global Total Return Bond | | | | | | | | | | | | | | |
| | | | | |
Foreign currency exchange rate | | Forward contracts | | Unrealized appreciation on forward foreign currency exchange contracts, net | | $ | 117,563 | | | Unrealized depreciation on
forward foreign currency
exchange contracts, net | | $ | (20,748 | ) |
Foreign currency exchange rate | | Forward contracts | | Unrealized appreciation on forward foreign currency exchange contracts, net | | | (16,799 | ) | | Unrealized depreciation on
forward foreign currency
exchange contracts, net | | | 2,278 | |
Total | | | | | | $ | 100,764 | | | | | $ | (18,470 | ) |
| | | | | |
High Income Bond | | | | | | | | | | | | | | |
| | | | | |
Foreign currency exchange rate | | Forward contracts | | Unrealized appreciation on forward foreign currency exchange contracts, net | | $ | 20,014 | | | Unrealized depreciation on
forward foreign currency
exchange contracts, net | | $ | (87,313 | ) |
| | | | | |
Strategic Income | | | | | | | | | | | | | | |
| | | | | |
Foreign currency exchange rate | | Forward contracts | | Unrealized appreciation on forward foreign currency exchange contracts, net | | $ | 78,753 | | | Unrealized depreciation on
forward foreign currency
exchange contracts, net | | $ | (907,066 | ) |
Foreign currency exchange rate | | Forward contracts | | — | | | — | | | Unrealized depreciation on
forward foreign currency
exchange contracts, net | | | 100,509 | |
Total | | | | | | $ | 78,753 | | | | | $ | (806,557 | ) |
The following table presents the forward foreign currency exchange contracts subject to netting agreements and the collateral delivered related to those forward foreign currency exchange contracts as of the end of the reporting period.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Counterparty | | Gross
Unrealized
Appreciation on
Forward Foreign
Currency Exchange
Contracts* | | | Gross
Unrealized
(Depreciation) on
Forward Foreign
Currency Exchange
Contracts* | | | Amounts
Netted on
Statement of
Assets and
Liabilities | | | Net Unrealized
Appreciation
(Depreciation) on
Forward Foreign
Currency Exchange
Contracts | | | Collateral
Pledged
to (from)
Counterparty | | | Net
Exposure | |
| Global Total Return Bond | | | | | | | | | | | | | | | | | | | | | | | | |
| | Bank of America, N.A. | | $ | 45,388 | | | $ | (9,604 | ) | | $ | (9,604 | ) | | $ | 35,784 | | | $ | — | | | $ | 35,784 | |
| | Citibank, National Association | | | 35,221 | | | | (6,963 | ) | | | (6,963 | ) | | | 28,258 | | | | — | | | | 28,258 | |
| | Deutsche Bank AG | | | 2,278 | | | | (15,975 | ) | | | 2,278 | | | | (13,697 | ) | | | — | | | | (13,697 | ) |
| | Goldman Sachs Bank USA | | | — | | | | (4,773 | ) | | | — | | | | (4,773 | ) | | | — | | | | (4,773 | ) |
| | JPMorgan Chase Bank, N.A. | | | 7,962 | | | | (232 | ) | | | (232 | ) | | | 7,730 | | | | — | | | | 7,730 | |
| | | Morgan Stanley Capital Services LLC | | | 28,992 | | | | — | | | | — | | | | 28,992 | | | | — | | | | 28,992 | |
Total | | | | $ | 119,841 | | | $ | (37,547 | ) | | $ | (14,521 | ) | | $ | 82,294 | | | $ | — | | | $ | 82,294 | |
| High Income Bond | | | | | | | | | | | | | | | | | | | | | |
| | Citigroup Global Markets, Inc. | | $ | 20,014 | | | $ | — | | | $ | — | | | $ | 20,014 | | | $ | — | | | $ | 20,014 | |
| | | Goldman Sachs Bank USA | | | — | | | | (87,313 | ) | | | — | | | | (87,313 | ) | | | — | | | | (87,313 | ) |
Total | | | | $ | 20,014 | | | $ | (87,313 | ) | | $ | — | | | $ | (67,299 | ) | | $ | — | | | $ | (67,299 | ) |
| Strategic Income | | | | | | | | | | | | | | | | | | | | | |
| | Bank of America, N.A. | | $ | 100,509 | | | $ | (235,165 | ) | | $ | 100,509 | | | $ | (134,656 | ) | | $ | — | | | $ | (134,656 | ) |
| | Citigroup Global Markets, Inc. | | | — | | | | (217,058 | ) | | | — | | | | (217,058 | ) | | | 217,058 | | | | — | |
| | Goldman Sachs Bank USA | | | — | | | | (52,941 | ) | | | — | | | | (52,941 | ) | | | — | | | | (52,941 | ) |
| | JPMorgan Chase Bank, N.A. | | | 78,753 | | | | — | | | | — | | | | 78,753 | | | | — | | | | 78,753 | |
| | | Morgan Stanley Capital Services LLC | | | — | | | | (401,902 | ) | | | — | | | | (401,902 | ) | | | 339,000 | | | | (62,902 | ) |
Total | | | | $ | 179,262 | | | $ | (907,066 | ) | | $ | 100,509 | | | $ | (727,804 | ) | | $ | 556,058 | | | $ | (171,746 | ) |
| * | Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments. |
Notes to Financial Statements (continued)
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on forward foreign currency exchange contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
| | | | | | | | | | | | |
| Fund | | Underlying
Risk Exposure | | Derivative
Instrument | | Net Realized
Gain (Loss) from
Forward Foreign Currency
Exchange Contracts | | | Change in Net Unrealized
Appreciation (Depreciation) of
Forward Foreign Currency
Exchange Contracts | |
| Global Total Return Bond | | Foreign currency exchange rate | | Forward contracts | | $ | 47,529 | | | $ | 189,522 | |
| High Income Bond | | Foreign currency exchange rate | | Forward contracts | | | 1,656,267 | | | | (240,417 | ) |
| Strategic Income | | Foreign currency exchange rate | | Forward contracts | | | 13,528,427 | | | | (1,335,064 | ) |
Futures Contracts
Upon execution of a futures contract, 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 futures contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in futures contracts obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for “Variation margin on futures contracts” on the Statement of Assets and Liabilities.
During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which is recognized as a component of “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statement of Operations.
Risks of investments in futures contracts include the possible adverse movement in the price of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.
During the current fiscal period, the Funds invested in futures contracts. Global Total Return Bond and Strategic Income used U.S. Treasury and Eurodollar futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve exposure; using selected foreign bond futures to actively manage exposure to those markets. High Income Bond used U.S. Treasury futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve exposure.
The average notional amount of futures contracts outstanding during the current fiscal period was as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Average notional amount of futures contracts outstanding* | | $ | 2,003,930 | | | $ | 35,430,550 | | | $ | 235,870,463 | |
| * | The average notional amount is calculated based on the absolute aggregate notional of contracts outstanding 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 fair value of all futures contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
| | | | | | | | | | | | | | |
| | | | | Location on the Statement of Assets and Liabilities | |
| | | | | Asset Derivatives | | | (Liability) Derivatives | |
Underlying
Risk Exposure | | Derivative Instrument | | Location | | Value | | | Location | | Value | |
Global Total Return Bond | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Futures contracts | | Receivable for variation margin on futures contracts* | | $ | (23,266 | ) | | Payable for variation margin
on futures contracts* | | $ | (19,917 | ) |
| | | | | |
High Income Bond | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Futures contracts | | — | | $ | — | | | Payable for variation margin
on futures contracts* | | $ | 468,295 | |
Interest rate | | Futures contracts | | — | | | — | | | Payable for variation margin
on futures contracts* | | | (195,832 | ) |
Total | | | | | | | | | | | | $ | 272,463 | |
| | | | | | | | | | | | | | |
| | | | | Location on the Statement of Assets and Liabilities | |
| | | | | Asset Derivatives | | | (Liability) Derivatives | |
Underlying
Risk Exposure | | Derivative Instrument | | Location | | Value | | | Location | | Value | |
Strategic Income | | | | | | | | | | | | | | |
| | | | | |
Interest rate | | Futures contracts | | Receivable for variation margin on futures contracts* | | $ | (3,486,103 | ) | | Payable for variation margin
on futures contracts* | | $ | 3,480,616 | |
Interest rate | | Futures contracts | | — | | | — | | | Payable for variation margin
on futures contracts* | | | (150,659 | ) |
Total | | | | | | $ | (3,486,103 | ) | | | | $ | 3,329,957 | |
| * | Value represents unrealized appreciation (depreciation) of futures contracts as reported in the Fund’s Portfolio of Investments and not the asset and/or liability derivatives location as described in the table above. |
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on futures contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
| | | | | | | | | | | | |
| Fund | | Underlying
Risk Exposure | | Derivative
Instrument | | Net Realized
Gain (Loss) from
Futures Contracts | | | Change in Net Unrealized
Appreciation (Depreciation) of
Futures Contracts | |
| Global Total Return Bond | | Interest rate | | Futures contracts | | $ | 19,342 | | | $ | (66,004 | ) |
| High Income Bond | | Interest rate | | Futures contracts | | | 431,364 | | | | 547,980 | |
| Strategic Income | | Interest rate | | Futures contracts | | | (4,939,649 | ) | | | 247,635 | |
Interest Rate Swaps Contracts
Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which begin at a specified date in the future (the “effective date”).
The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.
Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For an OTC swap that is not cleared through a clearing house (“OTC Uncleared”), the net amount recorded on these transactions, for each counterparty, is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net).”
Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the 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 deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the 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 contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the 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 interest rate swaps (, net)” as described in the preceding paragraph.
The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments
Notes to Financial Statements (continued)
received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.
During the current fiscal period, the Funds invested in interest rate swap contracts as part of an overall portfolio construction strategy to manage duration and overall portfolio yield curve exposure.
The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Average notional amount of interest rate swap contracts outstanding* | | $ | 960,000 | | | $ | 22,400,000 | | | $ | 78,640,000 | |
| * | 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. |
Credit Default Swap Contracts
A 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. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) receive that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty, or (ii) 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 delivered and the notional amount received is recorded as a realized gain or loss. Payments 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 Funds invested in credit default swap contracts. Global Total Return Bond and Strategic Income used High Yield CDX swaps as a way to take on credit risk and earn a commensurate credit spread. High Income Bond used CDX and ITRX swaps to take on credit risk and earn a commensurate credit spread. High Income Bond terminated its credit default swap contracts prior to the end of the reporting period.
The average notional amount of credit default swap contracts outstanding during the current fiscal period was as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond** | | | Strategic
Income | |
| Average notional amount of credit default swap contracts outstanding* | | $ | 50,000 | | | $ | — | | | $ | 6,350,000 | |
| * | 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. |
| ** | High Income Bond did not hold any credit default swaps 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 fair value of all swap contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
| | | | | | | | | | | | | | |
| | | | | Location on the Statement of Assets and Liabilities | |
| | | Derivative Instrument | | Asset Derivatives | | | (Liability) Derivatives | |
Underlying
Risk Exposure | | | Location | | Value | | | Location | | Value | |
Global Total Return Bond | | | | | | | | | | | | |
| | | | | |
Interest rate | | Swaps (OTC Cleared) | | Receivable for variation margin on swap contracts* | | $ | (88,328 | ) | | — | | $ | — | |
Credit | | Swaps (OTC Cleared) | | Receivable for variation margin on swap contracts* | | | (1,863) | | | — | | | — | |
Total | | | | | | $ | (90,191 | ) | | | | $ | — | |
| Strategic Income | | | | | | | | | | | | |
Interest Rate | | Swaps (OTC Cleared) | | Receivable for variation margin on swap contracts* | | $ | (3,083,040 | ) | | — | | $ | — | |
Credit | | Swaps (OTC Cleared) | | Receivable for variation margin on swap contracts* | | | (109,378 | ) | | — | | | — | |
Total | | | | | | $ | (3,192,418 | ) | | | | $ | — | |
| * | Value represents unrealized appreciation (depreciation) of swaps as reported in the Fund’s Portfolio of Investments and not the asset and/or liability derivative location as described in the table above. |
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.
| | | | | | | | | | | | |
| Fund | | Underlying
Risk Exposure | | Derivative
Instrument | | Net Realized
Gain (Loss) from
Swaps | | | Change in Net
Unrealized Appreciation
(Depreciation) of
Swaps | |
| Global Total Return Bond | | | | | | | | | | |
| | Credit | | Swaps | | $ | (21,708 | ) | | $ | (1,863 | ) |
| | | Interest rate | | Swaps | | | (23,270 | ) | | | (87,080 | ) |
| Total | | | | | | $ | (44,978 | ) | | $ | (88,943 | ) |
| High Income Bond | | | | | | | | | | | | |
| | Credit | | Swaps | | $ | 733,153 | | | $ | — | |
| | | Interest rate | | Swaps | | | (1,289,398 | ) | | | 250,790 | |
| Total | | | | | | $ | (556,245 | ) | | $ | 250,790 | |
| Strategic Income | | | | | | | | | | | | |
| | Credit | | Swaps | | $ | (730,998 | ) | | $ | (109,378 | ) |
| | | Interest rate | | Swaps | | | (5,529,349 | ) | | | (1,253,425 | ) |
| Total | | | | | | $ | (6,260,347 | ) | | $ | (1,362,803 | ) |
Market and Counterparty Credit Risk
In the normal course of business each 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 each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each 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.
Each 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 each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds 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.
Notes to Financial Statements (continued)
4. Fund Shares
Transactions in Fund shares during the current and prior fiscal period were as follows:
| | | | | | | | | | | | | | | | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
| Global Total Return Bond | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 9,512 | | | $ | 169,616 | | | | 33,410 | | | $ | 663,020 | |
Class C | | | 5,659 | | | | 98,680 | | | | 3,771 | | | | 75,939 | |
Class R3 | | | — | | | | 7 | | | | — | | | | — | |
Class I | | | 9,278 | | | | 163,249 | | | | 17,049 | | | | 339,170 | |
| Shares issued to shareholders due to reinvestment of distributions: | | | | | | | | | | | | | | | | |
Class A | | | 3,083 | | | | 54,653 | | | | 4,268 | | | | 83,527 | |
Class C | | | 308 | | | | 5,471 | | | | 360 | | | | 7,063 | |
Class R3 | | | 6 | | | | 110 | | | | 9 | | | | 168 | |
Class I | | | 2,438 | | | | 43,939 | | | | 13,892 | | | | 273,301 | |
| | | | 30,284 | | | | 535,725 | | | | 72,759 | | | | 1,442,188 | |
| Shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (44,468 | ) | | | (794,043 | ) | | | (15,528 | ) | | | (302,329 | ) |
Class C | | | (3,113 | ) | | | (55,696 | ) | | | (2,786 | ) | | | (56,510 | ) |
Class R3 | | | — | | | | (7 | ) | | | — | | | | (2 | ) |
Class I | | | (250,806 | ) | | | (4,513,976 | ) | | | (16,704 | ) | | | (329,207 | ) |
| | | | (298,387 | ) | | | (5,363,722 | ) | | | (35,018 | ) | | | (688,048 | ) |
| Net increase (decrease) | | | (268,103 | ) | | $ | (4,827,997 | ) | | | 37,741 | | | $ | 754,140 | |
| | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
| High Income Bond | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 22,844,430 | | | $ | 160,255,338 | | | | 20,579,913 | | | $ | 179,760,260 | |
Class C | | | 1,264,937 | | | | 8,863,955 | | | | 1,237,977 | | | | 10,700,119 | |
Class R3 | | | 48,170 | | | | 353,483 | | | | 57,519 | | | | 514,788 | |
Class I | | | 16,788,962 | | | | 120,808,404 | | | | 32,641,176 | | | | 286,242,639 | |
| Shares issued to shareholders due to reinvestment of distributions: | | | | | | | | | | | | | | | | |
Class A | | | 1,135,552 | | | | 8,108,846 | | | | 1,136,540 | | | | 9,756,311 | |
Class C | | | 330,612 | | | | 2,364,126 | | | | 380,202 | | | | 3,252,087 | |
Class R3 | | | 6,483 | | | | 47,448 | | | | 7,898 | | | | 69,117 | |
Class I | | | 977,062 | | | | 7,060,979 | | | | 1,453,361 | | | | 12,486,374 | |
| | | | 43,396,208 | | | | 307,862,579 | | | | 57,494,586 | | | | 502,781,695 | |
| Shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (22,631,152 | ) | | | (162,494,682 | ) | | | (29,786,857 | ) | | | (259,748,690 | ) |
Class C | | | (2,557,960 | ) | | | (18,446,833 | ) | | | (2,641,731 | ) | | | (22,651,623 | ) |
Class R3 | | | (59,958 | ) | | | (428,751 | ) | | | (62,900 | ) | | | (537,346 | ) |
Class I | | | (43,094,533 | ) | | | (311,873,417 | ) | | | (57,301,772 | ) | | | (496,675,701 | ) |
| | | | (68,343,603 | ) | | | (493,243,683 | ) | | | (89,793,260 | ) | | | (779,613,360 | ) |
| Net increase (decrease) | | | (24,947,395 | ) | | $ | (185,381,104 | ) | | | (32,298,674 | ) | | $ | (276,831,665 | ) |
| | | | | | | | | | | | | | | | |
| | | Year Ended
6/30/16 | | | Year Ended
6/30/15 | |
| Strategic Income | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 4,002,873 | | | $ | 41,946,560 | | | | 22,233,359 | | | $ | 252,302,027 | |
Class C | | | 1,310,022 | | | | 13,655,356 | | | | 6,832,580 | | | | 77,016,680 | |
Class R3 | | | 386,837 | | | | 4,052,221 | | | | 930,153 | | | | 10,536,994 | |
Class R6 | | | 1,618,829 | | | | 17,089,609 | | | | 1,927,736 | | | | 21,625,297 | |
Class I | | | 11,124,880 | | | | 116,240,152 | | | | 39,093,277 | | | | 442,796,623 | |
| Shares issued to shareholders due to reinvestment of distributions: | | | | | | | | | | | | | | | | |
Class A | | | 1,068,217 | | | | 11,130,046 | | | | 874,773 | | | | 9,870,223 | |
Class C | | | 332,935 | | | | 3,443,686 | | | | 247,639 | | | | 2,777,282 | |
Class R3 | | | 27,543 | | | | 289,756 | | | | 31,479 | | | | 356,678 | |
Class R6 | | | 138,234 | | | | 1,433,538 | | | | 33,785 | | | | 377,964 | |
Class I | | | 1,175,836 | | | | 12,251,799 | | | | 1,184,390 | | | | 13,362,708 | |
| | | | 21,186,206 | | | | 221,532,723 | | | | 73,389,171 | | | | 831,022,476 | |
| Shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (13,554,737 | ) | | | (140,591,197 | ) | | | (7,902,380 | ) | | | (89,477,691 | ) |
Class C | | | (3,270,280 | ) | | | (33,759,300 | ) | | | (1,125,835 | ) | | | (12,594,984 | ) |
Class R3 | | | (804,674 | ) | | | (8,405,220 | ) | | | (304,433 | ) | | | (3,451,611 | ) |
Class R6 | | | (455,181 | ) | | | (4,831,119 | ) | | | (91,956 | ) | | | (1,035,000 | ) |
Class I | | | (37,656,644 | ) | | | (391,160,086 | ) | | | (22,515,883 | ) | | | (253,118,258 | ) |
| | | | (55,741,516 | ) | | | (578,746,922 | ) | | | (31,940,487 | ) | | | (359,677,544 | ) |
| Net increase (decrease) | | | (34,555,310 | ) | | $ | (357,214,199 | ) | | | 41,448,684 | | | $ | 471,344,932 | |
5. Investment Transactions
Long-term purchases and sales (including maturities but excluding investments purchased with collateral from securities lending and derivative transactions) during the current fiscal period were as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Purchases: | | | | | | | | | | | | |
Investment securities | | $ | 6,733,604 | | | $ | 392,808,454 | | | $ | 317,964,409 | |
U.S. Government and agency obligations | | | 10,419,539 | | | | — | | | | 204,857,972 | |
| Sales and maturities: | | | | | | | | | | | | |
Investment securities | | | 11,729,084 | | | | 598,527,077 | | | | 655,908,700 | |
U.S. Government and agency obligations | | | 10,255,884 | | | | — | | | | 200,157,512 | |
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.
For all open tax years and all major taxing jurisdictions, management of the Funds 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 Funds 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 NAVs of the Funds.
Notes to Financial Statements (continued)
As of June 30, 2016, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), as determined on a federal income tax basis, were as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Cost of investments | | $ | 14,301,813 | | | $ | 465,912,448 | | | $ | 900,766,274 | |
| Gross unrealized: | | | | | | | | | | | | |
Appreciation | | $ | 568,741 | | | $ | 10,943,931 | | | $ | 26,039,295 | |
Depreciation | | | (671,426 | ) | | | (61,348,998 | ) | | | (31,441,829 | ) |
| Net unrealized appreciation (depreciation) of investments | | $ | (102,685 | ) | | $ | (50,405,067 | ) | | $ | (5,402,534 | ) |
Permanent differences, primarily due to federal taxes paid, treatment of notional principal contracts, paydowns, complex security character adjustments, net operating losses, investments in partnerships and foreign currency transactions resulted in reclassifications among the Funds’ components of net assets as of June 30, 2016, the Funds’ tax year end, as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Capital paid-in | | $ | (918,467 | ) | | $ | 19 | | | $ | (22 | ) |
| Undistributed (Over-distribution of) net investment income | | | (221,220 | ) | | | (4,532,485 | ) | | | (18,083,591 | ) |
| Accumulated net realized gain (loss) | | | 1,139,687 | | | | 4,532,466 | | | | 18,083,613 | |
The tax components of undistributed net ordinary income and net long-term capital gains as of June 30, 2016, the Funds’ tax year end, were as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Undistributed net ordinary income1 | | $ | — | | | $ | 3,085,915 | | | $ | 13,077,819 | |
| Undistributed net long-term capital gains | | | — | | | | — | | | | — | |
| 1 | Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared during the period June 1, 2016 through June 30, 2016 and paid on July 1, 2016. Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any. |
The tax character of distributions paid during the Funds’ tax years ended June 30, 2016 and June 30, 2015, was designated for purposes of the dividends paid deduction as follows:
| | | | | | | | | | | | |
2016 | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Distributions from net ordinary income2 | | $ | 76,666 | | | $ | 34,298,443 | | | $ | 51,207,124 | |
| Distributions from net long-term capital gains | | | — | | | | — | | | | — | |
| Return of capital | | | 562,112 | | | | — | | | | — | |
| | | |
2015 | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Distributions from net ordinary income2 | | $ | 987,815 | | | $ | 54,503,646 | | | $ | 50,714,515 | |
| Distributions from net long-term capital gains | | | 156,028 | | | | 5,641,156 | | | | — | |
| Return of capital | | | — | | | | — | | | | — | |
| 2 | Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any. |
As of June 30, 2016, the Funds’ tax year end, the Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Expiration June 30, 2018 | | $ | — | | | $ | — | | | $ | 35,110,018 | |
| Not subject to expiration | | | 428,594 | | | | 91,980,938 | | | | 19,097,322 | |
| Total | | $ | 428,594 | | | $ | 91,980,938 | | | $ | 54,207,340 | |
The Funds have elected to defer late-year losses in accordance with federal income tax rules. These losses are treated as having arisen on the first day of the following fiscal year. The following Fund has elected to defer losses as follows:
| | | | |
| | | Strategic
Income | |
| Post-October capital losses3 | | $ | 39,705,730 | |
| Late-year ordinary losses4 | | | 17,001,574 | |
| 3 | Capital losses incurred from November 1, 2015 through June 30, 2016, the Funds’ tax year end. |
| 4 | Ordinary losses incurred from January 1, 2016 through June 30, 2016 and/or specified losses incurred from November 1, 2015 through June 30, 2016. |
7. Management Fees and Other Transactions with Affiliates
Management Fees
Each 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 Funds from the management fees paid to the Adviser.
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables each Fund’s shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
The annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| | | | | | | | | | | | |
| Average Daily Net Assets | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| For the first $125 million | | | 0.4000 | % | | | 0.4000 | % | | | 0.3600 | % |
| For the next $125 million | | | 0.3875 | | | | 0.3875 | | | | 0.3475 | |
| For the next $250 million | | | 0.3750 | | | | 0.3750 | | | | 0.3350 | |
| For the next $500 million | | | 0.3625 | | | | 0.3625 | | | | 0.3225 | |
| For the next $1 billion | | | 0.3500 | | | | 0.3500 | | | | 0.3100 | |
| For net assets over $2 billion | | | 0.3250 | | | | 0.3250 | | | | 0.2850 | |
The annual complex-level fee, payable monthly, for each Fund is determined by taking the complex-level fee rate, which is based on the aggregate amount of “eligible assets” of all Nuveen funds as set forth in the schedule below, and for High Income Bond and Strategic Income, making, as appropriate, an upward adjustment to that rate based upon the percentage of the particular fund’s assets that are not “eligible assets.” The complex-level fee schedule for each Fund is as follows:
| | | | |
| 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 the 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 June 30, 2016, the complex-level fee for each Fund was as follows: |
| | | | |
| Fund | | Complex-Level Fee | |
Global Total Return Bond | | | 0.1614 | % |
High Income Bond | | | 0.1998 | |
Strategic Income | | | 0.1907 | |
Notes to Financial Statements (continued)
The Adviser has agreed to waive fees and/or reimburse expenses (“Expense Cap”) of the following Funds 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 and extraordinary expenses) do not exceed the average daily net assets of any class of Fund shares in the amounts and for the time periods stated in the following table. However, because Class R6 Shares are not subject to sub-transfer agent and similar fees, the total annual Fund operating expenses for the Class R6 Shares will be less than the expense limitation.
| | | | | | |
| Fund | | Expense Cap | | | Expense Cap
Expiration Date |
Global Total Return Bond | | | 0.75 | % | | October 31, 2016 |
Strategic Income | | | 0.59 | | | October 31, 2017 |
Effective June 30, 2016, the Advisor 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 and extraordinary expenses) do not exceed 0.75% of the average daily net assets of any class of Fund shares for High Income Bond.
Other Transactions with Affiliates
Neither Trust pays compensation directly to those of its directors/trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to each Trust from the Adviser or its affiliates. The Board has adopted a deferred compensation plan for independent directors/trustees that enable directors/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:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Sales charges collected (Unaudited) | | $ | 2,468 | | | $ | 314,526 | | | $ | 182,200 | |
| Paid to financial intermediaries (Unaudited) | | | 2,146 | | | | 281,616 | | | | 162,404 | |
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:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| Commission advances (Unaudited) | | $ | 450 | | | $ | 94,039 | | | $ | 139,879 | |
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:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| 12b-1 fees retained (Unaudited) | | $ | 810 | | | $ | 44,573 | | | $ | 334,163 | |
The remaining 12b-1 fees charged to the Funds were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.
The Distributor also collected and retained CDSC on share redemptions during the current fiscal period as follows:
| | | | | | | | | | | | |
| | | Global Total
Return Bond | | | High Income
Bond | | | Strategic
Income | |
| CDSC retained (Unaudited) | | $ | — | | | $ | 14,726 | | | $ | 45,672 | |
As of the end of the reporting period, Nuveen owned shares of the following Fund:
| | | | |
| | | Global Total
Return Bond | |
| Class C Shares | | | 2,280 | |
| Class R3 Shares | | | 2,280 | |
| Class I Shares | | | 676,175 | |
8. Borrowing Arrangements
Uncommitted Line of Credit
During the current fiscal period, the Funds participated in an unsecured bank line of credit (“Unsecured Credit Line”) under which outstanding balances would bear interest at a variable rate. Although the Funds participated in the Unsecured Credit Line, they did not have any outstanding balances during the current fiscal period.
Committed Line of Credit
The Funds, 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 includes High Income Bond. 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 Global Total Return and Strategic Income, 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, High Income Bond was the only Fund in this shareholder report to utilize the facility. The average daily balance outstanding and average annual interest rate, during the period in which High Income Bond utilized the facility, was $20,462,733 and 1.61%, respectively.
Borrowings outstanding for High Income Bond at the end of the reporting period was $20,000,000, which is recognized as “Borrowings” on the Statement of Assets and Liabilities.
Additional
Fund Information (Unaudited)
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| | Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606 Sub-Adviser Nuveen Asset Management, LLC 333 West Wacker Drive Chicago, IL 60606 | | Independent Registered
Public Accounting Firm PricewaterhouseCoopers LLP One North Wacker Drive Chicago, IL 60606 Custodian State Street Bank & Trust
Company One Lincoln Street Boston, MA 02111 U.S. Bank National
Association 1555 North RiverCenter Drive Suite 302 Milwaukee, WI 53202 | | Legal Counsel Chapman and Cutler LLP Chicago, IL 60603 | | Transfer Agent and
Shareholder Services Boston Financial
Data Services Nuveen Investor Services P.O. Box 8530 Boston, MA 02266-8530 (800) 257-8787 | | |
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| | |
| | Distribution Information: Each Fund hereby designates its percentages of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction (“DRD”) for corporations and its percentages as qualified dividend income (“QDI”) for individuals under Section 1(h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end. | | |
| | | | | |
| | | | | Global Total Return Bond | | High Income Bond | | Strategic Income | | |
| | %QDI | | 6% | | 0% | | 0% | | |
| | %DRD | | 6% | | 0% | | 0% | | |
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| | |
| | Quarterly Form N-Q Portfolio of Investments Information: Each 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. | | |
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| | |
| | 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. | | |
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| | |
| | 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. | | |
Glossary of Terms
Used in this Report (Unaudited)
Asset-Backed Securities (ABS): Securities whose value and income payments are derived from and collateralized by a specific pool of underlying assets. The pool of assets typically is a group of small and/or illiquid assets that may be difficult to sell individually. The underlying pools of asset-backed securities often include payments from credit cards, auto loans or mortgage loans.
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.
Barclays U.S. Aggregate Bond Index: An unmanaged index that includes all investment-grade, publicly issued, fixed-rate, dollar denominated, nonconvertible debt issues and commercial mortgage-backed securities with maturities of at least one year and outstanding par values of $150 million or more. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.
Barclays Global Aggregate Unhedged Bond Index: An index that provides a broad-based measure of the global investment grade fixed-rate debt markets. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.
Barclays High Yield 2% Issuer Capped Index: An issuer-constrained version of the U.S. Corporate High-Yield Index that covers the U.S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bond market. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.
Barclays U.S. Corporate High Yield Bond Index: An index that covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
Commercial Mortgage-Backed Securities (CMBS): Commercial mortgage-backed securities are backed by cash flows of a mortgage or pool of mortgages on commercial real estate. CMBS generally are structured to provide protection to the senior class investors against potential losses on the underlying mortgage loans. CMBS are typically characterized by the following: i) loans on multi-family housing, non-residential property, ii) payments based on the amortization schedule of 25-30 years with a balloon payment due usually after 10 years, and iii) restrictions on prepayments.
Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s or bond fund’s value to changes when market interest rates change. Generally, the longer a bond’s or fund’s duration, the more the price of the bond or fund will change as interest rates change.
Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.
Lipper Global Income Funds Classification Average: Represents the average annualized returns for all reporting funds in the Lipper Global Income Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charge.
Lipper High Current Yield Funds Classification Average: Represents the average annualized returns for all reporting funds in the Lipper High Current Yield Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charge.
Glossary of Terms Used in this Report (Unaudited) (continued)
Lipper Multi-Sector Income Funds Classification Average: Represents the average annualized returns for all reporting funds in the Lipper Multi-Sector Income Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charge.
Mortgage-Backed Securities (MBS): Mortgage-backed securities (MBS) are bonds backed by pools of mortgages, usually with similar characteristics, and which return principal and interest in each payment. MBS are composed of residential mortgages (RMBS) or commercial mortgages (CMBS). RMBS are further divided into agency RMBS and non-agency RMBS, depending on the issuer.
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.
Residential Mortgage-Backed Securities (RMBS): Residential mortgage-backed securities are securities the payments on which depend primarily on the cash flow from residential mortgage loans made to borrowers that are secured by residential real estate. RMBS consist of agency and non-agency RMBS. Agency RMBS have agency guarantees that assure investors that they will receive timely payment of interest and principal, regardless of delinquency or default rates on the underlying loans. Agency RMBS include securities issued by the Government National Mortgage Association, the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, and other federal agencies, or issues guaranteed by them. Non-agency RMBS do not have agency guarantees. Non-agency RMBS have credit enhancement built into the structure to shield investors from borrower delinquencies. The spectrum of non-agency residential mortgage loans includes traditional jumbo loans (prime), alternative-A loans (Alt-A), and home equity loans (sub-prime).
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.
Annual Investment Management Agreement
Approval Process (Unaudited)
The Board of Directors or Trustees (as the case may be) of each Fund (the “Board,” and each Director or Trustee a “Board Member”), including the Board Members who are not parties to the Funds’ advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), is responsible for overseeing the performance of the investment adviser and sub-adviser to the respective Fund and determining whether to continue such Fund’s advisory agreement (the “Investment Management Agreement”) between the Fund and Nuveen Fund Advisors, LLC (the “Adviser”) and the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Investment Management Agreement, the “Advisory Agreements”) between the Adviser and Nuveen Asset Management, LLC (the “Sub-Adviser”). Following an initial term with respect to each Fund upon its commencement of operations, the Board reviews the Investment Management Agreement and the Sub-Advisory Agreement on behalf of such Fund and votes to determine whether the respective Advisory Agreement should be renewed. Accordingly, at an in-person meeting held on May 24-26, 2016 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the existing Advisory Agreements for the Funds.
During the year, the Board and its Committees met regularly to receive materials and discuss a variety of topics impacting the Funds including, among other things, overall market conditions and market performance, Fund investment performance, brokerage execution, valuation of securities, Rule 12b-1 plans and payments, sub-transfer agency and other payments to financial intermediaries, compliance matters, securities lending, risk management and ongoing initiatives. The Board had established several standing Committees, including the Open-end Fund Committee and Closed-end Fund Committee which permit the Board Members to delve further into the topics particularly relevant to the respective product line and enhance the Board’s effectiveness and oversight of the Funds. The Board also seeks to meet with the Sub-Adviser and its investment team at least once over a multiple year rotation through site visits. The information and knowledge the Board gained throughout the year from the Board and Committee meetings, site visits and the related materials were relevant to the Board’s evaluation of the Advisory Agreements, and the Board took such information into account in its review of the Advisory Agreements.
In addition to the materials received throughout the year, the Board received additional materials prepared specifically for its annual review of the Advisory Agreements in response to a request by independent legal counsel on behalf of the Independent Board Members. The materials addressed a variety of topics, including a description of the services provided by the Adviser and the Sub-Adviser (each, a “Fund Adviser”); a review of fund performance with a detailed focus on any performance outliers; an analysis of the investment teams; an analysis of the fees and expense ratios of the Funds, including information comparing such fees and expenses to that of peer groups; an assessment of shareholder services for the Funds and of the performance of certain service providers; a review of initiatives instituted or continued during the past year; and information regarding the profitability of the Fund Advisers, the compensation of portfolio managers, and compliance and risk matters.
As part of its annual review, the Board held a separate meeting on April 12-13, 2016 to review the Funds’ investment performance and consider an analysis by the Adviser of the Sub-Adviser examining, among other things, the team’s assets under management, investment performance, investment approach, and the stability and structure of the Sub-Adviser’s organization and investment team. During the review, the Independent Board Members requested and received additional information from management. Throughout the year and throughout their review of the Advisory Agreements, the Independent Board Members were assisted by independent legal counsel. The Independent Board Members met separately with independent legal counsel without management present and received a memorandum from such counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements. The Independent Board Members’ review of the Advisory Agreements reflected an ongoing process that incorporated the information and considerations that occurred over the years, including the most recent year, as well as the information specifically furnished for the renewal process. In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as controlling, but rather the decision reflected the comprehensive consideration of all the information presented. The following summarizes the principal factors, but not all the factors, the Board considered in its review of the Advisory Agreements and its conclusions.
A. Nature, Extent and Quality of Services
In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to the respective Fund and the initiatives undertaken during the past year by the Adviser. The Board recognized the comprehensive set of services the Adviser provided to manage and operate the Nuveen funds, including (a) product management (such as setting dividends, positioning the product in the marketplace, managing the relationships with the distribution platforms, maintaining and enhancing shareholder communications and reporting to the Board); (b) investment services (such as overseeing sub-advisers and other service providers; analyzing investment performance and risks; overseeing risk management and disclosure; developing and interpreting investment policies; assisting in the development of products; helping to prepare financial statements and marketing disclosures; and overseeing trade execution); (c) fund administration (such as helping to prepare fund tax returns and complete other tax compliance matters; and helping to prepare regulatory filings and shareholder reports); (d) fund Board administration (such as preparing Board materials and organizing and providing assistance
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
for Board meetings); (e) compliance (such as helping to devise and maintain the funds’ compliance program and related testing); and (f) legal support (such as helping to prepare registration statements and proxy statements, interpreting regulations and policies and overseeing fund activities).
The Board reviewed the continued investment the Adviser had made in its business to continue to strengthen the breadth and quality of its services to the benefit of the Nuveen funds. The Board noted the Adviser’s additional staffing in key areas that support the funds and the Board, including in investment services, operations, fund governance, compliance, fund administration, product management, retail distribution and information technology. Among the enhancements to its services, the Board recognized the Adviser’s (a) expanded activities and support required as a result of regulatory developments, including in areas of compliance and reporting; (b) increased support for dividend management; (c) continued investment in its technical capabilities as the Adviser continued to build out a centralized fund data platform, enhance mobility and remote access capabilities, rationalize and upgrade software platforms, and automate certain regulatory liquidity determinations; (d) continued efforts to rationalize the product line through mergers, liquidations and re-positioning of the Nuveen funds with the goal of increasing efficiencies, reducing costs, improving performance and addressing shareholder needs; (e) continued efforts to develop new lines of business designed to enhance the Nuveen product line and meet investor demands; and (f) continued commitment to enhance risk oversight, including the formation of the operational risk group to provide operational risk assessment, the access to platforms which provide better risk reporting to support investment teams, and the development of a new team to initially review new products and major product initiatives. The Board also recognized the Adviser’s efforts to renegotiate certain fees of other service providers which culminated in reduced expenses for all funds for custody and accounting services without diminishing the breadth and quality of the services provided. The Board considered the Chief Compliance Officer’s report regarding the Adviser’s compliance program, the Adviser’s continued development, execution and management of its compliance program, and the additions to the compliance team to support the continued growth of the Nuveen fund family and address regulatory developments.
The Board also considered information highlighting the various initiatives that the Adviser had implemented or continued during the year to enhance or support the open-end fund product line. The Board noted the Adviser’s continued initiatives (a) to develop and offer new outcome-oriented funds; (b) to refine the reports to the Board, including enhanced reporting regarding payments to intermediaries, as well as provide presentations to the Board to keep it apprised of various topics that are relevant to the open-end fund product line (such as marketing initiatives, portfolio analytics and sales results); (c) to modify the contingent deferred sales load structure for Class A shares to be more competitive with peers; (d) to launch a new share class to attract institutional clients; and (e) to change portfolio managers on various funds. The Board recognized that initiatives that attract assets to the Nuveen family of funds benefited the funds as fixed costs would be spread over a larger asset base and, as described below, through the complex-wide arrangement which generally would provide that the management fees of the funds (subject to limited exceptions) are reduced as asset levels for the complex increase. The Board also considered the Adviser’s review of the pricing on its entire open-end fund line which resulted in either a reduction in the contractual management fee, a reduction in (or, in certain cases, the adoption of) a temporary expense cap or a combination thereof for numerous funds in the complex helping to better position such funds for future growth, including Nuveen High Income Bond Fund (the “High Income Fund”), which adopted a temporary expense cap.
As noted, the Adviser also oversees the Sub-Adviser who primarily provides the portfolio advisory services to the Funds. The Board recognized the skill and competency of the Adviser in monitoring and analyzing the performance of the Sub-Adviser and managing the sub-advisory relationship. The Board noted that the Adviser recommended the renewal of each Sub-Advisory Agreement.
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement were satisfactory.
B. The Investment Performance of the Funds and Fund Advisers
The Board considered the long-term and short-term performance history of the Nuveen funds. As noted above, the Board reviewed fund performance at its quarterly meetings throughout the year and took into account the information derived from the discussions with representatives of the Adviser about fund performance at these meetings. The Board also considered the Adviser’s analysis of fund performance with particular focus on any performance outliers and the factors contributing to such performance and any steps the investment team had taken to address performance concerns. The Board reviewed, among other things, each Fund’s investment performance both on an absolute basis and in comparison to peer funds (the “Performance Peer Group”) and to recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks) for the quarter, one-, three- and five-year periods ending December 31, 2015 (or for such shorter periods available for Nuveen Global Total Return Bond Fund (the “Global Total Return Fund”), which did not exist for part of the foregoing time frame), as well as performance information reflecting the first quarter of 2016.
In evaluating performance information, the Board recognized the following factors may impact the performance data as well as the consideration to be given to particular performance data:
| | • | | The performance data reflected a snapshot in time, in this case as of the end of the most recent calendar year or quarter. A different performance period, however, could generate significantly different results. |
| | • | | Long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme had the ability to disproportionately affect long-term performance. |
| | • | | Shareholders evaluate performance based on their own holding period which may differ from the performance period reviewed by the Board, leading to different performance results. |
| | • | | Open-end funds offered multiple classes and the performance data provided for open-end funds was based on Class A shares. The performance of the other classes of a fund, however, should be substantially similar on a relative basis because all of the classes would be invested in the same portfolio of securities and differences in performance among classes could be principally attributed to the variations in distribution and servicing expenses of each class. |
| | • | | The Board recognized the difficulty in establishing appropriate peer groups and benchmarks for certain funds. The Board noted that management classified the Performance Peer Groups as low, medium and high in relevancy and took the relevancy of the Performance Peer Group into account when considering the comparative performance data. If the Performance Peer Group differed somewhat from a fund, the Board recognized that the comparative performance data may be of limited value. The Board also recognized that each fund operated pursuant to its own investment objective(s), parameters and restrictions which may differ from that of the Performance Peer Group or benchmark and that these variations lead to differences in performance results. |
With respect to any Nuveen funds for which the Board has identified performance concerns, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers those steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. The Board was aware, however, that shareholders chose to invest or remain invested in a fund knowing that the Adviser and the applicable sub-adviser manage the fund, knowing the fund’s investment strategy and seeking exposure to that strategy (even if the strategy was “out of favor” in the marketplace) and knowing the fund’s fee structure.
For the Global Total Return Fund, the Board noted that the Fund ranked in its Performance Peer Group in the fourth quartile and underperformed its benchmark for the one- and three-year periods. The Board discussed with management the factors that detracted from the Fund’s performance, including the Fund’s overweight exposure to high yield corporate bonds, selection in commodity related corporate sectors, and selection in sovereign debt from commodity dependent emerging market countries. Currency exposure to commodity related countries also detracted from performance in 2015. The Board considered some changes in the Fund’s portfolio holdings and noted that the Fund ranked in the second quartile for the quarter ending March 31, 2016. The Board will continue to monitor the progress of this Fund.
For the High Income Fund, the Board noted that the Fund ranked in its Performance Peer Group in the fourth quartile and underperformed its benchmark in the one-, three- and five-year periods. The Board discussed with management the factors that detracted from the Fund’s performance, including the overweight exposure to lower-rated credit quality, the selection in certain high yield corporate bonds and the exposure to the metals & mining, transportation and healthcare sectors. The Board will continue to monitor the Fund closely.
For Nuveen Strategic Income Fund, the Board noted that, although the Fund ranked in its Performance Peer Group in the fourth quartile in the one-year period, the Fund ranked in the second quartile in the three- and five-year periods. Although the Fund underperformed its benchmark in the one- and three-year periods, the Fund outperformed its benchmark in the five-year period. The Board determined that the Fund’s performance had been satisfactory.
C. Fees, Expenses and Profitability
1. Fees and Expenses
The Board evaluated the management fees and other fees and expenses of each Fund. The Board reviewed, among other things, the gross and net management fees and net total expenses of each Fund (expressed as a percentage of average net assets) in absolute terms and also in comparison to the fee and expense levels of a comparable universe of funds (the “Peer Universe”) and to a more focused subset in the Peer Universe (the “Peer Group”), each selected by an independent third-party fund data provider. The Independent Board Members also reviewed the methodology regarding the construction of the applicable Peer Universe and Peer Group.
In their evaluation of the management fee schedule, the Independent Board Members considered the fund-level and complex-wide breakpoint schedules, as described in further detail below. The Independent Board Members also took into account any fee waivers and/or expense reimbursements provided by Nuveen. In this regard, as noted above, the Board considered that management recently completed a review of the pricing of its open-end funds which resulted in the reduction of management fees and/or expense caps of various open-end funds. The Independent Board Members considered that the foregoing changes were estimated to result in significant savings to such funds either through a reduction in advisory fees paid or an increase in the fee waivers absorbed by Nuveen. In this regard, the Board noted that the Adviser agreed to adopt a temporary expense cap for the High Income Fund.
In reviewing the comparative fee and expense information, the Independent Board Members recognized that various factors such as the limited size and particular composition of the Peer Universe or Peer Group (including the inclusion of other Nuveen funds in the peer set); expense anomalies; changes in the funds comprising the Peer Universe or Peer Group from year to year; levels of reimbursement or fee waivers; the timing of information used; and differences in services provided can impact the usefulness of the comparative data in helping to assess the appropriateness of a fund’s fees and expenses. In addition, in reviewing a fund’s fees and expenses compared to the fees and expenses of its peers, the Board
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
generally considered the fund’s expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Group. The Board reviewed the net expense ratio in recognition that the net expense ratio generally best represented the net experience of the shareholders of a fund as it directly reflected the costs of investing in the respective fund. The Board noted that the majority of the Nuveen funds had a net expense ratio near or below the average of the respective peers. For funds with a net expense ratio of 6 basis points or higher than their respective peer average, the Independent Board Members reviewed the reasons for the outlier status and were satisfied with the explanation for the difference or with any steps taken to address the difference.
The Board noted that the Funds each had a net management fee and net expense ratio below their respective peer averages. The Board further noted that there was not a management fee after fee waivers and expense reimbursements for the last fiscal year for the Global Total Return Fund. As discussed above, the Board also noted that the Adviser agreed to adopt a temporary expense cap for the High Income Fund.
Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund’s management fees (as applicable) to a Fund Adviser were reasonable in light of the nature, extent and quality of services provided to the Fund.
2. Comparisons with the Fees of Other Clients
The Board also reviewed information regarding the fee rates for other types of clients advised or sub-advised by the respective Fund Adviser. For the Adviser and/or its affiliated sub-advisers, such other clients may include: separately managed accounts (such as retail, institutional or wrap accounts), hedge funds, other investment companies that are not offered by Nuveen but are sub-advised by one of Nuveen’s affiliated sub-advisers, foreign investment companies offered by Nuveen, and collective investment trusts.
The Board recognized that each Fund had an affiliated sub-adviser. With respect to affiliated sub-advisers, including the Sub-Adviser, the Board reviewed, among other things, the range of advisory fee rates and average fee rate assessed for the different types of clients. The Board reviewed information regarding the different types of services provided to the Funds compared to that provided to these other clients which typically did not require the same breadth of day-to-day services required for registered funds. The Board further considered information regarding the differences in, among other things, the distribution systems, investment policies, investor profiles, and account sizes between the Nuveen funds and the other types of clients. In addition, the Independent Board Members also recognized that the management fee rates of the foreign funds advised by the Adviser may also vary due to, among other things, differences in the client base, governing bodies, operational complexities and services covered by the management fee. The Independent Board Members recognized that the foregoing variations resulted in different economics among the product structures and culminated in varying management fees among the types of clients and funds.
The Board also was aware that, since the Funds had a sub-adviser, each Fund’s management fee reflected two components, the fee retained by the Adviser for its services and the fee the Adviser paid to the Sub-Adviser. The Board noted that many of the administrative services provided to support the Funds by the Adviser may not be required to the same extent or at all for the institutional clients or other clients. In general, the Board noted that higher fee levels reflected higher levels of service provided by the Fund Adviser, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of the foregoing. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members concluded such facts justify the different levels of fees.
3. Profitability of Fund Advisers
In conjunction with their review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities on an absolute basis and in comparison to other investment advisers. The Independent Board Members reviewed, among other things, Nuveen’s adjusted operating margins, the gross and net revenue margins (pre-tax and after-tax) for advisory activities for the Nuveen funds, and the revenues, expenses, and net income (pre-tax and after-tax) of Nuveen for each of the last two calendar years. The Independent Board Members reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2015. The Independent Board Members also noted that the sub-advisory fees for the Funds are paid by the Adviser, however, the Board recognized that the Sub-Adviser is affiliated with Nuveen. In their review, the Independent Board Members recognized that profitability data is rather subjective as various allocation methodologies may be reasonable to employ but yet yield different results. The Board also reviewed the results of certain alternative methodologies. The Board considered the allocation methodology employed to prepare the profitability data as well as a summary of the refinements to the methodology that had been adopted over the years which may limit some of the comparability of Nuveen’s revenue margins over time. Two Independent Board Members also served as point persons for the Board throughout the year to review and discuss the methodology employed to develop the profitability analysis and any proposed changes thereto and to keep the Board apprised of such changes during the year. In reviewing the profitability data, the Independent Board Members noted that Nuveen’s operating margin as well as its margins for its advisory activities to the Nuveen funds for 2015 were consistent with such margins for 2014.
The Board also considered Nuveen’s adjusted operating margins compared to that of other comparable investment advisers (based on asset size and composition) with publicly available data. The Independent Board Members recognized, however, the limitations of the comparative data as
the other advisers may have a different business mix, employ different allocation methodologies, have different capital structure and costs, may not be representative of the industry or other factors that limit the comparability of the profitability information. Nevertheless, the Independent Board Members noted that Nuveen’s adjusted operating margins appeared comparable to the adjusted margins of the peers.
Further, as the Adviser is a wholly-owned subsidiary of Nuveen which in turn is an operating division of TIAA Global Asset Management, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA-CREF”), the Board reviewed a balance sheet for TIAA-CREF reflecting its assets, liabilities and capital and contingency reserves for the last two calendar years to have a better understanding of the financial stability and strength of the TIAA-CREF complex, together with Nuveen.
Based on the information provided, the Independent Board Members noted that the Adviser appeared to be sufficiently profitable to operate as a viable investment management firm and to honor its obligations as a sponsor of the Nuveen funds.
With respect to the Sub-Adviser, the Independent Board Members also considered the profitability of the Sub-Adviser from its relationship with the Nuveen funds. The Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2015. The Independent Board Members also reviewed profitability analysis reflecting the revenues, expenses and revenue margin (pre- and post-tax) by asset type for the Sub-Adviser for the calendar year ending December 31, 2015.
In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates received or were expected to receive that were directly attributable to the management of a Fund. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds.
Based on their review, the Independent Board Members determined that the Adviser’s and the Sub-Adviser’s levels of profitability were reasonable in light of the respective services provided.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
The Independent Board Members recognized that as the assets of a particular fund or the Nuveen complex in the aggregate increase over time, economies of scale may be realized with respect to the management of the funds, and the Independent Board Members considered the extent to which these economies are shared with the funds and their shareholders. Although the Independent Board Members recognized that economies of scale are difficult to measure with precision, the Board noted that there were several acceptable means to share economies of scale, including through breakpoints in the management fee schedule reducing the fee rates as asset levels grow, fee waiver and expense limitation agreements and the Adviser’s investment in its business which can enhance the services provided to the funds. With respect to breakpoints, the Independent Board Members noted that subject to certain exceptions, the funds in the Nuveen complex, including the Funds, pay a management fee to the Adviser which is generally comprised of a fund-level component and complex-level component. The fund-level fee component declines as the assets of the particular fund grow and the complex-level fee component declines when eligible assets of all the funds in the Nuveen complex combined grow. The complex-wide fee arrangement was designed to capture economies of scale achieved when total fund complex assets increase, even if the assets of a particular fund are unchanged or decrease. The approach reflected the notion that some of Nuveen’s costs were attributable to services provided to all its funds in the complex, and therefore all funds should benefit if these costs were spread over a larger asset base.
The Independent Board Members reviewed the breakpoint and complex-wide schedules and any savings achieved from expense caps (as applicable), fund-level breakpoints and complex-wide fee reductions for the 2015 calendar year for the funds. In this regard, the Independent Board Members noted that additional economies of scale were (or in the case of the High Income Fund, would be) shared with shareholders of each Fund through its temporary expense cap.
In addition, the Independent Board Members recognized the Adviser’s ongoing investment in its business to expand or enhance the services provided to the Nuveen funds. The Independent Board Members noted, among other things, the additions to groups who play a key role in supporting the funds including in fund administration, operations, fund governance, investment services, compliance, product management, retail distribution and technology. The Independent Board Members also recognized the investments in systems necessary to manage the funds including in areas of risk oversight, information technology and compliance.
Based on their review, the Independent Board Members concluded that the current fee structure was acceptable and reflected economies of scale to be shared with shareholders when assets under management increase.
E. Indirect Benefits
The Independent Board Members received and considered information regarding other additional benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Funds, including compensation paid to affiliates and research received in connection with brokerage transactions (i.e., soft dollar arrangements). In this regard, the Independent Board Members recognized that an affiliate of the Adviser served as the Funds’ principal underwriter and may receive compensation therefore from, among other things, sales charges, distribution fees and shareholder services fees (which included fees received pursuant to any 12b-1 plan). The Independent Board Members therefore took into account, among other things, the 12b-1 fees retained by Nuveen during the last calendar year.
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
In addition to the above, the Independent Board Members considered that the Funds’ portfolio transactions are allocated by the Sub-Adviser and the Sub-Adviser may benefit from research received through soft-dollar arrangements. The Board noted, however, that with respect to transactions in fixed income securities, such securities generally trade on a principal basis and do not generate soft dollar credits. Although the Board recognized the Sub-Adviser may benefit from a soft dollar arrangement if it does not have to pay for this research out of its own assets, the Board also recognized that any such research may benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds.
Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.
F. Other Considerations
The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, concluded that the terms of each Advisory Agreement were fair and reasonable, that the respective Fund Adviser’s fees were reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.
Trustees
and Officers (Unaudited)
The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of directors of the Funds is set at twelve, effective July 1, 2016. None of the trustees who are not “interested” persons of the Funds (referred to herein as “independent trustees”) has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
The Funds’ Statement of Additional Information (“SAI”) includes more information about the trustees. To request a free copy, call Nuveen Investments at (800) 257-8787 or visit the Funds’ website at www.nuveen.com.
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (1) | | Principal Occupation(s)
Including other Directorships
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee |
| |
| Independent Trustee: |
William J. Schneider 1944 333 W. Wacker Drive Chicago, IL 60606 | | Chairman and Trustee | | 1996 | | Chairman of Miller-Valentine Partners, a real estate investment company; Board Member of Med-America Health System and WDPR Public Radio station; formerly, Senior Partner and Chief Operating Officer (retired (2004) of Miller-Valentine Group; formerly, Board member, Business Advisory Council of the Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council; past Chair and Director, Dayton Development Coalition. | | 184 |
Jack B. Evans 1948 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 1999 | | President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; Director, The Gazette Company; Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. | | 184 |
William C. Hunter 1948 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2003 | | Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; Director (since 2005), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University. | | 184 |
David J. Kundert 1942 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2005 | | Formerly, Director, Northwestern Mutual Wealth Management Company (2006-2013); retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Regent Emeritus, Member of Investment Committee, Luther College; member of the Wisconsin Bar Association; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation; member of the Board of Directors (Milwaukee), College Possible; Board member of Milwaukee Repertory Theatre (since 2016). | | 184 |
Trustees and Officers (Unaudited) (continued)
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (1) | | Principal Occupation(s)
Including other Directorships
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee |
Albin F. Moschner(2) 1952 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2016 | | Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); previously, held positions at Leap Wireless International, Inc., including Consultant (2011-2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004-2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications (1999-2000); formerly, Vice Chairman of the Board, Diba, Incorporated (1996-1997); formerly, various executive positions with Zenith Electronics Corporation (1991-1996). Director, USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016). | | 184 |
John K. Nelson 1962 333 West Wacker Drive Chicago, IL 60606 | | Trustee | | 2013 | | Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President’s Council, Fordham University (since 2010); formerly senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014); formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets—the Americas (2006-2007), CEO of Wholesale Banking—North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading—North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City. | | 184 |
Judith M. Stockdale 1947 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 1997 | | Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994). | | 184 |
Carole E. Stone 1947 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2007 | | Director, Chicago Board Options Exchange (since 2006), C2 Options Exchange, Incorporated (since 2009); Director, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010). | | 184 |
Terence J. Toth 1959 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2008 | | Managing Partner, Promus Capital (since 2008); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Chicago Fellowship Board (since 2005), Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its investment committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004). | | 184 |
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (1) | | Principal Occupation(s)
Including other Directorships
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee |
Margaret L. Wolff 1955 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2016 | | Member of the Board of Directors (since 2013) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College. | | 184 |
| |
| Interested Trustee: |
William Adams IV(3) 1955 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2013 | | Co-Chief Executive Officer and Co-President (since March 2016), formerly, Senior Executive Vice President, Global Structured Products (2010-2016), prior thereto, Executive Vice President, U.S. Structured Products (1999-2010) of Nuveen Investments, Inc.; Co-President of Nuveen Fund Advisors, LLC (since 2011); Co-Chief Executive Officer (since 2016), formerly, Senior Executive Vice President of Nuveen Securities, LLC; President (since 2011), of Nuveen Commodities Asset Management, LLC; Board Member of the Chicago Symphony Orchestra and of Gilda’s Club Chicago. | | 184 |
Margo L. Cook(2)(3) 1964 333 W. Wacker Drive Chicago, IL 60606 | | Trustee | | 2016 | | Co-Chief Executive Officer and Co-President (since March 2016), formerly, Senior Executive Vice President of Nuveen Investments, Inc; Co-Chief Executive Officer (since 2015), previously, Executive Vice President (2013-2015) of Nuveen Securities, LLC; Senior Executive Vice President (since 2015) of Nuveen Fund Advisors, LLC (Executive Vice President 2011-2015); formerly, Managing Director of Nuveen Commodities Asset Management, LLC (2011- 2016); Chartered Financial Analyst. | | 184 |
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (4) | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Officer |
| |
| Officers of the Funds: |
Gifford R. Zimmerman 1956 333 W. Wacker Drive Chicago, IL 60606 | | Chief Administrative Officer | | 1988 | | Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Managing Director and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002), and Symphony Asset Management LLC (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Santa Barbara Asset Management, LLC (since 2006) and of Winslow Capital Management, LLC, (since 2010); Vice President and Assistant Secretary (since 2013), formerly, Chief Administrative Officer and Chief Compliance Officer (2006-2013) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst. | | 185 |
Lorna C. Ferguson 1945 333 W. Wacker Drive Chicago, IL 60606 | | Vice President | | 1998 | | Managing Director (since 2005) of Nuveen Fund Advisors, LLC and Nuveen Securities, LLC (since 2004). | | 185 |
Trustees and Officers (Unaudited) (continued)
| | | | | | | | |
Name,
Year of Birth
& Address | | Position(s)
Held with
the Funds | | Year First
Elected or
Appointed (4) | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Officer |
Stephen D. Foy 1954 333 W. Wacker Drive Chicago, IL 60606 | | Vice President and Controller | | 1998 | | Managing Director (since 2014), formerly, Senior Vice President (2013-2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Chief Financial Officer of Nuveen Commodities Asset Management, LLC (since 2010); Managing Director (since 2016) of Nuveen Securities, LLC; Certified Public Accountant. | | 185 |
Nathaniel T. Jones 1979 333 W. Wacker Drive Chicago, IL 60606 | | Vice President and Treasurer | | 2016 | | Senior Vice President (since 2016), formerly, Vice President (2011- 2016) of Nuveen Investments Holdings, Inc.; Chartered Financial Analyst. | | 184 |
Walter M. Kelly 1970 333 W. Wacker Drive Chicago, IL 60606 | | Chief Compliance Officer and Vice President | | 2003 | | Senior Vice President (since 2008) of Nuveen Investments Holdings, Inc. | | 185 |
Tina M. Lazar 1961 333 W. Wacker Drive Chicago, IL 60606 | | Vice President | | 2002 | | Senior Vice President of Nuveen Investments Holdings, Inc. and Nuveen Securities, LLC | | 185 |
Kevin J. McCarthy 1966 333 W. Wacker Drive Chicago, IL 60606 | | Vice President and Secretary | | 2007 | | Executive Vice President, Secretary and General Counsel (since March 2016), formerly, Managing Director and Assistant Secretary of Nuveen Investments, Inc.; Executive Vice President (since March 2016), formerly, Managing Director, and Assistant Secretary (since 2008) of Nuveen Securities, LLC; Executive Vice President and Secretary (since March 2016), formerly, Managing Director (2008-2016) and Assistant Secretary (2007-2016), and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Executive Vice President and Secretary (since March 2016), formerly, Managing Director, Assistant Secretary (2011-2016), and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Executive Vice President and Secretary of Nuveen Investments Advisers, LLC; Vice President (since 2007) and Secretary (since March 2016) of NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, Winslow Capital Management, LLC (since 2010) and Tradewinds Global Investors, LLC (since 2016); Vice President (since 2010) and Secretary (since 2016), formerly, Assistant Secretary of Nuveen Commodities Asset Management, LLC. | | 185 |
Kathleen L. Prudhomme 1953 901 Marquette Avenue Minneapolis, MN 55402 | | Vice President and Assistant Secretary | | 2011 | | Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010). | | 185 |
Joel T. Slager 1978 333 West Wacker Drive Chicago, IL 60606 | | Vice President and Assistant Secretary | | 2013 | | Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013). | | 185 |
Jeffery M. Wilson 1956 333 West Wacker Drive Chicago, IL 60606 | | Vice President | | 2011 | | Senior Vice President of Nuveen Investments Holdings, Inc. (since 2011); formerly Senior Vice President of Nuveen Securities, LLC (since 2011); formerly, Senior Vice President of FAF Advisors, Inc. (2000-2010). | | 101 |
| (1) | Trustees serve an indefinite term until his/her successor is elected or appointed. The year first elected or appointed represents the year in which the director was first elected or appointed to any fund in the Nuveen Fund Complex. |
| (2) | On June 22, 2016, Ms. Cook and Mr. Moschner were appointed as Board Members, effective July 1, 2016. |
| (3) | “Interested persons” of the Trust, as defined in the 1940 Act, by reason of their positions with Nuveen and certain of its subsidiaries. |
| (4) | Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the officer was first elected or appointed to any fund in the Nuveen Fund Complex. |
Notes
Notes
Notes
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| | Nuveen: | | |
| | | | Serving Investors for Generations | | |
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| | | | 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. | | |
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| | | | | | Focused on meeting investor needs. Nuveen helps secure the long-term goals of individual investors and the advisors who serve them. As an operating division of TIAA Global Asset Management, Nuveen provides 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 more than $239 billion in assets as of June 30, 2016. | | |
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| | | | | | 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 | | |
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| | Distributed by Nuveen Securities, LLC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com/mf | | |
MAN-GHSU-0616D 18662-INV-Y-08/17
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/MutualFunds/ShareholderResources/FundGovernance.aspx. (To view the code, click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial experts are Carole E. Stone and Jack B. Evans, who are “independent” for purposes of Item 3 of Form N-CSR.
Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State’s operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State’s bond-related disclosure documents and certifying that they fairly presented the State’s financial position; reviewing audits of various State and local agencies and programs; and coordinating the State’s system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director. Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone’s position on the boards of these entities and as a member of both CBOE Holdings’ Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser (“SCI”). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the “CFO”) and actively supervised the CFO’s preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI’s financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
The following tables show the amount of fees that PricewaterhouseCoopers LLP, the Funds’ auditor, billed to the Funds’ during the Funds’ last two full fiscal years. The Audit Committee approved in advance all audit services and non-audit services that PricewaterhouseCoopers LLP provided to the Funds, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The preapproval exception for services provided directly to the Funds waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Funds during the fiscal year in which the services are provided; (B) the Funds did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.
The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).
SERVICES THAT THE AUDITOR BILLED TO THE FUND
| | | | | | | | | | | | | | | | |
Fiscal Year Ended June 30, 2016 | | Audit Fees Billed
to Funds 1 | | | Audit-Related Fees
Billed to Funds 2 | | | Tax Fees
Billed to Funds 3 | | | All Other Fees
Billed to Funds 4 | |
Fund Name | | | | | | | | | | | | | | | | |
Nuveen Core Plus Bond Fund | | | 42,414 | | | | 0 | | | | 2,266 | | | | 0 | |
Nuveen High Income Bond Fund | | | 32,967 | | | | 0 | | | | 98 | | | | 0 | |
Nuveen Intermediate Government Bond Fund | | | 40,918 | | | | 0 | | | | 10 | | | | 0 | |
Nuveen Inflation Protected Securities Fund | | | 41,743 | | | | 0 | | | | 3,239 | | | | 0 | |
Nuveen Core Bond Fund | | | 41,456 | | | | 0 | | | | 2,241 | | | | 0 | |
Nuveen Short Term Bond Fund | | | 43,806 | | | | 0 | | | | 103 | | | | 0 | |
Nuveen Strategic Income Fund | | | 44,623 | | | | 0 | | | | 73 | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 287,927 | | | $ | 0 | | | $ | 8,030 | | | $ | 0 | |
| 1 | | “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements. |
| 2 | | “Audit-Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage. |
| 3 | | “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculations performed by the principal accountant. |
| 4 | | “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage. |
| | | | | | | | | | | | | | | | |
| | | Percentage Approved Pursuant to Pre-approval Exception | |
| | | Audit Fees Billed
to Funds | | | Audit-Related Fees
Billed to Funds | | | Tax Fees
Billed to Funds | | | All Other Fees
Billed to Funds | |
Fund Name | | | | | | | | | | | | | | | | |
Nuveen Core Plus Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen High Income Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Intermediate Government Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Inflation Protected Securities Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Core Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Short Term Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Strategic Income Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
| | | | |
June 30, 2015 | | Audit Fees Billed
to Funds 1 | | | Audit-Related Fees
Billed to Funds 2 | | | Tax Fees
Billed to Funds 3 | | | All Other Fees
Billed to Funds 4 | |
Fund Name | | | | | | | | | | | | | | | | |
Nuveen Core Plus Bond Fund | | | 41,769 | | | | 0 | | | | 2,380 | | | | 0 | |
Nuveen High Income Bond Fund | | | 33,303 | | | | 0 | | | | 2,380 | | | | 0 | |
Nuveen Intermediate Government Bond Fund | | | 39,682 | | | | 0 | | | | 2,380 | | | | 0 | |
Nuveen Inflation Protected Securities Fund | | | 40,082 | | | | 0 | | | | 2,380 | | | | 0 | |
Nuveen Core Bond Fund | | | 40,473 | | | | 0 | | | | 2,380 | | | | 0 | |
Nuveen Short Term Bond Fund | | | 43,239 | | | | 0 | | | | 2,380 | | | | 0 | |
Nuveen Strategic Income Fund | | | 44,548 | | | | 0 | | | | 2,380 | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 283,096 | | | $ | 0 | | | $ | 16,660 | | | $ | 0 | |
| 1 | | “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements. |
| 2 | | “Audit-Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage. |
| 3 | | “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculations performed by the principal accountant. |
| 4 | | “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage. |
| | | | | | | | | | | | | | | | |
| | | Percentage Approved Pursuant to Pre-approval Exception | |
| | | Audit Fees Billed
to Funds | | | Audit-Related Fees
Billed to Funds | | | Tax Fees
Billed to Funds | | | All Other Fees
Billed to Funds | |
Fund Name | | | | | | | | | | | | | | | | |
Nuveen Core Plus Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen High Income Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Intermediate Government Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Inflation Protected Securities Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Core Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Short Term Bond Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Nuveen Strategic Income Fund | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
| | | | | | | | | | | | |
Fiscal Year Ended June 30, 2016 | | Audit-Related Fees
Billed to Adviser and
Affiliated Fund
Service Providers | | | Tax Fees Billed to
Adviser and
Affiliated Fund
Service Providers | | | All Other Fees
Billed to Adviser
and Affiliated Fund
Service Providers | |
Nuveen Investment Funds, Inc. | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| |
| | | Percentage Approved Pursuant to Pre-approval Exception | |
| | | Audit-Related Fees
Billed to Adviser and
Affiliated Fund
Service Providers | | | Tax Fees Billed to
Adviser and
Affiliated Fund
Service Providers | | | All Other Fees
Billed to Adviser
and Affiliated Fund
Service Providers | |
| | | 0 | % | | | 0 | % | | | 0 | % |
| | | |
Fiscal Year Ended June 30, 2015 | | Audit-Related Fees
Billed to Adviser and
Affiliated Fund
Service Providers | | | Tax Fees Billed to
Adviser and
Affiliated Fund
Service Providers
| | | All Other Fees
Billed to Adviser
and Affiliated Fund
Service Providers | |
Nuveen Investment Funds, Inc. | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| |
| | | Percentage Approved Pursuant to Pre-approval Exception | |
| | | Audit-Related Fees
Billed to Adviser and
Affiliated Fund
Service Providers | | | Tax Fees Billed to
Adviser and
Affiliated Fund
Service Providers | | | All Other Fees
Billed to Adviser
and Affiliated Fund
Service Providers | |
| | | 0 | % | | | 0 | % | | | 0 | % |
| | | | | | | | | | | | | | | | |
Fiscal Year Ended June 30, 2016 | | Total Non-Audit Fees
Billed to Trust | | | Total Non-Audit Fees
billed to Adviser and
Affiliated Fund Service
Providers (engagements
related directly to the
operations and financial
reporting of the Trust) | | | Total Non-Audit Fees
billed to Adviser and
Affiliated Fund Service
Providers (all other
engagements) | | | Total | |
Fund Name | | | | | | | | | | | | | | | | |
Nuveen Core Plus Bond Fund | | | 2,266 | | | | 0 | | | | 0 | | | | 2,266 | |
Nuveen High Income Bond Fund | | | 98 | | | | 0 | | | | 0 | | | | 98 | |
Nuveen Intermediate Government Bond Fund | | | 10 | | | | 0 | | | | 0 | | | | 10 | |
Nuveen Inflation Protected Securities Fund | | | 3,239 | | | | 0 | | | | 0 | | | | 3,239 | |
Nuveen Core Bond Fund | | | 2,241 | | | | 0 | | | | 0 | | | | 2,241 | |
Nuveen Short Term Bond Fund | | | 103 | | | | 0 | | | | 0 | | | | 103 | |
Nuveen Strategic Income Fund | | | 73 | | | | 0 | | | | 0 | | | | 73 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 8,030 | | | $ | 0 | | | $ | 0 | | | $ | 8,030 | |
“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.
Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
| | | | | | | | | | | | | | | | |
Fiscal Year Ended June 30, 2015 | | Total Non-Audit Fees
Billed to Trust | | | Total Non-Audit Fees
billed to Adviser and
Affiliated Fund Service
Providers (engagements
related directly to the
operations and financial
reporting of the Trust) | | | Total Non-Audit Fees
billed to Adviser and
Affiliated Fund Service
Providers (all other
engagements) | | | Total | |
Fund Name | | | | | | | | | | | | | | | | |
Nuveen Core Plus Bond Fund | | | 2,380 | | | | 0 | | | | 0 | | | | 2,380 | |
Nuveen High Income Bond Fund | | | 2,380 | | | | 0 | | | | 0 | | | | 2,380 | |
Nuveen Intermediate Government Bond Fund | | | 2,380 | | | | 0 | | | | 0 | | | | 2,380 | |
Nuveen Inflation Protected Securities Fund | | | 2,380 | | | | 0 | | | | 0 | | | | 2,380 | |
Nuveen Core Bond Fund | | | 2,380 | | | | 0 | | | | 0 | | | | 2,380 | |
Nuveen Short Term Bond Fund | | | 2,380 | | | | 0 | | | | 0 | | | | 2,380 | |
Nuveen Strategic Income Fund | | | 2,380 | | | | 0 | | | | 0 | | | | 2,380 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 16,660 | | | $ | 0 | | | $ | 0 | | | $ | 16,660 | |
“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Funds by the Funds’ independent accountant and (ii) all audit and non-audit services to be performed by the Funds’ independent accountant for the Affiliated Fund Service Providers with respect to the operations and financial reporting of the Funds. Regarding tax and research projects conducted by the independent accountant for the Funds and Affiliated Fund Service Providers (with respect to operations and financial reports of the Trust), such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee Chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.
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. |
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 of Trustees 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 because the code is posted on registrant’s website at www.nuveen.com/MutualFunds/ShareholderResources/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.) |
| |
| (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 Funds, Inc.
| | |
| |
| By (Signature and Title) | | /s/ Kevin J. McCarthy |
| | Kevin J. McCarthy |
| | Vice President and Secretary |
Date: September 7, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| |
| By (Signature and Title) | | /s/ Gifford R. Zimmerman |
| | Gifford R. Zimmerman |
| | Chief Administrative Officer |
| | (principal executive officer) |
Date: September 7, 2016
| | |
| |
| By (Signature and Title) | | /s/ Stephen D. Foy |
| | Stephen D. Foy |
| | Vice President and Controller |
| | (principal financial officer) |
Date: September 7, 2016
