nvq
 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number       811-21494      
Nuveen Floating Rate Income Fund
(Exact name of registrant as specified in charter)
     333 West Wacker Drive, Chicago, Illinois 60606     
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy—Vice President and Secretary
     333 West Wacker Drive, Chicago, Illinois 60606     
(Name and address of agent for service)
Registrant’s telephone number, including area code:      312-917-7700     
Date of fiscal year end:        7/31      
Date of reporting period:    4/30/2011   
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
 
 

 

 

Item 1. Schedule of Investments
Portfolio of Investments
Nuveen Floating Rate Income Fund (JFR)
April 30, 2011 (Unaudited)
                                         
          Weighted                    
Principal         Average                    
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
 
       
 
                                
       
Variable Rate Senior Loan Interests – 119.3% (86.3% of Total Investments) (4)
                                
       
 
                                
       
Aerospace & Defense – 1.3% (0.9% of Total Investments)
                                
       
 
                                
$ 337    
Hawker Beechcraft, LLC, LC Facility
     2.307 %     3/26/14       CCC+     $ 297,810  
  477    
Hawker Beechcraft, LLC, Term Loan B
     10.500 %     3/26/14       CCC+       486,397  
  5,454    
Hawker Beechcraft, LLC, Term Loan
     2.238 %     3/26/14       CCC+       4,815,992  
  1,910    
Transdigm, Inc., Term Loan
     4.000 %     6/30/17       Ba2       1,933,530  
 
  8,178    
Total Aerospace & Defense
                             7,533,729  
 
       
 
                                
       
Airlines – 1.7% (1.2% of Total Investments)
                                
       
 
                                
  3,000    
Delta Air Lines, Inc., Revolving Loan, Delayed Draw
     0.750 %     3/28/13       Ba2       (102,187 )
  10,370    
United Air Lines, Inc., Term Loan B
     2.313 %     2/01/14       BB-       10,135,137  
 
  13,370    
Total Airlines
                             10,032,950  
 
       
 
                                
       
Auto Components – 2.6% (1.9% of Total Investments)
                                
       
 
                                
  10,321    
Federal-Mogul Corporation, Tranche B, Term Loan
     2.173 %     12/29/14       Ba3       10,083,710  
  5,699    
Federal-Mogul Corporation, Tranche C, Term Loan
     2.151 %     12/28/15       Ba3       5,568,584  
 
  16,020    
Total Auto Components
                             15,652,294  
 
       
 
                                
       
Biotechnology – 1.4% (1.0% of Total Investments)
                                
       
 
                                
  6,000    
Grifols, Term Loan, WI/DD
     0.000 %     11/01/16       BB       6,066,528  
  2,500    
Onex Carestream Finance LP, Term Loan
     5.000 %     2/25/17       Ba2       2,346,562  
 
  8,500    
Total Biotechnology
                             8,413,090  
 
       
 
                                
       
Building Products – 2.3% (1.6% of Total Investments)
                                
       
 
                                
  2,000    
Goodman Global Inc., Second Lien Term Loan
     9.000 %     10/28/17       B-       2,075,834  
  11,277    
Goodman Global Inc., Term Loan
     5.750 %     10/28/16       B+       11,392,917  
 
  13,277    
Total Building Products
                             13,468,751  
 
       
 
                                
       
Capital Markets – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  590    
BNY Convergex Group LLC, Incremental Term Loan
     5.250 %     12/19/16       B+       595,060  
  1,405    
BNY Convergex Group LLC, Term Loan
     5.250 %     12/19/16       B+       1,418,145  
 
  1,995    
Total Capital Markets
                             2,013,205  
 
       
 
                                
       
Chemicals – 3.4% (2.5% of Total Investments)
                                
       
 
                                
  1,393    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1
     4.000 %     5/05/15       Ba3       1,388,633  
  594    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2
     4.063 %     5/05/15       Ba3       592,121  
  3,420    
Ineos US Finance LLC, Tranche B2
     7.500 %     12/16/13       B1       3,546,707  
  3,422    
Ineos US Finance LLC, Tranche C2
     8.000 %     12/16/14       B1       3,548,885  
  2,873    
Styron S.a.r.l. Corporation,Term Loan
     6.000 %     8/02/17       B+       2,906,004  
  7,980    
Univar, Inc., Term Loan
     5.000 %     6/30/17       B       8,050,535  
 
  19,682    
Total Chemicals
                             20,032,885  
 
       
 
                                
       
Commercial Banks – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  1,995    
Fifth Third Processing Solutions LLC, Term Loan
     5.500 %     11/03/16       BB-       2,015,698  
 
       
 
                                
       
Commercial Services & Supplies – 0.9% (0.7% of Total Investments)
                                
       
 
                                
  490    
ServiceMaster Company, Delayed Term Loan
     2.720 %     7/24/14       B+       483,309  
  4,924    
ServiceMaster Company, Term Loan
     2.763 %     7/24/14       B+       4,853,222  
 
  5,414    
Total Commercial Services & Supplies
                             5,336,531  
 
       
 
                                
       
Communications Equipment – 4.8% (3.5% of Total Investments)
                                
       
 
                                
  9,956    
Avaya, Inc., Term Loan
     3.061 %     10/27/14       B1       9,753,968  
  8,499    
Avaya, Inc., Term Loan B3
     4.811 %     10/26/17       B1       8,245,833  
  9,533    
Intelsat, Term Loan
     5.250 %     4/02/18       BB-       9,639,839  
  973    
Telcordia Technologies, Inc., New Term Loan
     6.750 %     4/30/16       B+       976,104  
 
  28,961    
Total Communications Equipment
                             28,615,744  
 
       
 
                                
       
Consumer Finance – 0.2% (0.1% of Total Investments)
                                
       
 
                                
  992    
Peach Holdings, Inc., Term Loan
     7.250 %     11/21/13       CCC-       867,957  
 
       
 
                                
       
Containers & Packaging – 0.5% (0.4% of Total Investments)
                                
       
 
                                
  2,843    
Graham Packaging Company LP, Term Loan C
     6.750 %     4/05/14       B+       2,874,104  
 
       
 
                                
       
Diversified Consumer Services – 2.0% (1.5% of Total Investments)
                                
       
 
                                
  5,985    
Advantage Sales and Marketing, Inc., Term Loan, First Lien
     5.250 %     12/17/17       B+       6,023,627  
  2,394    
Brickman Group Holdings, Inc., Tranche B, Term Loan
     7.250 %     10/14/16       B+       2,446,867  
  3,676    
Cengage Learning Acquisitions, Inc., Term Loan
     2.460 %     7/03/14       B+       3,544,946  
 
  12,055    
Total Diversified Consumer Services
                             12,015,440  
 
       
 
                                
       
Diversified Financial Services – 2.4% (1.7% of Total Investments)
                                
       
 
                                
  2,072    
CIT Group, Inc., Tranche 3, Term Loan
     6.250 %     8/11/15       BB       2,106,457  
  1,723    
FoxCo Acquisition Sub LLC, Term Loan
     4.768 %     7/14/15       B+       1,731,143  
  1,500    
Nexeo Solutions LLC, Term Loan
     5.000 %     2/16/17       B1       1,510,000  
  8,661    
Pinafore LLC, Term Loan
     4.250 %     9/29/16       BB       8,753,621  
 
  13,956    
Total Diversified Financial Services
                             14,101,221  
 
       
 
                                
       
Diversified Telecommunication Services – 1.5% (1.1% of Total Investments)
                                
       
 
                                
  6,800    
Level 3 Financing, Inc., Term Loan
     2.533 %     3/13/14       B+       6,712,341  
  294    
MetroPCS Wireless, Inc., Tranche B1, Term Loan
     4.071 %     11/03/13       Ba1       294,859  
  1,987    
WideOpenWest Finance LLC, Term Loan, First Lien
     2.721 %     6/30/14       B1       1,924,515  
 
  9,081    
Total Diversified Telecommunication Services
                             8,931,715  
 
       
 
                                
       
Electric Utilities – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  4,781    
TXU Corporation, 2014 Term Loan
     3.736 %     10/10/14       B2       4,132,987  
 
       
 
                                
       
Electrical Equipment – 1.9% (1.4% of Total Investments)
                                
       
 
                                
  11,088    
Allison Transmission Holdings, Inc., Term Loan
     2.990 %     8/07/14       B       11,089,616  
 
       
 
                                
       
Electronic Equipment & Instruments – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  4,000    
NDS Group, Ltd., Term Loan
     4.000 %     3/12/18       Ba2       4,017,500  
 
       
 
                                
       
Food & Staples Retailing – 2.7% (2.0% of Total Investments)
                                
       
 
                                
  16,577    
U.S. Foodservice, Inc., Term Loan
     2.710 %     7/03/14       B2       16,073,086  
 
       
 
                                
       
Food Products – 2.3% (1.7% of Total Investments)
                                
       
 
                                
  240    
Darling International, Inc., Term Loan
     5.000 %     12/17/16       BBB-       242,100  
  2,000    
Great Atlantic and Pacific Tea Company, Inc., Term Loan
     8.750 %     6/14/12       BB-       2,032,450  
  4,982    
Michael Foods Group, Inc., Term Loan
     4.250 %     2/25/18       B+       5,031,533  
  3,980    
Pierre Foods, Inc., Term Loan
     7.000 %     9/30/16       B+       4,015,653  
  2,220    
Pinnacle Foods Finance LLC, Tranche D, Term Loan
     6.000 %     4/02/14       Ba3       2,249,410  
 
  13,422    
Total Food Products
                             13,571,146  
 
       
 
                                
       
Health Care Equipment & Supplies – 0.6% (0.5% of Total Investments)
                                
       
 
                                
  143    
Fenwal, Inc., Delayed Term Loan
     2.561 %     2/28/14       B       134,762  
  833    
Fenwal, Inc., Term Loan
     2.561 %     2/28/14       B       786,057  
  1,125    
Symbion, Inc., Term Loan A
     3.461 %     8/23/13       B1       1,091,228  
  1,740    
Symbion, Inc., Term Loan B
     3.461 %     8/25/14       B1       1,688,271  
 
  3,841    
Total Health Care Equipment & Supplies
                             3,700,318  
 
       
 
                                
       
Health Care Providers & Services – 13.6% (9.8% of Total Investments)
                                
       
 
                                
  1,485    
Ardent Medical Services, Inc., Term Loan
     6.500 %     9/15/15       B1       1,493,662  
  405    
Community Health Systems, Inc., Delayed Term Loan
     2.561 %     7/25/14       BB       395,480  
  7,862    
Community Health Systems, Inc., Term Loan
     2.561 %     7/25/14       BB       7,684,814  
  5,250    
Emergency Medical Services, Term Loan, DD1
     5.250 %     4/27/18       B+       5,288,719  
  5,555    
Gentiva Health Services, Inc., Term Loan B
     4.750 %     8/17/16       Ba2       5,624,121  
  15,000    
Golden Living, Term Loan, WI/DD
     5.000 %     4/28/18       B1       14,751,570  
  1,133    
Healthspring, Term Loan
     6.000 %     10/21/16       Ba3       1,136,260  
  1,179    
IASIS Healthcare LLC, PIK Term Loan
     5.554 %     6/16/14       CCC+       1,191,123  
  5,500    
Kindred Healthcare, Term Loan, WI/DD
     6.500 %     3/28/18       Ba3       5,491,409  
  4,009    
LifeCare, Term Loan
     8.063 %     2/01/16       Ba2       4,058,662  
  2,808    
MultiPlan, Inc., Term Loan B
     4.750 %     8/26/17       Ba3       2,825,942  
  5,250    
National Mentor Holdings, Inc., Tranche B
     7.000 %     2/09/17       B+       5,197,500  
  1,531    
Rehabcare Group, Inc., Term Loan B
     6.000 %     11/24/15       BB       1,540,760  
  1,197    
Renal Advantage, Inc., Tranche B, Term Loan
     5.750 %     12/17/16       Ba3       1,211,589  
  4,971    
Skilled Healthcare Group, Inc., Term Loan
     5.250 %     4/09/16       B+       4,960,779  
  2,229    
Sun Healthcare Group, Inc., Term Loan
     7.500 %     10/18/16       Ba2       2,232,120  
  8,285    
Universal Health Services, Inc., Term Loan B
     4.000 %     11/15/16       BB+       8,340,831  
  6,913    
Vanguard Health Holding Company II LLC, Initial Term Loan
     5.000 %     1/29/16       Ba2       6,947,692  
 
  80,562    
Total Health Care Providers & Services
                             80,373,033  
 
       
 
                                
       
Hotels, Restaurants & Leisure – 9.8% (7.1% of Total Investments)
                                
       
 
                                
  4,963    
24 Hour Fitness Worldwide, Inc., New Term Loan
     6.750 %     4/22/16       Ba3       4,955,220  
  1,000    
Ameristar Casinos, Inc., Term Loan B
     4.000 %     4/16/18       BB+       1,010,446  
  72    
Buffets, Inc., 1st Lien PF/LC Loan
     7.557 %     4/22/15       B-       65,867  
  5,486    
Burger King Corporation, Tranche B
     4.500 %     10/19/16       BB-       5,490,151  
  2,800    
Caesars Octavius LLC, Term Loan, WI/DD
     9.250 %     4/25/17       B       2,808,728  
  994    
CCM Merger, Inc., Term Loan
     7.000 %     3/01/17       B+       1,008,932  
  1,500    
Harrah’s Operating Company, Inc., Term Loan B1
     3.274 %     1/28/15       B       1,409,475  
  3,000    
Harrah’s Operating Company, Inc., Term Loan B2
     3.255 %     1/28/15       B       2,817,501  
  1,975    
Harrah’s Operating Company, Inc., Term Loan B3
     3.274 %     1/28/15       B       1,855,722  
  4,905    
Orbitz Worldwide, Inc., Term Loan
     3.253 %     7/25/14       B+       4,671,681  
  581    
OSI Restaurant Partners LLC, Revolver
     0.099 %     6/14/13       B+       570,929  
  5,250    
OSI Restaurant Partners LLC, Term Loan
     2.500 %     6/14/14       B+       5,159,253  
  3,569    
Reynolds Group Holdings, Inc., US Term Loan
     4.250 %     2/09/18       BB       3,593,377  
  6,831    
Seaworld Parks and Entertainment, Inc., Term Loan B
     4.000 %     8/17/17       BB+       6,890,487  
  4,300    
Six Flags Theme Parks, Inc., Tranche B, Term Loan
     5.250 %     6/30/16       BB       4,342,106  
  1,925    
Travelport LLC, Delayed Term Loan
     4.744 %     8/21/15       Ba3       1,889,357  
  674    
Travelport LLC, Letter of Credit
     4.807 %     8/21/15       Ba3       661,607  
  3,199    
Travelport LLC, Term Loan
     4.744 %     8/21/15       Ba3       3,139,425  
  1,230    
Venetian Casino Resort LLC, Delayed Term Loan
     3.000 %     11/23/16       BB-       1,212,044  
  4,159    
Venetian Casino Resort LLC, Tranche B, Term Loan
     3.000 %     11/23/16       BB-       4,095,414  
 
  58,413    
Total Hotels, Restaurants & Leisure
                             57,647,722  
 
       
 
                                
       
Household Products – 3.2% (2.3% of Total Investments)
                                
       
 
                                
  7,541    
Spectrum Brands, Inc., Term Loan
     5.010 %     6/17/16       B2       7,638,202  
  10,973    
Visant Corporation, Term Loan
     5.250 %     12/22/16       BB-       11,039,652  
 
  18,514    
Total Household Products
                             18,677,854  
 
       
 
                                
       
Industrial Conglomerates – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  1,990    
Evertec, Inc., Term Loan
     5.500 %     9/30/16       BB-       2,004,925  
  2,133    
Presidio, Inc., Term Loan
     7.250 %     3/31/17       Ba3       2,138,666  
 
  4,123    
Total Industrial Conglomerates
                             4,143,591  
 
       
 
                                
       
Internet Software & Services – 1.3% (0.9% of Total Investments)
                                
       
 
                                
  756    
Open Solutions, Inc., Term Loan B
     2.395 %     1/23/14       BB-       677,892  
  2,940    
Sabre, Inc., Term Loan
     2.229 %     9/30/14       B1       2,722,625  
  3,914    
SkillSoft Corporation, Term Loan
     6.500 %     5/26/17       BB       3,982,032  
 
  7,610    
Total Internet Software & Services
                             7,382,549  
 
       
 
                                
       
IT Services – 7.2% (5.2% of Total Investments)
                                
       
 
                                
  800    
Attachmate Corporation, Second Lien Term Loan, WI/DD
     9.500 %     10/27/17       CCC+       799,000  
  5,000    
Attachmate Corporation, Term Loan, DD1
     6.500 %     4/27/17       BB-       5,012,500  
  10,947    
First Data Corporation, Extended Term Loan
     4.213 %     3/24/18       B+       10,403,610  
  181    
First Data Corporation, Term Loan B1
     2.963 %     9/24/14       B+       171,806  
  473    
First Data Corporation, Term Loan B2
     2.963 %     9/24/14       B+       450,125  
  511    
First Data Corporation, Term Loan B3
     2.963 %     9/24/14       B+       486,544  
  122    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan
     3.970 %     7/28/12       B+       121,039  
  1,851    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan
     5.970 %     7/28/15       B+       1,813,633  
  4,808    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan
     8.200 %     9/02/14       N/R       3,998,645  
  2,842    
Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw, DD1
     6.461 %     3/02/14       CCC+       2,600,125  
  259    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
     3.970 %     7/28/12       B+       256,803  
  4,908    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien, DD1
     6.461 %     3/02/14       CCC+       4,514,135  
  3,540    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
     5.970 %     7/28/15       B+       3,520,737  
  6,020    
SunGard Data Systems, Inc., Term Loan B
     1.979 %     2/28/14       BB       5,972,476  
  2,394    
Syniverse Holdings, Inc., Term Loan
     5.250 %     12/21/17       BB-       2,421,430  
 
  44,656    
Total IT Services
                             42,542,608  
 
       
 
                                
       
Leisure Equipment & Products – 3.0% (2.2% of Total Investments)
                                
       
 
                                
  2,042    
BLB Management Services, Inc., Term Loan
     8.500 %     11/05/15       BB-       2,058,160  
  14,278    
Bombardier Recreational Products, Inc., Term Loan
     2.786 %     6/28/13       B-       14,186,360  
  1,674    
Cedar Fair LP, Term Loan
     4.000 %     12/15/17       Ba2       1,691,782  
 
  17,994    
Total Leisure Equipment & Products
                             17,936,302  
 
       
 
                                
       
Media – 9.0% (6.5% of Total Investments)
                                
       
 
                                
  1,500    
Charter Communications Operating Holdings LLC, Holdco Term Loan
     2.711 %     3/06/14       BB+       1,483,594  
  1,600    
Gray Television, Inc., Term Loan B
     3.750 %     12/31/14       B       1,592,358  
  5,439    
Interactive Data Corporation, Term Loan B
     4.750 %     2/11/18       Ba3       5,482,620  
  3,201    
Mediacom Broadband LLC, Tranche D, Term Loan
     5.500 %     3/31/17       BB-       3,215,255  
  1,388    
Miramax Film, LLC, Term Loan
     7.750 %     7/01/16       Ba2       1,405,039  
  67    
Nielsen Finance LLC, Term Loan A
     2.231 %     8/09/13       Ba2       66,617  
  5,350    
Spanish Broadcasting System, Inc., Term Loan B
     2.060 %     6/11/12       B-       5,221,563  
  2,724    
SuperMedia, Term Loan
     11.000 %     12/31/15       B-       1,838,030  
  12,432    
Tribune Company, Term Loan B, (5)
     0.000 %     6/04/14       Ca       8,680,262  
  22,494    
Univision Communications, Inc., Term Loan
     4.461 %     3/31/17       B       22,039,470  
  4,775    
Yell Group PLC, Term Loan
     3.961 %     7/31/14       N/R       1,929,126  
 
  60,970    
Total Media
                             52,953,934  
 
       
 
                                
       
Metals & Mining – 2.6% (1.9% of Total Investments)
                                
       
 
                                
  3,000    
Fairmount Minerals, Ltd., Tranche B, Term Loan
     5.250 %     3/15/17       BB-       3,020,157  
  2,000    
John Maneely Company, Term Loan
     4.750 %     4/01/17       BB       2,009,150  
  4,988    
Novelis, Inc., Term Loan
     4.000 %     3/10/17       BB-       5,045,170  
  5,000    
Walter Energy, Term Loan
     4.000 %     4/02/18       BB-       5,049,690  
 
  14,988    
Total Metals & Mining
                             15,124,167  
 
       
 
                                
       
Multiline Retail – 0.8% (0.6% of Total Investments)
                                
       
 
                                
  4,780    
Neiman Marcus Group, Inc., Term Loan
     4.310 %     4/06/16       BB-       4,795,216  
 
       
 
                                
       
Oil, Gas & Consumable Fuels – 2.5% (1.8% of Total Investments)
                                
       
 
                                
  680    
Alon USA Energy, Inc., Edgington Facility
     2.561 %     8/05/13       B+       605,446  
  5,442    
Alon USA Energy, Inc., Paramount Facility
     2.527 %     8/05/13       B+       4,843,444  
  2,105    
Big West Oil LLC, Term Loan
     7.000 %     3/31/16       B2       2,136,842  
  1,820    
Brand Energy & Infrastructure Services, Inc., Term Loan B
     2.563 %     2/07/14       B       1,779,035  
  2,910    
CCS Income Trust, Term Loan
     3.242 %     11/14/14       B       2,786,836  
  2,700    
Western Refining, Inc., Term Loan
     7.500 %     3/15/17       B       2,739,776  
 
  15,657    
Total Oil, Gas & Consumable Fuels
                             14,891,379  
 
       
 
                                
       
Paper & Forest Products – 1.6% (1.1% of Total Investments)
                                
       
 
                                
  4,707    
Newark Group, Inc., DIP Term Loan
     12.500 %     3/31/14       N/R       4,872,179  
  4,713    
Wilton Products, Term Loan
     3.570 %     8/01/14       N/R       4,524,348  
 
  9,420    
Total Paper & Forest Products
                             9,396,527  
 
       
 
                                
       
Personal Products – 1.6% (1.2% of Total Investments)
                                
       
 
                                
  5,599    
NBTY, Inc., Term Loan B1
     4.250 %     10/01/17       BB-       5,646,114  
  3,960    
Revlon Consumer Products Corporation, Term Loan
     6.000 %     3/11/15       BB-       3,987,534  
 
  9,559    
Total Personal Products
                             9,633,648  
 
       
 
                                
       
Pharmaceuticals – 1.7% (1.2% of Total Investments)
                                
       
 
                                
  2,793    
ConvaTec Healthcare, Term Loan
     5.750 %     12/30/16       Ba3       2,807,401  
  1,995    
Edwards Limited New Term Loan, First Lien
     5.500 %     5/31/16       B+       2,002,481  
  5,625    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)
     4.941 %     5/03/13       Ca       318,752  
  1,546    
Graceway Pharmaceuticals LLC, Term Loan, (5)
     4.961 %     5/03/12       Caa2       935,159  
  1,862    
Warner Chilcott Corporation, Term Loan B1
     4.250 %     3/17/18       BBB-       1,879,847  
  931    
Warner Chilcott Corporation, Term Loan B2
     4.250 %     3/17/18       BBB-       939,923  
  1,280    
Warner Chilcott Corporation, Term Loan B3
     4.250 %     3/17/18       BBB-       1,292,395  
 
  16,032    
Total Pharmaceuticals
                             10,175,958  
 
       
 
                                
       
Professional Services – 0.1% (0.1% of Total Investments)
                                
       
 
                                
  629    
Vertrue Inc., Term Loan
     5.310 %     8/16/14       B1       565,941  
 
       
 
                                
       
Real Estate Investment Trust – 2.1% (1.5% of Total Investments)
                                
       
 
                                
  12,390    
iStar Financial, Inc., Tranche A1
     5.000 %     6/28/13       B1       12,317,200  
 
       
 
                                
       
Real Estate Management & Development – 4.2% (3.1% of Total Investments)
                                
       
 
                                
  13,902    
Capital Automotive LP, Tranche B
     5.000 %     3/11/17       Ba3       13,867,013  
  5,250    
LNR Property Corporation, Term Loan, WI/DD
     4.750 %     4/26/16       Ba2       5,289,375  
  6,131    
Realogy Corporation, Delayed Term Loan
     4.562 %     10/10/16       B1       5,773,794  
 
  25,283    
Total Real Estate Management & Development
                             24,930,182  
 
       
 
                                
       
Road & Rail – 2.1% (1.5% of Total Investments)
                                
       
 
                                
  647    
Avis Budget Car Rental LLC, Term Loan
     5.750 %     4/19/14       Ba1       650,624  
  11,674    
Swift Transportation Company, Inc., Term Loan
     6.000 %     12/21/16       BB-       11,822,359  
 
  12,321    
Total Road & Rail
                             12,472,983  
 
       
 
                                
       
Semiconductors & Equipment – 3.7% (2.7% of Total Investments)
                                
       
 
                                
  12,267    
Freescale Semiconductor, Inc., Term Loan
     4.493 %     12/01/16       B1       12,287,903  
  8,000    
NXP Semiconductor LLC, Term Loan
     4.500 %     3/04/17       B-       8,095,000  
  1,670    
Spansion LLC, Term Loan
     6.250 %     2/09/15       BB-       1,683,815  
 
  21,937    
Total Semiconductors & Equipment
                             22,066,718  
 
       
 
                                
       
Software – 2.5% (1.8% of Total Investments)
                                
       
 
                                
  3,496    
Dealer Computer Services, Inc., Term Loan
     3.750 %     4/21/18       BB+       3,530,600  
  7,000    
IPC Systems, Inc., Term Loan, Second Lien
     5.557 %     6/01/15       CCC       6,842,500  
  4,631    
IPC Systems, Inc., Term Loan
     2.517 %     6/02/14       B1       4,573,492  
 
  15,127    
Total Software
                             14,946,592  
 
       
 
                                
       
Specialty Retail – 7.0% (5.0% of Total Investments)
                                
       
 
                                
  9,476    
Burlington Coat Factory Warehouse Corporation, Term Loan B
     6.250 %     2/23/17       B-       9,478,884  
  825    
Claire’s Stores, Inc., Term Loan B
     3.051 %     5/29/14       B       783,495  
  1,496    
Gymboree Corporation, Term Loan
     5.000 %     2/23/18       B+       1,502,172  
  3,000    
J Crew Group, Term Loan
     4.750 %     3/07/18       B1       2,998,383  
  5,500    
Jo-Ann Stores, Inc., Term Loan
     4.750 %     3/16/18       B+       5,506,875  
  6,934    
Michaels Stores, Inc., Term Loan B1
     2.584 %     10/31/13       B+       6,883,834  
  1,143    
Michaels Stores, Inc., Term Loan B2
     4.834 %     7/31/16       B+       1,151,124  
  2,228    
Petco Animal Supplies, Inc., Term Loan
     4.500 %     11/24/17       B1       2,250,007  
  2,000    
Pilot Travel Centers LLC, Term Loan
     4.250 %     3/30/18       BB+       2,016,250  
  8,625    
Toys “R” Us – Delaware, Inc., Term Loan
     6.000 %     9/01/16       BB-       8,703,186  
 
  41,227    
Total Specialty Retail
                             41,274,210  
 
       
 
                                
       
Wireless Telecommunication Services – 4.5% (3.2% of Total Investments)
                                
       
 
                                
  10,657    
Asurion Corporation, Term Loan
     3.248 %     7/03/14       B+       10,628,480  
  14,460    
Clear Channel Communications, Inc., Tranche B, Term Loan
     3.861 %     11/13/15       CCC+       12,908,898  
  3,203    
MetroPCS Wireless, Inc., Tranche B2, Term Loan
     4.071 %     11/03/16       Ba1       3,223,218  
 
  28,320    
Total Wireless Telecommunication Services
                             26,760,596  
 
$ 730,540    
Total Variable Rate Senior Loan Interests (cost $689,918,491)
                             705,498,877  
 
 
Shares     Description (1)                           Value  
 
       
 
                                
       
Common Stocks – 3.6% (2.6% of Total Investments)
                                
       
 
                                
       
Building Products – 1.9% (1.4% of Total Investments)
                                
       
 
                                
  301,905    
Masonite Worldwide Holdings, (6),(7)
                           $ 11,472,390  
 
       
 
                                
       
Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)
                                
       
 
                                
  42,041    
BLB Worldwide Holdings Inc. (7)
                             441,430  
 
       
 
                                
       
Media – 1.6% (1.1% of Total Investments)
                                
       
 
                                
  36,467    
Citadel Broadcasting Corp Class B Shares, (6)
                             1,243,525  
  8,135    
Citadel Broadcasting Corporation, (6)
                             277,322  
  215,163    
Metro-Goldwyn-Mayer (7)
                             4,859,091  
  13,347    
Philadelphia Newspapers LLC (7)
                             1,361,394  
  49,989    
Readers Digest Association Inc., (6)(7)
                             1,637,140  
 
       
Total Media
                             9,378,472  
         
       
Total Common Stocks (cost $31,273,260)
                             21,292,292  
         
 
Principal                              
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
 
       
 
                                
       
Convertible Bonds – 0.4% (0.3% of Total Investments)
                                
       
 
                                
       
Communications Equipment – 0.4% (0.3% of Total Investments)
                                
       
 
                                
$ 1,500    
Nortel Networks Corporation, (5)
     1.750 %     4/15/12       N/R     $ 1,305,000  
  1,000    
Nortel Networks Corporation
     2.125 %     4/15/14       D       870,000  
 
  2,500    
Total Communications Equipment, (5)
                             2,175,000  
 
$ 2,500    
Total Convertible Bonds (cost $2,132,500)
                             2,175,000  
 
 
Principal                              
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
 
       
 
                                
       
Corporate Bonds – 5.6% (4.1% of Total Investments)
                                
       
 
                                
       
Biotechnology – 0.1% (0.1% of Total Investments)
                                
       
 
                                
$ 1,023    
Angiotech Pharmaceuticals, Inc.
     4.060 %     12/01/13       N/R     $ 913,028  
 
       
 
                                
       
Construction Materials – 0.1% (0.1% of Total Investments)
                                
       
 
                                
  500    
Headwaters Inc., 144A
     7.625 %     4/01/19       B+       508,750  
 
       
 
                                
       
Diversified Telecommunication Services – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  2,000    
Nortel Networks Limited, (5)
     0.000 %     7/15/11       N/R       1,760,000  
 
       
 
                                
       
Health Care Providers & Services – 0.4% (0.3% of Total Investments)
                                
       
 
                                
       
 
                                
  2,000    
Aurora Diagnostics Holdings LLC, 144A
     10.750 %     1/15/18       B3       2,060,000  
  500    
Select Medical Corporation
     6.211 %     9/15/15       CCC+       488,750  
 
  2,500    
Total Health Care Providers & Services
                             2,548,750  
 
       
 
                                
       
Health Care Technology – 0.5% (0.3% of Total Investments)
                                
       
 
                                
  2,500    
Merge Healthcare Inc.
     11.750 %     5/01/15       B+       2,700,000  
 
 
       
IT Services – 1.1% (0.9% of Total Investments)
                                
       
 
                                
  5,000    
First Data Corporation, 144A
     7.375 %     6/15/19       B+       5,093,750  
  1,167    
First Data Corporation
     10.550 %     9/24/15       B-       1,219,246  
 
  6,167    
Total IT Services
                             6,312,996  
 
       
 
                                
       
Media – 0.8% (0.6% of Total Investments)
                                
       
 
                                
  2,250    
Clear Channel Communications, Inc.
     10.750 %     8/01/16       CCC-       2,188,125  
  3,700    
Clear Channel Communications, Inc.
     6.875 %     6/15/18       CCC-       2,673,250  
 
  5,950    
Total Media
                             4,861,375  
 
       
 
                                
       
Multiline Retail – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  2,250    
Spectrum Brands Inc., 144A
     9.500 %     6/15/18       B1       2,514,375  
 
       
 
                                
       
Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments)
                                
       
 
                                
  2,500    
Western Refining Inc., 144A
     10.750 %     6/15/14       B       2,700,000  
 
       
 
                                
       
Paper & Forest Products – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  2,000    
Verso Paper Holdings LLC
     4.023 %     8/01/14       B       1,940,000  
 
       
 
                                
       
Road & Rail – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  2,000    
Avis Budget Car Rental
     2.813 %     5/15/14       B       1,945,000  
  2,000    
Swift Services Holdings Inc.
     10.000 %     11/15/18       B-       2,195,000  
 
  4,000    
Total Road & Rail
                             4,140,000  
 
       
 
                                
       
Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  2,000    
Sprint Nextel Corporation
     8.375 %     8/15/17       BB-       2,242,500  
 
$ 33,390    
Total Corporate Bonds (cost $31,014,932)
                             33,141,774  
 
 
Shares     Description (1)                           Value  
 
       
 
                                
       
Investment Companies – 2.2% (1.6% of Total Investments)
                                
       
 
                                
  353,668    
Eaton Vance Floating-Rate Income Trust Fund
                           $ 5,732,958  
  963,820    
Eaton Vance Senior Income Trust
                             7,055,163  
 
       
Total Investment Companies (cost $11,947,776)
                             12,788,121  
         
 
Shares     Description (1)                           Value  
 
       
 
                                
       
Warrants – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  117,325    
Citadel Broadcasting Corporation
                           $ 4,018,381  
 
       
Total Warrants (cost $3,575,479)
                             4,018,381  
         
 
Principal                                
Amount (000)     Description (1)   Coupon     Maturity             Value  
 
       
 
                                
       
Short-Term Investments – 6.3% (4.6% of Total Investments)
                                
       
 
                                
$ 37,201    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 4/29/11, repurchase price $37,201,144, collateralized by $36,355,000 U.S. Treasury Notes, 4.500%, due 11/30/11, value $37,945,531
    0.010 %     5/02/11             $ 37,201,113  
   
       
Total Short-Term Investments (cost $37,201,113)
                             37,201,113  
         
       
Total Investments (cost $807,063,551) – 138.1%
                             816,115,558  
         
       
Borrowings – (33.5)% (8), (9)
                             (197,740,000 )
         
       
Other Assets Less Liabilities – (4.8)%
                             (27,244,802 )
         
       
Net Assets Applicable to Common Shares – 100%
                           $ 591,130,756  
         
Investments in Derivatives
Swaps outstanding at April 30, 2011:
                                                                 
            Fund                     Fixed Rate                     Unrealized  
    Notional     Pay/Receive     Floating Rate     Fixed Rate     Payment     Effective     Termination     Appreciation  
Counterparty   Amount     Floating Rate     Index     (Annualized)     Frequency     Date (10)     Date     (Depreciation)  
 
Goldman Sachs
  $ 49,435,000       Receive        1-Month USD-LIBOR       1.300 %   Monthly       4/20/11       4/20/14     $ (173,080 )
Goldman Sachs
   49,435,000       Receive        1-Month USD-LIBOR       0.344   Monthly       4/20/11       4/20/12     (19,802 )
Morgan Stanley
   49,435,000       Receive        1-Month USD-LIBOR       2.201   Monthly       4/20/11       4/20/16     (308,636 )
 
 
                                                           $ (501,518 )
 
Fair Value Measurements
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below:
     
Level 1 –
  Quoted prices in active markets for identical securities.
Level 2 –
  Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –
  Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of April 30, 2011:
                                 
    Level 1     Level 2     Level 3     Total  
 
Investments:
                                
Variable Rate Senior Loan Interests
   $ —     $ 705,498,877     $ —     $ 705,498,877  
Common Stocks*
     1,520,847       19,771,445       —       21,292,292  
Convertible Bonds
     —       2,175,000       —       2,175,000  
Corporate Bonds
     —       33,141,774       —       33,141,774  
Investment Companies
     12,788,121       —       —       12,788,121  
Warrants
     4,018,381       —       —       4,018,381  
Short-Term Investments
     —       37,201,113       —       37,201,113  
Derivatives:
                                
Interest Rate Swaps**
     —       (501,518 )     —       (501,518 ) 
 
Total
   $ 18,327,349     $ 797,286,691     $ —     $ 815,614,040  
 
 
*  Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.
 
** Represents net unrealized appreciation (depreciation).
During the period ended April 30, 2011, the Fund recognized no significant transfers to/from Level 1, Level 2 or Level 3.
Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges they are not considered to be hedge transactions for financial reporting purposes.
The following table presents the fair value of all derivative instruments held by the Fund as of April 30, 2011, 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  
Underlying   Derivative   Asset Derivatives     Liability Derivatives  
Risk Exposure   Instrument   Location   Value     Location   Value  
 
Interest Rate
   Swaps   Unrealized appreciation on swaps*   $ —     Unrealized depreciation on swaps*   $ 501,518  
 
 
*   Represents cumulative gross unrealized appreciation (depreciation) of swap contracts as reported in the Portfolios of Investments.
Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing certain gains and losses on investment transactions and recognition of premium amortization. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
At April 30, 2011, the cost of investments was $808,123,718.
Gross unrealized appreciation and gross unrealized depreciation of investments at April 30, 2011, were as follows:
         
 
 
        
Gross unrealized:
        
Appreciation
   $ 31,674,743  
Depreciation
     (23,682,903 )
 
        
 
 
        
Net unrealized appreciation (depreciation) of investments
   $ 7,991,840  
 
     
 
  For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
 
    
(1)
  All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
 
    
(2)
  Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
 
    
(3)
  Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s 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.
 
    
(4)
  Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
 
    
  Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
 
    
(5)
  At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, 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 directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
 
    
(6)
  Non-income producing; issuer has not declared a dividend within the past twelve months.
 
    
(7)
  For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
 
    
(8)
  Borrowings as a percentage of Total Investments is 24.2%.
 
    
(9)
  The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.
 
    
(10)
  Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each forward swap contract.
 
    
N/R
  Not rated.
 
    
144A
  Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.
 
    
DD1
  Investment or portion of investment purchased on a delayed delivery basis.
 
    
WI/DD
  Purchased on a when-issued or delayed delivery basis.
 
    
USD-LIBOR
  United States Dollar-London Inter-Bank Offered Rate.
 
    
 
    
 
 

 

Item 2. Controls and Procedures.
  a.   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
 
  b.   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits.
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

 

 

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Floating Rate Income Fund
         
     
By (Signature and Title)  /s/ Kevin J. McCarthy    
  Kevin J. McCarthy  
  Vice President and Secretary   
 
Date June 29, 2011
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 June 29, 2011
         
     
By (Signature and Title)  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date June 29, 2011