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 811-21579
Nuveen Floating Rate Income Opportunity Fund
(Exact name of registrant as specified in charter)
     333 West Wacker Drive, Chicago, Illinois 60606     
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy—Vice President and Secretary
     333 West Wacker Drive, Chicago, Illinois 60606     
(Name and address of agent for service)
Registrant’s telephone number, including area code:      312-917-7700     
Date of fiscal year end:        7/31      
Date of reporting period:    4/30/2010   
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 Opportunity Fund (JRO)
April 30, 2010 (Unaudited)
                                                 

Principal
Amount (000)		     Description (1)           Weighted
Average
Coupon		   Maturity (2)     Ratings (3)     Value  
 
       
 
                                        
       
Variable Rate Senior Loan Interests – 116.9% (83.7% of Total Investments) (4)
                          
       
 
                                        
       
Aerospace & Defense – 1.3% (0.9% of Total Investments)
                                
       
 
                                        
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
             4.090 %     7/31/14       B     $ 550,532  
  559    
DAE Aviation Holdings, Inc., Term Loan B2
             4.090 %     7/31/14       B       535,842  
  112    
Hawker Beechcraft, LLC, LC Facility, DD1
             2.290 %     3/26/14     CCC+       96,212  
  498    
Hawker Beechcraft, LLC, Term Loan B
             10.500 %     3/26/14     CCC+       500,609  
  1,879    
Hawker Beechcraft, LLC, Term Loan, DD1
             2.278 %     3/26/14     CCC+       1,617,638  
  1,150    
Transdigm, Inc., Term Loan B
             2.278 %     6/23/13     Ba2       1,135,145  
 
  4,772    
Total Aerospace & Defense
                                     4,435,978  
 
       
 
                                        
       
Airlines – 3.6% (2.6% of Total Investments)
                                        
       
 
                                        
  2,227    
Delta Air Lines, Inc., Credit Linked Deposit
             2.298 %     4/30/12     Ba2       2,181,108  
  2,000    
Delta Air Lines, Inc., Revolver, WI/DD
             TBD       TBD     Ba2       1,904,000  
  3,348    
Delta Air Lines, Inc., Term Loan
             3.548 %     4/30/14       B       3,141,097  
  5,249    
United Air Lines, Inc., Term Loan B
             2.357 %     2/01/14       B+       4,847,862  
 
  12,824    
Total Airlines
                                     12,074,067  
 
       
 
                                        
       
Auto Components – 3.7% (2.7% of Total Investments)
                                
       
 
                                        
  9,105    
Federal-Mogul Corporation, Tranche B, Term Loan
             2.189 %     12/29/14     Ba3       8,346,139  
  4,646    
Federal-Mogul Corporation, Tranche C, Term Loan
             2.196 %     12/28/15     Ba3       4,259,008  
 
  13,751    
Total Auto Components
                                     12,605,147  
 
       
 
                                        
       
Automobiles – 2.4% (1.7% of Total Investments)
                                        
       
 
                                        
  8,399    
Ford Motor Company, Term Loan
             3.284 %     12/15/13     Ba2       8,124,345  
 
       
 
                                        
       
Building Products – 3.2% (2.3% of Total Investments)
                                
       
 
                                        
  1,695    
Atrium Companies, Inc., Term Loan
             11.750 %     5/31/12       D       1,569,567  
  5,810    
Building Materials Corporation of America, Term Loan
             3.063 %     2/22/14     BBB-       5,744,843  
  3,504    
TFS Acquisition, Term Loan
             10.000 %     8/11/13     CCC+       3,407,880  
 
  11,009    
Total Building Products
                                     10,722,290  
 
       
 
                                        
       
Chemicals – 2.8% (2.0% of Total Investments)
                                        
       
 
                                        
  800    
Celanese US Holdings LLC, Credit Linked Deposit
             1.999 %     4/02/14     BB+       784,500  
  519    
Hercules Offshore, Inc., Term Loan
             6.000 %     7/11/13       B       504,768  
  1,467    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1
     4.063 %     5/05/15     Ba3       1,416,365  
  614    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2
     4.063 %     5/05/15     Ba3       593,003  
  2,719    
Huntsman International LLC, Term Loan
             2.056 %     4/19/14     Ba2       2,623,522  
  1,469    
Ineos US Finance LLC, Tranche C2
             5.250 %     12/16/14     CCC+       1,469,847  
  1,469    
Ineos US Finance LLC, Tranche B2
             1.000 %     12/16/13     CCC+       1,469,847  
  12    
LyondellBasell Finance Company, Dutch Revolving Line of Credit, (5)
     3.500 %     12/20/13       N/R       7,334  
  27    
LyondellBasell Finance Company, Dutch Tranche A, Term Loan, (5)
     3.500 %     12/20/13       N/R       16,142  
  35    
LyondellBasell Finance Company, German Tranche B1, Euro Term Loan, (5)
     3.750 %     12/22/14       N/R       21,055  
  35    
LyondellBasell Finance Company, German Tranche B2, Euro Term Loan, (5)
     3.750 %     12/20/14       N/R       21,055  
  35    
LyondellBasell Finance Company, German Tranche B3, Euro Term Loan, (5)
     3.750 %     12/22/14       N/R       21,055  
  45    
LyondellBasell Finance Company, Revolving Line of Credit, (5)
     3.500 %     12/20/13       N/R       27,502  
  87    
LyondellBasell Finance Company, US Tranche A, Term Loan, (5)
     3.500 %     12/20/13       N/R       52,398  
  151    
LyondellBasell Finance Company, US Tranche B1, Term Loan, (5)
     3.750 %     12/22/14       N/R       91,361  
  151    
LyondellBasell Finance Company, US Tranche B2, Term Loan, (5)
     3.750 %     12/22/14       N/R       91,361  
  151    
LyondellBasell Finance Company, US Tranche B3, Term Loan, (5)
     3.750 %     12/22/14       N/R       91,361  
 
  9,786    
Total Chemicals
                                     9,302,476  
 
       
 
                                        
       
Commercial Services & Supplies – 2.2% (1.6% of Total Investments)
                                  
       
 
                                        
  1,562    
Rental Services Corporation, Term Loan
             3.800 %     11/27/13       B-       1,521,049  
  89    
ServiceMaster Company, Delayed Term Loan
             2.780 %     7/24/14       B+       86,381  
  896    
ServiceMaster Company, Term Loan
             2.764 %     7/24/14       B+       867,405  
  1,995    
Universal City Development Partners, Ltd., Term Loan B, WI/DD
       TBD       TBD     Ba2       1,985,025  
  1,995    
Universal City Development Partners, Ltd., Term Loan
             6.500 %     11/06/14     Ba2       2,008,700  
  516    
West Corporation, Term Loan B4
             4.140 %     6/30/16     BB-       514,086  
  665    
Workflow Holdings Corporation, Term Loan
             8.000 %     11/30/11     Caa1       548,815  
 
  7,718    
Total Commercial Services & Supplies
                                     7,531,461  
 
       
 
                                        
       
Communications Equipment – 3.7% (2.6% of Total Investments)
                                
       
 
                                        
  12,414    
Avaya, Inc., Term Loan
             3.002 %     10/26/14       B1       11,399,795  
  1,008    
Telcordia Technologies, Inc., New Term Loan, WI/DD
             TBD       TBD       B+       1,012,815  
 
  13,422    
Total Communications Equipment
                                     12,412,610  
 
       
 
                                        
       
Containers & Packaging – 0.1% (0.1% of Total Investments)
                                
       
 
                                        
  455    
Amscan Holdings, Inc., Term Loan
             2.534 %     5/27/13       B1       437,997  
 
       
 
                                        
       
Diversified Consumer Services – 2.4% (1.7% of Total Investments)
                                
       
 
                                        
  2,906    
Cengage Learning Acquisitions, Inc., Term Loan, DD1
             2.790 %     7/05/14       B+       2,605,838  
  254    
Laureate Education, Inc., Delayed Term Loan
             3.571 %     8/17/14       B1       238,079  
  1,698    
Laureate Education, Inc., Term Loan B
             3.571 %     8/17/14       B1       1,590,570  
  3,500    
Quad Graphics, Inc., Term Loan, WI/DD
             TBD       TBD     BB+       3,496,721  
 
  8,358    
Total Diversified Consumer Services
                                     7,931,208  
 
       
 
                                        
       
Diversified Financial Services – 1.2% (0.8% of Total Investments)
                                
       
 
                                        
  700    
CIT Group, Inc., Tranche A1, Term Loan
             13.000 %     1/18/12     BB       722,925  
  1,400    
CIT Group, Inc., Tranche B1, Term Loan
             13.000 %     1/18/12     BB       1,434,125  
  1,750    
Fox Acquisition Sub LLC, Term Loan B
             7.500 %     7/14/15       B       1,743,240  
 
  3,850    
Total Diversified Financial Services
                                     3,900,290  
 
       
 
                                        
       
Diversified Telecommunication Services – 3.4% (2.4% of Total Investments)
                                
       
 
                                        
  576    
Intelsat, Tranche B2, Term Loan A
             2.792 %     1/03/14     BB-       565,885  
  576    
Intelsat, Tranche B2, Term Loan B
             2.792 %     1/03/14     BB-       565,712  
  576    
Intelsat, Tranche B2, Term Loan C
             2.792 %     1/03/14     BB-       565,712  
  1,906    
Intelsat, Tranche B2, Term Loan
             2.792 %     7/01/13     BB-       1,872,126  
  2,000    
Intelsat, Unsecured Term Loan
             2.804 %     2/01/14       B+       1,800,000  
  4,533    
Level 3 Financing, Inc., Term Loan
             2.548 %     3/13/14       B+       4,254,252  
  1,891    
MetroPCS Wireless, Inc., Term Loan
             2.522 %     11/03/13     Ba1       1,851,891  
 
  12,058    
Total Diversified Telecommunication Services
                                     11,475,578  
 
       
 
                                        
       
Electric Utilities – 1.0% (0.7% of Total Investments)
                                        
       
 
                                        
  1,346    
Calpine Corporation, DIP Term Loan
             3.165 %     3/29/14       B+       1,299,884  
  1,111    
Calpine Corporation, Revolver, (11), (12)
             0.100 %     3/31/14       B+       (103,472 )
  1,671    
TXU Corporation, Term Loan B2
             3.752 %     10/10/14       B+       1,374,325  
  953    
TXU Corporation, Term Loan B3
             3.752 %     10/10/14       B+       778,583  
 
  5,081    
Total Electric Utilities
                                     3,349,320  
 
       
 
                                        
       
Electrical Equipment – 0.5% (0.4% of Total Investments)
                                
       
 
                                        
  1,888    
Allison Transmission Holdings, Inc., Term Loan
             3.014 %     8/07/14       B       1,809,749  
 
       
 
                                        
       
Electronic Equipment & Instruments – 0.6% (0.4% of Total Investments)
                          
       
 
                                        
  1,925    
Sensata Technologies B.V., Term Loan
             2.078 %     4/27/13     BB-       1,862,037  
 
       
 
                                        
       
Food & Staples Retailing – 1.8% (1.3% of Total Investments)
                          
       
 
                                        
  500    
Roundy’s Supermarkets, Inc., Term Loan, Second Lien, WI/DD
         TBD       TBD     CCC+       509,375  
  6,229    
U.S. Foodservice, Inc., Term Loan
             2.768 %     7/03/14       B2       5,681,926  
 
  6,729    
Total Food & Staples Retailing
                                     6,191,301  
 
       
 
                                        
       
Food Products – 0.9% (0.7% of Total Investments)
                                        
       
 
                                        
  168    
Dole Food Company, Inc., Deposit-Funded Commitment
             0.163 %     4/12/13     Ba2       170,413  
  2,951    
Pinnacle Foods Finance LLC, Tranche C, Term Loan
             7.500 %     4/02/14       B       2,977,831  
 
  3,119    
Total Food Products
                                     3,148,244  
 
       
 
                                        
       
Health Care Equipment & Supplies – 1.3% (0.9% of Total Investments)
                        
       
 
                                        
  195    
Bausch & Lomb, Inc., Delayed Term Loan
             3.540 %     4/24/15     BB-       191,431  
  805    
Bausch & Lomb, Inc., Term Loan
             3.540 %     4/24/15     BB-       789,336  
  240    
Fenwal, Inc., Delayed Term Loan
             2.502 %     2/28/14       B       212,580  
  760    
Fenwal, Inc., Term Loan
             2.502 %     2/28/14       B       674,920  
  1,367    
Symbion, Inc., Term Loan A
             3.523 %     8/23/13     Ba3       1,281,094  
  1,397    
Symbion, Inc., Term Loan B
             3.523 %     8/25/14     Ba3       1,309,219  
 
  4,764    
Total Health Care Equipment & Supplies
                                     4,458,580  
 
       
 
                                        
       
Health Care Providers & Services – 6.9% (5.0% of Total Investments)
                          
       
 
                                        
  206    
Community Health Systems, Inc., Delayed Term Loan
             2.502 %     7/25/14     BB       200,727  
  4,027    
Community Health Systems, Inc., Term Loan
             2.502 %     7/25/14     BB       3,919,776  
  2,682    
HCA, Inc., Term Loan
             1.000 %     11/18/13     BB       2,667,902  
  1,118    
HCA, Inc., Tranche B2 Term Loan
             5.250 %     11/18/13     BB+       1,089,698  
  2,566    
Health Management Associates, Inc., Term Loan
     2.040 %     2/28/14     BB-       2,489,225  
  1,253    
IASIS Healthcare LLC, Delayed Term Loan
     2.273 %     3/14/14     Ba2       1,220,318  
  340    
IASIS Healthcare LLC, Letter of Credit
     2.280 %     3/14/14     Ba2       331,214  
  2,154    
IASIS Healthcare LLC, PIK Term Loan
     5.588 %     6/15/14     CCC+       2,061,439  
  3,621    
IASIS Healthcare LLC, Term Loan
     2.273 %     3/14/14     Ba2       3,526,025  
  1,424    
Select Medical Corporation, Term Loan
     2.251 %     2/24/12     Ba2       1,381,233  
  4,428    
Vanguard Health Holding Company II LLC, Initial Term Loan
     5.000 %     1/29/16     Ba2       4,451,421  
 
  23,819    
Total Health Care Providers & Services
                             23,338,978  
 
       
 
                                
       
Hotels, Restaurants & Leisure – 13.6% (9.7% of Total Investments)
                                
       
 
                                
  3,000    
24 Hour Fitness Worldwide, Inc., New Term Loan, WI/DD
     TBD       TBD     Ba2       2,940,000  
  98    
CBRL Group, Inc., Term Loan B2
     1.750 %     4/26/13     BB-       97,126  
  1,518    
CCM Merger, Inc., Term Loan B
     8.500 %     7/13/12     BB-       1,506,245  
  2,211    
Cedar Fair LP, Extended US Term Loan
     4.273 %     8/30/14     BB-       2,211,134  
  830    
Cedar Fair LP, Term Loan
             2.273 %     8/30/12     BB-       824,398  
  282    
Fontainebleau Las Vegas LLC, Delayed Term Loan, (5), (6)
             4.000 %     6/06/14       N/R       71,825  
  1,408    
Fontainebleau Las Vegas LLC, Term Loan, (5), (6)
             4.000 %     6/06/14       N/R       359,127  
  3,000    
Harrah’s Operating Company, Inc., Term Loan B2, WI/DD
             TBD       TBD       B       2,646,459  
  466    
Isle of Capri Casinos, Inc., Delayed Term Loan A
             5.000 %     11/25/13       B+       456,509  
  530    
Isle of Capri Casinos, Inc., Delayed Term Loan B
             5.000 %     11/25/13       B+       519,056  
  1,325    
Isle of Capri Casinos, Inc., Delayed Term Loan
             5.000 %     11/25/13       B+       1,297,641  
  4,721    
Orbitz Worldwide, Inc., Term Loan
             3.284 %     7/25/14       B+       4,582,107  
  308    
OSI Restaurant Partners LLC, Revolver
             0.767 %     6/14/13       B+       279,642  
  3,008    
OSI Restaurant Partners LLC, Term Loan
             2.625 %     6/14/14       B+       2,732,325  
  994    
Reynolds Group Holdings, Inc., US Term Loan
             6.250 %     11/05/15     BB-       1,000,209  
  3,739    
Shingle Springs Tribal Gaming Authority, Term Loan
             10.500 %     12/17/13       N/R       3,532,906  
  4,988    
SW Acquisitions Co., Inc., Term Loan
             5.750 %     6/01/16     BB+       5,028,023  
  1,945    
Travelport LLC, Delayed Term Loan
             2.790 %     8/23/13     Ba3       1,897,104  
  714    
Travelport LLC, Letter of Credit
             2.790 %     8/23/13     Ba3       694,861  
  3,557    
Travelport LLC, Term Loan
             2.790 %     8/23/13     Ba3       3,463,039  
  2,049    
Venetian Casino Resort LLC, Delayed Term Loan
             2.050 %     5/23/14       B-       1,940,425  
  8,194    
Venetian Casino Resort LLC, Term Loan
             2.050 %     5/23/14       B-       7,761,097  
 
  48,885    
Total Hotels, Restaurants & Leisure
                                     45,841,258  
 
       
 
                                        
       
Household Products – 2.4% (1.7% of Total Investments)
                                
       
 
                                        
  403    
Spectrum Brands, Inc., Synthetic Letter of Credit
             8.000 %     6/30/12       B-       403,344  
  7,801    
Spectrum Brands, Inc., Term Loan
             8.000 %     6/30/12       B-       7,802,648  
 
  8,204    
Total Household Products
                                     8,205,992  
 
       
 
                                        
       
Industrial Conglomerates – 0.7% (0.5% of Total Investments)
                                
       
 
                                        
  2,400    
CF Industries, Inc., Term Loan
             5.250 %     4/05/15     BBB       2,418,600  
 
       
 
                                        
       
Insurance – 1.1% (0.8% of Total Investments)
                                        
       
 
                                        
  600    
Affirmative Insurance Holdings, Inc., Term Loan
             9.250 %     1/31/14       N/R       503,913  
  3,288    
Conseco, Inc., Term Loan
             7.500 %     10/10/13       B-       3,210,102  
 
  3,888    
Total Insurance
                                     3,714,015  
 
       
 
                                        
       
Internet Software & Services – 1.3% (0.9% of Total Investments)
                                
       
 
                                        
  764    
Open Solutions, Inc., Term Loan B
             2.445 %     1/23/14     BB-       690,684  
  3,852    
Sabre, Inc., Term Loan
             2.297 %     9/30/14       B1       3,670,073  
 
  4,616    
Total Internet Software & Services
                                     4,360,757  
 
       
 
                                        
       
IT Services – 3.8% (2.7% of Total Investments)
                                        
       
 
                                        
  841    
Attachmate Corporation, Term Loan
             3.540 %     4/13/13     BB-       788,914  
  4,156    
First Data Corporation, Term Loan B2
             3.032 %     9/24/14       B+       3,741,254  
  992    
First Data Corporation, Term Loan B3
             3.032 %     9/24/14       B+       893,502  
  673    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, DD1
       6.250 %     7/28/12       N/R       652,923  
  1,042    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan
     8.280 %     9/02/14       N/R       665,395  
  1,283    
Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw
     6.523 %     3/02/14     CCC+       1,042,708  
  2,217    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
     6.523 %     3/02/14     CCC+       1,845,375  
  1,290    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, DD1
     6.030 %     7/28/15       B+       1,251,438  
  2,071    
SunGard Data Systems, Inc., Term Loan B
             2.001 %     2/28/14     BB       2,007,032  
 
  14,565    
Total IT Services
                                     12,888,541  
 
       
 
                                        
       
Leisure Equipment & Products – 2.0% (1.4% of Total Investments)
                                
       
 
                                        
  7,612    
Bombardier Recreational Products, Inc., Term Loan
             3.254 %     6/28/13     Caa1       6,759,139  
 
       
 
                                        
       
Machinery – 0.4% (0.3% of Total Investments)
                                        
       
 
                                        
  273    
Rexnord Corporation, Incremental Term Loan
             2.563 %     7/19/13     BB-       263,588  
  934    
Rexnord Corporation, Term Loan
             2.813 %     7/19/13     Ba2       914,570  
 
  1,207    
Total Machinery
                                     1,178,158  
 
       
 
                                        
       
Media – 18.8% (13.5% of Total Investments)
                                        
       
 
                                        
  2,490    
Cequel Communications LLC, Term Loan B
             2.292 %     11/05/13     BB-       2,449,848  
  3,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
     6.750 %     3/06/14     BB+       2,792,499  
  5,442    
Charter Communications Operating Holdings LLC, Term Loan C
     3.550 %     9/06/16     BB+       5,211,759  
  670    
Charter Communications Operating Holdings LLC, Term Loan
     2.300 %     3/06/14     BB+       637,330  
  6,809    
Citadel Broadcasting Corporation, Term Loan, (7), DD1
             1.750 %     6/12/14       D       6,633,531  
  832    
Cumulus Media, Inc., Term Loan
             4.259 %     6/11/14       B-       767,107  
  1,236    
Gray Television, Inc., Term Loan B, DD1
             3.801 %     12/31/14       B2       1,215,724  
  2,928    
HIT Entertainment, Inc., Term Loan B
             2.499 %     3/20/12       B1       2,798,199  
  2,000    
HIT Entertainment, Inc., Term Loan
             5.250 %     2/26/13     Caa2       1,276,666  
  6,804    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (6), (7)
             18.250 %     4/08/12       N/R       3,159,817  
  5,857    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan, (6)
             18.250 %     4/08/12       N/R       2,719,867  
  1,430    
Nielsen Finance LLC, Term Loan A
             2.251 %     8/09/13     Ba3       1,397,512  
  3,050    
Nielsen Finance LLC, Term Loan B
             4.001 %     5/02/16     Ba3       3,020,054  
  3,667    
Philadelphia Newspapers, Term Loan A, (5), (6)
             16.000 %     6/29/12       N/R       4,034  
  3,095    
SFX Entertainment, Inc., Term Loan
             3.531 %     6/21/13     BB-       3,071,335  
  2,979    
Spanish Broadcasting System, Inc., Term Loan B
             2.050 %     6/10/12     CCC+       2,770,574  
  1,890    
SuperMedia, Term Loan
             8.000 %     12/31/15       B-       1,774,832  
  11,807    
Tribune Company, Term Loan B, (5), (6)
             3.000 %     6/04/14     Ca       7,944,725  
  1,365    
Tribune Company, Term Loan X, (5), (6)
             2.750 %     6/04/09     Ca       898,560  
  11,000    
Univision Communications, Inc., Term Loan
             2.540 %     9/29/14       B2       10,048,503  
  3,402    
Yell Group PLC, Term Loan
             4.023 %     7/31/14       N/R       2,836,181  
 
  81,753    
Total Media
                                     63,428,657  
 
       
 
                                        
       
Metals & Mining – 0.2% (0.2% of Total Investments)
                                        
       
 
                                        
  766    
John Maneely Company, Term Loan
             3.552 %     12/08/13       B       738,329  
 
       
 
                                        
       
Multiline Retail – 0.3% (0.2% of Total Investments)
                                        
       
 
                                        
  984    
Neiman Marcus Group, Inc., Term Loan
             2.252 %     4/06/13     BB-       944,611  
 
       
 
                                        
       
Oil, Gas & Consumable Fuels – 4.3% (3.1% of Total Investments)
                                
       
 
                                        
  224    
Alon USA Energy, Inc., Edgington Facility, WI/DD
             TBD       TBD     BB-       184,492  
  1,789    
Alon USA Energy, Inc., Paramount Facility, WI/DD
             TBD       TBD     BB-       1,475,818  
  415    
Big West Oil LLC, Delayed Term Loan
             4.500 %     5/15/14       B2       412,480  
  2,000    
Big West Oil LLC, New Term Loan, WI/DD
             TBD       TBD       B2       2,025,834  
  330    
Big West Oil LLC, Term Loan
             4.500 %     5/15/14       B2       328,109  
  575    
Calumet Lubricants Company LP, Credit Linked Deposit
             4.142 %     1/03/15       B1       549,210  
  4,256    
Calumet Lubricants Company LP, Term Loan
             4.250 %     1/03/15       B1       4,067,147  
  2,947    
CCS Income Trust, Term Loan
             3.273 %     11/14/14       B       2,652,513  
  3,000    
Venoco, Inc., Term Loan
             4.313 %     5/07/14     BB-       2,883,750  
 
  15,536    
Total Oil, Gas & Consumable Fuels
                                     14,579,353  
 
       
 
                                        
       
Paper & Forest Products – 0.9% (0.6% of Total Investments)
                                
       
 
                                        
  3,840    
Wilton Products, Term Loan
             3.500 %     11/16/14       B+       3,014,591  
 
       
 
                                        
       
Pharmaceuticals – 3.3% (2.4% of Total Investments)
                                        
       
 
                                        
  2,625    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, DD1
     6.773 %     5/03/13     CCC       1,502,813  
  2,228    
Graceway Pharmaceuticals LLC, Term Loan, DD1
             3.021 %     5/03/12       B-       1,901,229  
  2,531    
Mylan Laboratories, Inc., Term Loan
             3.563 %     10/02/14     BB+       2,531,560  
  710    
Warner Chilcott Corporation, Add on Term Loan
             5.750 %     4/30/15     BB+       712,006  
  1,983    
Warner Chilcott Corporation, Term Loan A
             5.500 %     10/30/14     BB+       1,988,314  
  913    
Warner Chilcott Corporation, Term Loan B1
             5.750 %     4/30/15     BB+       915,467  
  1,520    
Warner Chilcott Corporation, Term Loan B2
             5.750 %     4/30/15     BB+       1,524,419  
 
  12,510    
Total Pharmaceuticals
                                     11,075,808  
 
       
 
                                        
       
Real Estate Investment Trust – 0.5% (0.3% of Total Investments)
                                
       
 
                                        
  1,425    
Tishman Speyer Real Estate, Liquidation Facility, (6)
             15.000 %     12/01/09       N/R       1,481,767  
 
       
 
                                        
       
Real Estate Management & Development – 5.0% (3.6% of Total Investments)
                                
       
 
                                        
  5,310    
Capital Automotive LP, Tranche C
             2.750 %     12/14/12     Ba3       4,964,440  
  7,891    
LNR Property Corporation, Term Loan B
             3.500 %     7/12/11     CCC       7,496,364  
  4,863    
Realogy Corporation, Delayed Term Loan
             3.293 %     10/10/13     Caa1       4,419,757  
 
  18,064    
Total Real Estate Management & Development
                                     16,880,561  
 
       
 
                                        
       
Road & Rail – 4.9% (3.5% of Total Investments)
                                        
       
 
                                        
  524    
Avis Budget Car Rental LLC, Term Loan
             5.750 %     4/19/14     Ba2       523,605  
  290    
Hertz Corporation, Letter of Credit
             2.021 %     12/21/12     Ba1       286,545  
  1,570    
Hertz Corporation, Term Loan
             2.012 %     12/21/12     Ba1       1,553,276  
  14,622    
Swift Transportation Company, Inc., Term Loan
             8.250 %     5/10/14       B-       14,266,817  
 
  17,006    
Total Road & Rail
                                     16,630,243  
 
       
 
                                        
       
Semiconductors & Equipment – 1.0% (0.7% of Total Investments)
                                
       
 
                                        
  1,204    
Freescale Semiconductor, Inc., Term Loan
             4.499 %     12/01/16       B2       1,159,414  
  2,000    
Spansion LLC, Term Loan
             5.500 %     3/15/15     BB-       2,027,500  
 
  3,204    
Total Semiconductors & Equipment
                                     3,186,914  
 
       
 
                                        
       
Software – 3.4% (2.5% of Total Investments)
                                        
       
 
                                        
  7,652    
Dealer Computer Services, Inc., New Term Loan
             5.250 %     4/01/17     BB-       7,651,611  
  1,000    
IPC Systems, Inc., Term Loan, Second Lien
             5.540 %     5/31/15     CCC       862,500  
  3,370    
IPC Systems, Inc., Term Loan
             2.533 %     5/31/14       B1       3,074,677  
 
  12,022    
Total Software
                                     11,588,788  
 
       
 
                                        
       
Specialty Retail – 4.3% (3.1% of Total Investments)
                                        
       
 
                                        
  4,860    
Burlington Coat Factory Warehouse Corporation, Term Loan
     2.548 %     5/28/13       B-       4,659,727  
  3,178    
Michaels Stores, Inc., Term Loan B1
             2.538 %     10/31/13       B       3,052,880  
  1,732    
Michaels Stores, Inc., Term Loan B2
             4.788 %     7/31/16       B       1,710,462  
  4,985    
Toys “R” Us – Delaware, Inc., Term Loan B
             4.513 %     7/19/12     BB-       4,988,759  
 
  14,755    
Total Specialty Retail
                                     14,411,828  
 
       
 
                                        
       
Wireless Telecommunication Services – 1.7% (1.2% of Total Investments)
                                
       
 
                                        
  4,975    
Asurion Corporation, Term Loan
             3.250 %     7/03/14       N/R       4,925,593  
  1,000    
Clear Channel Communications, Inc., Tranche B, Term Loan
     3.923 %     11/13/15     Caa1       837,188  
 
  5,975    
Total Wireless Telecommunication Services
                                     5,762,781  
 
$ 432,944    
Total Variable Rate Senior Loan Interests (cost $396,695,351)
                             394,202,347  
 
                                                 
Shares     Description (1)                                   Value  
 
       
 
                                        
       
Common Stocks – 2.1% (1.6% of Total Investments)
                                        
       
 
                                        
       
Building Products – 1.6% (1.2% of Total Investments)
                                
       
 
                                        
  124,402    
Masonite Worldwide Holdings, (8), (9)
                                   $ 5,473,688  
 
       
 
                                        
       
Chemicals – 0.1% (0.1% of Total Investments)
                                        
       
 
                                        
  18,371    
Lyondell Chemical Company, DD1, (9)
                                     391,532  
 
       
 
                                        
       
Media – 0.4% (0.3% of Total Investments)
                                        
       
 
                                        
  33,776    
Readers Digest Association Inc., (9)
                                     962,616  
  8,942    
SuperMedia Inc., (8)
                                     401,496  
 
       
Total Media
                                     1,364,112  
         
       
Total Common Stocks (cost $7,001,407)
                                     7,229,332  
         
       
 
                                        
Principal    
 
                                        
Amount (000)    
Description (1)
           Coupon   Maturity     Ratings (3)     Value  
 
       
 
                                        
       
Convertible Bonds – 1.6% (1.2% of Total Investments)
                                
       
 
                                        
       
Food & Staples Retailing – 0.8% (0.6% of Total Investments)
                                
       
 
                                        
$ 2,747    
Great Atlantic & Pacific Tea Company Inc.
     5.125 %     6/15/11     CCC     $ 2,705,795  
 
       
 
                                        
       
Real Estate Investment Trust – 0.4% (0.3% of Total Investments)
                                
       
 
                                        
  1,500    
MPT Operating Partnership Limited Partnership, 144A
     6.125 %     11/15/11     N/A       1,548,750  
 
       
 
                                        
       
Semiconductors & Equipment – 0.4% (0.3% of Total Investments)
                                
       
 
                                        
  1,171    
Advanced Micro Devices, Inc.
             5.750 %     8/15/12       B-       1,182,710  
 
$ 5,418    
Total Convertible Bonds (cost $3,994,645)
                                     5,437,255  
 
       
 
                                        
Principal    
 
                                      
Amount (000)    
Description (1)
         Coupon   Maturity     Ratings (3)     Value  
 
       
 
                                        
       
Corporate Bonds – 9.7% (6.9% of Total Investments)
                                        
       
 
                                        
       
Auto Components – 0.2% (0.1% of Total Investments)
                                        
       
 
                                        
$ 600    
Exide Technologies
             10.500 %     3/15/13       B-     $ 617,250  
 
       
 
                                        
       
Automobiles – 1.6% (1.1% of Total Investments)
                                        
       
 
                                        
  14,000    
General Motors Corporation
             8.250 %     7/15/23       N/R       5,250,000  
 
       
 
                                        
       
Building Products – 0.1% (0.1% of Total Investments)
                                        
       
 
                                        
  250    
Ply Gem Industries Inc.
             11.750 %     6/15/13     Caa1       267,188  
 
       
 
                                        
       
Construction Materials – 0.6% (0.5% of Total Investments)
                                
       
 
                                
  2,000    
Headwaters Inc.
     11.375 %     11/01/14       B+       2,125,000  
 
       
 
                                
       
Diversified Telecommunication Services – 0.6% (0.4% of Total Investments)
                                
       
 
                                        
  2,000    
Intelsat Limited
             7.625 %     4/15/12     CCC+       2,060,000  
 
       
 
                                        
       
Health Care Equipment & Supplies – 0.6% (0.4% of Total Investments)
                                
       
 
                                
  1,500    
Reable Therapeutics Financing Corporation
     11.750 %     11/15/14     CCC+       1,605,000  
  500    
Select Medical Corporation
     7.625 %     2/01/15       B-       477,500  
 
  2,000    
Total Health Care Equipment & Supplies
                             2,082,500  
 
       
 
                                
       
Health Care Providers & Services – 1.2% (0.9% of Total Investments)
                                
       
 
                                
  1,000    
LifeCare Holdings Inc.
     9.250 %     8/15/13     CCC-       715,000  
  2,500    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
     6.281 %     9/15/15     CCC+       2,268,750  
  1,031    
US Oncology Holdings Inc., Floating Rate Note, 5.000% plus six-month LIBOR
     5.531 %     3/15/12     Caa1       989,760  
 
  4,531    
Total Health Care Providers & Services
                             3,973,510  
 
       
 
                                
       
Health Care Technology – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  2,500    
Merge Healthcare Inc., 144A
     11.750 %     5/01/15       B+       2,475,000  
 
       
 
                                
       
Household Durables – 0.2% (0.1% of Total Investments)
                                
       
 
                                
  700    
William Lyon Homes Inc., Unsecured Senior Note
    10.750 %     4/01/13     Caa3       637,000  
 
       
 
                                
       
Internet Software & Services – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  2,750    
Open Solutions Inc., 144A
     9.750 %     2/01/15     CCC+       2,337,500  
 
       
 
                                
       
IT Services – 0.9% (0.7% of Total Investments)
                                
       
 
                                
  1,053    
First Data Corporation
     10.550 %     9/24/15       B-       936,948  
  2,500    
First Data Corporation
     11.250 %     3/31/16     CCC+       2,100,000  
 
  3,553    
Total IT Services
                             3,036,948  
 
       
 
                                
       
Oil, Gas & Consumable Fuels – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,400    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
     7.847 %     6/15/14     B3       1,323,000  
 
       
 
                                
       
Road & Rail – 0.6% (0.4% of Total Investments)
                                
       
 
                                
  2,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
     2.847 %     5/15/14       B       1,860,000  
 
       
 
                                
       
Semiconductors & Equipment – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  1,000    
Spansion LLC., Floating Rate Note, 3.125% plus three-month LIBOR, 144A, (10)
     3.472 %     6/01/13       N/R       1,012,500  
 
       
 
                                
       
Trading Companies & Distributors – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  2,000    
Penhall International Corporation, 2nd Lien Term Loan Convertible, 144A
     12.000 %     8/01/14     CCC       1,487,500  
 
       
 
                                
       
Wireless Telecommunication Services – 0.6% (0.4% of Total Investments)
                                
       
 
                                
  2,000    
Sprint Nextel Corporation
     8.375 %     8/15/17     BB-       2,077,500  
 
$ 43,284    
Total Corporate Bonds (cost $28,919,173)
                             32,622,396  
 
       
 
                                        
Principal    
 
                                        
Amount (000)    
Description (1)
           Coupon   Maturity             Value  
 
       
 
                                        
       
Short-Term Investments – 9.1% (6.6% of Total Investments)
                                
       
 
                                        
$ 30,825    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 4/30/10, repurchase price $30,825,237, collateralized by $31,780,000 U.S. Treasury Notes, 3.375%, due 11/15/19, value $31,444,403
     0.010 %     5/03/10             $ 30,825,211  
         
       
Total Short-Term Investments (cost $30,825,211)
                                     30,825,211  
         
       
Total Investments (cost $467,435,787) – 139.4%
                                     470,316,541  
         
       
Borrowings – (34.8)% (13)
                                     (117,270,000 )
         
       
Other Assets Less Liabilities – (4.6)%
                                     (15,777,871 )
         
       
Net Assets Applicable to Common Shares – 100%
                                   $ 337,268,670  
         
Fair Value Measurements
In determining the value of the Fund’s investments, various inputs are used. These inputs are 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 methodology 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, 2010:
                                 
    Level 1     Level 2     Level 3     Total  
 
 
                                
Investments:
                                
Common Stocks
   $ 401,496     $ 6,827,836     $ —     $ 7,229,332  
Variable Rate Senior Loan Interests
     —       394,202,347       —       394,202,347  
Convertible Bonds
     —       5,437,255       —       5,437,255  
Corporate Bonds
     —       32,622,396       —       32,622,396  
Short-Term Investments
     30,825,211       —       —       30,825,211  
 
                                
 
 
                                
Total
   $ 31,226,707     $ 439,089,834     $ —     $ 470,316,541  
 
                                
 
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 an 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, 2010, the cost of investments was $467,452,613.
Gross unrealized appreciation and gross unrealized depreciation of investments at April 30, 2010, were as follows:
         
 
 
        
Gross unrealized:
        
Appreciation
   $   24,985,536  
Depreciation
   (22,121,608 )
 
 
 
        
Net unrealized appreciation (depreciation) of investments
   $ 2,863,928  
 
     
(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 higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
 
    
(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 April 30, 2010, this issue was under the protection of the Federal Bankruptcy Court.
 
    
(6)
  Non-income producing security; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
 
    
(7)
  The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
 
    
(8)
  Non-income producing; issuer has not declared – dividend within the past twelve months.
 
    
(9)
  For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
 
    
(10)
  This issue is under protection of the Federal Bankruptcy Court (the “Bankruptcy Court”). As a result, the Fund’s Adviser concluded that the issuer was not likely to meet its future interest payment obligations and directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records. On July 1, 2009, the Fund received its June 1, 2009, interest payment and subsequently received its September 1, 2009 interest payment as directed by the Bankruptcy Court’s Final Order. During this period, the Fund resumed accruing additional income on this issue. On September 2, 2009, the Fund ceased accruing additional income on this issue. On December 8, 2009, the Fund received its December 1, 2009, interest payment. As a result, the Fund’s Adviser concluded that the issuer was likely to meet its future interest payment obligations and resumed accruing interest on this issue.
 
    
(11)
  Investment or portion of investment, represents an unfunded Senior Loan commitment outstanding as of April 30, 2010. At April 30, 2010, the Fund had unfunded Senior Loan commitments of $1,111,111.
 
    
(12)
  Negative value represents unrealized depreciation on unfunded Senior Loan Commitment outstanding at April 30, 2010.
 
    
(13)
  Borrowings as a percentage of Total Investments is 24.9%.
 
    
N/A
  Not applicable/not available.
 
    
N/R
  Not rated.
 
    
DD1
  Investment or portion of investment purchased on a delayed delivery basis.
 
    
WI/DD
  Purchased on a when-issued or delayed delivery basis.
 
    
144A
  Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
 
TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
 
    
 

 

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.
Nuveen Floating Rate Income Opportunity Fund
         
     
By (Signature and Title)  /s/ Kevin J. McCarthy    
  Kevin J. McCarthy  
  Vice President and Secretary   
 
Date June 29, 2010
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, 2010
         
     
By (Signature and Title)  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date June 29, 2010