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:    10/31/2010   
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)
October 31, 2010 (Unaudited)
                                         
                               
Principal
Amount (000)		     Description (1)   Weighted
Average
Coupon		     Maturity (2)     Ratings (3)     Value  
 
       
 
                                
        Variable Rate Senior Loan Interests – 124.1% (86.1% of Total Investments) (4)
       
 
                                
        Aerospace & Defense – 1.0% (0.7% of Total Investments)
       
 
                                
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
     4.040 %     7/31/14       B     $ 552,926  
  556    
DAE Aviation Holdings, Inc., Term Loan B2
     4.040 %     7/31/14       B       535,412  
  112    
Hawker Beechcraft, LLC, LC Facility
     2.289 %     3/26/14     CCC+       93,872  
  495    
Hawker Beechcraft, LLC, Term Loan B
     10.500 %     3/26/14     CCC+       492,896  
  1,869    
Hawker Beechcraft, LLC, Term Loan
     2.264 %     3/26/14     CCC+       1,570,169  
 
  3,606    
Total Aerospace & Defense
                             3,245,275  
 
       
 
                                
        Airlines – 3.0% (2.1% of Total Investments)
       
 
                                
  727    
Delta Air Lines, Inc., Credit Linked Deposit
     1.961 %     4/30/12     Ba2       714,863  
  3,331    
Delta Air Lines, Inc., Term Loan
     3.539 %     4/30/14       B       3,232,082  
  6,204    
United Air Lines, Inc., Term Loan B
     2.313 %     2/01/14     BB-       5,892,981  
 
  10,262    
Total Airlines
                             9,839,926  
 
       
 
                                
        Auto Components – 3.4% (2.4% of Total Investments)
       
 
                                
  8,400    
Federal-Mogul Corporation, Tranche B, Term Loan
     2.198 %     12/29/14     Ba3       7,476,892  
  4,286    
Federal-Mogul Corporation, Tranche C, Term Loan
     2.198 %     12/28/15     Ba3       3,815,490  
 
  12,686    
Total Auto Components
                             11,292,382  
 
       
 
                                
        Automobiles – 0.5% (0.4% of Total Investments)
       
 
                                
  1,799    
Ford Motor Company, Term Loan
     3.038 %     12/15/13     Baa3       1,783,491  
 
       
 
                                
        Biotechnology – 1.1% (0.8% of Total Investments)
       
 
                                
  3,600    
Grifols, Term Loan, WI/DD
     TBD     TBD     Ba3       3,642,750  
 
       
 
                                
        Building Products – 3.6% (2.5% of Total Investments)
       
 
                                
  8,667    
Goodman Global Inc., Term Loan, WI/DD
     TBD     TBD       B+       8,795,584  
  3,000    
Goodman Global Inc., Second Lien Term Loan, WI/DD
     TBD     TBD       B-       3,071,250  
 
  11,667    
Total Building Products
                             11,866,834  
 
       
 
                                
        Chemicals – 3.4% (2.4% of Total Investments)
       
 
                                
  800    
Celanese US Holdings LLC, Credit Linked Deposit
     1.756 %     4/02/14     BB+       790,500  
  1,452    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1
     4.063 %     5/05/15     Ba3       1,419,671  
  611    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2
     4.063 %     5/05/15     Ba3       597,306  
  1,469    
Ineos US Finance LLC, Tranche B2
     7.500 %     12/16/13       B1       1,504,898  
  1,469    
Ineos US Finance LLC, Tranche C2
     8.000 %     12/16/14       B1       1,504,898  
  2,123    
Styron Corporation, Term Loan
     7.500 %     6/17/16       B+       2,162,270  
  3,400    
Univar, Inc., Add-on Term Loan, WI/DD
     TBD     TBD       B       3,366,000  
 
  11,324    
Total Chemicals
                             11,345,543  
 
       
 
                                
        Commercial Banks – 0.4% (0.2% of Total Investments)
       
 
                                
  1,200    
Fifth Third Processing Solutions LLC, Term Loan, WI/DD
     TBD     TBD     BB-       1,188,000  
 
       
 
                                
        Commercial Services & Supplies – 0.8% (0.5% of Total Investments)
       
 
                                
  1,562    
Rental Services Corporation, Term Loan
     3.800 %     11/30/13       B-       1,533,152  
  89    
ServiceMaster Company, Delayed Term Loan
     2.760 %     7/24/14       B+       84,380  
  891    
ServiceMaster Company, Term Loan
     2.769 %     7/24/14       B+       847,311  
 
  2,542    
Total Commercial Services & Supplies
                             2,464,843  
 
       
 
                                
        Communications Equipment – 3.7% (2.6% of Total Investments)
       
 
                                
  12,350    
Avaya, Inc., Term Loan
     3.058 %     10/24/14       B1       11,236,047  
  1,003    
Telcordia Technologies, Inc., Term Loan
     6.750 %     4/30/16       B+       1,012,925  
 
  13,353    
Total Communications Equipment
                             12,248,972  
 
       
 
                                
        Containers & Packaging – 1.8% (1.3% of Total Investments)
       
 
                                
  455    
Amscan Holdings, Inc., Term Loan
     2.539 %     5/27/13       B1       439,514  
  1,333    
Graham Packaging Company LP, Term Loan D
     6.000 %     9/23/16       B+       1,348,750  
  600    
Reynolds Group Holdings, Inc., Term Loan A, WI/DD
     TBD     TBD     Ba3       601,950  
  3,600    
Reynolds Group Holdings, Inc., Term Loan D, WI/DD
     TBD     TBD     Ba3       3,631,979  
 
  5,998    
Total Containers & Packaging
                             6,022,193  
 
       
 
                                
        Diversified Consumer Services – 2.7% (1.9% of Total Investments)
       
 
                                
  1,800    
Brickman Group Holdings, Inc., Tranche B, Term Loan
     7.250 %     10/14/16       B+       1,821,376  
  2,142    
Cengage Learning Acquisitions, Inc., Term Loan
     2.540 %     7/03/14       B+       1,961,227  
  253    
Laureate Education, Inc., Delayed Term Loan
     3.538 %     8/15/14       B1       237,613  
  1,690    
Laureate Education, Inc., Term Loan B
     3.538 %     8/15/14       B1       1,587,241  
  3,491    
Quad Graphics, Inc., Term Loan
     5.500 %     8/23/16     BB+       3,482,492  
 
  9,376    
Total Diversified Consumer Services
                             9,089,949  
 
       
 
                                
        Diversified Financial Services – 2.9% (2.0% of Total Investments)
       
 
                                
  1,243    
CIT Group, Inc., Tranche 3, Term Loan
     6.250 %     8/11/15     BB       1,266,562  
  1,732    
Fox Acquisition Sub LLC, Term Loan B
     7.500 %     7/14/15       B       1,718,546  
  6,700    
Pinafore LLC, Term Loan
     6.750 %     9/29/16     BB       6,787,415  
 
  9,675    
Total Diversified Financial Services
                             9,772,523  
 
       
 
                                
        Diversified Telecommunication Services – 3.5% (2.4% of Total Investments)
       
 
                                
  1,051    
Cincinnati Bell Inc., Tranche B, Term Loan
     6.500 %     6/11/17     BB       1,058,752  
  96    
Intelsat, Tranche B2-A, Incremental Term Loan
     2.790 %     1/03/14     BB-       93,765  
  96    
Intelsat, Tranche B2-B, Incermental Term Loan
     2.790 %     1/03/14     BB-       93,736  
  96    
Intelsat, Tranche B2-C, Incremental Term Loan
     2.790 %     1/03/14     BB-       93,736  
  1,896    
Intelsat, Tranche B2, Term Loan
     2.790 %     7/03/13     BB-       1,850,378  
  810    
Intelsat, Tranche B2, Term Loan A
     2.790 %     1/03/14     BB-       790,459  
  809    
Intelsat, Tranche B2, Term Loan B
     2.790 %     1/03/14     BB-       790,216  
  809    
Intelsat, Tranche B2, Term Loan C
     2.790 %     1/03/14     BB-       790,216  
  2,000    
Intelsat, Unsecured Term Loan
     2.789 %     2/01/14       B+       1,820,000  
  4,533    
Level 3 Financing, Inc., Term Loan
     2.539 %     3/13/14       B+       4,232,594  
  158    
MetroPCS Wireless, Inc., Tranche B1, Term Loan
     2.563 %     11/03/13     Ba1       156,690  
 
  12,354    
Total Diversified Telecommunication Services
                             11,770,542  
 
       
 
                                
        Electric Utilities – 0.6% (0.4% of Total Investments)
       
 
                                
  1,111    
Calpine Corporation, Delayed Draw, Term Loan, (5),(6)
     0.500 %     3/29/14       B+       (87,500 )
  1,662    
TXU Corporation, Term Loan B2
     3.923 %     10/10/14       B+       1,307,848  
  948    
TXU Corporation, Term Loan B3
     3.756 %     10/10/14       B+       746,131  
 
  3,721    
Total Electric Utilities
                             1,966,479  
 
       
 
                                
        Electrical Equipment – 1.5% (1.0% of Total Investments)
       
 
                                
  5,247    
Allison Transmission Holdings, Inc., Term Loan
     3.028 %     8/07/14       B       5,046,259  
 
       
 
                                
        Food & Staples Retailing – 2.4% (1.7% of Total Investments)
       
 
                                
  500    
Roundy’s Supermarkets, Inc., Term Loan, Second Lien
     10.000 %     4/16/16     CCC+       510,938  
  8,192    
U.S. Foodservice, Inc., Term Loan
     2.760 %     7/03/14       B2       7,422,467  
 
  8,692    
Total Food & Staples Retailing
                             7,933,405  
 
       
 
                                
        Food Products – 3.7% (2.6% of Total Investments)
       
 
                                
  2,000    
BLB Management Services, Inc., Term Loan, WI/DD, (7),(8)
     TBD     TBD       N/R       1,545,000  
  2,594    
Michael Foods Group, Inc., Term Loan B
     6.250 %     6/29/16     BB-       2,632,404  
  3,600    
NBTY, Inc., Term Loan
     6.250 %     10/1/17     BB-       3,651,737  
  3,000    
Pierre Foods, Inc., Term Loan
     7.001 %     9/30/16       B+       2,973,750  
  1,596    
Pinnacle Foods Finance LLC, Tranche D, Term Loan
     6.000 %     4/02/14     Ba3       1,615,950  
 
  12,790    
Total Food Products
                             12,418,841  
 
       
 
                                
        Health Care Equipment & Supplies – 1.3% (0.9% of Total Investments)
       
 
                                
  195    
Bausch & Lomb, Inc., Delayed Term Loan
     3.505 %     4/24/15     BB-       190,151  
  803    
Bausch & Lomb, Inc., Term Loan
     3.527 %     4/24/15     BB-       784,122  
  238    
Fenwal, Inc., Delayed Term Loan
     2.549 %     2/28/14       B       208,337  
  757    
Fenwal, Inc., Term Loan
     2.549 %     2/28/14       B       661,354  
  1,329    
Symbion, Inc., Term Loan A
     3.505 %     8/23/13       B1       1,264,211  
  1,389    
Symbion, Inc., Term Loan B
     3.505 %     8/25/14       B1       1,321,286  
 
  4,711    
Total Health Care Equipment & Supplies
                             4,429,461  
 
       
 
                                
        Health Care Providers & Services – 9.8% (6.8% of Total Investments)
       
 
                                
  304    
Community Health Systems, Inc., Delayed Term Loan
     2.549 %     7/25/14     BB       298,319  
  5,907    
Community Health Systems, Inc., Term Loan
     2.549 %     7/25/14     BB       5,803,493  
  1,750    
Gentiva Health Services, Inc., Term Loan B
     6.750 %     8/17/16     Ba2       1,762,395  
  1,118    
HCA, Inc., Term Loan
     2.539 %     11/18/13     BB       1,095,681  
  1,600    
Healthspring, Term Loan, WI/DD
     TBD     TBD     Ba3       1,590,000  
  2,216    
IASIS Healthcare LLC, PIK Term Loan
     5.538 %     6/16/14     CCC+       2,154,517  
  399    
LifeCare, Term Loan B
     4.540 %     8/10/12       B2       380,997  
  2,988    
MultiPlan, Inc., Term Loan
     6.500 %     8/26/17     Ba3       3,004,805  
  3,500    
Skilled Healthcare Group, Inc., Term Loan
     5.250 %     4/09/16       B+       3,391,500  
  1,520    
Sun Healthcare Group, Inc., Term Loan, WI/DD
     TBD     TBD       B+       1,507,650  
  7,000    
Universal Health Services, Term Loan, WI/DD
     TBD     TBD     BB+       7,079,975  
  4,406    
Vanguard Health Holding Company II LLC, Initial Term Loan
     5.000 %     1/29/16     Ba2       4,416,802  
 
  32,708    
Total Health Care Providers & Services
                             32,486,134  
 
       
 
                                
        Hotels, Restaurants & Leisure – 13.0% (9.0% of Total Investments)
       
 
                                
  2,993    
24 Hour Fitness Worldwide, Inc., New Term Loan
     6.750 %     4/22/16     Ba3       2,864,384  
  5,400    
Burger King Corporation, Term Loan B
     6.250 %     10/19/16     BB-       5,456,025  
  1,496    
CCM Merger, Inc., Term Loan B
     8.500 %     7/13/12     BB-       1,493,674  
  97    
CBRL Group, Inc., Term Loan B2
     1.960 %     4/26/13     BB-       96,254  
  1,500    
Harrah’s Operating Company, Inc., Term Loan B1
     3.288 %     1/28/15       B       1,325,813  
  3,000    
Harrah’s Operating Company, Inc., Term Loan B2
     3.288 %     1/28/15       B       2,656,305  
  1,987    
Harrah’s Operating Company, Inc., Term Loan B3
     3.288 %     1/28/15       B       1,755,414  
  755    
Isle of Capri Casinos, Inc., Delayed Term Loan A
     5.000 %     11/25/13       B+       740,266  
  812    
Isle of Capri Casinos, Inc., Delayed Term Loan B
     5.000 %     11/25/13       B+       796,555  
  1,989    
Isle of Capri Casinos, Inc., Delayed Term Loan
     5.000 %     11/25/13       B+       1,951,710  
  1,502    
Venetian Casino Resort LLC, Delayed Term Loan
     3.030 %     11/23/16       B       1,406,657  
  6,165    
Venetian Casino Resort LLC, Tranche B, Term Loan
     3.030 %     11/23/16       B       5,776,484  
  4,721    
Orbitz Worldwide, Inc., Term Loan
     3.276 %     7/25/14       B+       4,599,420  
  308    
OSI Restaurant Partners LLC, Revolver
     1.603 %     6/14/13       B+       289,985  
  2,990    
OSI Restaurant Partners LLC, Term Loan
     2.625 %     6/14/14       B+       2,816,613  
  988    
Reynolds Group Holdings, Inc., US Term Loan
     6.750 %     11/5/15     BB-       997,106  
  3,211    
SW Acquisitions Co., Inc., Term Loan
     5.750 %     6/01/16     BB+       3,238,293  
  3,240    
Shingle Springs Tribal Gaming Authority, Term Loan
     10.500 %     12/17/13     CCC       3,094,253  
  1,935    
Travelport LLC, Delayed Term Loan
     2.962 %     8/23/13     Ba3       1,912,238  
 
  45,089    
Total Hotels, Restaurants & Leisure
                             43,267,449  
 
       
 
                                
        Household Products – 2.4% (1.7% of Total Investments)
       
 
                                
  6,439    
Spectrum Brands, Inc., Term Loan
     8.000 %     6/16/16       B       6,577,658  
  1,500    
Visant Holding Corporation, Tranche B, Term Loan
     7.000 %     12/22/16     BB-       1,514,687  
 
  7,939    
Total Household Products
                             8,092,345  
 
       
 
                                
        Insurance – 1.0% (0.7% of Total Investments)
       
 
                                
  3,288    
Conseco, Inc., Term Loan
     7.500 %     10/10/13       B2       3,248,121  
 
       
 
                                
        Internet Software & Services – 2.2% (1.5% of Total Investments)
       
 
                                
  760    
Open Solutions, Inc., Term Loan B
     2.415 %     1/23/14     BB-       647,018  
  3,852    
Sabre, Inc., Term Loan
     2.267 %     9/30/14       B1       3,666,678  
  2,993    
SkillSoft PLC, Term Loan
     6.500 %     5/30/17     BB       3,023,671  
 
  7,605    
Total Internet Software & Services
                             7,337,367  
 
       
 
                                
        IT Services – 4.9% (3.4% of Total Investments)
       
 
                                
  1,000    
Attachmate Corporation, Second Lien Term Loan
     7.038 %     10/13/13     CCC+       887,500  
  826    
Attachmate Corporation, Term Loan
     3.538 %     4/13/13     BB-       766,103  
  1,000    
Evertec, Inc., Term Loan B
     7.500 %     9/30/16     BB-       997,500  
  948    
First Data Corporation, Term Loan B3
     3.006 %     9/24/14       B+       854,199  
  3,017    
First Data Corporation, Term Loan B2
     3.006 %     9/24/14       B+       2,716,965  
  122    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, First Lien
     4.010 %     7/28/12       B+       115,323  
  2,292    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, Second Lien, DD1
     6.505 %     3/02/14     CCC+       1,529,688  
  536    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Term Loan
     6.010 %     7/28/15       B+       496,643  
  5,692    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan
     6.010 %     9/02/14       B+       2,063,243  
  1,021    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
     6.010 %     7/28/15       B+       949,893  
  259    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
     4.010 %     7/28/12       B+       244,677  
  3,958    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien, DD1
     6.505 %     3/02/14     CCC+       2,691,667  
  2,061    
SunGard Data Systems, Inc., Term Loan B
     2.006 %     2/28/14     BB       2,008,129  
 
  22,732    
Total IT Services
                             16,321,530  
 
       
 
                                
        Leisure Equipment & Products – 2.7% (1.9% of Total Investments)
       
 
                                
  7,612    
Bombardier Recreational Products, Inc., Term Loan
     3.392 %     6/28/13     Caa1       6,841,604  
  2,200    
Cedar Fair LP, Term Loan
     5.500 %     12/15/16     Ba2       2,231,689  
 
  9,812    
Total Leisure Equipment & Products
                             9,073,293  
 
       
 
                                
        Media – 12.5% (8.7% of Total Investments)
       
 
                                
  3,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
     2.755 %     3/06/14     BB+       2,838,750  
  1,415    
Charter Communications Operating Holdings LLC, Term Loan C
     3.540 %     9/06/16     BB+       1,391,150  
  2,415    
Citadel Broadcasting Corporation, Term Loan, (9)
     11.000 %     6/03/15     BB+       2,560,157  
  809    
Cumulus Media, Inc., Term Loan
     4.006 %     6/11/14       B-       740,784  
  1,229    
Gray Television, Inc., Term Loan B
     3.760 %     12/31/14       B       1,194,944  
  2,913    
HIT Entertainment, Inc., Term Loan B
     5.685 %     6/01/12       B1       2,837,291  
  2,000    
HIT Entertainment, Inc., Term Loan
     5.940 %     2/26/13     Caa2       1,493,333  
  3,990    
Interactive Data Corporation, Term Loan
     6.750 %     1/29/17     Ba3       4,062,718  
  4,804    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (7),(9)
     0.000 %     4/09/12       N/R       2,250,085  
  5,857    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan, (7),(8)
     0.000 %     4/09/12       N/R       2,743,051  
  83    
Nielsen Finance LLC, Term Loan A
     2.256 %     8/09/13     BB-       81,235  
  1,039    
Nielsen Finance LLC, Term Loan B
     4.006 %     5/02/16     BB-       1,029,639  
  1,343    
Nielsen Finance LLC, Term Loan C
     4.006 %     5/02/16     BB-       1,324,604  
  3,667    
Philadelphia Newspapers, Term Loan A, (7),(8)
     0.000 %     6/29/12       N/R       4,034  
  2,963    
Spanish Broadcasting System, Inc., Term Loan B
     2.040 %     6/11/12       B-       2,847,364  
  1,751    
SuperMedia, Term Loan
     11.000 %     12/31/15       B-       1,323,165  
  1,057    
Tribune Company, Term Loan B, (7),(8)
     0.000 %     6/04/14     Ca       705,319  
  10,861    
Univision Communications, Inc., Term Loan
     4.505 %     3/31/17       B2       10,262,962  
  3,402    
Yell Group PLC, Term Loan
     4.005 %     7/31/14       B       1,869,527  
 
  54,598    
Total Media
                             41,560,112  
 
       
 
                                
        Metals & Mining – 0.2% (0.2% of Total Investments)
       
 
                                
  760    
John Maneely Company, Term Loan
     3.539 %     12/09/13       B       744,567  
 
       
 
                                
        Multiline Retail – 1.4% (1.0% of Total Investments)
       
 
                                
  4,695    
Neiman Marcus Group, Inc., Term Loan
     2.294 %     4/06/13     BB-       4,587,519  
 
       
 
                                
        Oil, Gas & Consumable Fuels – 4.0% (2.7% of Total Investments)
       
 
                                
  222    
Alon USA Energy, Inc., Edgington Facility
     2.505 %     8/05/13       B+       164,624  
  1,780    
Alon USA Energy, Inc., Paramount Facility
     2.591 %     8/05/13       B+       1,316,887  
  1,722    
Big West Oil LLC, New Term Loan
     12.000 %     7/23/15       B+       1,753,438  
  575    
Calumet Lubricants Company LP, Credit Linked Deposit
     4.141 %     1/03/15       B1       551,724  
  4,234    
Calumet Lubricants Company LP, Term Loan
     4.376 %     1/03/15       B1       4,064,526  
  2,932    
CCS Income Trust, Term Loan
     3.288 %     11/14/14       B       2,576,636  
  2,868    
Venoco, Inc., Term Loan
     4.313 %     5/07/14     BB-       2,717,927  
 
  14,333    
Total Oil, Gas & Consumable Fuels
                             13,145,762  
 
       
 
                                
        Paper & Forest Products – 2.2% (1.5% of Total Investments)
       
 
                                
  3,855    
Newark Group, Inc., DIP Term Loan
     12.500 %     3/31/14       N/R       3,893,091  
  3,820    
Wilton Products, Term Loan
     3.560 %     8/01/14       B+       3,380,915  
 
  7,675    
Total Paper & Forest Products
                             7,274,006  
 
       
 
                                
        Pharmaceuticals – 3.2% (2.2% of Total Investments)
       
 
                                
  3,125    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, DD1, (7),(9)
     8.756 %     5/03/13     Ca       402,344  
  1,971    
Graceway Pharmaceuticals LLC, Term Loan
    5.006 %     5/03/12     Caa2       1,205,742  
  707    
Warner Chilcott Corporation, Add on Term Loan
     6.250 %     4/30/15     BB       710,299  
  1,881    
Warner Chilcott Corporation, Term Loan A
     6.000 %     10/30/14     BB       1,882,009  
  908    
Warner Chilcott Corporation, Term Loan B1
     6.250 %     4/30/15     BB       913,398  
  1,512    
Warner Chilcott Corporation, Term Loan B2
     6.250 %     4/30/15     BB       1,520,974  
  3,095    
Warner Chilcott Corporation, Term Loan B3
     6.500 %     2/22/16     BB       3,121,892  
  1,005    
Warner Chilcott Corporation, Term Loan B4
     6.500 %     2/22/16     BB       1,011,990  
 
  14,204    
Total Pharmaceuticals
                             10,768,648  
 
       
 
                                
        Real Estate Management & Development – 4.8% (3.3% of Total Investments)
       
 
                                
  5,203    
Capital Automotive LP, Tranche C
     2.760 %     12/14/12     Ba3       5,154,235  
  3,786    
LNR Property Corporation, Term Loan B
     3.760 %     7/12/11       B2       3,686,515  
  7,830    
Realogy Corporation, Delayed Term Loan
     3.263 %     10/10/13       B1       7,133,838  
 
  16,819    
Total Real Estate Management & Development
                             15,974,588  
 
       
 
                                
        Road & Rail – 5.1% (3.5% of Total Investments)
       
 
                                
  521    
Avis Budget Car Rental LLC, Term Loan
     5.750 %     4/19/14     BB       520,253  
  290    
Hertz Corporation, Letter of Credit
     2.089 %     12/21/12     Ba1       287,571  
  1,562    
Hertz Corporation, Term Loan
     2.010 %     12/21/12     Ba1       1,551,053  
  14,622    
Swift Transportation Company, Inc., Term Loan
     8.250 %     5/12/14       B       14,402,752  
 
  16,995    
Total Road & Rail
                             16,761,629  
 
       
 
                                
        Semiconductors & Equipment – 1.0% (0.6% of Total Investments)
       
 
                                
  1,196    
Freescale Semiconductor, Inc., Term Loan
     4.506 %     12/01/16       B2       1,128,630  
  1,990    
Spansion LLC, Term Loan
     7.500 %     2/09/15     BB-       2,011,559  
 
  3,186    
Total Semiconductors & Equipment
                             3,140,189  
 
       
 
                                
        Software – 3.4% (2.3% of Total Investments)
       
 
                                
  4,952    
Dealer Computer Services, Inc., New Term Loan
     5.250 %     4/21/17     BB-       4,957,372  
  2,000    
IPC Systems, Inc., Term Loan, Second Lien
     5.539 %     6/01/15     CCC       1,716,666  
  3,870    
IPC Systems, Inc., Term Loan
     2.526 %     6/02/14       B1       3,489,841  
  994    
Reynolds Group Holdings, Inc., Incremental US Term Loan
     6.250 %     5/05/16     BB-       1,001,201  
 
  11,816    
Total Software
                             11,165,080  
 
       
 
                                
        Specialty Retail – 5.4% (3.8% of Total Investments)
       
 
                                
  7,610    
Burlington Coat Factory Warehouse Corporation, Term Loan
     2.520 %     5/28/13       B-       7,424,236  
  5,428    
Michaels Stores, Inc., Term Loan B1
     2.634 %     10/31/13       B+       5,273,773  
  1,732    
Michaels Stores, Inc., Term Loan B2
     4.884 %     7/31/16       B+       1,720,088  
  3,605    
Toys “R” Us – Delaware, Inc., Term Loan
     6.000 %     9/01/16     BB-       3,630,196  
 
  18,375    
Total Specialty Retail
                             18,048,293  
 
 
       
 
                                
        Wireless Telecommunication Services – 3.6% (2.5% of Total Investments)
       
 
                                
  4,950    
Asurion Corporation, Term Loan
     3.277 %     7/03/14       N/R       4,631,960  
  7,070    
Clear Channel Communications, Inc., Tranche B, Term Loan
     3.905 %     11/13/15     Caa1       5,632,086  
  1,723    
MetroPCS Wireless, Inc., Tranche B2, Term Loan
     3.813 %     11/03/16     Ba1       1,722,385  
 
  13,743    
Total Wireless Telecommunication Services
                             11,986,431  
 
$ 450,965     Total Variable Rate Senior Loan Interests (cost $414,873,668)             412,350,731  
 
       
 
                                
Shares    
Description (1)
                           Value  
 
       
 
                                
        Common Stocks – 1.9% (1.3% of Total Investments)
       
 
                                
        Building Products – 1.4% (1.0% of Total Investments)
       
 
                                
  124,402    
Masonite Worldwide Holdings, (10),(12)
                           $ 4,727,276  
 
       
 
                                
        Media – 0.5% (0.3% of Total Investments)
       
 
                                
  33,696    
Citadel Broadcasting Corp Class B Shares, (10)
                             859,248  
  7,400    
Citadel Broadcasting Corporation, (10)
                             179,450  
  33,776    
Readers Digest Association Inc., (10),(12)
                             704,229  
 
       
Total Media
                             1,742,927  
         
        Total Common Stocks (cost $8,058,891)             6,470,203  
         
       
 
                                
Principal    
 
                                
Amount (000)    
Description (1)
   Coupon     Maturity     Ratings (3)     Value  
 
       
 
                                
        Convertible Bonds – 1.4% (1.0% of Total Investments)
       
 
                                
        Airlines – 0.9% (0.7% of Total Investments)
       
 
                                
$ 2,000    
UAL Corporation
     5.000 %     2/01/21       N/R     $ 2,020,000  
  1,000    
UAL Corporation
     4.500 %     6/30/21       N/R       1,071,600  
 
  3,000    
Total Airlines
                             3,091,600  
 
       
 
                                
        Communications Equipment – 0.1% (0.1% of Total Investments)
       
 
                                
  500    
Nortel Networks Corporation, (11)
     1.750 %     4/15/12       D       402,500  
 
       
 
                                
        Food & Staples Retailing – 0.4% (0.2% of Total Investments)
       
 
                                
  1,622    
Great Atlantic & Pacific Tea Company Inc.,
     5.125 %     6/15/11     Caa3       1,171,895  
 
$ 5,122    
Total Convertible Bonds (cost $4,701,504)
                             4,665,995  
 
       
 
                                
Principal    
 
                                
Amount (000)    
Description (1)
   Coupon     Maturity     Ratings (3)     Value  
 
       
 
                                
        Corporate Bonds – 10.6% (7.3% of Total Investments)
       
 
                                
        Auto Components – 0.2% (0.1% of Total Investments)
       
 
                                
$ 600    
Exide Technologies
     10.500 %     3/15/13       B-     $ 615,750  
 
       
 
                                
        Automobiles – 0.4% (0.3% of Total Investments)
       
 
                                
  4,000    
General Motors Corporation, (8)
     8.250 %     7/15/23       N/R       1,420,000  
 
       
 
                                
        Construction Materials – 0.6% (0.4% of Total Investments)
       
 
                                
  2,000    
Headwaters Inc., 144A
     11.375 %     11/01/14       B+       2,130,000  
 
       
 
                                
        Diversified Telecommunication Services – 0.2% (0.2% of Total Investments)
       
 
                                
  1,000    
Nortel Networks Limited, (11)
     0.000 %     7/15/11       N/R       820,000  
 
       
 
                                
        Health Care Providers & Services – 1.6% (1.1% of Total Investments)
       
 
                                
  1,000    
LifeCare Holdings Inc.
     9.250 %     8/15/13     C       745,000  
  2,500    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
     6.198 %     9/15/15     CCC+       2,250,000  
  1,250    
Select Medical Corporation
     7.625 %     2/01/15       B-       1,273,438  
  1,065    
US Oncology Holdings Inc., Floating Rate Note, 5.500% plus six-month LIBOR
    5.948 %     3/15/12     CCC+       1,043,700  
 
  5,815    
Total Health Care Providers & Services
                             5,312,138  
 
       
 
                                
        Health Care Technology – 0.8% (0.6% of Total Investments)
       
 
                                
  2,500    
Merge Healthcare Inc., 144A
     11.750 %     5/01/15       B+       2,631,250  
 
       
 
                                
        Hotels, Restaurants & Leisure – 0.2% (0.1% of Total Investments)
       
 
                                
  545    
CKE Restaurant Inc., 144A
     11.375 %     7/15/18       B       590,644  
 
       
 
                                
        Household Durables – 0.2% (0.1% of Total Investments)
       
 
                                
  700    
William Lyon Homes Inc., Unsecured Senior Note
     10.750 %     4/01/13     CC       609,000  
 
       
 
                                
        Internet Software & Services – 0.6% (0.4% of Total Investments)
       
 
                                
  2,750    
Open Solutions Inc., 144A
     9.750 %     2/01/15     CCC+       2,010,938  
 
       
 
                                
        IT Services – 0.3% (0.2% of Total Investments)
       
 
                                
  1,108    
First Data Corporation
     10.550 %     9/24/15       B-       942,040  
 
       
 
                                
        Machinery – 0.2% (0.2% of Total Investments)
       
 
                                
  1,000    
NES Rental Holdings, 144A, WI/DD
     12.250 %     4/15/15     CCC+       805,000  
 
       
 
                                
        Media – 2.0% (1.4% of Total Investments)
       
 
                                
  1,150    
Clear Channel Communications, Inc.
     5.000 %     3/15/12     C       1,111,186  
  2,850    
Clear Channel Communications, Inc.
     5.500 %     9/15/14     C       1,973,625  
  4,750    
Clear Channel Communications, Inc.
     10.750 %     8/01/16     C       3,693,125  
 
  8,750    
Total Media
                             6,777,936  
 
       
 
                                
        Multiline Retail – 0.8% (0.5% of Total Investments)
       
 
                                
  2,250    
Spectrum Brands, Inc., 144A
     9.500 %     6/15/18       B       2,501,719  
 
       
 
                                
        Multi-Utilities – 0.2% (0.1% of Total Investments)
       
 
                                
  500    
Bon-Ton Department Stores Inc.
     10.250 %     3/15/14     CC+       512,500  
 
       
 
                                
        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
     7.786 %     6/15/14     B3       1,435,000  
 
       
 
                                
        Pharmaceuticals – 0.3% (0.2% of Total Investments)
       
 
                                
  2,375    
Angiotech Pharmaceuticals Inc., (15)
     7.750 %     4/01/14     C       938,125  
 
 
       
 
                                
        Road & Rail – 0.6% (0.4% of Total Investments)
       
 
                                
  2,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
     2.786 %     5/15/14       B       1,900,000  
 
       
 
                                
        Trading Companies & Distributors – 0.3% (0.2% of Total Investments)
       
 
                                
  2,000    
Penhall International Corporation, 144A, (9)
     12.000 %     8/01/14     N/R       1,090,000  
 
       
 
                                
        Wireless Telecommunication Services – 0.7% (0.5% of Total Investments)
       
 
                                
  2,000    
Sprint Nextel Corporation
     8.375 %     8/15/17     BB-       2,215,000  
 
$ 43,293    
Total Corporate Bonds (cost $33,386,013)
                             35,257,040  
 
       
 
                                
Shares    
Description (1)
                           Value  
 
       
 
                                
        Warrants – 0.8% (0.6% of Total Investments)
       
 
                                
  100,096    
Citadel Broadcasting Corporation
                           $ 2,652,544  
 
       
Total Warrants (cost $3,050,426)
                             2,652,544  
   
       
 
                                
Principal    
 
                                
Amount (000)    
Description (1)
   Coupon     Maturity             Value  
 
       
 
                                
        Short-Term Investments – 5.3% (3.7% of Total Investments)
       
 
                                
$ 17,724    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/29/10, repurchase price $17,723,813, collateralized by $16,645,000 U.S. Treasury Bonds, 4.500%, due 8/15/39, value $18,079,799
     0.020 %     11/01/10             $ 17,723,783  
   
       
Total Short-Term Investments (cost $17,723,783)
                             17,723,783  
         
       
Total Investments (cost $481,794,285) – 144.1%
                             479,120,296  
         
       
Borrowings – (35.3)%, (13),(14)
                             (117,270,000 )
         
       
Other Assets Less Liabilities – (8.8)%
                             (29,371,759 )
         
       
Net Assets Applicable to Common Shares – 100%
                           $ 332,478,537  
         
Fair Value Measurements
In determining the fair 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 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 October 31, 2010:
                                 
    Level 1     Level 2     Level 3     Total  
 
 
                                
Investments:
                                
Variable Rate Senior Loan Interests
   $ —     $ 412,350,731     $ —     $ 412,350,731  
Common Stocks*
     1,038,698       5,431,505       —       6,470,203  
Convertible Bonds
     —       4,665,995       —       4,665,995  
Corporate Bonds
     —       35,257,040       —       35,257,040  
Warrants
     2,652,544       —       —       2,652,544  
Short-Term Investments
     17,723,783       —       —       17,723,783  
 
                                
 
 
                                
Total
   $ 21,415,025     $ 457,705,271     $ —     $ 479,120,296  
 
                                
 
* Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.
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 October 31, 2010, the cost of investments was $482,352,600.
Gross unrealized appreciation and gross unrealized depreciation of investments at October 31, 2010, were as follows:
         
 
 
        
Gross unrealized:
        
Appreciation
   $   20,131,226  
Depreciation
   (23,363,530 )
 
 
 
        
Net unrealized appreciation (depreciation) of investments
   $ (3,232,304 )
 
     
    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)   Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at October 31, 2010. At October 31, 2010, the Fund had unfunded Senior Loan commitments of $1,111,111.
 
(6)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at October 31, 2010.
 
(7)   At or subsequent to October 31, 2010, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
 
(8)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
 
(9)   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.
 
(10)   Non-income producing; issuer has not declared a dividend within the past twelve months.
 
(11)   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 on the Fund’s records.
 
(12)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
 
(13)   Borrowings as a percentage of Total Investments is 24.5%.
 
(14)   The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for borrowings.
 
(15)   Subsequent to the reporting period, 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.
 
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 December 30, 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 December 30, 2010
         
     
By (Signature and Title)  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date December 30, 2010