from Unfinished Tales, The Hunt for the Ring
...They were by far the most powerful of his servants, and the most suitable for such a mission, since they were entirely enslaved to their Nine Rings, which he now himself held; they were quite incapable of acting against his will, and if one of them, even the
Witch-king their captain, had seized
the One Ring, he would have brought it back to his Master, But they had disadvantages, until open war began (for which
Sauron was not yet ready). All except the Witch-king were apt to stray when alone by daylight;
and all, again save the Witch-King, feared water, and were unwilling, except in dire need, to enter it or to cross streams unless dryshod by a bridge. 3 Moreover, their chief
weapon was terror. This was actually greater when they were unclad and invisible; and it was greater also when the were gathered together. So any mission on which they were sent could hardly be conducted with secrecy; while the passage of
Anduin and other
rivers presented an obstacle. For such resons Sauron long hesitated, since he did not desire that his chief enemies should become aware of his servants' errand...
later in the same chapter
My father nowhere explained the
Ringwraiths' fear of water. In the account just cited it is made a chief motive in Sauron's assault on
Osgiliath, and it reappears in detailed notes on the movement of
the Black Riders in
the Shire: thus of the Rider (who was in fact
Khamûl of
Dol Guldur, see note 1) seen on the far side of Bucklebury Ferry just after the
Hobbits had crossed (The Fellowship of the Ring I 5) it is said that "he was well aware that the Ring had crossed the river; but the river was a barrier to his sense of its movement and that the
Nazgûl would not touch the "
Elvish" waters of Baranduin.
and finally footnote 3 which pertains to the first quote
3 At the Ford of Bruinen only the Witch-king and two others, with the lure of the Ring straight before them, had dared to enter the river; the others were driven into it by
Glorfindel and
Aragorn. [Author's note.]