tolkiens legendarium - Did the Nazgûl retain their Rings of Power?

In The Fellowship of the Rings, Frodo sees the true appearance of the Nazgûl:

He was able to see beneath their black wrappings. There were five tall figures: two standing on the lip of the dell, three advancing. In their white faces burned keen and merciless eyes; under their mantles were long grey robes; upon their grey hairs were helms of silver; in their haggard hands were swords of steel. Their eyes fell on him and pierced him, as they rushed towards him.

The Fellowship of the Ring - J.R.R. Tolkien - chapter 11, A Knife In the Dark

There's no mention of the Nazgûl wearing the rings of power that Sauron gave them, although their hands are referenced. Did the Nazgûl retain their rings of power once they became wraiths? Or did something else happen to the rings once the Nazgûl emerged?¹

¹ _{As an FYI, I am currently re-reading The Lord of the Rings trilogy and am just pages from being done with The Fellowship of the Ring. I'm very familiar with the Peter Jackson movies. So that's where I'm coming from as far as canon knowledge goes.}

Answer

No, Sauron held the Nazguls' Rings.

It's mentioned in a few places:

Letter 246:

... Sauron, who still through their nine rings (which he held) had primary control. ...

Fellowship of the Ring, when Gandalf tells Frodo,

"the Nine [Sauron] has gathered to himself; the Seven also, or else they are destroyed."

Unfinished Tales:

Sauron’s “mightiest servants, the Ring-wraiths, who had no will but his own, being each utterly subservient to the ring that had enslaved him, which Sauron held.”

...

the Ringwraiths “were entirely enslaved to their Nine Rings, which [Sauron] now himself held”.