(a) Total Return Based on Common Share NAV is the combination of
changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend
declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending
NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not
its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
Total Return Based on Common Share Price is the combination of changes
in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the
average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first
business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend
declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment
price may be different from the price used in the calculation. Total returns are not annualized.
(b) • Net Investment Income (Loss) ratios reflect income earned
and expenses incurred on assets attributable to preferred shares issued by the Fund, where applicable.
• The expense ratios reflect, among other things, all interest
expense and other costs related to preferred shares (as described in Note 5 – Fund Shares) and/or the interest expense deemed to
have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters
held by the Fund (as described in Note 4 – Portfolio Securities and Investments in Derivatives), where applicable, as follows:
The following table sets forth information regarding each Fund’s
outstanding senior securities as of the end of each of the Fund's last five fiscal periods, as applicable.
Notes to Financial Statements (Unaudited)
1.
General Information
Fund Information
The state funds covered in this report and their corresponding New
York Stock Exchange (“NYSE”) symbols are as follows (each a “Fund” and collectively, the “Funds”):
• Nuveen Georgia Quality Municipal Income Fund (NKG)
•
Nuveen Massachusetts Quality Municipal Income Fund (NMT)
• Nuveen Minnesota Quality Municipal Income Fund (NMS)
• Nuveen Missouri
Quality Municipal Income Fund (NOM)
• Nuveen Virginia Quality Municipal Income Fund (NPV)
The Funds are registered under the Investment Company Act of 1940
(the “1940 Act”), as amended, as diversified closed-end management investment companies. NKG, NMS and NOM were organized as
Massachusetts business trusts on October 26, 2001, April 28, 2014 and March 29, 1993, respectively. NMT and NPV were organized as Massachusetts
business trusts on January 12, 1993.
Current Fiscal Period
The end of the reporting period for the Funds is November 30, 2022,
and the period covered by these Notes to Financial Statements is the six months ended November 30, 2022 (the “current fiscal period”).
Investment Adviser and Sub-Adviser
The Funds’ investment adviser is Nuveen Fund Advisors, LLC
(the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance
and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management
of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative
services, and if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management,
LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the
Funds.
Fund Mergers
During November 2022, each Fund's Board of Trustees (the “Board”)
approved the merger of Nuveen Ohio Quality Municipal Income Fund (NUO) and NKG (each a “Target Fund”) into Nuveen Municipal
Credit Income Fund (NZF). The mergers are intended to create a larger fund with lower operating expenses, enhanced earnings potential,
and increasing trading volume for common shares. In order for a merger to occur, it must be approved by shareholders of the respective
Target Funds.
Developments Regarding the Funds’ Control Share By-Law
On October 5, 2020, the Funds and certain other closed-end funds
in the Nuveen fund complex amended their by-laws. Among other things, the amended by-laws included provisions pursuant to which, in summary,
a shareholder who obtains beneficial ownership of common shares in a Control Share Acquisition (as defined in the by-laws) shall have
the same voting rights as other common shareholders only to the extent authorized by the other disinterested shareholders (the “Control
Share By-Law”). On January 14, 2021, a shareholder of certain Nuveen closed-end funds filed a civil complaint in the U.S. District
Court for the Southern District of New York (the “District Court”) against certain Nuveen funds and their trustees, seeking
a declaration that such funds’ Control Share By-Laws violate the 1940 Act, rescission of such fund’s Control Share By-Laws
and a permanent injunction against such funds applying the Control Share By-Laws. On February 18, 2022, the District Court granted judgment
in favor of the plaintiff’s claim for rescission of such funds’ Control Share By-Laws and the plaintiff’s declaratory
judgment claim, and declared that such funds’ Control Share By-Laws violate Section 18(i) of the 1940 Act. Following review of the
judgment of the District Court, on February 22, 2022, the Board of Trustees (the “Board”) amended the Funds’ by-laws
to provide that the Funds’ Control Share By-Law shall be of no force and effect for so long as the judgment of the District Court
is effective and that if the judgment of the District Court is reversed, overturned, vacated, stayed, or otherwise nullified, the Funds’
Control Share By-Law will be automatically reinstated and apply to any beneficial owner of common shares acquired in a Control Share Acquisition,
regardless of whether such Control Share Acquisition occurs before or after such reinstatement, for the duration of the stay or upon issuance
of the mandate reversing, overturning, vacating or otherwise nullifying the judgment of the District Court. On February 25, 2022, the
Board and the Funds appealed the District Court’s decision to the U.S. Court of Appeals for the Second Circuit.
69
Notes to Financial Statements (Unaudited) (continued)
2. Significant Accounting Policies
The accompanying financial statements were prepared in accordance
with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require the use of
estimates made by management and the evaluation of subsequent events. Actual results may differ from those estimates. Each Fund is an
investment company and follows the accounting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards
Codification 946, Financial Services—Investment Companies. The net asset value (“NAV”) for financial reporting purposes
may differ from the NAV for processing security and common share transactions. The NAV for financial reporting purposes includes security
and common share transactions through the date of the report. Total return is computed based on the NAV used for processing security and
common share transactions. The following is a summary of the significant accounting policies consistently followed by the Funds.
Compensation
The Funds pay no compensation directly to those of its trustees
or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board has
adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the
annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though
equal dollar amounts had been invested in shares of select Nuveen-advised funds.
Custodian Fee Credit
As an alternative to overnight investments, each Fund has an arrangement
with its custodian bank, State Street Bank and Trust Company, (the “Custodian”) whereby certain custodian fees and expenses
are reduced by net credits earned on each Fund’s cash on deposit with the bank. Credits for cash balances may be offset by charges
for any days on which a Fund overdraws its account at the Custodian. The amount of custodian fee credit earned by a Fund is recognized
on the Statement of Operations as a component of “Custodian expenses, net.” During the current reporting period, the custodian
fee credit earned by each Fund was as follows:
| |
|
|
|
|
|
| |
NKG |
NMT |
NMS |
NOM |
NPV |
| Custodian Fee Credit |
$555 |
$1,008 |
$145 |
$198 |
$500 |
Distributions to Common Shareholders
Distributions to common shareholders are recorded on the ex-dividend
date. The amount, character and timing of distributions are determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP.
Indemnifications
Under the Funds’ organizational documents, their officers
and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in
the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’
maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have
not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be
remote.
Investments and Investment Income
Securities transactions are accounted for as of the trade date for
financial reporting purposes. Realized gains and losses on securities transactions are based upon the specific identification method.
Investment income is comprised of interest income, which is recorded on an accrual basis and includes the accretion of discounts and the
amortization of premiums for financial reporting purposes. Investment income also reflects payment-in-kind (“PIK”) interest
and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash. Investment income
also reflects dividend income, which is recorded on the ex-dividend date.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions
subject to enforceable International Swaps and Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (“netting
agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives
with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms
of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds’ investments subject to netting agreements as of
the end of the reporting period, if any, are further described in Note 4 – Portfolio Securities and Investments in Derivatives.
70
New
Accounting Pronouncements and Rule Issuances
Reference Rate Reform
In March 2020, FASB issued Accounting Standards Update (“ASU”)
2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the
new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates, when participating
banks will no longer be required to submit London Interbank Offered Rate (LIBOR) quotes by the UK Financial Conduct Authority (FCA). The
new guidance allows companies to, provided the only changes to existing contracts are a change to an approved benchmark interest rate,
account for modifications as a continuance of the existing contract without additional analysis. For new and existing contracts, the Funds
may elect to apply the amendments as of March 12, 2020 through December 31, 2022. In December 2022, FASB deferred ASU 2022-04 and issued
ASU 2022-06, Reference Rate Reform: Deferral of the Sunset Date of Topic 848, which extends the application of the amendments through
December 31, 2024. Management has not yet elected to apply the amendments, is continuously evaluating the potential effect a discontinuation
of LIBOR could have on the Funds’ investments and has currently determined that it is unlikely the ASU’s adoption will have
a significant impact on the Funds’ financial statements and various filings.
New Rules to Modernize Fund Valuation Framework Take Effect
A new rule adopted by the Securities and Exchange Commission (the
“SEC”) governing fund valuation practices, Rule 2a-5 under the 1940 Act, has established requirements for determining fair
value in good faith for purposes of the 1940 Act. Rule 2a-5 permits fund boards to designate certain parties to perform fair value determinations,
subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available”
for purposes of Section 2(a)(41) of the 1940 Act, which requires a fund to fair value a security when market quotations are not readily
available. Separately, new SEC Rule 31a-4 under the 1940 Act sets forth the recordkeeping requirements associated with fair value determinations.
The Funds adopted a valuation policy conforming to the new rules, effective September 1, 2022, and there was no material impact to the
Funds.
3. Investment Valuation and Fair Value Measurements
The Funds' investments in securities are recorded at their estimated
fair value utilizing valuation methods approved by the Adviser, subject to oversight of the Board. Fair value is defined as the price
that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the
principal or most advantageous market for the investment. U.S. GAAP establishes the three-tier hierarchy which is used to maximize the
use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for
disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable
inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect management’s
assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the
best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
Level 1 – Inputs are unadjusted and prices are determined
using quoted prices in active markets for identical securities.
Level 2 – Prices are determined using other significant observable
inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 – Prices are determined using significant unobservable
inputs (including management’s assumptions in determining the fair value of investments).
A description of the valuation techniques applied to the Funds’
major classifications of assets and liabilities measured at fair value follows:
Prices of fixed-income securities are generally provided by pricing
services approved by the Adviser, which is subject to review by the Adviser and oversight of the Board. Pricing services establish a security’s
fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type
of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows
or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered
relevant. In pricing certain securities, particularly less liquid and lower quality securities, pricing services may consider information
about a security, its issuer or market activity provided by the Adviser. These securities are generally classified as Level 2.
For any portfolio security or derivative for which market quotations
are not readily available or for which the Adviser deems the valuations derived using the valuation procedures described above not to
reflect fair value, the Adviser will determine a fair value in good faith using alternative procedures approved by the Adviser, subject
to the oversight of the Board. As a general principle, the fair value of a security is the amount that the owner might reasonably expect
to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may
include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating,
market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions
and other information and analysis, including the obligor’s credit characteristics considered relevant. To the extent the inputs
are observable and timely, the values would be classified as Level 2; otherwise they would be classified as Level 3.
71
Notes to Financial Statements (Unaudited) (continued)
The following table summarizes the market value of the Funds' investments
as of the end of the reporting period, based on the inputs used to value them:
| |
|
|
|
|
| NKG |
Level 1 |
Level 2 |
Level 3 |
Total |
| Long-Term Investments*: |
|
|
|
|
| Municipal Bonds |
$ — |
$192,007,526 |
$65,322** |
$192,072,848 |
| NMT |
|
|
|
|
| Long-Term Investments*: |
|
|
|
|
| Municipal Bonds |
$ — |
$186,283,093 |
$ — |
$186,283,093 |
| NMS |
|
|
|
|
| Long-Term Investments*: |
|
|
|
|
| Municipal Bonds |
$ — |
$121,650,661 |
$ — |
$121,650,661 |
| NOM |
|
|
|
|
| Long-Term Investments*: |
|
|
|
|
| Municipal Bonds |
$ — |
$ 44,454,452 |
$ — |
$ 44,454,452 |
| NPV |
|
|
|
|
| Long-Term Investments*: |
|
|
|
|
| Municipal Bonds |
$ — |
$361,236,019 |
$ — |
$361,236,019 |
| * | | Refer to the Fund’s Portfolio of Investments for industry classifications. |
| ** | | Refer to the Fund’s Portfolio of Investments for securities classified as Level 3. |
The Funds hold liabilities in floating rate obligations and preferred
shares, where applicable, which are not reflected in the tables above. The fair values of the Funds’ liabilities for floating rate
obligations approximate their liquidation values. Floating rate obligations are generally classified as Level 2 and further described
in Note 4 - Portfolio Securities and Investments in Derivatives. The fair values of the Funds’ liabilities for preferred shares
approximate their liquidation preference. Preferred shares are generally classified as Level 2 and further described in Note 5 –
Fund Shares.
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities.
An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically
with a fixed interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”)
created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”)
in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate
(referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust. Floaters typically
pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par
value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to the TOB Trust from a third party liquidity provider
(“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor,
such as one or more of the Funds. The income received by the Inverse Floater holder varies inversely with the short-term rate paid to
holders of the Floaters, and in most circumstances the Inverse Floater holder bears substantially all of the Underlying Bond’s downside
investment risk and also benefits disproportionately from any potential appreciation of the Underlying Bond’s value. The value of
an Inverse Floater will be more volatile than that of the Underlying Bond because the interest rate is dependent on not only the fixed
coupon rate of the Underlying Bond but also on the short-term interest paid on the Floaters, and because the Inverse Floater essentially
bears the risk of loss (and possible gain) of the greater face value of the Underlying Bond.
The Inverse Floater held by a Fund gives the Fund the right to (a)
cause the holders of the Floaters to tender their certificates at par (or slightly more than par in certain circumstances), and (b) have
the trustee of the TOB Trust (the “Trustee”) transfer the Underlying Bond held by the TOB Trust to the Fund, thereby collapsing
the TOB Trust.
A Fund may acquire an Inverse Floater in a transaction where it
(a) transfers an Underlying Bond that it owns to a TOB Trust created by a third party or (b) transfers an Underlying Bond that it owns,
or that it has purchased in a secondary market transaction for the purpose of creating an Inverse Floater, to a TOB Trust created at its
direction, and in return receives the Inverse Floater of the TOB Trust (referred to as a “self-deposited Inverse Floater”).
A Fund may also purchase an Inverse Floater in a secondary market transaction from a third party creator of the TOB Trust without first
owning the Underlying Bond (referred to as an “externally-deposited Inverse Floater”).
72
An investment in a self-deposited Inverse Floater is accounted for
as a “financing” transaction (i.e., a secured borrowing). For a self-deposited Inverse Floater, the Underlying Bond deposited
into the TOB Trust is identified in the Fund’s Portfolio of Investments as “(UB) – Underlying bond of an inverse floating
rate trust reflected as a financing transaction,” with the Fund recognizing as liabilities, labeled “Floating rate obligations”
on the Statement of Assets and Liabilities, (a) the liquidation value of Floaters issued by the TOB Trust, and (b) the amount of any borrowings
by the TOB Trust from a Liquidity Provider to enable the TOB Trust to purchase outstanding Floaters in lieu of a remarketing. In addition,
the Fund recognizes in “Investment Income” the entire earnings of the Underlying Bond, and recognizes (a) the interest paid
to the holders of the Floaters or on the TOB Trust’s borrowings, and (b) other expenses related to remarketing, administration,
trustee, liquidity and other services to a TOB Trust, as a component of “Interest expense and amortization of offering costs”
on the Statement of Operations. Earnings due from the Underlying Bond and interest due to the holders of the Floaters as of the end of
the reporting period are recognized as components of “Receivable for interest” and “Payable for interest” on the
Statement of Assets and Liabilities, respectively.
In contrast, an investment in an externally-deposited Inverse Floater
is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) –
Inverse floating rate investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities
recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings
from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings
on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses
of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense
on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse
Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized
over the term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters
issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| |
|
|
|
|
|
| Floating Rate Obligations Outstanding |
NKG |
NMT |
NMS |
NOM |
NPV |
| Floating rate obligations: self-deposited Inverse Floaters |
$14,800,000 |
$ — |
$ — |
$600,000 |
$20,350,000 |
| Floating rate obligations: externally-deposited Inverse Floaters |
— |
7,325,000 |
— |
— |
— |
| Total |
$14,800,000 |
$7,325,000 |
$ — |
$600,000 |
$20,350,000 |
During the current fiscal period, the average amount of Floaters
(including any borrowings from a Liquidity Provider) outstanding, and average annual interest rate and fees related to self-deposited
Inverse Floaters, were as follows:
| |
|
|
|
|
|
| Self-Deposited Inverse Floaters |
NKG |
NMT |
NMS |
NOM |
NPV |
| Average floating rate obligations outstanding |
$23,019,178 |
$ — |
$ — |
$600,000 |
$20,368,493 |
| Average annual interest rate and fees |
1.95% |
—% |
—% |
2.01% |
2.07% |
TOB Trusts are supported by a liquidity facility provided by a Liquidity
Provider pursuant to which the Liquidity Provider agrees, in the event that Floaters are (a) tendered to the Trustee for remarketing and
the remarketing does not occur, or (b) subject to mandatory tender pursuant to the terms of the TOB Trust agreement, to either purchase
Floaters or to provide the Trustee with an advance from a loan facility to fund the purchase of Floaters by the TOB Trust. In certain
circumstances, the Liquidity Provider may otherwise elect to have the Trustee sell the Underlying Bond to retire the Floaters that were
tendered and not remarketed prior to providing such a loan. In these circumstances, the Liquidity Provider remains obligated to provide
a loan to the extent that the proceeds of the sale of the Underlying Bond is not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB
Trust is at least equal to the balance of that TOB Trust’s outstanding Floaters plus any accrued interest. In consideration of the
loan facility, fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will
be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively borne by
the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the
rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility
are recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities by the Fund holding
the corresponding Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding
under any such facility.
Each Fund may also enter into shortfall and forbearance agreements
(sometimes referred to as a “recourse arrangement”) (TOB Trusts involving such agreements are referred to herein as “Recourse
Trusts”), under which a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances,
for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation
value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any
73
Notes to Financial Statements (Unaudited) (continued)
shortfalls in interest cash flows. Under these agreements, a Fund’s
potential exposure to losses related to or on an Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially
be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate
is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum
exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as
follows:
| |
|
|
|
|
|
| Floating Rate Obligations – Recourse Trusts |
NKG |
NMT |
NMS |
NOM |
NPV |
| Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters |
$14,800,000 |
$ — |
$ — |
$600,000 |
$20,350,000 |
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters |
— |
7,325,000 |
— |
— |
— |
| Total |
$14,800,000 |
$7,325,000 |
$ — |
$600,000 |
$20,350,000 |
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to
its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original
purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market
prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investment Transactions
Long-term purchases and sales (including maturities) during the
current fiscal period were as follows:
| |
|
|
|
|
|
| |
NKG |
NMT |
NMS |
NOM |
NPV |
| Purchases |
$30,755,368 |
$33,538,696 |
$16,475,487 |
$5,146,838 |
$68,795,668 |
| Sales and maturities |
39,088,082 |
24,862,769 |
20,992,249 |
5,056,483 |
84,952,452 |
The Funds may purchase securities on a when-issued or delayed-delivery
basis. Securities purchased on a when-issued or delayed-delivery basis may have extended settlement periods; interest income is not accrued
until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Funds have earmarked securities
in their portfolios with a current value at least equal to the amount of the when issued/ delayed-delivery purchase commitments. If a
Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized
on the Statement of Assets and Liabilities.
Investments in Derivatives
In addition to the inverse floating rate securities in which each
Fund may invest, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain
other derivative instruments such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures
and swap contracts to the extent necessary for the Adviser to claim exclusion from registration by the Commodity Futures Trading Commission
as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value
recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic
hedges, they are not considered to be hedge transactions for financial reporting purposes.
Although the Funds are authorized to invest in derivative instruments
and may do so in the future, they did not make any such investments during the current fiscal period.
Market and Counterparty Credit Risk
In the normal course of business each Fund may invest in financial
instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure
of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial
assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist
principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s
exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement
of Assets and Liabilities.
Each Fund helps manage counterparty credit risk by entering into
agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser
monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based
on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized
gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to
pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined
threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least
the pre-determined threshold amount.
74
5. Fund Shares
Common Share Transactions
Transactions in common shares for the Funds during the Funds’
current and prior fiscal period, where applicable. were as follows:
| |
|
|
|
|
|
|
|
|
| |
NMT |
NMS |
NOM |
NPV |
| |
Six Months |
Year |
Six Months |
Year |
Six Months |
Year |
Six Months |
Year |
| |
Ended |
Ended |
Ended |
Ended |
Ended |
Ended |
Ended |
Ended |
| |
11/30/22 |
5/31/22 |
11/30/22 |
5/31/22 |
11/30/22 |
5/31/22 |
11/30/22 |
5/31/22 |
| Common shares: |
|
|
|
|
|
|
|
|
| Issued to shareholders due |
|
|
|
|
|
|
|
|
| to reinvestment of distributions |
— |
1,866 |
1,953 |
2,350 |
970 |
1,853 |
7,763 |
19,473 |
Preferred Shares
Adjustable Rate MuniFund Term Preferred Shares
The following Funds have issued and have outstanding Adjustable
Rate MuniFund Term Preferred (“AMTP”) Shares, with a $100,000 liquidation preference per share. AMTP Shares are issued via
private placement and are not publically available.
The details of each Fund’s AMTP Shares outstanding as of the
end of the reporting period, were as follows:
| |
|
|
|
|
| |
|
|
|
Liquidation |
| |
|
|
|
Preference, |
| |
|
Shares |
Liquidation |
net of deferred |
| Fund |
Series |
Outstanding |
Preference |
offering costs |
| NKG |
2028 |
585 |
$58,500,000 |
$58,455,313 |
| NMS |
2028 |
498 |
$49,800,000 |
$49,770,511 |
Each Fund is obligated to redeem its AMTP Shares by the date as
specified in its offering document (“Term Redemption Date”), unless earlier redeemed by the Fund. AMTP Shares are subject
to optional and mandatory redemption in certain circumstances. The AMTP Shares may be redeemed at the option of the Fund, subject to payment
of premium for approximately six months following the date of issuance (“Premium Expiration Date”), and at the redemption
price per share thereafter. The redemption price per share is equal to the sum of the liquidation preference per share plus any accumulated
but unpaid dividends.
AMTP Shares are short-term or short/intermediate-term instruments
that pay a variable dividend rate tied to a short-term index, plus an additional fixed “spread” amount which is initially
established at the time of issuance and may be adjusted in the future based upon a mutual agreement between the majority owner and the
Fund. From time-to-time the majority owner may propose to the Fund an adjustment to the dividend rate. Should the majority owner and the
Fund fail to agree upon an adjusted dividend rate, and such proposed dividend rate adjustment is not withdrawn, the Fund will be required
to redeem all outstanding shares upon the end of a notice period.
In addition, the Funds may be obligated to redeem a certain amount
of the AMTP Shares if the Funds fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured
by the applicable cure date. The Term Redemption Date and Premium Expiration Date for each Fund’s AMTP Shares are as follows:
| |
|
|
|
|
| |
Notice |
|
Term |
Premium |
| Fund |
Period |
Series |
Redemption Date |
Expiration Date |
| NKG |
540-day |
2028 |
December 1 2028* |
February 13, 2019 |
| NMS |
360-day |
2028 |
December 1 2028* |
November 30, 2019 |
*
Subject to early termination by either the Fund or the holder.
The average liquidation preference of AMTP Shares outstanding and
annualized dividend rate for each Fund during the current fiscal period were as follows:
| |
|
|
| |
NKG |
NMS |
| Average liquidation preference of AMTP shares outstanding |
$58,500,000 |
$52,750,820 |
| Annualized dividend rate |
2.41% |
2.51% |
75
Notes to Financial Statements (Unaudited) (continued)
AMTP Shares are subject to restrictions on transfer, generally do
not trade, and market quotations are generally not available. The fair value of AMTP Shares is expected to be approximately their liquidation
preference so long as the fixed “spread” on the AMTP Shares remains roughly in line with the “spread” being demanded
by investors on instruments having similar terms in the current market environment. In present market conditions, the Funds’ Adviser
has determined that the fair value of AMTP Shares is approximately their liquidation preference, but their fair value could vary if market
conditions change materially. For financial reporting purposes, the liquidation preference of AMTP Shares is a liability and is recognized
as a component of “Adjustable Rate MuniFund Term Preferred (“AMTP”) Shares, net of deferred offering costs” on
the Statement of Assets and Liabilities.
AMTP Share dividends are treated as interest payments for financial
reporting purposes. Unpaid dividends on AMTP Shares are recognized as a component of “Interest payable” on the Statement of
Assets and Liabilities. Dividends accrued on AMTP Shares are recognized as a component of “Interest expense and amortization of
offering costs” on the Statement of Operations.
Costs incurred in connection with each Fund’s offering of
AMTP Shares were recorded as deferred charges, which are amortized over the life of the shares and are recognized as components of “Adjustable
Rate MuniFund Term Preferred (“AMTP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities
and “Interest expense and amortization of offering costs” on the Statement of Operations.
MuniFund Preferred Shares
NOM has issued and has outstanding MuniFund Preferred (“MFP”)
Shares, with a $100,000 liquidation preference per share. These MFP Shares were issued via private placement and are not publicly available.
The Fund is obligated to redeem its MFP Shares by the date as specified
in its offering documents (“Term Redemption Date”), unless earlier redeemed by the Fund. MFP Shares are initially issued in
a pre-specified mode, however, MFP Shares can be subsequently designated as an alternative mode at a later date at the discretion of the
Fund. The modes within MFP Shares detail the dividend mechanics and are described as follows. At a subsequent date, the Fund may establish
additional mode structures with the MFP Share.
• Variable Rate Remarketed Mode (“VRRM”) –
Dividends for MFP Shares within this mode will be established by a remarketing agent; therefore, the market value of the MFP Shares is
expected to approximate its liquidation preference. Shareholders have the ability to request a best-efforts tender of their shares upon
seven days notice. If the remarketing agent is unable to identify an alternative purchaser, the shares will be retained by the shareholder
requesting tender and the subsequent dividend rate will increase to its step-up dividend rate. If after one consecutive year of unsuccessful
remarketing attempts, the Fund will be required to designate an alternative mode or redeem the shares.
The Fund will pay a remarketing fee on the aggregate principal amount
of all MFP shares while designated in VRRM. Payments made by the Fund to the remarketing agent are recognized as “Remarketing fees”
on the Statement of Operations.
• Variable Rate Mode (“VRM”) – Dividends
for MFP Shares designated in this mode are based upon a short-term index plus an additional fixed “spread” amount established
at the time of issuance or renewal / conversion of its mode. At the end of the period of the mode, the Fund will be required to either
extend the term of the mode, designate an alternative mode or redeem the MFP Shares.
The fair value of MFP Shares while in VRM are expected to approximate
their liquidation preference so long as the fixed “spread” on the shares remains roughly in line with the “spread’
being demanded by investors on instruments having similar terms in the current market. In current market conditions, the Adviser has determined
that the fair value of the shares are approximately their liquidation preference, but their fair value could vary if market conditions
change materially.
• Variable Rate Demand Mode (“VRDM”) –
Dividends for MFP Shares designated in this mode will be established by a remarketing agent; therefore, the market value of the MFP
Shares is expected to approximate its liquidation preference. While in this mode, shares will have an unconditional liquidity
feature that enables its shareholders to require a liquidity provider, which the Fund has entered into a contractual agreement, to
purchase shares in the event that the shares are not able to be successfully remarketed. In the event that shares within this mode
are unable to be successfully remarketed and are purchased by the liquidity provider, the dividend rate will be the maximum rate
which is designed to escalate according to a specified schedule in order to enhance the remarketing agent’s ability to
successfully remarket the shares. The Fund is required to redeem any shares that are still owned by a liquidity provider after six
months of continuous, unsuccessful remarketing.
The Fund will pay a liquidity and remarketing fee on the aggregate
principal amount of all MFP Shares while within VRDM. Payments made by the Fund to the liquidity provider and remarketing agent are recognized
as “Liquidity fees” and “Remarketing fees”, respectively, on the Statement of Operations.
For financial reporting purposes, the liquidation preference of
MFP Shares is recorded as a liability and is recognized as a component of “MuniFund Preferred (“MFP”) Shares, net of
deferred offering costs” on the Statement of Assets and Liabilities. Dividends on the MFP shares are treated as interest payments
for financial reporting purposes. Unpaid dividends on MFP shares are recognized as a component on “Interest payable” on the
Statement of Assets and Liabilities. Dividends accrued on MFP Shares are recognized as a component of “Interest expense and amortization
of offering costs” on the Statement of Operations.
76
Subject to certain conditions, MFP Shares may be redeemed, in whole
or in part, at any time at the option of the Fund. The Fund may also be required to redeem certain MFP shares if the Fund fails to maintain
certain asset coverage requirements and such failures are not cured by the applicable cure date. The redemption price per share in all
circumstances is equal to the liquidation preference per share plus any accumulated but unpaid dividends.
Costs incurred in connection with the Fund’s offering of MFP
Shares were recorded as a deferred charge and are being amortized over the life of the shares. These offering costs are recognized as
a component of “MuniFund Preferred (“MFP”) Shares, net of deferred offering costs” on the Statement of Assets
and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.
As of the end of the reporting period, details of the Fund’s
MFP Shares outstanding were as follows:
| |
|
|
|
|
|
|
|
| |
|
|
|
Liquidation |
|
|
|
| |
|
|
|
Preference, |
Term |
|
Mode |
| |
|
Shares |
Liquidation |
net of deferred |
Redemption |
|
Termination |
| Fund |
Series |
Outstanding |
Preference |
offering costs |
Date |
Mode |
Date |
| NOM |
A |
180 |
$18,000,000 |
$17,799,384 |
October 1, 2047 |
VRM |
April 1, 2024 |
The average liquidation preference of MFP Shares outstanding and
annualized dividend rate for the Fund during the current fiscal period were as follows:
| |
NOM |
| Average liquidation preference of MFP Shares outstanding |
$18,000,000 |
| Annualized dividend rate |
2.57% |
Variable Rate Demand Preferred Shares
The following Funds have issued and have outstanding Variable Rate
Demand Preferred (“VRDP”) Shares, with a $100,000 liquidation preference per share. VRDP Shares are issued via private placement
and are not publicly available.
As
of the end of the reporting period, details of the Funds’ VRDP Shares outstanding were as follows:
| |
|
|
|
|
Liquidation |
|
|
| |
|
|
|
|
Preference, |
Special Rate |
|
| |
|
Shares |
Remarketing |
Liquidation |
net of deferred |
Period |
|
| Fund |
Series |
Outstanding |
Fees* |
Preference |
offering costs |
Expiration |
Maturity |
| NMT |
1 |
740 |
N/A |
$ 74,000,000 |
$ 73,763,430 |
March 1, 2047 |
March 1, 2047 |
| NPV |
1 |
1,280 |
N/A |
$128,000,000 |
$127,686,153 |
July 19, 2023 |
August 3, 2043 |
| * | | Remarketing fees as a percentage of the aggregate principal amount of all VRDP Shares outstanding
for each series. |
| N/A | | Not applicable. Series is considered to be Special Rate VRDP and therefore does not pay a
remarketing fee. |
VRDP Shares include a liquidity feature that allows VRDP shareholders
to have their shares purchased by a liquidity provider with whom each Fund has contracted in the event that the VRDP Shares are not able
to be successfully remarketed. Each Fund is required to redeem any VRDP Shares that are still owned by the liquidity provider after six
months of continuous, unsuccessful remarketing. Each Fund pays an annual remarketing fee on the aggregate principal amount of all VRDP
Shares outstanding. Each Fund’s VRDP Shares have successfully remarketed since issuance.
Each Fund’s Series 1 VRDP Shares are considered to be Special
Rate Period VRDP, which are sold to institutional investors. During the special rate period, the VRDP Shares will not be remarketed by
a remarketing agent, be subject to optional or mandatory tender events, or be supported by a liquidity provider and are not subject to
remarketing fees or liquidity fees. During the special rate period, VRDP dividends will be set monthly as a floating rate based on the
predetermined formula. Following the initial special rate period, Special Rate Period VRDP Shares may transition to traditional VRDP Shares
with dividends set at weekly remarketings, and be supported by a designated liquidity provider, or the Board may approve a subsequent
special rate period.
Dividends on the VRDP Shares (which are treated as interest payments
for financial reporting purposes) are set at a rate established by a remarketing agent; therefore, the market value of the VRDP Shares
is expected to approximate its liquidation preference. In the event that VRDP Shares are unable to be successfully remarketed, the dividend
rate will be the maximum rate which is designed to escalate according to a specified schedule in order to enhance the remarketing agent’s
ability to successfully remarket the VRDP Shares.
Subject to certain conditions, VRDP Shares may be redeemed, in whole
or in part, at any time at the option of each Fund. Each Fund may also redeem certain of the VRDP Shares if the Fund fails to maintain
certain asset coverage requirements and such failures are not cured by the applicable cure date. The redemption price per share is equal
to the sum of the liquidation preference per share plus any accumulated but unpaid dividends.
77
Notes to Financial Statements (Unaudited) (continued)
The average liquidation preference of VRDP Shares outstanding and
annualized dividend rate for each Fund during the current fiscal period were as follows:
| |
|
|
| |
NMT |
NPV |
| Average liquidation preference of VRDP Shares outstanding |
$74,000,000 |
$128,000,000 |
| Annualized dividend rate |
2.42% |
2.64% |
For financial reporting purposes, the liquidation preference of
VRDP Shares is a liability and is recognized as a component of “Variable Rate Demand Preferred (“VRDP”) Shares, net
of deferred offering costs” on the Statement of Assets and Liabilities. Unpaid dividends on VRDP Shares are recognized as a component
of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on VRDP Shares are recognized
as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. Costs incurred by
the Funds in connection with their offerings of VRDP Shares were recorded as a deferred charge, which are amortized over the life of the
shares and are recognized as a component of “Variable Rate Demand Preferred (“VRDP”) Shares, net of deferred offering
costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement
of Operations. In addition to interest expense, each Fund also pays a per annum liquidity fee to the liquidity provider, as well as a
remarketing fee, which are recognized as “Liquidity fees” and “Remarketing fees,” respectively, on the Statement
of Operations.
Preferred Share Transactions
Transactions in preferred shares for the Funds during the Funds’
current and prior fiscal period, where applicable, are noted in the following table.
Transactions in AMTP Shares for the Funds, where applicable, were
as follows:
| |
|
|
|
| |
Six Months Ended |
| |
November 30, 2022 |
| NMS |
Series |
Shares |
Amount |
| AMTP Shares redeemed |
2028 |
(300) |
$(3,000,000) |
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes.
Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and otherwise comply
with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal
income tax provision is required.
Each Fund intends to satisfy conditions that will enable interest
from municipal securities, which is exempt from regular federal and designated state income taxes, to retain such tax-exempt status when
distributed to shareholders of the Funds. Net realized capital gains and ordinary income distributions paid by the Funds are subject to
federal taxation.
Each Fund files income tax returns in U.S. federal and applicable
state and local jurisdictions. A Fund's federal income tax returns are generally subject to examination for a period of three fiscal years
after being filed. State and local tax returns may be subject to examination for an additional period of time depending on the jurisdiction.
Management has analyzed each Fund's tax positions taken for all open tax years and has concluded that no provision for income tax is required
in the Fund's financial statements.
As of the end of the reporting period, the aggregate cost and net
unrealized appreciation/(depreciation) of all investments for federal income tax purposes were as follows:
| |
|
|
|
|
| |
|
|
|
Net |
| |
|
Gross |
Gross |
Unrealized |
| |
|
Unrealized |
Unrealized |
Appreciation |
| Fund |
Tax Cost |
Appreciation |
(Depreciation) |
(Depreciation) |
| NKG |
$182,424,505 |
$2,107,522 |
$(7,259,143) |
$(5,151,621) |
| NMT |
191,983,643 |
1,750,879 |
(7,451,429) |
(5,700,550) |
| NMS |
125,900,115 |
1,189,208 |
(5,438,662) |
(4,249,454) |
| NOM |
45,372,290 |
360,887 |
(1,878,725) |
(1,517,838) |
| NPV |
347,092,221 |
7,312,436 |
(13,518,588) |
(6,206,152) |
78
For purposes of this disclosure, tax cost generally includes the
cost of portfolio investments as well as up-front fees or premiums exchanged on derivatives and any amounts unrealized for income statement
reporting but realized income and/or capital gains for tax reporting, if applicable.
As of prior fiscal period end, the components of accumulated earnings
on a tax basis were as follows:
| |
|
|
|
|
|
|
|
|
| |
Undistributed |
Undistributed |
Undistributed |
Unrealized |
|
Late-Year |
Other |
|
| |
Tax-Exempt |
Ordinary |
Long-Term |
Appreciation |
Capital Loss |
Loss |
Book-to-Tax |
|
| Fund |
Income1 |
Income |
Capital Gains |
(Depreciation) |
Carryforwards |
Deferrals |
Differences |
Total |
| NKG |
$ 519,813 |
$2,368 |
$ — |
$(4,719,385) |
$ (4,706,415) |
$ — |
$(441,992) |
$ (9,345,611) |
| NMT |
464,283 |
— |
— |
(1,259,037) |
(7,805,130) |
— |
(400,959) |
(9,000,843) |
| NMS |
398,387 |
— |
— |
(75,435) |
(2,019,708) |
— |
(303,718) |
(2,000,474) |
| NOM |
125,395 |
— |
— |
161,890 |
(1,872,379) |
— |
(97,484) |
(1,682,578) |
| NPV |
1,712,636 |
53,200 |
— |
5,182,812 |
(19,485,703) |
— |
(868,971) |
(13,406,026) |
| 1 | | Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend
declared on May 2, 2022 and paid on June 1, 2022. |
As of prior fiscal period end, the Funds had capital loss carryforwards,
which will not expire:
| |
|
|
|
| Fund |
Short-Term |
Long-Term |
Total |
| NKG |
$2,903,602 |
$ 1,802,813 |
$ 4,706,415 |
| NMT |
3,993,697 |
3,811,433 |
7,805,130 |
| NMS |
1,463,344 |
556,364 |
2,019,708 |
| NOM |
693,740 |
1,178,639 |
1,872,379 |
| NPV |
7,769,045 |
11,716,658 |
19,485,703 |
7. Management Fees and Other Transactions with Affiliates
Management Fees
Each Fund’s management fee compensates the Adviser for overall
investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the
Funds from the management fees paid to the Adviser.
Each Fund’s management fee consists of two components –
a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount
of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets
within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
The
annual fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| Averaged Daily Managed Assets* |
Fund-Level Fee Rate |
| For the first $125 million |
0.4500% |
| For the next $125 million |
0.4375 |
| For the next $250 million |
0.4250 |
| For the next $500 million |
0.4125 |
| For the next $1 billion |
0.4000 |
| For the next $3 billion |
0.3750 |
| For managed assets over $5 billion |
0.3625 |
79
Notes to Financial Statements (Unaudited) (continued)
The annual complex-level fee, payable monthly, for each Fund is
calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Funds’ daily
managed assets:
* For the complex-level fees, managed assets include closed-end
fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’
use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate
securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed
by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount
of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily
managed assets of all Nuveen open-end and closed-end funds that constitute “eligible assets.” Eligible assets do not include
assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the
Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January
1, 2011, but do not include certain Nuveen Funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019
calendar year. As of November 30, 2022, the complex-level fee for each Fund was 0.1585%.
Each Fund is permitted to purchase or sell securities from or to
certain other funds or accounts managed by the Sub-Adviser (“Affiliated Entity”) under specified conditions outlined in procedures
adopted by the Board (“cross-trade”). These procedures have been designed to ensure that any cross-trade of securities by
the Fund from or to an Affiliated Entity by virtue of having a common investment adviser (or affiliated investment adviser), common officer
and/or common trustee complies with Rule 17a-7 under the 1940 Act. These transactions are effected at the current market price (as provided
by an independent pricing service) without incurring broker commissions.
During the current fiscal period, the following Funds engaged in
cross-trades pursuant to these procedures as follows:
In the normal course of business, each Fund enters into a variety
of agreements that may expose the Fund to some risk of loss. These could include recourse arrangements for certain TOB Trusts, and certain
agreements related to preferred shares, which are each described elsewhere in these Notes to Financial Statements. The risk of future
loss arising from such agreements, while not quantifiable, is expected to be remote. As of the end of the reporting period, the Funds
did not have any unfunded commitments.
From time to time, the Funds may be a party to certain legal proceedings
in the ordinary course of business, including proceedings relating to the enforcement of the Funds’ rights under contracts. As of
the end of the reporting period, management has determined that any legal proceeding(s) the Funds are subject to, including those described
within this report, are unlikely to have a material impact to any of the Funds’ financial statements.
The Funds, along with certain other funds managed by the Adviser
(“Participating Funds”), have established a 364-day, $2.700 billion standby credit facility with a group of lenders, under
which the Participating Funds may borrow for temporary purposes (other than on-going leveraging for investment purposes). Each Participating
Fund is allocated a designated proportion of the facility’s capacity (and its associated costs, as described below) based upon a
multifactor assessment of the likelihood and frequency of its need to draw on the facility, the size of the Fund and its anticipated draws,
and the potential importance of such draws to the operations and well-being of the Fund, relative to those of the other Funds. A Fund
may effect draws on the facility in excess of its designated capacity if and to the extent that other Participating Funds have undrawn
capacity. The credit facility expires in June 2023 unless extended or renewed.
The credit facility has the following terms: 0.15% per annum on
unused commitment amounts and a drawn interest rate equal to the higher of (a) OBFR (Overnight Bank Funding Rate) plus 1.20% per annum
or (b) the Fed Funds Effective Rate plus 1.20% per annum on amounts borrowed. The Participating Funds also incurred a 0.05% upfront fee
on the increased commitments from select lenders. Interest expense incurred by the Participating Funds, when applicable, is recognized
as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. Participating Funds
paid administration, legal and arrangement fees, which are recognized as a component of “Interest expense and amortization of offering
costs” on the Statement of Operations, and along with commitment fees, have been allocated among such Participating Funds based
upon the relative proportions of the facility’s aggregate capacity reserved for them and other factors deemed relevant by the Adviser
and the Board of each Participating Fund.
During the current fiscal period, the following Fund utilized this
facility. The Fund’s maximum outstanding balance during the utilization period was as follows:
During the Fund’s utilization period(s) during the current
fiscal period, the average daily balance outstanding and average annual interest rate on the Borrowings were as follows:
Borrowings outstanding as of the end of the reporting period, if
any, are recognized as “Borrowings” on the Statement of Assets and Liabilities, where applicable.
The SEC has granted an exemptive order permitting registered open-end
and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may directly lend to and borrow
money from each other for temporary purposes (e.g., to satisfy redemption requests or when a sale of securities “fails,” resulting
in an unanticipated cash shortfall) (the “Inter-Fund Program”). The closed-end Nuveen funds, including the Funds covered by
this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds
rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of conditions, including, among
other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable
interest rate than is typically available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow
on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources immediately after
the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing outstanding
from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis
with at least an equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding borrowings immediately after
an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis
only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15%
of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed 5% of the lending fund’s
net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no
event more than seven days; and (7) each inter-fund loan may be called on one business day’s notice by a lending fund and may be
repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent
that such participation is consistent with the fund’s investment objective and investment policies. The Board is responsible for
overseeing the Inter-Fund Program.
The limitations detailed above and the other conditions of the SEC
exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending
fund and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there
is a risk that the loan could be called on one day’s notice or not renewed, in which case the fund may have to borrow from a bank
at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment
to a lending fund could result in a lost investment opportunity or additional borrowing costs.
During the current reporting period, none of the Funds covered by
this shareholder report have entered into any inter-fund loan activity.
Fund shares are not guaranteed or endorsed by any bank or other
insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation.
Investing in closed-end funds involves risk; principal loss is possible.
There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount
or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk,
credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage
increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage
strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory
changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are
described in more detail on the Fund’s web page at www.nuveen.com/NKG.
Investing in closed-end funds involves risk; principal loss is possible.
There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount
or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk,
credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage
increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage
strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory
changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are
described in more detail on the Fund’s web page at www.nuveen.com/NMT.
Investing in closed-end funds involves risk; principal loss is possible.
There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount
or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk,
credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage
increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage
strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory
changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are
described in more detail on the Fund’s web page at www.nuveen.com/NMS.
Investing in closed-end funds involves risk; principal loss is possible.
There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount
or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk,
credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage
increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage
strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory
changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are
described in more detail on the Fund’s web page at www.nuveen.com/NOM.
Investing in closed-end funds involves risk; principal loss is possible.
There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount
or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk,
credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage
increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage
strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political or regulatory
changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are
described in more detail on the Fund’s web page at www.nuveen.com/NPV.
Each Fund is required to file its complete schedule of portfolio
holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its report
on Form N-PORT. You may obtain this information on the SEC’s website at http://www.sec.gov.
You may obtain (i) information regarding how each fund voted proxies
relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling
Nuveen toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures
that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen
toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.
