NMY Nuveen Maryland Quality Municipal Income Fund

 

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Table of Contents

 

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Table of Contents

Chair’s Letter
to Shareholders

Dear Shareholders,

The COVID-19 crisis is taking an unprecedented toll on our health, societies, economies and financial markets. Our thoughts are with you during this time of significant disruption caused by the disease and its economic fallout. With many regions of the world suppressing the initial spread of the virus, governments and public health officials face the extraordinary challenge of balancing the resumption of economic activity with public safety, particularly as new clusters of infection have emerged in the U.S. and other countries following their reopening. Markets have turned their focus to the potential for an economic recovery, although the timing and magnitude are highly uncertain. Elevated market volatility is likely to continue, with economic data, coronavirus infection rates and the upcoming U.S. presidential election under scrutiny.

While we do not want to understate the dampening effect on the global economy, it is important to differentiate short-term interruptions from the longer-lasting implications to the economy. Prior to the COVID-19 crisis, some areas of the global economy were showing signs of improvement after trade tensions had weighed on economic activity for much of 2019. More recently, countries that have reopened have seen marked improvement in some near-term economic indicators. Central banks and governments around the world have announced economic stimulus measures and pledged to continue doing what it takes to support their economies. In the U.S., the Federal Reserve has cut its benchmark interest rate to near zero and introduced similar programs that helped revive the U.S. economy after the 2008 financial crisis. The U.S. Government has approved three relief packages, including a $2 trillion-dollar package directly supporting businesses and individuals. The Coronavirus Aid, Relief and Economic Security Act, called the CARES Act, provides direct payments and expanded unemployment benefits to individuals, loans and grants to small businesses, loans and other money to large corporations and funding for hospitals, public health, education and state and local governments.

In the meantime, patience and a long-term perspective are key for investors. When market fluctuations are the leading headlines day after day, it’s tempting to “do something.” However, your long-term goals can’t be met with short-term thinking. We encourage you to talk to your financial professional, who can review your time horizon, risk tolerance and investment goals. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

Terence J. Toth
Chair of the Board
July 22, 2020

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Portfolio Managers’ Comments


Nuveen Georgia Quality Municipal Income Fund (NKG)
Nuveen Maryland Quality Municipal Income Fund (NMY)
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)

These Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser. Portfolio managers Daniel J. Close, CFA, Stephen J. Candido, CFA, Christopher L. Drahn, CFA, and Michael S. Hamilton discuss U.S. economic and market conditions, key investment strategies and the twelve-month performance of these six Nuveen Funds. Dan has managed the Nuveen Georgia Fund since 2007. Steve assumed portfolio management responsibility for the Maryland and Virginia Funds in 2016. Chris has managed the Missouri Fund since 2011 and assumed responsibility for the Minnesota Fund in 2016. Michael assumed portfolio management responsibility for the Massachusetts Fund in 2011.

What factors affected the U.S. economy and the national municipal market during the twelve-month reporting period ended May 31, 2020?

The longest economic expansion in U.S. history came to an abrupt halt in early 2020 amid the COVID-19 coronavirus pandemic. To slow the spread of the virus, large portions of the economy were shut down, with companies closing either temporarily or permanently and most of the U.S. population under stay-at-home orders during March and April 2020. A phased reopening began toward the end of May and continued after the close of the reporting period. The disruption has been swift and severe, and has tipped the economy into recession, a several months’ long contraction across the broad economy. (Subsequent to the close of this reporting period, in June 2020, the National Bureau of Economic Research announced that the economic expansion that began in June 2009 officially ended in February 2020, marking the start of a recession.) For the first quarter of 2020, the Bureau of Economic Analysis reported that annualized gross domestic product (GDP) shrank 5.0%, according to its “second” estimate. GDP measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in

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This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings, while BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

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Portfolio Managers’ Comments (continued)

production, adjusted for price changes. Previously, the economy had been expanding at a moderate clip. GDP grew at an annualized rate of 2.1% in the fourth quarter of 2019 and grew 2.3% in 2019 overall.

Consumer spending, the largest driver of the economy, was well supported earlier in this reporting period by low unemployment, wage gains and tax cuts. However, the COVID-19 crisis containment measures drove a significant drop in consumer spending and a sharp rise in unemployment in March and April 2020. The Bureau of Labor Statistics said the unemployment rate rose to 13.3% in May 2020 from 3.6% in May 2019. Although May saw a surprise addition of 2.7 million jobs during the month as economies began to reopen, the combined job losses in March and April exceeded 22 million. The average hourly earnings rate appeared to soar, growing at an annualized rate of 6.5% in May 2020, despite the spike in unemployment. Earnings data were skewed by the concentration of job losses in lower wage work, which effectively eliminated most of the low data, resulting in an average of mostly higher numbers. The overall trend of inflation weakened considerably, which was attributed to large decreases in gasoline, apparel, air travel and lodging prices offsetting an increase in food prices. The Bureau of Labor Statistics said the Consumer Price Index (CPI) increased 0.1% over the twelve-month reporting period ended May 31, 2020 before seasonal adjustment.

Low mortgage rates and low inventory drove home prices moderately higher in this reporting period, although the most recent data do not fully reflect the shutdown. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, was up 4.7% year-over-year in April 2020 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 3.4% and 4.0%, respectively.

With economic momentum slowing in 2019 from 2018’s stronger pace, the U.S. Federal Reserve (Fed) left rates unchanged throughout the first half of 2019 then cut rates by 0.25% at each of the July 2019, September 2019 and October 2019 policy committee meetings. Markets registered disappointment with the Fed’s explanation that the rate cuts were a “mid-cycle adjustment,” rather than a prolonged easing period, and its signal that there would be no additional rate cuts in 2019. Also in the latter half of 2019, the Fed announced it would stop shrinking its bond portfolio sooner than scheduled, as well as began buying short-term Treasury bills to help money markets operate smoothly and maintain short-term borrowing rates at low levels. Fed Chairman Powell emphasized that the Treasury bill purchases were not a form of quantitative easing. The Fed continued its Treasury bill buying in January 2020, as well as left its benchmark interest rate unchanged, while noting the emerging coronavirus risks.

As the outbreak spread to the U.S. and significant restrictions on social and economic activity were imposed starting in March 2020, the Fed enacted an array of emergency measures to stabilize the financial system and support the markets, including cutting its main interest rate to near zero, offering lending programs to aid small and large companies and allowing unlimited bond purchases, known as quantitative easing. There were no policy changes at the Fed’s April 2020 meeting, where Chairman Powell reiterated a commitment to keep rates near zero until the economy recovers, and the meeting minutes released during May 2020 underscored the Fed’s concerns about a potentially prolonged economic recovery.

Meanwhile, the U.S. government approved three aid packages, totaling more than $100 billion in funding to health agencies and employers offering paid leave and $2 trillion allocated across direct payments to Americans, an expansion of unemployment insurance, loans to large and small businesses, funding to hospitals and health agencies and support to state and local governments.

While trade and tariff policy drove market sentiment for most of the twelve-month reporting period, the outbreak of the novel coronavirus and its associated disease COVID-19 rapidly dwarfed all other market concerns starting in late February 2020. Equity and commodity markets sold-off and safe-haven assets rallied in March as China, other countries and then the United States initiated quarantines, restricted travel and shuttered factories and businesses. The potential economic shock was particularly difficult to

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assess, which amplified market volatility. An ill-timed oil price war between the Organization of the Petroleum Exporting Countries (OPEC) and non-OPEC member Russia, which caused oil prices to plunge in March 2020, exacerbated the market sell-off.

Outside the U.S., many countries implemented lockdowns and restrictions on business activity to reduce infection rates, with a deep impact to their economies. Pandemic responses included central bank monetary easing and quantitative easing, fiscal relief programs, the loosening of fiscal rules and, in the case of emerging markets, emergency financing and debt relief from bilateral creditors and international organizations such as the International Monetary Fund and World Bank. The U.K. formally exited the European Union (EU) at the end of January 2020, triggering the one-year transition period, but Brexit talks were temporarily paused during the virus lockdown. When negotiations resumed, the U.K. continued to indicate it would not seek an extension. Italy’s prime minister unexpectedly resigned in August 2019, and the newly formed coalition government appeared to take a less antagonistic stance towards the EU. To help relieve the coronavirus impact on Italy and other more indebted Southern European countries, the European Commission proposed a €750 billion aid program to be funded by all member states, although it is expected to face a bumpy approval process. In Asia, northern countries were among the first to successfully reduce infection rates and relax coronavirus restrictions, but pockets of the disease re-emerged. The widespread anti-government protests roiling Hong Kong throughout 2019 had dissipated amid the lockdown, but tensions flared in late May 2020 when China unexpectedly announced a national security law perceived as a threat to Hong Kong’s sovereignty. India took stringent lockdown steps in March but still saw a rapid increase in cases. Latin American countries entered the health crisis in already weakened positions, with high government debt and widespread civil unrest. Venezuela’s economic and political crisis continued to deepen. Argentina surprised the market with the return of a less market-friendly administration but continued to pursue a restructuring of its debt. Brazil’s Bolsonaro administration achieved a legislative win on pension reform but had not fully delivered on reviving economic growth. As the pandemic spread to Latin America, the inconsistent government responses, reduced testing capabilities, weaker health care systems, food shortages and public protests contributed to accelerating infection and death rates, while the Southern Hemisphere winter is set to begin.

Prior to the virus outbreak, global markets had become more bullish on the outlook for 2020 as trade policy and Brexit appeared to make progress at the end of 2019. The U.S. and China agreed on a partial trade deal, which included rolling back some tariffs, increasing China’s purchases of U.S. agriculture products and the consideration of intellectual property, technology and financial services rights. The “phase one” deal was signed on January 15, 2020. While much of the focus remained on the U.S.-China relationship, trade spats between the U.S. and Mexico, the EU, Brazil and Argentina also arose throughout the reporting period. In January 2020, the U.S. Congress fully approved the U.S., Mexico and Canada Agreement (USMCA), which replaces the North American Free Trade Agreement. With more clarity on trade deals, the trade-related deterioration in global manufacturing and export data was expected to improve. However, the COVID-19 crisis has since upended those assumptions. Furthermore, tensions between the U.S. and China escalated amid the pandemic, with both sides stoking resentment about the management of the health crisis, Hong Kong’s political protests and trade policy.

Despite the severe sell-off in March 2020, municipal bonds managed positive performance over the twelve-month reporting period. For most of the reporting period, a significant decline in interest rates drove municipal bond prices higher, with positive technical and fundamental conditions also supporting credit spread tightening. Prior to the emergence of the novel coronavirus, interest rates had been pressured lower by signs that the economy’s momentum was slowing, a more dovish central bank policy, geopolitical tensions (especially regarding trade) and bouts of equity market volatility. Then, from late February through March 2020, coronavirus risks permeated the markets, sending U.S. Treasury yields to historic lows. Rate volatility increased sharply in that six-week period. As liquidity became stressed, investors began to liquidate any asset possible, including municipal bonds.

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Portfolio Managers’ Comments (continued)

Municipal bond prices declined rapidly (and yields spiked higher), amid rampant selling across both the high grade and high yield segments that was exacerbated in some cases by exchange-traded fund and closed-end fund selling. Municipal bond prices became severely dislocated from Treasury prices. Credit spreads widened significantly during the March 2020 sell-off, ending the month above their long-term average. Monetary and fiscal interventions from the Fed and U.S. government helped the market recover in April and May, although spreads remain wider than average as of the end of the reporting period. The municipal yield curve steepened over this reporting period, with a pronounced drop in yields at the short end of the curve spearheading the steepening.

Prior to the market turmoil in March 2020, municipal bond gross issuance nationwide had been robust. The overall low level of interest rates encouraged issuers to continue to actively refund their outstanding debt. In these transactions the issuers are issuing new bonds and taking the bond proceeds and redeeming (calling) old bonds. These refunding transactions have ranged from 30% to 60% of total issuance over the past few years. Thus, the net issuance (all bonds issued less bonds redeemed) is actually much lower than the gross issuance. So, while gross issuance volume has been adequate, the net has not and this was an overall positive technical factor on municipal bond investment performance in recent years. Notably, taxable municipal bond issuance has increased meaningfully since the advent of the Tax Cut and Jobs Act of 2017, which prohibits municipal issuers from issuing new tax-exempt bonds to pre-refund existing tax-exempt bonds. However, municipalities have taken advantage of the low interest rate environment and the strong demand for yield to issue taxable municipal debt, enabling them to save on net interest costs while adding to the scarcity value of tax-exempt issues.

Municipal bond funds saw consistently positive cash flows throughout 2019, but demand has been uneven in 2020 so far. Positive flows continued into early 2020, then municipal bond funds suffered significant outflows in March, particularly from high yield municipal bond funds. After the market stabilized in April, fund flows turned positive again in May. With interest rates in the U.S. and globally remaining near all-time lows, the appetite for yield has continued to drive investors toward higher after-tax yielding assets, including U.S. municipal bonds. Additionally, as tax payers have adjusted to the 2017 tax law, which caps the state and local tax (SALT) deduction for individuals, there has been increased demand for tax-exempt municipal bonds, especially in states with high income taxes and/or property taxes.

What were the economic and market conditions in Georgia, Maryland, Massachusetts, Minnesota, Missouri and Virginia during the twelve-month reporting period ended May 31, 2020?

Georgia is the eighth most populous state, with a population of 10.5 million. Population growth has been around 1% annually for more than a decade. Its GDP totaled $616 billion in 2019, ranking ninth among states. Georgia’s economic growth has been robust since 2014, outpacing that of the nation, but has slowed a bit in 2018 and 2019. The state’s GDP growth slowed to 2.0% in 2019 from 2.4% in 2018. Because of the coronavirus pandemic, the economy has already slowed considerably in 2020. As of May 2020, the state’s unemployment rate was 9.7%, compared to 13.3% nationally. The governor declared a public health state of emergency on March 14, 2020 and a shelter in place order on March 23, 2020, which was extended until April 30, 2020 and then allowed to expire. Georgia’s economy began to slowly reopen, but will likely remain weak through the remainder of 2020. The state’s primary economic engine is the Atlanta metropolitan area, which has been adding jobs and attracting businesses in a diverse range of industries. Before the pandemic, construction and the education and health services sectors were among the fastest growing in the state’s economy. Georgia’s per capita personal income is below average and was 85.1% of the U.S. average in 2019. Home prices in the Atlanta region rose 4.5% year-over-year, as of April 2020 (most recent data available at the time this report was prepared), below the national average of 4.7%, according to the S&P CoreLogic Case-Shiller Index. Georgia is the

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eleventh-largest export state and seventh-largest import state. Because Georgia has a substantial trade and distribution network and is home to large manufacturing and agriculture industries, its economy is at greater risk from ongoing trade tensions or a full-blown trade war. Before the COVID-19 crisis, strong economic growth drove robust revenue growth for Georgia. Net revenue collections of $23.8 billion for fiscal year 2019 were 4.8% higher than for fiscal year 2018. General fund revenue grew 2.1% in the first nine months of fiscal year 2020. After the COVID-19 crisis shutdown, net tax revenues were down 4% (or $858 million), year-over-year, through May 2020. Income taxes are the largest general fund revenue source for Georgia, followed by net sales taxes. They constituted 51% and 26% of total general fund revenue in fiscal year 2019, respectively. The robust revenue growth allowed the state to shore up its rainy day fund, or Revenue Shortfall Reserve (RSR). The RSR grew to $2.8 billion in 2019, or 10.2% of own-source revenue. This, along with expenditure cuts, provides the state with a substantial buffer to help weather the current downturn. The state has yet to finalize its Fiscal Year 2021 budget (Georgia State Fiscal Year End is June 30), but the Georgia Constitution requires the state to maintain a balanced budget. The state’s Senate Appropriations Committee unanimously passed its budget proposal in mid-June, calling for spending cuts of 11%, or $2.6 billion. The deepest proposed spending cut is for more than $1 billion from K-12 public education. Georgia has $10.3 billion of net tax-supported debt outstanding, which represents 2.0% of personal income, and placing it in line with the 2019 Moody’s 50-state median of 2.0% of personal income. Georgia’s pension liabilities are below average, so the state’s combined net debt and net pension liabilities are lower than the majority of states. As of June 2020, Georgia’s general obligation debt continued to be rated Aaa/AAA/AAA with stable outlooks from Moody’s, S&P and Fitch, respectively.

In 2019, Maryland’s gross state product grew 1.5% compared to 2.5% the prior year, dropping its ranking to 35th among all states. Maryland’s economy has historically benefited from its proximity to the nation’s capital through job growth and drawing high income earners as residents. However, the state’s proximity to Washington D.C. means a greater dependency on federal employment than in most states, leaving it vulnerable to future federal cost-cutting. Government employment accounts for 19% of all state employment. Maryland has one of the nation’s best educated workforces, which has facilitated the development of advanced technology and the growth of public and private research facilities. The influence of the government sector and presence of over 50 universities have made Maryland a center for national security and medical and biomedical research. Per capita income within the state is 124% of the U.S. average, and the median home value of $305,000 is 149% of the U.S. median. As of May 2020, the state’s unemployment rate registered 9.9%, which is below the national rate of 13.3%. The state has implemented various financial controls which add stability to its overall financial profile. Among them are five-year budget forecasts, constraining debt maturities to no more than 15 years and restricting debt to no more than 4% of personal income and debt service to within 8% of revenues. The Maryland Constitution also requires the governor to include debt service in annual budget appropriations and the general assembly is prohibited from amending the budget to affect that debt service. Operating results were positive in Fiscal Year 2019 with a net general fund balance increase of $960 million, bringing the general fund balance up to $2.7 billion, and the rainy day balance accounted for $876 million of the balance. Positive performance in Fiscal Year 2019 was largely driven by the increase in personal income tax collections, which were up 6.8% year-over-year. Unfortunately, structural budget gaps persist, and while the state has a strong history of enacting mid-year expenditure cuts to address budgetary shortfalls, it will likely become more challenging in the near future given the impending COVID-19 crisis impact. Recent estimates project the state’s tax revenues could fall between $990 million and $1.1 billion in the current Fiscal Year (Maryland State Fiscal Year End is June 30) and general fund revenues falling by $2.1 billion to $2.6 billion in Fiscal Year 2021. Moody’s May 2020 state debt median report notes that Maryland ranked ninth for net tax-supported debt per capita ($2,323) and fourteenth as a percent of personal income (3.5%). While these figures are above average, the strength of the tax base can support this level of debt. As of May 2020, Moody’s, S&P and Fitch rated Maryland general obligation debt at Aaa/AAA/AAA with stable outlooks.

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Portfolio Managers’ Comments (continued)

Massachusetts continues to benefit from a highly diverse economy. Biotechnology, pharmaceuticals, finance and software development are increasingly driving the Massachusetts economy, aided by the Commonwealth’s extensive education and health care sectors. Among the 50 states, Massachusetts has the highest percentage of population over 25 with a bachelor’s degree, approximately 43.5%. This compares with the national average of 32.6%. Job growth in Massachusetts is steady, though it does lag the national average. Unemployment in the Commonwealth was 16.3% in May 2020, well above the national average of 13.3%. According to the U.S. Department of Commerce, Bureau of Economic Analysis, Massachusetts’ per capita income is second highest among the 50 states. At $71,683 for calendar year 2018, it is 131.7% of the national average. The Commonwealth’s $43.3 billion Fiscal Year 2020 budget represents a 3.3% increase over the adopted Fiscal Year 2019 budget. The 2020 budget calls for no hikes in sales or income taxes and includes a $476 million deposit into the Commonwealth’s rainy day fund. For the state of Massachusetts, its Fiscal Year end is June 30, 2020. Due to the COVID-19 crisis, the state’s budget will be impacted to a varying degree, as tax receipts are reduced and the expense to fight the virus increases. According to Moody’s, Massachusetts’ debt burden is second highest in the nation (after Connecticut) on a per capita basis ($6,113 versus the median of $1,068) and third highest as a percentage of the state gross domestic product (7.8% versus the median of 2.1%). As of February 2020, Moody’s rated Massachusetts Aa1 with a stable outlook and S&P rated the Commonwealth AA with a stable outlook. S&P downgraded its rating from AA+ to AA on June 9, 2017, citing a reduction in the Commonwealth’s reserve levels.

Minnesota continues to benefit from a highly diverse economy and educated workforce. However, economic growth continues to lag the nation, with Minnesota’s GDP growing 1.4%, ranking it 37th for 2019. Minnesota’s GDP growth was driven by gains in management, finance and professional/technical services. Like the rest of the nation, the state’s unemployment rate increased due to the COVID-19 crisis and was 9.9% as of May 2020. However, it continues to trend lower than the national rate, which was 13.3% for the same time frame. Home prices in the Minneapolis area were up 6.4% year-over-year as of April 2020 (most recent data available at the time this report was prepared), according to the S&P CoreLogic Case-Shiller Index. Minnesota’s budget is on a two-year (biennium) cycle (ending June 30). Prior to the pandemic, the state was expecting a Fiscal Year 2020-2021 biennium budget surplus of $1.5 billion. Due to lower revenues from the COVID-19 crisis, the state is now forecasting a $2.4 billion deficit. Notably, the state’s rainy day funds are at the highest levels ever, approaching $2.8 billion, which provides a sufficient cushion. In addition, the state has received $2.2 billion in federal stimulus funds and also anticipates implementing some expenditure reductions to help balance the budget. Moody’s recently affirmed the state’s Aa1 rating and stable outlook on May 20, 2020. S&P affirmed the state’s AAA rating with stable outlook on July 24, 2019.

Missouri’s economic growth is outpacing its Midwestern peers but continues to lag the nation. After ranking 37th lowest amongst states for GDP growth, the state’s 2019 ranking improved to 25th. The state’s GDP grew 2.1% compared to national GDP growth of 2.3%. The state’s unemployment rate increased to 10.6% due to the COVID-19 crisis, but remains lower than the national rate of 13.3% for May 2020. The state saw growth in the finance and insurance, management, health care and real estate sectors. The Missouri Constitution requires the state to pass a balanced budget. For the remainder of Fiscal Year 2020, the governor cut over $400 million including funding to secondary and higher education, due to revenue declines resulting from the COVID-19 crisis. The Fiscal Year 2021 budget is not yet finalized (its Fiscal Year End is June 30), but the state is preparing to make about $700 million in cuts. Moody’s, S&P and Fitch rate Missouri general obligation debt at Aaa/AAA/AAA and all have stable outlooks.

Virginia’s economy is led by government, professional and business services and its proximity to the Washington D.C. area has historically provided stability in the northern portion of the state. In 2019, the state’s GDP grew 1.9% compared to 2.6% the prior year, moving its ranking down from 13th to 28th among all states. Government employment represents 18.6% of the Commonwealth’s job base (compared to the national average of 15.6%). The defense industry in particular plays an important role

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in Virginia’s economy, with the Commonwealth’s Hampton Roads area home to the nation’s largest concentration of military installations. As of May 2020, the state’s unemployment rate was 9.4%, which is below the national average of 13.3%. The state continues to benefit from good socioeconomic demographics with per capita income at 116% of the national average, and the median home value of $265,000 is 129% of the U.S. median. According to the S&P/Case-Shiller Index of 20 major metropolitan areas, housing prices in the Washington D.C. area rose 3.8% during the twelve months ended April 2020 (most recent data available at the time this report was prepared). Virginia’s history of both proactive and conservative fiscal management will aid in mitigating the potential magnitude of budgetary pressure stemming from the pandemic. The Commonwealth’s operating revenues are primarily dependent upon income taxes, followed by sales tax collections. With regard to expenditures, education accounts for the greatest amount of operating expenses, followed by health and human services. Operating performance was favorable in Fiscal Year 2019 with general fund revenue growth exceeding projections leading to an approximately $798 million budgetary-basis surplus. Revenue outperformance was largely attributable to growth in collections of non-withholding individual income taxes because of federal tax changes. Strong operating performance continued into Fiscal Year 2020, as revenue collections through March 2020 were up 6.6% over the prior year. Like most states, the positive revenue growth trajectory reversed in May due to the pandemic. May 2020 month-end results indicate revenue collections are down 1.2%, and to reach forecast, June 2020 collections would have to come in at $3.3 billion (versus June 2019 collections of $2.4 billion). Lawmakers plan to reconvene in August 2020 to assess/amend the Fiscal Years 2021 and 2022 revenue projections (its Fiscal Year End is June 30). The Commonwealth’s overall debt metrics are in line with U.S. state averages. Moody’s May 2020 state debt median report notes that Virginia ranked 16th in net tax-supported debt per capita ($1,677) and ranked 19th as a percent of personal income (2.8%). This compares to the U.S. state average net-tax supported debt per capita of $1,506 and average net tax-supported debt as a percentage of personal income at 2.6%. The Commonwealth’s ability to issue debt is controlled through a very complex debt capacity model that is revised on an annual basis. The majority of the Commonwealth’s outstanding debt is subject to appropriation, and only about 9% of outstanding debt carries the general obligation pledge. As of May 2020, Moody’s, S&P and Fitch rated Virginia general obligation debt at Aaa/AAA/AAA with stable outlooks.

What key strategies were used to manage the Funds during the twelve-month reporting period ended May 31, 2020?

Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes by investing primarily in a portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories. Under normal market conditions, each Fund invests at least 80% of the sum of its net assets and the amount of any borrowings for investment purposes in municipal bonds that pay interest that is exempt from regular federal personal income tax and a single state’s personal income tax. The Funds may invest up to 20% in municipal securities that are exempt from regular federal income tax, but not from that single state’s income tax if, in the portfolio manager’s judgement, such purchases are expected to enhance the Fund’s after-tax total return potential. The Nuveen Minnesota Quality Municipal Income Fund (NMS) may invest only to a lesser extent in bonds not exempt from Minnesota income tax, in order to conform to a requirement imposed by the State of Minnesota that a fund derive at least 95% of its exempt-interest dividends from bonds of issuers located in Minnesota in order for the fund’s dividends to be exempt from those Minnesota income taxes. To the extent that the Fund invests in bonds of municipal issuers located in other states, the Fund’s dividends may not be exempt from state personal income tax.

For most of the reporting period, a favorable macroeconomic backdrop, strong demand, narrowing credit spreads and falling interest rates supported municipal bond performance. However, the COVID-19 crisis and the shutdown of the economy introduced significant uncertainty about the future of economic growth and impact to municipal credit fundamentals. As the nearer-term impacts began to materialize, we looked for relative value and income enhancement opportunities among credits we believe may demonstrate resilience over the long term.

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Portfolio Managers’ Comments (continued)

The state municipal markets of Maryland, Massachusetts, Minnesota and Virginia outperformed the national market, while the Missouri and Georgia state markets trailed performance of the national market.

We continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that we believed had the potential to perform well over the long term. After the market sell-off in March 2020, credit spreads for mid and lower grade bonds widened considerably. Focus shifted to gauging the economic disruptions to municipal issuers over the nearer and longer terms while still attempting to take advantage of potential opportunities. As is often the case when yields rise, a primary emphasis for the Funds since March 2020 involved selling depreciated bonds with lower embedded yields to buy replacement positions at the higher yields now available in the marketplace. This exchanging strategy allows the Funds to take advantage of tax efficiencies and enhances the Funds’ income earnings capability to support the dividend.

NKG’s trading activity was mainly driven by reinvesting the proceeds of called and maturing bonds. In addition to the purchases in the first half of the reporting period (as detailed in the Fund’s November 30, 2019 shareholder report), the Georgia Fund added three high grade local general obligation (GO) bonds, Piedmont Healthcare revenue bonds and marginally added to Puerto Rico sales tax revenue bonds known as COFINAs. Like all debt issued by U.S. territories, COFINA bonds may include exemptions from federal, state and local taxes. There were no notable sales during the reporting period. Toward the end of the reporting period, when credit spreads widened significantly, we pursued opportunities to replace positions one-for-one to embed higher yields in the portfolio and capture tax efficiencies.

In NMY, the Fund bought both high grade and high yield bonds. The majority of Maryland-issued paper is high credit quality, so we took the opportunity to add to the Puerto Rico COFINA bonds on price weakness after the March 2020 sell-off. Prior to that, we bought non-rated credits for Baltimore Harbor Point Project, a mixed use development, and Brunswick Crossing, a residential development. We have been adding to Maryland housing bonds throughout the reporting period. In the health care sector, we bought a new issue for UPMC Health and a BBB rated credit for Adventist Healthcare, where we took advantage of the wide spreads offered on BBB rated bonds. Maryland’s hospital sector has tended to offer incrementally higher yield, which has led to NMY’s heavier exposure there. In the high grade segment, NMY added two longer duration GOs, Anne Arundel County and Washington Sanitation District. Early in the reporting period, we bought Washington D.C. Metropolitan Transit Authority, which are issued in Washington D.C. and tax exempt in Maryland and Virginia. In the final months of the reporting period, we exchanged positions in Mount Saint Mary’s College, Purple Line Transit, Guam Waterworks and COFINA for the same names offering higher yields. NMY’s portfolio duration drifted slightly longer over this reporting period, as bonds matured and we rolled the proceeds into longer dated credits.

NMT bought credits from a number of sectors, including charter schools, local GOs and higher education, with a preference for destination schools such as Worcester Polytechnic and Emerson College. The Fund also added to the Massachusetts Fund’s COFINA position when prices fell to attractive levels later in the reporting period. Buying activity was mainly driven by reinvesting maturity and call proceeds. We also sold some shorter dated paper (maturing in one year or less) to invest in new opportunities.

After Minnesota saw a brief surge in issuance in the first half of the reporting period, our trading by necessity focused for a time on more plain vanilla general obligation credits. However, we did seek to take advantage of higher prevailing yields in the marketplace by engaging in tax loss swaps in a number of lower grade revenue bond credits after the March 2020 volatility in an attempt to capture tax efficiencies and enhance the Fund’s income earnings capability. This involved selling bonds at a loss and reinvesting the proceeds in new positions offering higher yields than the “book” yields on the Fund’s existing holdings, thus harvesting a tax loss we can apply against capital gains in the future. NMS maintained its overweight allocations to health care and higher education and underweight allocations to state GOs.

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Trading was also relatively light for NOM. In the first half of the reporting period, the purchase of COFINA bonds was the most notable trade, while the second half of the reporting period (other than several insured bond purchases) mainly involved rotating COFINA and several senior living positions into higher yielding, similarly structured bonds of the same name to improve the Fund’s income earnings capability and gain tax advantages.

We added bonds to NPV from a range of sectors and credit qualities. In transportation, we bought a new issue for Metropolitan Washington D.C. Airports Dulles Toll Road and Norfolk Airport Authority revenue bonds. We added a high grade, longer duration, state appropriation credit for Virginia Transportation Board. We looked to increase the Fund’s hospital exposure, especially given the prevailing higher yields on offer. Additions included a new issue for Carilion Clinic Hospital System, a Mercy Health new issue and Arlington Health System revenue bonds. Early in the reporting period, we bought Puerto Rico Aqueduct and Sewer Authority (PRASA) bonds because we liked the prospects for recovery for the Commonwealth generally and for PRASA specifically. To fund our buying, we used the proceeds from maturing and called bonds, and sold some high grade, short dated bonds. The reinvestment of maturing bonds into longer dated securities contributed to a marginal lengthening in the portfolio’s duration. We also sold and bought replacement bonds of the same name for the Dulles Toll Road, COFINA, Guam Waterworks and I-66 Express Mobility Partners positions to rebook them at higher yields, which helps support the Fund’s dividend capability.

As of May 31, 2020, NKG, NMY, NMT, NOM and NPV continued to use inverse floating rate securities. We employ inverse floaters for a variety of reasons, including duration management, income enhancement and total return enhancement.

How did the Funds perform during the twelve-month reporting period ended May 31, 2020?

The tables in each Fund’s Performance Overview and Holding Summaries section of this report provide the Funds’ total returns for the one-year, five-year and ten-year periods ended May 31, 2020. Each Fund’s total returns at common share net asset value (NAV) are compared with the performance of corresponding market indexes.

For the twelve-month reporting period ended May 31, 2020, the total return at common share NAV for NMY, NMT, NMS, NOM and NPV underperformed their respective state’s S&P Municipal Bond Index and the national S&P Municipal Bond Index, while NKG outperformed the S&P Municipal Bond Georgia Index and performed in line with the national index.

The Funds’ performance was affected by duration and yield curve positioning, credit ratings allocations, sector allocations and credit selection. In addition, the use of regulatory leverage was a factor affecting performance of the Funds. Leverage is discussed in more detail later in the Fund Leverage section of this report.

Municipal bond yields ended the reporting period lower than where they began, despite a dramatic increase in March. Longer duration bonds generally outperformed in this reporting period, providing a tailwind to the Funds’ overweight positioning in the longer end of the spectrum. NKG was most helped by overweight allocations to durations of 12 years and longer and to 6- to 8-year durations. In NMY, an overweight allocation to the 8- to 12-year duration segment detracted, but yield curve and duration positioning had a minimal impact on performance overall. NMT benefited from an underweight position in 6 years and shorter durations and an overweight to 8 years and longer, despite an unfavorable overweight allocation to the 6- to 8-year duration segment. Yield curve and duration positioning in NMS and NOM was not a meaningful performance driver in this reporting period. NPV’s overweight to longer duration bonds was a positive contributor overall. However, gains were tempered by the credit sensitivity of NPV’s longer duration holdings, which were negatively impacted by the spread widening during the coronavirus sell-off.

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Portfolio Managers’ Comments (continued)

From a credit ratings perspective, the disproportionate credit spread widening among mid and lower rated (including high yield and non-rated) bonds in March contributed to their underperformance over the reporting period as a whole, while high grade (AAA and AA rated) paper outperformed. NKG’s credit quality positioning was a small positive contributor. The Georgia Fund’s overweight to AA rated credits was advantageous, but the gain was partially offset by an underweight to AAA rated bonds, the stronger performing of the two highest grades. NKG also benefited from an underweight to the BB rated segment, which under-performed. NMY’s overweight allocations to BBB rated bonds and its high yield allocation, which included overweights to BB rated and non-rated credits, were disadvantageous in this reporting period. The Maryland Fund’s underweight to high grade (AAA and AA rated) bonds also detracted. NMT’s credit ratings allocation was a large detractor from performance due to an underweight allocation to AAA rated paper and overweight allocations to single A and lower rated bonds. However, the Massachusetts Fund did hold an overweight to AA rated bonds that contributed positively. For NMS and NOM, credit quality positioning was the main driver of relative underperformance, with overweight allocations to single A, BBB and BB rated bonds and underweights to high grade bonds detracting. The Minnesota and Missouri Funds’ overweight to non-rated credits also weighed on performance, largely due to the underperformance of non-rated senior living bonds. NPV’s overweight to BBB rated bonds was detrimental to performance, as was its high yield allocation, where it held a significant overweight to BB rated credits. The Virginia Fund’s underweight to AAA rated bonds also detracted from performance.

Sector performance was strongly influenced by the March 2020 disruption in the markets. Although spreads began to narrow again in April and May 2020, the recovery was uneven. Sectors with a greater concentration of high grade bonds, such as the state and local GO and pre-refunded sectors, rebounded to a greater degree than lower rated, higher yielding sectors. In particular, sectors perceived to have more exposure to coronavirus impacts such as hospitals, senior living/life care facilities, higher education and those with exposure to hospitality, leisure and sales taxes, were among the weakest performing areas in this reporting period.

NKG’s sector allocations were a positive contributor overall. An underweight to New York Metropolitan Transportation Authority bonds, was advantageous, as the sector underperformed. An overweight to the public power sector also added to relative gains.

In NMY, an overweight to the health care sector was a large detractor from relative performance, due to the weak performance of hospital credits. An underweight to the tax supported sector also dampened performance, and some of the Fund’s land-backed project finance bonds came under increased selling pressure. However, NMY’s exposure to the tobacco settlement sector (where it owns out of state tobacco bonds because Maryland does not offer any) contributed positively to performance.

NMT’s sector positioning detracted from performance. Although the Fund was less exposed (via an underweight allocation) to the sector’s relatively strong performance compared to the benchmark, our selection of longer duration state GOs outperformed, as high quality, long duration bonds generally performed better than the market in this reporting period. Among the other tax supported subsectors, the Fund’s underweight to local GOs detracted and an equal weight in dedicated tax bonds had a neutral impact on relative performance. Elsewhere, the overweight allocations to the higher education and health care sectors dampened relative performance, while an underweight to the transportation sector, especially airports, was beneficial.

NMS’s overweight allocation to hospitals detracted, and our security selection within the sector emphasized mid- and lower grade, higher yielding hospital credits, which underperformed. An underweight exposure to GOs and an overweight to charter schools also detracted. However, the underweight to the transportation sector, including airports, helped performance.

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The main sector detractors for NOM included an underweight allocation to state and local GOs and overweight allocations to hospitals and senior living/life care facilities. NOM also held several special tax district bonds that suffered credit spread widening on concerns about diminishing retail sales activity and the longer-term impacts of the COVID-19 crisis. Missouri issues these special tax district bonds to finance infrastructure for commercial development districts, which are backed by taxes or payments based on the economic activity generated by the development, e.g. sales taxes, property taxes or payments in lieu of taxes.

NPV holds a large overweight in the transportation sector, which was unfavorable to performance in this reporting period. Virginia is a heavy issuer of toll road bonds, and NPV holds several large toll road positions that offer incremental yield for their lower credit ratings. Toll road bonds’ performance suffered along with the transportation sector broadly. However, while airports were granted access to federal aid, which helped their bonds stabilize, toll roads have not yet been recipients of federal relief. An overweight to hospitals and underweight to tax supported bonds also detracted from performance.

On an individual credit selection basis, NKG benefited from its tender option bond (TOB) positions, as well as bonds with higher credit quality and longer durations. Conversely, positions in dedicated tax bonds supported by narrow revenue streams, especially those with exposure to the hospitality and leisure industries and sales taxes, performed poorly. NMY’s largest contributor was Western Maryland Health System, a large position that was advance refunded during the reporting period. NMY’s holdings in out of state tobacco settlement bonds were also positive contributors, as were its TOB positions. However, the Maryland Purple Line, a public-private partnership connecting Maryland’s Washington D.C. suburbs to the capital’s rail system, was among the weaker performing holdings in NMY. The project is dealing with legal issues, cost overruns and funding questions, as well as the coron-avirus impact on public transportation and a credit ratings downgrade to below investment grade. NMY also saw weak performance from Baltimore Convention Center, which was under near-term stress because the bonds are partly backed by hotel usage taxes and were also downgraded to below investment grade. Although NMY has a small weighting in senior living/life care facility bonds, near-term coronavirus risks weighed on the group. However, we believe the long-term story remains intact and the fundamentals of the positions held in the Fund continue to look strong. NPV’s top contributing securities included Hampton Roads Sanitation Waste (which was advance refunded during the reporting period), TOBs (including Hampton Roads Transportation Accountability Commission and University of Virginia) and Virginia tobacco settlement bonds.

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Fund Leverage

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage. The Funds obtain leverage through the issuance of preferred shares and/or investments in inverse floating rate securities, which represent a leveraged investment in an underlying bond.

The Funds primarily utilize leverage in order to generate incremental income. The Funds are able to do so by earning a greater amount of interest on additional higher yielding long-term bond investments than its associated leverage expense, which is typically based upon short-term rates. This has been particularly true in recent market environments where short-term rates have been low by historical standards. Common share income in leveraged funds will typically decrease in comparison to unleveraged funds when short-term rates increase and increase when short-term rates decrease.

In return for the opportunity of higher incremental income, the Funds’ common shareholders assume additional price variability, so their net asset value will be more volatile. Common shareholders will experience a greater increase in their net asset value due to leverage if the municipal bonds acquired through the use of leverage increase in value, but correspondingly will have a greater decline in their net asset value if the bonds acquired through leverage decline in price.

Management believes that the potential benefit from leverage continues to outweigh the associated risk of loss from increased price variability as previously described. Historically, over almost all longer periods of time, incremental income derived from leverage has more than offset any negative impact on net asset value due to the added price variability caused by leverage, in which cases leverage has resulted in higher total returns. However, during shorter time periods, increased losses due to this added price variability can equal or exceed any incremental income so that, when compared to an unleveraged fund, leverage may reduce total returns during the period.

During the recent reporting period, leverage had a positive impact on the total return performance of NKG. Leverage had a negative impact on the total return performance of NMY, NMS and NOM and a negligible impact on the total return performance of NMT and NPV. Over the first nine months of the reporting period the total return performance for each Fund was aided by not only the incremental income from leverage, but also an amplification of the modest price appreciation of its underlying bond portfolio. However, beginning of the second week of March, the overall municipal market experienced a severe sell-off due to the COVID-19 economic shutdown. The Funds’ leverage amplified these market declines, and in the case of NMY, NMS and NOM, those amplified declines more than offset leverage’s favorable impact on the prior months’ net asset value appreciation and incremental income.

During this period of sharp portfolio value decline, each Fund’s effective leverage ratio increased. None of the Funds were forced to reduce leverage during this period, however, and as markets began to somewhat recover, albeit in fits and starts, starting in the last days of March and through May, leverage again worked in each Fund’s favor. That recovery also caused the Funds’ respective leverage ratios to decline.

Despite the significant negative impact of leverage toward the end of the reporting period, management continues to believe that over the longer term leverage for each Fund will continue to enhance both net income and total return prospects. We point to the strong since inception returns of the Funds compared to their unlevered benchmark index, shown on ensuing pages, which results encompass the negative impact of leverage during March and April of 2020.

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As of May 31, 2020, the Funds’ percentages of leverage are as shown in the accompanying table.

 

*  Effective Leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that increase the Fund’s investment exposure. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory leverage. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. A Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation of a Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

 

*  Preferred shares of the Fund featuring a floating rate dividend based on a predetermined formula or spread to an index rate. Includes the following preferred shares AMTP, iMTP, MFP-VRM and VRDP in Special Rate Mode, where applicable. See Notes to Financial Statements, Note 5 – Fund Shares for further details.

** Preferred shares of the Fund featuring floating rate dividends set by a remarketing agent via a regular remarketing. Includes the following preferred shares VRDP not in Special Rate Mode, MFP-VRRM and MFP-VRDM, where applicable. See Notes to Financial Statements, Note 5 – Fund Shares for further details.

Refer to Notes to Financial Statements, Note 5 – Fund Shares for further details on preferred shares and each Fund’s respective transactions.

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Common Share Information

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of May 31, 2020. Each Fund’s distribution levels may vary over time based on each Fund’s investment activity and portfolio investments value changes.

During the current reporting period, each Fund’s distributions to common shareholders were as shown in the accompanying table.

 

*  Market Yield is based on the Fund’s current annualized monthly dividend divided by the Fund’s current market price as of the end of the reporting period. Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 46.6%, 46.6%, 45.8%, 50.7%, 46.2% and 46.6% for NKG, NMY, NMT, NMS, NOM and NPV, respectively. Your actual combined federal and state income tax rate may differ from the assumed rate. The Taxable-Equivalent Yield also takes into account the percentage of the Fund’s income generated and paid by the Fund (based on payments made during the previous calendar year) that was either exempt from federal income tax but not from state income tax (e.g., income from an out-of-state municipal bond), or was exempt from neither federal nor state income tax. Separately, if the comparison were instead to investments that generate qualified dividend income, which is taxable at a rate lower than an individual’s ordinary graduated tax rate, the fund’s Taxable-Equivalent Yield would be lower.

Each Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. Distributions to common shareholders are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the monthly dividend exceeds the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 6 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period.

All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, the per share amounts of each Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.

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NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

The Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders are posted on www.nuveen.com and can be found on Nuveen’s enhanced closed-end fund resource page, which is at https://www.nuveen.com/resource-center-closed-end-funds, along with other Nuveen closed-end fund product updates. To ensure timely access to the latest information, shareholders may use a subscribe function, which can be activated at this web page (https://www.nuveen.com/subscriptions).

 

During the current reporting period, the Funds did not repurchase any of their outstanding common shares.

 

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Risk Considerations

Risk Considerations

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.

Nuveen Georgia Quality Municipal Income Fund (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/NKG.

Nuveen Maryland Quality Municipal Income Fund (NMY)

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/NMY.

Nuveen Massachusetts Quality Municipal Income Fund (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/NMT.

Nuveen Minnesota Quality Municipal Income Fund (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

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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.

Nuveen Missouri Quality Municipal Income Fund (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/NOM.

Nuveen Virginia Quality Municipal Income Fund (NPV)

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.

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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