UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07755
Nuveen Multistate Trust II
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive Chicago, IL 60606
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive Chicago, IL 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 917-7700
Date of fiscal year end: February 28
Date of reporting period: August 31, 2012
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policy making roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss.3507.
Item 1. Reports to Stockholders.
Mutual Funds
Nuveen Municipal Bond Funds
Dependable, tax-free income because it’s not what you earn, it’s what you keep.®
Semi-Annual Report
August 31, 2012
| Class / Ticker Symbol | ||||||||
| Fund Name | Class A | Class B | Class C | Class I | ||||
Nuveen Connecticut Municipal Bond Fund | FCTTX | FCTBX | FCTCX | FCTRX | ||||
Nuveen Massachusetts Municipal Bond Fund | NMAAX | NMABX | NMACX | NBMAX | ||||
Nuveen New Jersey Municipal Bond Fund | NNJAX | NNJBX | NNJCX | NMNJX | ||||
Nuveen New York Municipal Bond Fund | NNYAX | NNYBX | NNYCX | NTNYX | ||||
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| Must be preceded by or accompanied by a prospectus. | NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
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Letter to Shareholders
Dear Shareholders,
Investors have many reasons to remain cautious. The challenges in the Euro area are casting a shadow over global economies and financial markets. The political support for addressing fiscal issues is eroding as the economic and social impacts become more visible. At the same time, member nations appear unwilling to provide adequate financial support or to surrender sufficient sovereignty to strengthen the banks or unify the Euro area financial system. The gains made in reducing deficits, and the hard-won progress on winning popular acceptance of the need for economic austerity, are at risk. To their credit, European political leaders press on to find compromise solutions, but there is increasing concern that time will begin to run out.
In the U.S., strong corporate earnings have enabled the equity markets to withstand much of the downward pressures coming from weakening job creation, slower economic growth and political uncertainty. The Fed remains committed to low interest rates and announced on September 13, 2012 (after the close of this reporting period) another program of quantitative easing (QE3) to continue until mid-2015. Pre-election maneuvering has added to the already highly partisan atmosphere in Congress. The end of the Bush-era tax cuts and implementation of the spending restrictions of the Budget Control Act of 2011, both scheduled to take place at year-end, loom closer.
During the last year, U.S. based investors have experienced a sharp decline and a strong recovery in the equity markets. The experienced investment teams at Nuveen keep their eye on a longer time horizon and use their practiced investment disciplines to negotiate through market peaks and valleys to achieve long-term goals for investors. Experienced professionals pursue investments that will weather short-term volatility and at the same time, seek opportunities that are created by markets that overreact to negative developments. Monitoring this process is an important consideration for the Fund Board as it oversees your Nuveen Fund on your behalf.
As always, I encourage you to contact your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
Robert P. Bremner
Chairman of the Board
October 22, 2012
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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.
Ratings shown 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. 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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
Portfolio managers Michael Hamilton, Paul Brennan and Scott Romans examine key investment strategies and the Funds’ performance during the six months ending August 31, 2012. Michael manages both the Nuveen Connecticut Municipal Bond Fund and the Nuveen Massachusetts Municipal Bond Fund, Paul manages the Nuveen New Jersey Municipal Bond Fund and Scott manages the Nuveen New York Municipal Bond Fund. They have managed their respective Funds since 2011.
How did the Funds perform during the six-month period ending August 31, 2012?
The tables in the Fund Performance and Expense Ratios section of this report provide total return performance information for the six-month, one-year, five-year and ten-year periods ending August 31, 2012. Each Fund’s Class A Share total returns at net asset value (NAV) are compared with the performance of the S&P Municipal Bond Index and their corresponding Lipper averages.
During the six-month period, the Massachusetts and New Jersey Funds surpassed the S&P Index, while the Connecticut and New York Funds lagged that performance benchmark. Connecticut, Massachusetts and New Jersey Funds exceeded the results of their respective Lipper average, with only the New York Fund falling short of this measure.
Nuveen Connecticut Municipal Bond Fund
The Connecticut Fund trailed the S&P Municipal Bond Index by a modest degree. The primary factor behind this relative underperformance was negative sector and security selection. In states such as Connecticut, with its relatively high state income tax, the demand for tax-exempt securities can often outstrip the supply of bonds meeting our management objectives. During the past six months, we took advantage of what we saw as the best opportunities among Connecticut bonds, but they were not necessarily the most attractive securities compared to bonds available from other states. Given that the S&P Index consists of bonds from around the country, our emphasis on the Connecticut municipal market put the Fund at a comparative disadvantage.
Our credit rating positioning was especially helpful to the Fund’s performance. Relative to the S&P Index, the Fund was underweight in AAA-rated and AA-rated bonds, while maintaining overweightings in securities with weaker credit ratings of BBB-rated and BB-rated, as well as in non-rated bonds. This strategy proved advantageous in an environment in which investors were more willing to take on greater credit risk in exchange for higher levels of income.
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Another positive impact on performance was the Fund’s duration stance, meaning its sensitivity to interest rate movements. The Fund had less exposure than the Index in short duration bonds, especially those with durations of six years and shorter, which was favorable as these securities did not benefit significantly from falling interest rates. Simultaneously, the Fund was overweight in bonds on the longer end of the yield curve, which gained the most as rates declined. Of final note, the Fund was supported by a modest degree of leverage in a small tender option bond trust position, which remained in the portfolio to provide additional income.
Nuveen Massachusetts Municipal Bond Fund
The Massachusetts Fund enjoyed strong results relative to the S&P Municipal Bond Index, with the largest source of outperformance coming from favorable interest rate positioning. Specifically, a constructive overweighting in longer dated issues, especially bonds with durations of 10 to 14 years, heightened the Fund’s sensitivity to the effects of falling interest rates and gave a significant boost to results. Additionally, the Fund was underweighted in bonds with durations of eight years and shorter, which underperformed longer bonds in this rate environment.
The Fund’s credit rating allocation provided a meaningful measure of positive performance. Compared with the Index, the Fund’s elevated exposure to bonds with credit ratings of A and below helped lift returns, as lower rated bonds benefited disproportionately from investors’ willingness to accept more credit risk in exchange for increased income in a low interest rate environment. The Fund’s corresponding underweighting in AAA-rated and AA-rated debt, the two top rating categories, also contributed to performance relative to the Index.
The Fund’s sector allocation proved favorable with overweighting in health care, higher education, utility and corporate backed industrial development revenue bonds, four categories which provided solid results during the six-month period. A small leveraged position in an inverse floating rate security also added value. While very little detracted in an otherwise excellent period of performance, the Fund’s exposure to Puerto Rico general obligation debt, hindered results, as did an underweight in tobacco and transportation bonds.
Nuveen New Jersey Municipal Bond Fund
A favorable interest rate backdrop contributed to the positive performance of the New Jersey Fund relative to the S&P Municipal Bond Index. Rates continued to decline from already low levels, providing a very supportive environment for municipal securities in general and even more so for this Fund, given that the portfolio’s duration was longer than the index, meaning that it was more sensitive to the beneficial effects of falling rates. Although the Fund’s duration did shorten modestly over the past six months, it was longer than the overall municipal bond market at period end, which proved helpful. More specifically, the Fund had solid exposure to intermediate and longer maturity bonds. This situation was advantageous because this was where the best performance on the yield curve could be found in the municipal bond market over the past six months, as investors were willing to take on more interest rate risk through longer dated securities in exchange for a higher level of income in a low interest rate environment.
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Another important factor leading the Fund’s relative outperformance was its credit quality allocation. A combination of improving credit quality from many municipal borrowers, especially at the state level, and investors’ desire to stretch for yield lifted the performance of many bonds with lower credit ratings and higher coupons. The Fund maintained meaningful overweightings in bonds with ratings of A and below, especially in the BBB and A credit quality segments, and this positioning was very effective in driving the Fund’s results. The portfolio also had significant exposure to high quality debt, especially AA-rated bonds.
Solid sector and security selection also added value to the overall Fund performance. The Fund was helped by an overweighting among health care bonds, where many of the credits were A-rated and lower, thereby getting a boost from investors’ preference for lower rated securities. The Fund’s tobacco holdings also continued to do relatively well.
Nuveen New York Municipal Bond Fund
The New York Fund, which modestly trailed the S&P Municipal Bond Index during the six-month reporting period, was helped by the Fund’s slightly longer than average duration, which suggested that the Fund was a bit more sensitive to the beneficial effects of falling interest rates. Offsetting those favorable results, however, was the portfolio’s positioning along the yield curve. Specifically, the Fund was slightly overweight in the 0–2-year duration category, which did not perform as well as the overall market because interest rates on the short end of the yield curve were already extremely low. At the same time, the Fund was slightly underweight in the best performing segment of the yield curve, namely, bonds with durations of 14 years and longer, and this further limited the Fund’s performance.
The most significant factor supporting the Fund’s results was our credit quality allocation, primarily an overweighting in BBB-rated bonds and, to a lesser extent, BB-rated issues. Lower rated bonds outperformed their higher quality counterparts, as investors were willing to own riskier securities in exchange for the prospect of obtaining a higher level of income. The Fund also benefited from a corresponding underweight in AAA-rated and AA-rated securities, as these high quality bonds did not enjoy strong demand during the six-month period.
In contrast, the Fund’s sector allocation had a small negative impact on relative performance. Most notably, we were underweight in corporate backed industrial development revenue bonds and would have liked greater exposure to this favorable category. Similarly, an underweight in water/sewer bonds, another outperforming class, had a drag on relative performance. The Fund was slightly overweight in pre-refunded and escrowed bonds which also hampered results, as these securities tended to lag because of their very high credit quality and very short maturities. Some of our sector allocations worked out well, however, including the Fund’s exposure to dedicated tax and tobacco bonds, both of which added value compared with the S&P Index.
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What strategies were used to manage the Funds during the six-month reporting period ended August 31, 2012?
All four Funds invest primarily in investment-grade municipal bonds and are designed to provide as high a level of current income exempt from regular federal, state and, in some cases, local income taxes as is consistent with preservation of capital.
Nuveen Connecticut Municipal Bond Fund
When making new purchases for the Connecticut portfolio, we used the proceeds of new investment inflows and called bonds. Although the supply of new Connecticut bonds during the six-month reporting period was up compared to the same six months in 2011, in practice the availability of new Connecticut tax-exempt debt was significantly lower, because a large proportion of the new supply came from issuers refinancing their outstanding debt to take advantage of attractive interest rates. The resulting modest supply available for purchase, coupled with strong demand for tax-exempt bonds within Connecticut, sometimes made it challenging to find the right investment opportunities and then purchase as much as we wished. Our approach in such an environment was to be aware of as many individual issuers and bonds as possible so that we could maximize our ability to submit accurate bids for those suitable securities as they came available.
We actively managed the Connecticut portfolio. We looked to add longer dated bonds with credit ratings of A or lower, as we believed that lower investment-grade bonds in Connecticut continued to provide good income and attractive value relative to their higher grade counterparts. During the period, for example, we added two relatively large A-rated hospital deals to the portfolio, bonds issued for Stamford Hospitals and Hartford Health Care. Other purchases included charter school and utility securities, as well as U.S. territorial bonds, which are generally fully tax-exempt for residents of all 50 states.
Nuveen Massachusetts Municipal Bond Fund
For the Massachusetts Fund, we faced a relatively limited supply of those types of bonds we wanted to purchase, coupled with strong demand for tax-exempt securities. In this challenging management environment, we sought to add suitable longer dated, lower rated bonds to the portfolio whenever attractive opportunities were available in the primary municipal bond market.
Our purchases during the period covered several sectors and included Puerto Rico sales tax bonds (which are generally fully tax exempt for Massachusetts residents), as well as health care and higher education issues. The proceeds for our purchases were supplied by called bonds and new investments into the Fund.
Another source of investable cash during the period came from the financial restructuring of North Berkshire Community Hospital bonds, a bankrupt hospital bond issuer that we discussed in our report to shareholders six months ago. As part of the terms of the arrangement, the transaction provided restructured bonds in the portfolio as well as cash that we put to work in other opportunities during the period.
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Nuveen New Jersey Municipal Bond Fund
As we mentioned earlier, market conditions favored lower rated and longer dated bonds during the six-month reporting period. In such an environment, with riskier bonds displaying outperformance, we continued to find value from our disciplined approach to selecting investments. Careful research and security selection remains essential to identify bonds that have the potential to perform well without exposing shareholders to undue investment risk. Accordingly, during the past six months we tried to take advantage of timely investment opportunities in the market without increasing the risk characteristics of the portfolio.
Therefore, we did not make substantial changes to the composition of the portfolio on a duration, sector or credit quality basis. The Fund’s allocation to A-rated and AA-rated bonds increased modestly, as we favored these types of securities more than their lower grade counterparts. Because strong investor demand for lower rated bonds pushed up prices, we generally found that securities with higher credit quality were offering a better value and, therefore, a better risk/reward tradeoff.
On a sector basis, we added a handful of hospital bonds, many of which replaced hospital credits in the portfolio that matured or were called during the period. We also replaced some of our higher education debt that had been called out of the portfolio with new bonds in the same category, and we bought a variety of securities from the tax-backed group. In general, however, our purchases included multiple sectors, as we sought to invest the proceeds of bond calls and new shareholder investments into the Fund. New purchases tended to be longer in duration, with an emphasis on maturities of 10 years and longer, as we saw better compensation available further out on the yield curve, and because we wished to preserve the Fund’s existing interest rate exposure.
Nuveen New York Municipal Bond Fund
Management changes were relatively limited in the New York portfolio throughout the six-month reporting period. In general, our management approach typically focuses on bonds at the lower end of the investment-grade spectrum, because we believe the capabilities and resources of Nuveen’s municipal credit research team allow us to identify lower rated securities with excellent potential for long-term value. During the past six months, however, most of our purchases were focused on higher grade debt. While new bond issuance was robust within the state, much of it was higher quality bonds rated AAA and AA, and they often consisted of refinancings of existing debt. This situation we believed, in conjunction with the strong demand for lower rated bonds, often left higher rated issues as the better value opportunity. There was significantly less issuance of the lower rated securities we typically favor, and those lower quality bonds that did come to market often appeared to provide less compelling value than their higher rated counterparts.
New purchases tended to focus on general obligation and dedicated tax bonds. These purchases included New York City general obligation debt, which we believed was offering good value compared to other areas of the market, in part because of the market’s general concerns about the financial health of municipalities (concerns we did not see with respect to New York City). To a lesser extent, we added health care,
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transportation and water/sewer bonds. Our purchases generally reflected which sectors were available when we had cash to invest and where new issues could be found at lower than normal prices. The vast majority of our new additions during the period were funded by applying the proceeds of bond calls. Consequently, we engaged in very few bond sales during the period, as we typically found the securities we already owned were more attractive than many of the newer opportunities available in the marketplace.
Risk Considerations
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Funds, are subject to market risk, credit risk, interest rate risk, call risk, state concentration risk, tax risk, and income risk. As interest rates rise, bond prices fall. Credit risk refers to an issuers ability to make interest and principal payments when due. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. Each Fund’s use of inverse floaters creates effective leverage. Leverage involves the risk that a Fund could lose more than its original investment and also increases a Fund’s exposure to volatility and interest rate risk.
Dividend Information
All share classes of the Connecticut Fund and New Jersey Fund experienced one monthly dividend cut. All share classes of the New York Fund experienced two monthly dividend reductions. In the Massachusetts Fund, the Class B Shares experienced two monthly dividend reduction, while Share Classes A, C and I experienced one monthly dividend reduction. Each Fund seeks to pay dividends at a rate that reflects the past and projected performance of the Fund. To permit a 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 investment income actually earned by the Fund during the period. If the Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if the Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders. As of August 31, 2012, all four Funds had positive UNII balances, based upon our best estimate, for tax purposes and positive UNII balances for financial reporting purposes.
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Fund Performance and Expense Ratios
The Fund Performance and Expense Ratios for each Fund are shown on the following four pages.
Returns quoted represent past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns without sales charges would be lower if the sales charge were included. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Income is generally exempt from regular federal income taxes. Some income may be subject to state and local income taxes and to the federal alternative minimum tax. Capital gains, if any, are subject to tax.
Returns may reflect a contractual agreement between certain Funds and the investment adviser to waive certain fees and expenses; see Notes to Financial Statements, Footnote 7 — Management Fees and Other Transactions with Affiliates for more information. In addition, returns may reflect a voluntary expense limitation by the Funds’ investment adviser that may be modified or discontinued at any time without notice. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.
Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains.
Comparative index and Lipper return information is provided for the Funds’ Class A Shares at net asset value (NAV) only.
The expense ratios shown reflect the Funds’ total operating expenses (before fee waivers or expense reimbursements, if any) as shown in the Funds’ most recent prospectus. The expense ratios include management fees and other fees and expenses.
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Fund Performance and Expense Ratios (continued)
Nuveen Connecticut Municipal Bond Fund
Refer to the first page of this Fund Performance and Expense Ratios section for further explanation of the information included within this page.
Fund Performance
Average Annual Total Returns as of August 31, 2012*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 2.96% | 9.03% | 5.74% | 4.83% | ||||||||||||
Class A Shares at maximum Offering Price | -1.35% | 4.49% | 4.84% | 4.39% | ||||||||||||
S&P Municipal Bond Index** | 3.24% | 9.35% | 6.00% | 5.28% | ||||||||||||
Lipper Connecticut Municipal Debt Funds Classification Average** | 2.69% | 9.23% | 5.26% | 4.30% | ||||||||||||
Class B Shares w/o CDSC | 2.60% | 8.26% | 4.97% | 4.20% | ||||||||||||
Class B Shares w/CDSC | -2.40% | 4.26% | 4.80% | 4.20% | ||||||||||||
Class C Shares | 2.69% | 8.46% | 5.18% | 4.26% | ||||||||||||
Class I Shares | 3.06% | 9.23% | 5.96% | 5.04% | ||||||||||||
Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 3.88% | 8.17% | 5.49% | 4.61% | ||||||||||||
Class A Shares at maximum Offering Price | -0.50% | 3.62% | 4.58% | 4.16% | ||||||||||||
Class B Shares w/o CDSC | 3.52% | 7.41% | 4.72% | 3.99% | ||||||||||||
Class B Shares w/CDSC | -1.48% | 3.41% | 4.55% | 3.99% | ||||||||||||
Class C Shares | 3.60% | 7.61% | 4.93% | 4.05% | ||||||||||||
Class I Shares | 3.98% | 8.38% | 5.71% | 4.82% | ||||||||||||
Class A Shares have a maximum 4.20% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.
Expense Ratios as of Most Recent Prospectus
| Expense Ratios | ||||
Class A Shares | 0.81% | |||
Class B Shares | 1.56% | |||
Class C Shares | 1.36% | |||
Class I Shares | 0.61% | |||
| * | Six-month returns are cumulative; all other returns are annualized. |
| ** | Refer to the Glossary of Terms Used in the Report for definitions. Indexes and Lipper averages are not available for direct investment. |
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Nuveen Massachusetts Municipal Bond Fund
Refer to the first page of this Fund Performance and Expense Ratios section for further explanation of the information included within this page.
Fund Performance
Average Annual Total Returns as of August 31, 2012*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 3.94% | 10.81% | 5.98% | 4.97% | ||||||||||||
Class A Shares at maximum Offering Price | -0.44% | 6.14% | 5.07% | 4.53% | ||||||||||||
S&P Municipal Bond Index** | 3.24% | 9.35% | 6.00% | 5.28% | ||||||||||||
Lipper Massachusetts Municipal Debt Funds Classification Average** | 3.08% | 10.54% | 5.26% | 4.50% | ||||||||||||
Class B Shares w/o CDSC | 3.47% | 9.90% | 5.20% | 4.35% | ||||||||||||
Class B Shares w/CDSC | -1.53% | 5.90% | 5.03% | 4.35% | ||||||||||||
Class C Shares | 3.57% | 10.16% | 5.41% | 4.41% | ||||||||||||
Class I Shares | 4.04% | 10.91% | 6.20% | 5.19% | ||||||||||||
Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 5.04% | 9.92% | 5.78% | 4.79% | ||||||||||||
Class A Shares at maximum Offering Price | 0.67% | 5.34% | 4.88% | 4.34% | ||||||||||||
Class B Shares w/o CDSC | 4.66% | 9.13% | 4.98% | 4.16% | ||||||||||||
Class B Shares w/CDSC | -0.34% | 5.13% | 4.81% | 4.16% | ||||||||||||
Class C Shares | 4.78% | 9.27% | 5.18% | 4.21% | ||||||||||||
Class I Shares | 5.24% | 10.24% | 5.99% | 5.00% | ||||||||||||
Class A Shares have a maximum 4.20% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.
Expense Ratios as of Most Recent Prospectus
| Gross Expense Ratios | Net Expense Ratios | |||||||
Class A Shares | 0.94% | 0.92% | ||||||
Class B Shares | 1.66% | 1.66% | ||||||
Class C Shares | 1.48% | 1.47% | ||||||
Class I Shares | 0.73% | 0.72% | ||||||
The Fund’s investment adviser has agreed to waive fees and/or reimburse expenses so that total annual Fund operating expenses (excluding 12b-1 distribution and/or service fees, interest expenses, taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses) do not exceed 0.75% of the average daily net assets of any class of Fund shares. The expense limitation may be terminated or modified only with the approval of shareholders of the Fund.
| * | Six-month returns are cumulative; all other returns are annualized. |
| ** | Refer to the Glossary of Terms Used in the Report for definitions. Indexes and Lipper averages are not available for direct investment. |
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Fund Performance and Expense Ratios (continued)
Nuveen New Jersey Municipal Bond Fund
Refer to the first page of this Fund Performance and Expense Ratios section for further explanation of the information included within this page.
Fund Performance
Average Annual Total Returns as of August 31, 2012*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 4.30% | 12.19% | 6.32% | 5.09% | ||||||||||||
Class A Shares at maximum Offering Price | -0.04% | 7.47% | 5.41% | 4.64% | ||||||||||||
S&P Municipal Bond Index** | 3.24% | 9.35% | 6.00% | 5.28% | ||||||||||||
Lipper New Jersey Municipal Debt Funds Classification Average** | 3.57% | 11.13% | 5.38% | 4.59% | ||||||||||||
Class B Shares w/o CDSC | 3.92% | 11.37% | 5.53% | 4.45% | ||||||||||||
Class B Shares w/CDSC | -1.08% | 7.37% | 5.37% | 4.45% | ||||||||||||
Class C Shares | 3.95% | 11.64% | 5.73% | 4.52% | ||||||||||||
Class I Shares | 4.40% | 12.49% | 6.53% | 5.30% | ||||||||||||
Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 5.30% | 11.20% | 6.15% | 4.93% | ||||||||||||
Class A Shares at maximum Offering Price | 0.89% | 6.58% | 5.23% | 4.48% | ||||||||||||
Class B Shares w/o CDSC | 4.82% | 10.39% | 5.34% | 4.31% | ||||||||||||
Class B Shares w/CDSC | -0.18% | 6.39% | 5.18% | 4.31% | ||||||||||||
Class C Shares | 4.95% | 10.65% | 5.57% | 4.36% | ||||||||||||
Class I Shares | 5.30% | 11.40% | 6.34% | 5.13% | ||||||||||||
Class A Shares have a maximum 4.20% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.
Expense Ratios as of Most Recent Prospectus
Expense Ratios | ||||
Class A Shares | 0.82% | |||
Class B Shares | 1.57% | |||
Class C Shares | �� | 1.37% | ||
Class I Shares | 0.62% | |||
| * | Six-month returns are cumulative; all other returns are annualized. |
| ** | Refer to the Glossary of Terms Used in the Report for definitions. Indexes and Lipper averages are not available for direct investment. |
| 14 | Nuveen Investments |
Nuveen New York Municipal Bond Fund
Refer to the first page of this Fund Performance and Expense Ratios section for further explanation of the information included within this page.
Fund Performance
Average Annual Total Returns as of August 31, 2012*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 2.94% | 8.90% | 5.92% | 5.04% | ||||||||||||
Class A Shares at maximum Offering Price | -1.39% | 4.36% | 5.02% | 4.59% | ||||||||||||
S&P Municipal Bond Index** | 3.24% | 9.35% | 6.00% | 5.28% | ||||||||||||
Lipper New York Municipal Debt Funds Classification Average** | 3.40% | 10.06% | 5.26% | 4.45% | ||||||||||||
Class B Shares w/o CDSC | 2.58% | 8.14% | 5.14% | 4.40% | ||||||||||||
Class B Shares w/CDSC | -2.42% | 4.14% | 4.97% | 4.40% | ||||||||||||
Class C Shares | 2.66% | 8.31% | 5.34% | 4.47% | ||||||||||||
Class I Shares | 3.04% | 9.11% | 6.15% | 5.25% | ||||||||||||
Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 4.10% | 8.21% | 5.77% | 4.86% | ||||||||||||
Class A Shares at maximum Offering Price | -0.31% | 3.65% | 4.86% | 4.42% | ||||||||||||
Class B Shares w/o CDSC | 3.74% | 7.36% | 4.96% | 4.25% | ||||||||||||
Class B Shares w/CDSC | -1.26% | 3.36% | 4.80% | 4.25% | ||||||||||||
Class C Shares | 3.83% | 7.54% | 5.16% | 4.28% | ||||||||||||
Class I Shares | 4.21% | 8.34% | 5.97% | 5.07% | ||||||||||||
Class A Shares have a maximum 4.20% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.
Expense Ratios as of Most Recent Prospectus
Expense Ratios | ||||
Class A Shares | 0.84% | |||
Class B Shares | 1.59% | |||
Class C Shares | 1.39% | |||
Class I Shares | 0.64% | |||
| * | Six-month returns are cumulative; all other returns are annualized. |
| ** | Refer to the Glossary of Terms Used in the Report for definitions. Indexes and Lipper averages are not available for direct investment. |
| Nuveen Investments | 15 |
Dividend Yield is the most recent dividend per share (annualized) divided by the offering price per share.
The SEC 30-Day Yield is a standardized measure of a Fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the Fund’s portfolio. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. Dividend Yield may differ from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.
The 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 at a specified tax rate. With respect to investments that generate qualified dividend income that is taxable at a maximum rate of 15%, the Taxable-Equivalent Yield is lower.
Nuveen Connecticut Municipal Bond Fund
| Dividend Yield | SEC 30-Day Yield | Taxable- Equivalent Yield1 | ||||||||||
Class A Shares5 | 3.42% | 2.02% | 2.98% | |||||||||
Class B Shares | 2.87% | 1.37% | 2.02% | |||||||||
Class C Shares | 3.03% | 1.57% | 2.32% | |||||||||
Class I Shares | 3.77% | 2.31% | 3.41% | |||||||||
Nuveen Massachusetts Municipal Bond Fund
| Dividend Yield | SEC 30-Day Yield | Taxable- Equivalent Yield2 | ||||||||||
Class A Shares5 | 3.42% | 2.02% | 2.96% | |||||||||
Class B Shares | 2.82% | 1.36% | 1.99% | |||||||||
Class C Shares | 3.02% | 1.57% | 2.30% | |||||||||
Class I Shares | 3.75% | 2.31% | 3.39% | |||||||||
Nuveen New Jersey Municipal Bond Fund
| Dividend Yield | SEC 30-Day Yield | Taxable- Equivalent Yield3 | ||||||||||
Class A Shares5 | 3.58% | 2.36% | 3.50% | |||||||||
Class B Shares | 3.01% | 1.71% | 2.54% | |||||||||
Class C Shares | 3.23% | 1.91% | 2.83% | |||||||||
Class I Shares | 3.93% | 2.66% | 3.95% | |||||||||
Nuveen New York Municipal Bond Fund
| Dividend Yield | SEC 30-Day Yield | Taxable- Equivalent Yield4 | ||||||||||
Class A Shares5 | 3.31% | 1.68% | 2.50% | |||||||||
Class B Shares | 2.71% | 1.01% | 1.50% | |||||||||
Class C Shares | 2.92% | 1.21% | 1.80% | |||||||||
Class I Shares | 3.66% | 1.95% | 2.90% | |||||||||
| 1 | The Taxable-Equivalent Yield is based on the Fund’s SEC 30-Day Yield on the indicated date and a combined federal and state income tax rate of 32.3% |
| 2 | The Taxable-Equivalent Yield is based on the Fund’s SEC 30-Day Yield on the indicated date and a combined federal and state income tax rate of 31.8%. |
| 3 | The Taxable-Equivalent Yield is based on the Fund’s SEC 30-Day Yield on the indicated date and a combined federal and state income tax rate of 32.6% |
| 4 | The Taxable-Equivalent Yield is based on the Fund’s SEC 30-Day Yield on the indicated date and a combined federal and state income tax rate of 32.8% |
| 5 | The SEC Yield for Class A shares quoted in the table reflects the maximum sales load. Investors paying a reduced load because of volume discounts, investors paying no load because they qualify for one of the several exclusions from the load, and existing shareholders who previously paid a load but would like to know the SEC Yield applicable to their shares on a going-forward basis, should understand that the SEC Yield effectively applicable to them would be higher than the figure quoted in the table. |
| 16 | Nuveen Investments |
Holding Summaries as of August 31, 2012
This data relates to the securities held in each Fund’s portfolio of investments. It should not be construed as a measure of performance for the Fund itself.
Ratings shown 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. 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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
Nuveen Connecticut Municipal Bond Fund
Bond Credit Quality1
Nuveen Massachusetts Municipal Bond Fund
Bond Credit Quality1
Nuveen New Jersey Municipal Bond Fund
Bond Credit Quality1
Nuveen New York Municipal Bond Fund
Bond Credit Quality1
| Portfolio Composition1 | ||||
| Education and Civic Organizations | 19.4% | |||
| Tax Obligation/General | 18.2% | |||
| Health Care | 16.4% | |||
| Tax Obligation/Limited | 12.1% | |||
| Utilities | 9.9% | |||
| Water and Sewer | 9.0% | |||
| U.S. Guaranteed | 6.7% | |||
| Other | 8.3% | |||
| Portfolio Composition1 | ||||
| Education and Civic Organizations | 26.3% | |||
| Health Care | 16.4% | |||
| Tax Obligation/Limited | 13.0% | |||
| Water and Sewer | 8.9% | |||
Tax Obligation/General | 8.6% | |||
| Transportation | 7.8% | |||
| Housing/Multifamily | 4.7% | |||
| Other | 14.3% | |||
| Portfolio Composition1 | ||||
| Tax Obligation/Limited | 25.0% | |||
| Health Care | 18.5% | |||
| Transportation | 14.1% | |||
| Education and Civic Organizations | 11.1% | |||
| Tax Obligation/General | 7.8% | |||
U.S. Guaranteed | 7.1% | |||
| Consumer Staples | 3.8% | |||
| Other | 12.6% | |||
| Portfolio Composition1 | ||||
| Tax Obligation/Limited | 29.3% | |||
| Transportation | 12.7% | |||
| Health Care | 11.0% | |||
| Education and Civic Organizations | 9.9% | |||
| Utilities | 8.4% | |||
| Water and Sewer | 7.1% | |||
| Tax Obligation/General | 6.8% | |||
| U.S. Guaranteed | 5.9% | |||
| Other | 8.9% | |||
| 1 | As a percentage of total investments as of August 31, 2012. Holdings are subject to change. |
| Nuveen Investments | 17 |
As a shareholder of one or more of the Funds, you incur two types of costs: (1) transaction costs, including up-front and back-end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. The Examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples below are based on an investment of $1,000 invested at the beginning of the period and held for the period.
The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.
The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the respective Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transaction costs were included, your costs would have been higher.
Nuveen Connecticut Municipal Bond Fund
| Hypothetical Performance | ||||||||||||||||||||||||||||||||||
| Actual Performance | (5% annualized return before expenses) | |||||||||||||||||||||||||||||||||
| A Shares | B Shares | C Shares | I Shares | A Shares | B Shares | C Shares | I Shares | |||||||||||||||||||||||||||
| Beginning Account Value (3/01/12) | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||||||||||||
| Ending Account Value (8/31/12) | $ | 1,029.60 | $ | 1,026.00 | $ | 1,026.90 | $ | 1,030.60 | $ | 1,021.12 | $ | 1,017.34 | $ | 1,018.35 | $ | 1,022.13 | ||||||||||||||||||
| Expenses Incurred During Period | $ | 4.14 | $ | 7.97 | $ | 6.95 | $ | 3.12 | $ | 4.13 | $ | 7.93 | $ | 6.92 | $ | 3.11 | ||||||||||||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .81%, 1.56%, 1.36% and .61% for Classes A, B, C and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Nuveen Massachusetts Municipal Bond Fund
| Hypothetical Performance | ||||||||||||||||||||||||||||||||||
| Actual Performance | (5% annualized return before expenses) | |||||||||||||||||||||||||||||||||
| A Shares | B Shares | C Shares | I Shares | A Shares | B Shares | C Shares | I Shares | |||||||||||||||||||||||||||
| Beginning Account Value (3/01/12) | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||||||||||||
| Ending Account Value (8/31/12) | $ | 1,039.40 | $ | 1,034.70 | $ | 1,035.70 | $ | 1,040.40 | $ | 1,021.02 | $ | 1,017.29 | $ | 1,018.25 | $ | 1,022.03 | ||||||||||||||||||
| Expense Incurred During Period | $ | 4.27 | $ | 8.05 | $ | 7.08 | $ | 3.24 | $ | 4.23 | $ | 7.98 | $ | 7.02 | $ | 3.21 | ||||||||||||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .83%, 1.57%, 1.38% and .63% for Classes A, B, C and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
| 18 | Nuveen Investments |
Nuveen New Jersey Municipal Bond Fund
| Hypothetical Performance | ||||||||||||||||||||||||||||||||||
| Actual Performance | (5% annualized return before expenses) | |||||||||||||||||||||||||||||||||
| A Shares | B Shares | C Shares | I Shares | A Shares | B Shares | C Shares | I Shares | |||||||||||||||||||||||||||
| Beginning Account Value (3/01/12) | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||||||||||||
| Ending Account Value (8/31/12) | $ | 1,043.00 | $ | 1,039.20 | $ | 1,039.50 | $ | 1,044.00 | $ | 1,021.02 | $ | 1,017.24 | $ | 1,018.25 | $ | 1,022.03 | ||||||||||||||||||
| Expenses Incurred During Period | $ | 4.27 | $ | 8.12 | $ | 7.09 | $ | 3.25 | $ | 4.23 | $ | 8.03 | $ | 7.02 | $ | 3.21 | ||||||||||||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .83%, 1.58%, 1.38% and .63% for Classes A, B, C and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Nuveen New York Municipal Bond Fund
| Hypothetical Performance | ||||||||||||||||||||||||||||||||||
| Actual Performance | (5% annualized return before expenses) | |||||||||||||||||||||||||||||||||
| A Shares | B Shares | C Shares | I Shares | A Shares | B Shares | C Shares | I Shares | |||||||||||||||||||||||||||
| Beginning Account Value (3/01/12) | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||||||||||||
| Ending Account Value (8/31/12) | $ | 1,029.40 | $ | 1,025.80 | $ | 1,026.60 | $ | 1,030.40 | $ | 1,021.17 | $ | 1,017.39 | $ | 1,018.40 | $ | 1,022.18 | ||||||||||||||||||
| Expenses Incurred During Period | $ | 4.09 | $ | 7.91 | $ | 6.90 | $ | 3.07 | $ | 4.08 | $ | 7.88 | $ | 6.87 | $ | 3.06 | ||||||||||||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .80%, 1.55%, 1.35% and .60% for Classes A, B, C and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
| Nuveen Investments | 19 |
Portfolio of Investments (Unaudited)
Nuveen Connecticut Municipal Bond Fund
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Consumer Staples – 1.9% | ||||||||||||||||||
| $ | 3,760 | Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 | 11/12 at 100.00 | BBB+ | $ | 3,759,925 | ||||||||||||
| 3,000 | Virgin Islands Public Finance Authority, Matching Fund Revenue Loan Note – Diageo Project, Series 2009A, 6.625%, 10/01/29 | 10/19 at 100.00 | BBB | 3,534,090 | ||||||||||||||
| 6,760 | Total Consumer Staples | 7,294,015 | ||||||||||||||||
Education and Civic Organizations – 19.4% | ||||||||||||||||||
| 210 | Albany Industrial Development Agency, New York, Revenue Bonds, Brighter Choice Charter Schools, Series 2007A, 5.000%, 4/01/20 | 4/17 at 100.00 | BBB– | 215,170 | ||||||||||||||
| 1,185 | Connecticut Health and Education Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41 | 7/21 at 100.00 | A2 | 1,333,872 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Brunswick School, Series 2012C: | ||||||||||||||||||
| 1,000 | 5.000%, 7/01/31 | 7/22 at 100.00 | A+ | 1,168,720 | ||||||||||||||
| 500 | 5.000%, 7/01/32 | 7/22 at 100.00 | A+ | 581,120 | ||||||||||||||
| 1,490 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 1998A, 5.000%, 7/01/18 – RAAI Insured | 1/13 at 100.00 | N/R | 1,492,503 | ||||||||||||||
| 1,435 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured | 7/16 at 100.00 | N/R | 1,461,935 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A: | ||||||||||||||||||
| 960 | 5.000%, 7/01/27 – RAAI Insured | 7/17 at 100.00 | N/R | 997,478 | ||||||||||||||
| 400 | 5.000%, 7/01/32 – RAAI Insured | 7/17 at 100.00 | N/R | 411,200 | ||||||||||||||
| 2,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 – NPFG Insured | 7/17 at 100.00 | A2 | 2,082,260 | ||||||||||||||
| 3,205 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/35 | 7/20 at 100.00 | A– | 3,542,134 | ||||||||||||||
| 650 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Kent School, Series 2004D, 5.000%, 7/01/16 – NPFG Insured | 1/15 at 100.00 | Baa2 | 700,791 | ||||||||||||||
| 4,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2006H, 5.000%, 7/01/36 – AMBAC Insured | 7/16 at 100.00 | A– | 4,230,240 | ||||||||||||||
| 4,450 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured | 7/17 at 100.00 | A– | 4,880,048 | ||||||||||||||
| 4,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-K2, 5.000%, 7/01/31 – NPFG Insured | 7/18 at 100.00 | A– | 4,403,680 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G: | ||||||||||||||||||
| 1,000 | 5.125%, 7/01/26 | 7/21 at 100.00 | BBB | 1,107,290 | ||||||||||||||
| 2,500 | 5.625%, 7/01/41 | 7/21 at 100.00 | BBB | 2,804,600 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2012H: | ||||||||||||||||||
| 1,255 | 5.000%, 7/01/26 – AGM Insured | 7/22 at 100.00 | AA– | 1,430,035 | ||||||||||||||
| 1,750 | 5.000%, 7/01/27 – AGM Insured | 7/22 at 100.00 | AA– | 1,984,640 | ||||||||||||||
| 650 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 – NPFG Insured | 7/14 at 100.00 | A+ | 700,135 | ||||||||||||||
| 2,010 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2007J, 4.500%, 7/01/37 – NPFG Insured | 7/17 at 100.00 | A1 | 2,104,510 | ||||||||||||||
| 1,400 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2010M, 4.250%, 7/01/28 | 7/20 at 100.00 | A+ | 1,542,366 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G: | ||||||||||||||||||
| 4,995 | 5.250%, 7/01/26 – RAAI Insured | 7/16 at 100.00 | BBB– | 5,220,025 | ||||||||||||||
| 2,250 | 5.250%, 7/01/36 – RAAI Insured | 7/16 at 100.00 | BBB– | 2,299,928 | ||||||||||||||
| 685 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 | 7/13 at 100.00 | AAA | 706,886 | ||||||||||||||
| 20 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Education and Civic Organizations (continued) | ||||||||||||||||||
| $ | 10,050 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 | 7/16 at 100.00 | AAA | $ | 11,319,306 | ||||||||||||
| 3,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 | 7/17 at 100.00 | AAA | 3,456,840 | ||||||||||||||
| 2,000 | Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 2010A, 4.000%, 11/15/30 | 11/20 at 100.00 | Aa3 | 2,114,140 | ||||||||||||||
| 2,670 | University of Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 2/15/17 – AGM Insured | 2/15 at 100.00 | AA | 2,961,484 | ||||||||||||||
University of Connecticut, General Obligation Bonds, Series 2009A: | ||||||||||||||||||
| 1,000 | 5.000%, 2/15/27 | 2/19 at 100.00 | AA | 1,163,320 | ||||||||||||||
| 1,000 | 5.000%, 2/15/28 | 2/19 at 100.00 | AA | 1,159,480 | ||||||||||||||
| 630 | University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27 | 11/19 at 100.00 | Aa2 | 738,045 | ||||||||||||||
| 3,120 | University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/20 – FGIC Insured | 11/12 at 101.00 | Aa2 | 3,181,027 | ||||||||||||||
| 67,450 | Total Education and Civic Organizations | 73,495,208 | ||||||||||||||||
Health Care – 16.4% | ||||||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: | ||||||||||||||||||
| 920 | 5.500%, 7/01/21 – RAAI Insured | 7/13 at 100.50 | N/R | 929,770 | ||||||||||||||
| 4,025 | 5.500%, 7/01/32 – RAAI Insured | 7/14 at 100.00 | N/R | 4,063,761 | ||||||||||||||
| 640 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured | 1/13 at 100.00 | N/R | 640,826 | ||||||||||||||
| 2,240 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2005, 5.000%, 7/01/25 – RAAI Insured | 7/15 at 100.00 | N/R | 2,264,595 | ||||||||||||||
| 9,075 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41 | 7/21 at 100.00 | A | 9,768,784 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C: | ||||||||||||||||||
| 500 | 5.250%, 7/01/22 – RAAI Insured | 7/17 at 100.00 | BBB– | 529,670 | ||||||||||||||
| 1,055 | 5.250%, 7/01/32 – RAAI Insured | 7/17 at 100.00 | BBB– | 1,090,585 | ||||||||||||||
| 1,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36 | 7/21 at 100.00 | A+ | 1,099,920 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N: | ||||||||||||||||||
| 495 | 5.000%, 7/01/25 | 7/21 at 100.00 | A2 | 552,173 | ||||||||||||||
| 500 | 5.000%, 7/01/27 | 7/21 at 100.00 | A2 | 555,340 | ||||||||||||||
| 90 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 – RAAI Insured | 7/13 at 100.00 | N/R | 90,241 | ||||||||||||||
| 4,020 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30 | 7/20 at 10.00 | A | 4,345,379 | ||||||||||||||
| 5,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2012-J, 5.000%, 7/01/42 | 7/22 at 100.00 | A | 5,405,050 | ||||||||||||||
| 2,590 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41 | 7/21 at 100.00 | �� | A | 2,938,226 | |||||||||||||
| 2,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29 | 7/21 at 100.00 | A | 2,198,240 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, William W. Backus Hospital, Series 2005F: | ||||||||||||||||||
| 2,000 | 5.000%, 7/01/28 – AGM Insured | 7/18 at 100.00 | AA– | 2,192,880 | ||||||||||||||
| 20 | 5.125%, 7/01/35 – AGM Insured | 7/18 at 100.00 | AA– | 21,783 | ||||||||||||||
| Nuveen Investments | 21 |
Portfolio of Investments (Unaudited)
Nuveen Connecticut Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Health Care (continued) | ||||||||||||||||||
| $ | 11,460 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured | 7/16 at 100.00 | Aa3 | $ | 12,290,162 | ||||||||||||
| 1,305 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40 | 7/20 at 100.00 | Aa3 | 1,505,096 | ||||||||||||||
| 2,500 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40 | 11/19 at 100.00 | AA+ | 2,752,775 | ||||||||||||||
| 590 | Massachusetts Health and Education Facilities Authority, Revenue Bonds, Partners HealthCare System, Series 2010J, 5.000%, 7/01/39 | 7/19 at 100.00 | AA | 643,159 | ||||||||||||||
| 3,900 | Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochestor Project, Series 2010, 5.500%, 8/15/40 | 2/21 at 100.00 | Aa2 | 4,505,163 | ||||||||||||||
| 1,670 | Orange County Health Facilities Authority, Florida, Orlando Regional Healthcare System Revenue Bonds, Series 2009, 5.125%, 10/01/26 | 10/19 at 100.00 | A | 1,842,762 | ||||||||||||||
| 57,595 | Total Health Care | 62,226,340 | ||||||||||||||||
Housing/Multifamily – 0.8% | ||||||||||||||||||
| 2,875 | Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) | 11/15 at 100.00 | AAA | 2,972,779 | ||||||||||||||
Housing/Single Family – 3.2% | ||||||||||||||||||
| 5,000 | Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34 | 5/13 at 100.00 | AAA | 5,060,050 | ||||||||||||||
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: | ||||||||||||||||||
| 1,610 | 4.700%, 11/15/26 (Alternative Minimum Tax) | 11/15 at 100.00 | AAA | 1,663,082 | ||||||||||||||
| 1,735 | 4.800%, 11/15/31 (Alternative Minimum Tax) | 11/15 at 100.00 | AAA | 1,781,168 | ||||||||||||||
| 3,410 | Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 | 5/16 at 100.00 | AAA | 3,580,227 | ||||||||||||||
| 11,755 | Total Housing/Single Family | 12,084,527 | ||||||||||||||||
Long-Term Care – 2.0% | ||||||||||||||||||
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999: | ||||||||||||||||||
| 560 | 5.500%, 9/01/15 – RAAI Insured | 3/13 at 100.00 | BBB– | 561,316 | ||||||||||||||
| 500 | 5.625%, 9/01/22 – RAAI Insured | 3/13 at 100.00 | BBB– | 500,705 | ||||||||||||||
| 1,525 | Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Elim Park Baptist Home Inc., Series 1998A, 5.375%, 12/01/18 | 12/12 at 100.00 | BBB | 1,549,827 | ||||||||||||||
| 3,200 | Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding Series 2010-16, 5.000%, 6/15/30 | 6/20 at 100.00 | AA | 3,617,728 | ||||||||||||||
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A: | ||||||||||||||||||
| 830 | 7.625%, 1/01/30 | 1/20 at 100.00 | N/R | 922,479 | ||||||||||||||
| 350 | 7.750%, 1/01/43 | 1/20 at 100.00 | N/R | 386,085 | ||||||||||||||
| 85 | Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009B, 6.125%, 1/01/14 | 11/12 at 100.00 | N/R | 85,125 | ||||||||||||||
| 7,050 | Total Long-Term Care | 7,623,265 | ||||||||||||||||
Tax Obligation/General – 18.2% | ||||||||||||||||||
| 5,000 | Connecticut State, General Obligation Bonds, Refunding Series 2012C, 5.000%, 6/01/22 | No Opt. Call | AA | 6,350,000 | ||||||||||||||
Connecticut State, General Obligation Bonds, Series 2001C: | ||||||||||||||||||
| 5,000 | 5.500%, 12/15/13 (UB) | No Opt. Call | AA | 5,336,300 | ||||||||||||||
| 10,000 | 5.500%, 12/15/14 (UB) | No Opt. Call | AA | 11,152,700 | ||||||||||||||
| 22 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/General (continued) | ||||||||||||||||||
| $ | 5,000 | Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24 | 12/16 at 100.00 | AA | $ | 5,724,650 | ||||||||||||
| 2,200 | Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured | 6/16 at 100.00 | AA | 2,525,600 | ||||||||||||||
| 1,000 | Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20 | 12/16 at 10.00 | AA | 1,168,700 | ||||||||||||||
Connecticut State, General Obligation Bonds, Series 2008C: | ||||||||||||||||||
| 1,000 | 5.000%, 11/01/26 | 11/18 at 100.00 | AA | 1,188,850 | ||||||||||||||
| 1,000 | 5.000%, 11/01/27 | 11/18 at 100.00 | AA | 1,191,430 | ||||||||||||||
| 1,000 | 5.000%, 11/01/28 | 11/18 at 100.00 | AA | 1,191,040 | ||||||||||||||
| 1,000 | Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31 | 11/21 at 100.00 | AA | 1,190,550 | ||||||||||||||
Hartford, Connecticut, General Obligation Bonds, Series 2005A: | ||||||||||||||||||
| 1,195 | 5.000%, 8/01/20 – AGM Insured | 8/15 at 100.00 | AA– | 1,338,006 | ||||||||||||||
| 595 | 5.000%, 8/01/21 – AGM Insured | 8/15 at 100.00 | AA– | 665,287 | ||||||||||||||
| 1,210 | 4.375%, 8/01/24 – AGM Insured | 8/15 at 100.00 | AA– | 1,278,873 | ||||||||||||||
| 2,000 | New Haven, Connecticut, General Obligation Bonds, Refunding Series 2012A, 5.000%, 11/01/18 | No Opt. Call | A1 | 2,358,880 | ||||||||||||||
| 485 | North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24 | No Opt. Call | Aa1 | 635,680 | ||||||||||||||
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A: | ||||||||||||||||||
| 700 | 5.500%, 7/01/14 – AGM Insured | No Opt. Call | AA– | 755,671 | ||||||||||||||
| 2,125 | 5.500%, 7/01/16 – AGM Insured | No Opt. Call | AA– | 2,413,639 | ||||||||||||||
| 2,500 | 5.500%, 7/01/17 – AGM Insured | No Opt. Call | AA– | 2,878,850 | ||||||||||||||
| 2,870 | 5.500%, 7/01/18 – AGM Insured | No Opt. Call | AA– | 3,333,017 | ||||||||||||||
| 1,875 | 5.500%, 7/01/19 – AGM Insured | No Opt. Call | AA– | 2,171,363 | ||||||||||||||
| 1,700 | Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – FGIC Insured | No Opt. Call | Baa1 | 1,917,362 | ||||||||||||||
| 1,000 | Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.125%, 12/01/33 | 12/20 at 100.00 | Aa2 | 1,160,500 | ||||||||||||||
| 3,000 | Waterbury, Connecticut, General Obligation Bonds, Series 2012A, 5.000%, 8/01/30 | 8/22 at 100.00 | A1 | 3,498,690 | ||||||||||||||
| 2,000 | West Haven, Connecticut, General Obligation Bonds, Series 2012, 5.000%, 8/01/24 – AGM Insured | No Opt. Call | AA– | 2,238,440 | ||||||||||||||
Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, General Obligation Bonds, Series 2011: | ||||||||||||||||||
| 1,280 | 7.000%, 12/01/24 – AGM Insured | 12/20 at 100.00 | AA– | 1,570,906 | ||||||||||||||
| 1,415 | 7.000%, 12/01/25 – AGM Insured | 12/20 at 100.00 | AA– | 1,726,031 | ||||||||||||||
| 1,725 | 7.000%, 12/01/27 – AGM Insured | 12/20 at 100.00 | AA– | 2,093,167 | ||||||||||||||
| 59,875 | Total Tax Obligation/General | 69,054,182 | ||||||||||||||||
Tax Obligation/Limited – 12.2% | ||||||||||||||||||
| 2,600 | Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 – AGC Insured | 7/16 at 100.00 | AA– | 2,763,124 | ||||||||||||||
| 1,250 | Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2008G, 6.000%, 7/01/28 – AGC Insured | 7/18 at 100.00 | AA– | 1,456,888 | ||||||||||||||
Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: | ||||||||||||||||||
| 1,275 | 5.000%, 12/15/20 | 12/13 at 100.00 | AA– | 1,290,504 | ||||||||||||||
| 1,000 | 5.000%, 12/15/30 | 12/13 at 100.00 | AA– | 1,006,000 | ||||||||||||||
| 5,000 | Connecticut, Special Tax Obligation Transportation Infrastructure Bonds, Series 2008A, 5.000%, 11/01/28 | 11/18 at 100.00 | AA | 5,747,050 | ||||||||||||||
| Nuveen Investments | 23 |
Portfolio of Investments (Unaudited)
Nuveen Connecticut Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 410 | Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1992B, 6.125%, 9/01/12 | No Opt. Call | AA | $ | 410,000 | ||||||||||||
| 5,000 | Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/26 – AMBAC Insured | 8/17 at 100.00 | AA | 5,767,900 | ||||||||||||||
| 800 | Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/37 | 1/22 at 100.00 | A | 885,072 | ||||||||||||||
| 2,200 | Guam Government, Limited Obligation Section 30 Revenue Bonds, Series 2009A, 5.750%, 12/01/34 | 12/19 at 100.00 | BBB+ | 2,473,196 | ||||||||||||||
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N: | ||||||||||||||||||
| 200 | 5.250%, 7/01/31 – AMBAC Insured | No Opt. Call | Baa1 | 214,284 | ||||||||||||||
| 4,100 | 5.250%, 7/01/33 – NPFG Insured | No Opt. Call | Baa1 | 4,405,737 | ||||||||||||||
| 4,650 | Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured | 8/15 at 100.00 | AA– | 5,089,658 | ||||||||||||||
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A: | ||||||||||||||||||
| 13,230 | 0.000%, 8/01/33 | No Opt. Call | A+ | 4,272,893 | ||||||||||||||
| 5,000 | 5.500%, 8/01/37 | 2/20 at 100.00 | A+ | 5,415,350 | ||||||||||||||
| 1,050 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 5.250%, 8/01/57 | 8/17 at 100.00 | AA– | 1,117,127 | ||||||||||||||
| 305 | Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured | No Opt. Call | A3 | 347,035 | ||||||||||||||
| 1,720 | Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41 | 4/21 at 100.00 | N/R | 1,835,137 | ||||||||||||||
| 1,370 | Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29 | 10/20 at 100.00 | BBB+ | 1,496,917 | ||||||||||||||
| 51,160 | Total Tax Obligation/Limited | 45,993,872 | ||||||||||||||||
Transportation – 0.4% | ||||||||||||||||||
| 1,360 | New Haven, Connecticut, Revenue Refunding Bonds, Air Rights Parking Facility, Series 2002, 5.375%, 12/01/14 – AMBAC Insured | No Opt. Call | N/R | 1,438,540 | ||||||||||||||
| 250 | Puerto Rico Ports Authority, Special Facilities Revenue Bonds, American Airlines Inc., Series 1996A, 6.250%, 6/01/26 (Alternative Minimum Tax) (4) | 12/12 at 100.00 | N/R | 156,810 | ||||||||||||||
| 1,610 | Total Transportation | 1,595,350 | ||||||||||||||||
U.S. Guaranteed – 6.7% (5) | ||||||||||||||||||
| 1,440 | Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 5.250%, 9/15/22 (Pre-refunded 9/15/13) – AGM Insured | 9/13 at 100.00 | AA– (5) | 1,515,542 | ||||||||||||||
| 3,000 | Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Western Massachusetts Electric Company, Series 1993A, 5.850%, 9/01/28 (Pre-refunded 10/01/12) | 10/12 at 100.00 | A– (5) | 3,014,100 | ||||||||||||||
| 1,540 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 (Pre-refunded 7/01/13) – NPFG Insured | 7/13 at 100.00 | BBB (5) | 1,601,046 | ||||||||||||||
| 775 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lutheran General Healthcare System – Parkside Lodges Projects, Series 1989, 7.375%, 7/01/19 (ETM) | 11/12 at 100.00 | Aaa | 955,591 | ||||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A: | ||||||||||||||||||
| 395 | 5.000%, 7/01/30 (Pre-refunded 7/01/17) – AMBAC Insured | 7/17 at 100.00 | N/R (5) | 473,392 | ||||||||||||||
| 965 | 5.000%, 7/01/37 (Pre-refunded 7/01/17) – AMBAC Insured | 7/17 at 100.00 | N/R (5) | 1,156,514 | ||||||||||||||
| 2,330 | Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 (Pre-refunded 4/01/14) – FGIC Insured | 4/14 at 100.00 | AA (5) | 2,504,004 | ||||||||||||||
| 24 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
U.S. Guaranteed (5) (continued) | ||||||||||||||||||
| $ | 4,000 | Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B, 5.000%, 12/01/20 (Pre-refunded 12/01/12) – AMBAC Insured | 12/12 at 100.00 | AA (5) | $ | 4,048,240 | ||||||||||||
| 1,000 | Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 (Pre-refunded 1/01/14) – FGIC Insured | 1/14 at 100.00 | AA (5) | 1,063,250 | ||||||||||||||
| 1,550 | Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 (Pre-refunded 10/01/13) | 10/13 at 100.00 | AAA | 1,630,213 | ||||||||||||||
| 1,395 | Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured (ETM) | No Opt. Call | A3 (5) | 1,787,386 | ||||||||||||||
| 3,955 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/33 (Pre-refunded 8/01/13) – NPFG Insured | 8/13 at 100.00 | Aa3 (5) | 4,128,466 | ||||||||||||||
| 1,435 | University of Connecticut, General Obligation Bonds, Series 2004A, 5.000%, 1/15/16 (Pre-refunded 1/15/14) – NPFG Insured | 1/14 at 100.00 | AA (5) | 1,528,749 | ||||||||||||||
| 23,780 | Total U.S. Guaranteed | 25,406,493 | ||||||||||||||||
Utilities – 9.9% | ||||||||||||||||||
| 3,740 | Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) | 11/12 at 100.00 | Baa1 | 3,746,994 | ||||||||||||||
Connecticut Municipal Electric Energy Cooperative, Transmission Services Revenue Bonds, Series 2012A: | ||||||||||||||||||
| 955 | 5.000%, 1/01/24 | 1/22 at 100.00 | Aa3 | 1,161,939 | ||||||||||||||
| 880 | 5.000%, 1/01/25 | 1/22 at 100.00 | Aa3 | 1,060,875 | ||||||||||||||
| 5,250 | Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1992A, 6.450%, 11/15/22 (Alternative Minimum Tax) | 11/12 at 100.00 | Ba1 | 5,259,030 | ||||||||||||||
| 1,000 | Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) | 12/12 at 101.00 | Ba1 | 1,013,030 | ||||||||||||||
| 3,170 | Connecticut Transmission Municipal Electric Energy Cooperative, Transmission System Revenue Bonds, Series 2012A, 5.000%, 1/01/42 | 1/22 at 100.00 | Aa3 | 3,595,636 | ||||||||||||||
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: | ||||||||||||||||||
| 500 | 5.500%, 1/01/14 (Alternative Minimum Tax) | 1/13 at 100.00 | BBB | 501,850 | ||||||||||||||
| 6,685 | 5.500%, 1/01/20 (Alternative Minimum Tax) | 1/13 at 100.00 | BBB | 6,711,272 | ||||||||||||||
Guam Power Authority, Revenue Bonds, Series 1999A: | ||||||||||||||||||
| 2,280 | 5.125%, 10/01/29 – NPFG Insured | 10/12 at 100.00 | BBB | 2,280,684 | ||||||||||||||
| 1,000 | 5.125%, 10/01/29 – AMBAC Insured | 10/12 at 100.00 | Ba1 | 1,000,060 | ||||||||||||||
Puerto Rico Electric Power Authority, Power Revenue Refunding Bonds, Series 2002: | ||||||||||||||||||
| 5,000 | 5.000%, 7/01/19 – NPFG Insured | No Opt. Call | BBB+ | 5,616,800 | ||||||||||||||
| 5,000 | 5.000%, 7/01/20 – NPFG Insured | No Opt. Call | BBB+ | 5,626,400 | ||||||||||||||
| 35,460 | Total Utilities | 37,574,570 | ||||||||||||||||
Water and Sewer – 9.0% | ||||||||||||||||||
| 160 | Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Refunding Series 2005B, 4.400%, 8/01/29 – SYNCORA GTY Insured | 8/14 at 100.00 | N/R | 162,147 | ||||||||||||||
| 5,625 | Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax) | 9/17 at 100.00 | N/R | 5,860,181 | ||||||||||||||
Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: | ||||||||||||||||||
| 3,840 | 5.000%, 11/15/30 – NPFG Insured | 11/15 at 100.00 | A1 | 4,221,504 | ||||||||||||||
| 4,670 | 5.000%, 8/15/35 – NPFG Insured | 11/15 at 100.00 | A1 | 5,143,164 | ||||||||||||||
| Nuveen Investments | 25 |
Portfolio of Investments (Unaudited)
Nuveen Connecticut Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Water and Sewer (continued) | ||||||||||||||||||
| $ | 2,350 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40 | 7/20 at 100.00 | Ba2 | $ | 2,414,461 | ||||||||||||
| 1,000 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue Bonds, Second Generation Resolution, Fiscal 2011 Series EE, 5.375%, 6/15/43 | 12/20 at 100.00 | AA+ | 1,173,500 | ||||||||||||||
| 1,140 | Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38 | 7/18 at 100.00 | Baa2 | 1,215,058 | ||||||||||||||
| 3,000 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/20 – NPFG Insured | 8/13 at 100.00 | Aa3 | 3,116,400 | ||||||||||||||
| 2,760 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth Series, 2007A, 5.000%, 8/01/30 – NPFG Insured | 8/16 at 100.00 | Aa3 | 3,060,040 | ||||||||||||||
| 2,000 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Seventh Series, 2012, 5.000%, 8/01/30 – FGIC Insured | 8/22 at 100.00 | Aa3 | 2,394,940 | ||||||||||||||
| 4,130 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41 | 8/21 at 100.00 | Aa3 | 4,690,606 | ||||||||||||||
| 550 | Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 | 11/13 at 100.00 | AA+ | 576,120 | ||||||||||||||
| 31,225 | Total Water and Sewer | 34,028,121 | ||||||||||||||||
| $ | 356,595 | Total Investments (cost $352,749,344) – 100.1% | 379,348,722 | |||||||||||||||
Floating Rate Obligations – (2.6)% | (10,000,000) | |||||||||||||||||
Other Assets Less Liabilities – 2.5% | 9,676,085 | |||||||||||||||||
Net Assets – 100% | $ | 379,024,807 | ||||||||||||||||
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (3) | Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (4) | At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records. |
| (5) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. |
| N/R | Not rated. |
| (ETM) | Escrowed to maturity. |
| (UB) | Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information. |
See accompanying notes to financial statements.
| 26 | Nuveen Investments |
Portfolio of Investments (Unaudited)
Nuveen Massachusetts Municipal Bond Fund
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Consumer Discretionary – 0.5% | ||||||||||||||||||
| $ | 1,425 | Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) | 3/13 at 102.00 | Caa3 | $ | 1,116,416 | ||||||||||||
Consumer Staples – 0.8% | ||||||||||||||||||
| 730 | Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 | 11/12 at 100.00 | BBB+ | 729,985 | ||||||||||||||
| 1,000 | Virgin Islands Public Finance Authority, Matching Fund Revenue Loan Note – Diageo Project, Series 2009A, 6.625%, 10/01/29 | 10/19 at 100.00 | BBB | 1,178,030 | ||||||||||||||
| 1,730 | Total Consumer Staples | 1,908,015 | ||||||||||||||||
Education and Civic Organizations – 25.2% | ||||||||||||||||||
| 1,270 | Massachusetts Development Finance Agency, Revenue Bonds, Bentley University, Series 2010, 5.000%, 7/01/28 | 7/20 at 100.00 | A3 | 1,411,884 | ||||||||||||||
| 1,500 | Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2010R-1, 5.000%, 7/01/40 | 7/20 at 100.00 | AA– | 1,685,145 | ||||||||||||||
| 865 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2005T-1, 5.000%, 10/01/39 – AMBAC Insured | 10/15 at 100.00 | A | 899,885 | ||||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2008U-4, 5.600%, 10/01/35 | 10/19 at 100.00 | A2 | 1,142,360 | ||||||||||||||
| 750 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29 | 10/19 at 100.00 | A | 848,895 | ||||||||||||||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Brandeis University, Series 2008N, 5.000%, 10/01/39 | 10/18 at 100.00 | A1 | 3,242,010 | ||||||||||||||
| 6,000 | Massachusetts Development Finance Agency, Revenue Bonds, Draper Laboratory, Series 2008, 5.875%, 9/01/30 | 9/18 at 100.00 | Aa3 | 6,992,698 | ||||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40 | 1/20 at 100.00 | BBB+ | 1,047,740 | ||||||||||||||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Harvard University, Series 2010B-1, 5.000%, 10/15/40 | 10/20 at 100.00 | AAA | 3,513,270 | ||||||||||||||
| 1,350 | Massachusetts Development Finance Agency, Revenue Bonds, Merrimack College, Series 2012A, 5.250%, 7/01/42 | 7/22 at 100.00 | BBB– | 1,458,635 | ||||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2011A, 5.000%, 7/01/41 | 7/21 at 100.00 | AA | 1,129,710 | ||||||||||||||
| 3,500 | Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37 | 4/21 at 100.00 | AA– | 3,960,320 | ||||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, The Sabis International Charter School, Series 2009A, 8.000%, 4/15/39 | 10/19 at 100.00 | BBB | 1,238,710 | ||||||||||||||
Massachusetts Development Finance Agency, Revenue Bonds, Williston Northampton School, Series 2005B: | ||||||||||||||||||
| 100 | 5.000%, 10/01/25 – SYNCORA GTY Insured | 10/15 at 100.00 | Baa2 | 104,301 | ||||||||||||||
| 3,090 | 5.000%, 10/01/37 – SYNCORA GTY Insured | 10/15 at 100.00 | Baa2 | 3,153,067 | ||||||||||||||
| 895 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 – NPFG Insured | 9/17 at 100.00 | A+ | 958,849 | ||||||||||||||
| 3,000 | Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 1999A, 5.500%, 3/01/29 – ACA Insured | 3/13 at 100.00 | BBB | 3,003,090 | ||||||||||||||
Massachusetts Development Finance Authority, Revenue Bonds, Hampshire College, Series 2004: | ||||||||||||||||||
| 1,000 | 5.625%, 10/01/24 | 10/14 at 100.00 | BBB | 1,035,990 | ||||||||||||||
| 1,000 | 5.700%, 10/01/34 | 10/14 at 100.00 | BBB | 1,030,590 | ||||||||||||||
| 3,075 | Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured | 7/15 at 100.00 | AA– | 3,265,681 | ||||||||||||||
| Nuveen Investments | 27 |
Portfolio of Investments (Unaudited)
Nuveen Massachusetts Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Education and Civic Organizations (continued) | ||||||||||||||||||
| $ | 2,100 | Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured | No Opt. Call | A | $ | 2,764,083 | ||||||||||||
| 1,840 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H, 6.350%, 1/01/30 – AGC Insured (Alternative Minimum Tax) | 1/18 at 100.00 | AA | 2,059,291 | ||||||||||||||
| 1,840 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2009I, 6.000%, 1/01/28 | 1/20 at 100.00 | AA | 2,143,563 | ||||||||||||||
| 1,500 | Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%, 7/01/33 (Alternative Minimum Tax) | 7/21 at 100.00 | AA | 1,606,530 | ||||||||||||||
| 800 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Harvard University, Tender Option Bond Trust 2010-20W, 13.815%, 12/15/34 (IF) (4) | 12/19 at 100.00 | AAA | 1,210,808 | ||||||||||||||
| 1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lesley University, Series 2009A, 5.000%, 7/01/29 – AGC Insured | 7/19 at 100.00 | AA– | 1,120,400 | ||||||||||||||
| 3,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series 2008O, 5.375%, 8/15/38 | 8/18 at 100.00 | Aa2 | 3,645,630 | ||||||||||||||
| 1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, University of Massachusetts, Series 2005D, 5.250%, 10/01/24 – FGIC Insured | 10/14 at 100.00 | AA | 1,086,210 | ||||||||||||||
| 500 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26 | 7/13 at 100.00 | AA+ | 515,510 | ||||||||||||||
| 610 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 | 7/16 at 100.00 | AA+ | 686,561 | ||||||||||||||
| 1,500 | Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Suffolk University Issue, Series 2009A, 5.750%, 7/01/39 | 7/19 at 100.00 | BBB | 1,672,110 | ||||||||||||||
| 53,085 | Total Education and Civic Organizations | 59,633,526 | ||||||||||||||||
Health Care – 15.7% | ||||||||||||||||||
Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G: | ||||||||||||||||||
| 3,005 | 5.000%, 10/01/28 | 10/21 at 100.00 | A3 | 3,346,879 | ||||||||||||||
| 500 | 5.000%, 10/01/30 | 10/21 at 100.00 | A3 | 554,015 | ||||||||||||||
| 2,410 | Massachusetts Development Finance Authority, Revenue Bonds, Northern Berkshire Community Services Inc., Series 1999A, 6.250%, 8/15/29 – ACA Insured (5) | 2/13 at 100.00 | N/R | 1,340,201 | ||||||||||||||
| 1,500 | Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center Issue, Series 2008A, 6.500%, 1/15/38 (6) | 1/18 at 100.00 | N/R | 7,560 | ||||||||||||||
| 2,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I, 5.750%, 7/01/36 | 7/19 at 100.00 | A+ | 2,235,840 | ||||||||||||||
| 3,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston Medical Center, Series 2008B, 5.250%, 7/01/38 | 7/18 at 100.00 | BBB+ | 3,154,170 | ||||||||||||||
| 3,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 – RAAI Insured | 11/12 at 100.50 | BBB+ | 3,032,100 | ||||||||||||||
| 1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2004D, 5.125%, 11/15/35 – AGC Insured | 11/19 at 100.00 | AA– | 1,092,990 | ||||||||||||||
| 1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Auction Rate Series 2004D, 5.250%, 7/01/24 – NPFG Insured | 7/18 at 100.00 | A– | 1,128,100 | ||||||||||||||
| 350 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B1 Capital Asset Program Converted June 13,2008, 5.375%, 2/01/28 – NPFG Insured | 8/18 at 100.00 | A– | 392,431 | ||||||||||||||
| 28 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Health Care (continued) | ||||||||||||||||||
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B2, Capital Asset Program, Converted June 9, 2009: | ||||||||||||||||||
| $ | 500 | 5.000%, 2/01/25 – NPFG Insured | 8/18 at 100.00 | A– | $ | 555,290 | ||||||||||||
| 100 | 5.375%, 2/01/27 – NPFG Insured | 8/18 at 100.00 | A– | 112,578 | ||||||||||||||
| 2,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Dartmouth-Hitchcock Obligated Group, Series 2002, 5.125%, 8/01/22 – AGM Insured | 2/13 at 100.00 | AA– | 2,004,120 | ||||||||||||||
| 1,450 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 – RAAI Insured | 8/15 at 100.00 | N/R | 1,387,027 | ||||||||||||||
| 1,500 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Harvard Pilgrim Healthcare, Series 1998A, 4.750%, 7/01/22 – AGM Insured | 1/13 at 100.00 | AA– | 1,502,535 | ||||||||||||||
| 3,400 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured | 8/15 at 100.00 | A+ | 3,590,332 | ||||||||||||||
| 2,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28 | 8/17 at 100.00 | A+ | 2,146,180 | ||||||||||||||
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E: | ||||||||||||||||||
| 2,040 | 5.000%, 7/15/32 | 7/17 at 100.00 | BBB– | 2,057,870 | ||||||||||||||
| 1,000 | 5.000%, 7/15/37 | 7/17 at 100.00 | BBB– | 1,002,730 | ||||||||||||||
| 115 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Millford-Whitinsville Regional Hospital, Series 1998C, 5.750%, 7/15/13 | 1/13 at 100.00 | BBB– | 115,273 | ||||||||||||||
| 1,400 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 | 7/15 at 100.00 | BB– | 1,414,560 | ||||||||||||||
| 954 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2012A, 6.375%, 7/01/34 | 7/14 at 100.00 | D | 821,709 | ||||||||||||||
| 741 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2012B, 6.375%, 7/01/34 | 7/14 at 100.00 | D | 74,152 | ||||||||||||||
| 1,152 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2012C, 6.625%, 2/15/43 | 11/12 at 103.00 | N/R | 12 | ||||||||||||||
| 4,065 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 | 7/15 at 100.00 | A– | 4,171,014 | ||||||||||||||
| 40,182 | Total Health Care | 37,239,668 | ||||||||||||||||
Housing/Multifamily – 4.5% | ||||||||||||||||||
| 1,535 | Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 4/01/20 – AGM Insured | 4/18 at 100.00 | AA– | 1,744,328 | ||||||||||||||
| 3,170 | Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 | 7/17 at 100.00 | BB | 3,296,388 | ||||||||||||||
| 2,535 | Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 | 12/12 at 100.00 | N/R | 2,539,563 | ||||||||||||||
| 500 | Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) | 6/13 at 100.00 | AA– | 504,890 | ||||||||||||||
| 2,575 | Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 | 5/13 at 102.00 | N/R | 2,657,246 | ||||||||||||||
| 10,315 | Total Housing/Multifamily | 10,742,415 | ||||||||||||||||
Housing/Single Family – 0.6% | ||||||||||||||||||
| 925 | Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 3145, 15.369%, 6/01/16 (IF) | No Opt. Call | AA | 1,116,873 | ||||||||||||||
| Nuveen Investments | 29 |
Portfolio of Investments (Unaudited)
Nuveen Massachusetts Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Housing/Single Family (continued) | ||||||||||||||||||
| $ | 245 | Puerto Rico Housing Finance Authority, Mortgage-Backed Securities Program Home Mortgage Revenue Bonds, Series 2003A, 4.875%, 6/01/34 (Alternative Minimum Tax) | 6/13 at 100.00 | Aaa | $ | 246,708 | ||||||||||||
| 1,170 | Total Housing/Single Family | 1,363,581 | ||||||||||||||||
Industrials – 0.3% | ||||||||||||||||||
| 245 | Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) | No Opt. Call | N/R | 243,344 | ||||||||||||||
| 400 | Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 | No Opt. Call | BBB | 430,540 | ||||||||||||||
| 645 | Total Industrials | 673,884 | ||||||||||||||||
Long-Term Care – 3.6% | ||||||||||||||||||
| 1,500 | Massachusetts Development Finance Agency, Human Service Provider Revenue Bonds, Seven Hills Foundation and Affiliates Issue, Series 2005, 5.000%, 9/01/35 – RAAI Insured | 9/15 at 100.00 | BBB– | 1,456,110 | ||||||||||||||
| 240 | Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30 | 12/19 at 100.00 | A– | 262,502 | ||||||||||||||
| 4,220 | Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26 | 10/12 at 102.00 | N/R | 4,272,327 | ||||||||||||||
| 45 | Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire Retirement Community – Edgecombe Project, Series 2001A, 6.750%, 7/01/21 | 1/13 at 101.00 | BBB | 45,537 | ||||||||||||||
| 1,790 | Massachusetts Development Finance Authority, Revenue Bonds, May Institute, Series 1999, 5.750%, 9/01/24 – RAAI Insured | 3/13 at 100.00 | BBB– | 1,791,074 | ||||||||||||||
| 75 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cable Housing and Health Services, Series 1993A, 5.625%, 7/01/13 – NPFG Insured | 1/13 at 100.00 | BBB | 75,257 | ||||||||||||||
| 610 | Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17 | 1/13 at 100.00 | BBB | 610,598 | ||||||||||||||
| 8,480 | Total Long-Term Care | 8,513,405 | ||||||||||||||||
Tax Obligation/General – 8.2% | ||||||||||||||||||
| 500 | Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured | 5/15 at 100.00 | Aa2 | 559,430 | ||||||||||||||
Fall River, Massachusetts, General Obligation Bonds, Series 2003: | ||||||||||||||||||
| 1,520 | 5.250%, 2/01/17 – AGM Insured | 2/13 at 101.00 | AA– | 1,564,658 | ||||||||||||||
| 1,000 | 5.000%, 2/01/21 – AGM Insured | 2/13 at 101.00 | AA– | 1,021,870 | ||||||||||||||
| 1,750 | Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32 | 2/20 at 100.00 | AA | 2,010,593 | ||||||||||||||
| 1,200 | Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 | No Opt. Call | AA+ | 1,593,984 | ||||||||||||||
| 1,000 | North Reading, Massachusetts, General Obligation Bonds, Series 2012, 5.000%, 5/15/35 – AMBAC Insured | 5/22 at 100.00 | Aa2 | 1,168,660 | ||||||||||||||
| 1,350 | Norwell, Massachusetts, General Obligation Bonds, Series 2005, 5.000%, 2/15/25 – AMBAC Insured | 2/15 at 101.00 | AAA | 1,493,478 | ||||||||||||||
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A: | ||||||||||||||||||
| 275 | 5.500%, 7/01/16 – AGM Insured | No Opt. Call | AA– | 312,353 | ||||||||||||||
| 1,490 | 5.500%, 7/01/17 – AGM Insured | No Opt. Call | AA– | 1,715,795 | ||||||||||||||
| 980 | 5.500%, 7/01/19 – AGM Insured | No Opt. Call | AA– | 1,134,899 | ||||||||||||||
| 4,300 | Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – FGIC Insured | No Opt. Call | Baa1 | 4,849,797 | ||||||||||||||
| 1,000 | Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.125%, 12/01/33 | 12/20 at 100.00 | Aa2 | 1,160,500 | ||||||||||||||
| 30 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/General (continued) | ||||||||||||||||||
| $ | 690 | Westfield, Massachusetts, General Obligation Bonds, Series 2004, 5.000%, 8/01/19 – AMBAC Insured | 8/14 at 100.50 | A+ | $ | 743,972 | ||||||||||||
| 120 | Worcester, Massachusetts, General Obligation Bonds, Series 2001A, 5.500%, 8/15/18 – FGIC Insured | 2/13 at 100.00 | AA– | 120,373 | ||||||||||||||
| 17,175 | Total Tax Obligation/General | 19,450,362 | ||||||||||||||||
Tax Obligation/Limited – 12.4% | ||||||||||||||||||
| 800 | Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/37 | 1/22 at 100.00 | A | 885,072 | ||||||||||||||
| 680 | Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2002, 5.000%, 5/01/32 – AMBAC Insured | 5/13 at 100.00 | A– | 696,538 | ||||||||||||||
| 395 | Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 – AMBAC Insured | 5/14 at 100.00 | A– | 418,708 | ||||||||||||||
| 2,500 | Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured | 5/18 at 100.00 | Aa2 | 2,784,175 | ||||||||||||||
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B: | ||||||||||||||||||
| 2,025 | 5.375%, 5/01/22 – SYNCORA GTY Insured | No Opt. Call | Aa2 | 2,579,020 | ||||||||||||||
| 1,125 | 5.375%, 5/01/23 – SYNCORA GTY Insured | No Opt. Call | Aa2 | 1,442,183 | ||||||||||||||
| 1,145 | Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37 | 5/22 at 100.00 | AA | 1,325,990 | ||||||||||||||
| 3,200 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 – AGM Insured | 8/15 at 100.00 | AA+ | 3,600,800 | ||||||||||||||
| 1,350 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A, 5.000%, 8/15/22 – AMBAC Insured | 8/17 at 100.00 | AA+ | 1,580,756 | ||||||||||||||
| 2,000 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41 | 10/21 at 100.00 | AA+ | 2,311,040 | ||||||||||||||
| 1,130 | Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured | No Opt. Call | A1 | 1,347,808 | ||||||||||||||
| 1,650 | Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 – AGM Insured | No Opt. Call | AAA | 1,750,766 | ||||||||||||||
| 475 | Puerto Rico Convention Center District Authority, Hotel Occupancy Tax Revenue Bonds, Series 2006A, 4.500%, 7/01/36 – CIFG Insured | 7/16 at 100.00 | BBB+ | 469,837 | ||||||||||||||
| 1,650 | Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2004J, 5.000%, 7/01/18 – NPFG Insured | 7/14 at 100.00 | Baa1 | 1,718,739 | ||||||||||||||
| 5,000 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.500%, 8/01/37 | 2/20 at 100.00 | A+ | 5,415,349 | ||||||||||||||
| 1,000 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2011A-1, 5.000%, 8/01/43 | 8/21 at 100.00 | A+ | 1,050,980 | ||||||||||||||
| 26,125 | Total Tax Obligation/Limited | 29,377,761 | ||||||||||||||||
Transportation – 7.5% | ||||||||||||||||||
| 1,765 | Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, Senior Lien Series 2010B, 5.000%, 1/01/32 | 1/20 at 100.00 | A+ | 1,971,734 | ||||||||||||||
| 2,000 | Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30 | 7/20 at 100.00 | AA | 2,321,980 | ||||||||||||||
| 1,000 | Massachusetts Port Authority, Revenue Bonds, Series 2003C, 5.000%, 7/01/18 – NPFG Insured | 7/13 at 100.00 | AA | 1,035,570 | ||||||||||||||
| 1,650 | Massachusetts Port Authority, Revenue Bonds, Series 2012A, 5.000%, 7/01/42 (Alternative Minimum Tax) | 7/22 at 100.00 | AA | 1,830,411 | ||||||||||||||
| 2,600 | Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax) | 7/17 at 100.00 | A2 | 2,711,358 | ||||||||||||||
| Nuveen Investments | 31 |
Portfolio of Investments (Unaudited)
Nuveen Massachusetts Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Transportation (continued) | ||||||||||||||||||
| $ | 500 | Massachusetts Port Authority, Special Facilities Revenue Bonds, ConRac Project, Series 2011A, 5.125%, 7/01/41 | 7/21 at 100.00 | A | $ | 557,835 | ||||||||||||
| 4,055 | Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax) | 1/13 at 100.00 | N/R | 3,922,564 | ||||||||||||||
| 820 | Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Senior Lien Parking Revenue Bonds, Series 2011, 5.000%, 7/01/41 | 7/21 at 100.00 | A+ | 904,534 | ||||||||||||||
| 2,250 | New York State Thruway Authority, General Revenue Bonds, Series 2005G, 5.000%, 1/01/32 – AGM Insured | 7/15 at 100.00 | AA– | 2,480,468 | ||||||||||||||
| 16,640 | Total Transportation | 17,736,454 | ||||||||||||||||
U.S. Guaranteed – 4.0% (7) | ||||||||||||||||||
| 850 | Beverly, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/01/21 (Pre-refunded 11/01/13) – NPFG Insured | 11/13 at 100.00 | Aa2 (7) | 897,294 | ||||||||||||||
| 1,115 | Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 (Pre-refunded 3/01/17) | 3/17 at 100.00 | N/R (7) | 1,283,945 | ||||||||||||||
| 75 | Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 5.000%, 7/01/26 (Pre-refunded 7/01/18) | 7/18 at 100.00 | AAA | 92,845 | ||||||||||||||
| 1,375 | Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 (Pre-refunded 5/01/16) – AMBAC Insured | 5/16 at 100.00 | Aa2 (7) | 1,600,720 | ||||||||||||||
| 50 | Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 (Pre-refunded 7/01/13) | 7/13 at 101.00 | A (7) | 53,053 | ||||||||||||||
| 750 | Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 (Pre-refunded 9/01/13) | 9/13 at 100.00 | AA– (7) | 785,235 | ||||||||||||||
| 295 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured | 7/21 at 100.00 | BBB (7) | 361,239 | ||||||||||||||
| 100 | Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM) | 11/12 at 100.00 | AAA | 109,618 | ||||||||||||||
| 3,835 | Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/24 (Pre-refunded 7/01/13) – NPFG Insured | 7/13 at 100.00 | AA (7) | 3,987,019 | ||||||||||||||
| 350 | Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2004J, 5.000%, 7/01/18 (Pre-refunded 7/01/14) | 7/14 at 100.00 | Baa1 (7) | 380,086 | ||||||||||||||
| 8,795 | Total U.S. Guaranteed | 9,551,054 | ||||||||||||||||
Utilities – 3.9% | ||||||||||||||||||
| 1,435 | Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 – AGM Insured | 10/20 at 100.00 | AA– | 1,575,300 | ||||||||||||||
| 2,500 | Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/16 – NPFG Insured | 1/13 at 100.00 | BBB | 2,525,850 | ||||||||||||||
| 500 | Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Dominion Energy Brayton Point Project, Refunding Series 2009, 5.750%, 12/01/42 (Mandatory put 5/01/19) | No Opt. Call | A– | 600,015 | ||||||||||||||
| 1,000 | Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) | 12/12 at 100.00 | A– | 1,005,000 | ||||||||||||||
| 485 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2012A, 5.000%, 7/01/42 | 7/22 at 100.00 | BBB+ | 496,514 | ||||||||||||||
| 2,900 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2004PP, 5.000%, 7/01/22 – FGIC Insured | 7/14 at 100.00 | BBB+ | 3,063,038 | ||||||||||||||
| 8,820 | Total Utilities | 9,265,717 | ||||||||||||||||
| 32 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Water and Sewer – 8.5% | ||||||||||||||||||
| $ | 1,700 | Atlanta, Georgia, Water and Wastewater Revenue Bonds, Series 2009B, 5.375%, 11/01/39 – AGM Insured | 11/19 at 100.00 | AA– | $ | 1,942,658 | ||||||||||||
| 1,000 | Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Lien Refunding Series 2010A, 5.000%, 11/01/30 | 11/19 at 100.00 | AA | 1,177,790 | ||||||||||||||
| 60 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22 | 8/13 at 100.00 | AAA | 62,407 | ||||||||||||||
| 380 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10, 5.000%, 8/01/26 | 8/14 at 100.00 | AAA | 408,667 | ||||||||||||||
| 1,000 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19 – AGM Insured | No Opt. Call | AA+ | 1,253,170 | ||||||||||||||
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A: | ||||||||||||||||||
| 1,650 | 5.000%, 8/01/27 – NPFG Insured | 8/17 at 100.00 | AA+ | 1,922,036 | ||||||||||||||
| 750 | 5.000%, 8/01/28 – NPFG Insured | 8/17 at 100.00 | AA+ | 858,705 | ||||||||||||||
| 2,080 | 5.000%, 8/01/29 – NPFG Insured | 8/17 at 100.00 | AA+ | 2,381,475 | ||||||||||||||
| 2,500 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005B, 5.000%, 8/01/35 – NPFG Insured | 8/17 at 100.00 | AA+ | 2,873,000 | ||||||||||||||
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A: | ||||||||||||||||||
| 1,500 | 5.000%, 8/01/31 – AMBAC Insured | 8/16 at 100.00 | AA+ | 1,692,000 | ||||||||||||||
| 2,000 | 4.000%, 8/01/46 | 8/16 at 100.00 | AA+ | 2,022,300 | ||||||||||||||
| 760 | Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38 | 7/18 at 100.00 | Baa2 | 810,038 | ||||||||||||||
| 1,500 | Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B, 5.000%, 11/15/30 – AGC Insured | 11/20 at 100.00 | AA– | 1,758,975 | ||||||||||||||
| 1,000 | Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Series 2003A, 5.000%, 7/01/23 – NPFG Insured | 7/14 at 100.00 | A+ | 1,066,890 | ||||||||||||||
| 17,880 | Total Water and Sewer | 20,230,111 | ||||||||||||||||
| $ | 212,467 | Total Investments (cost $209,913,412) – 95.7% | 226,802,369 | |||||||||||||||
Other Assets Less Liabilities – 4.3% | 10,144,001 | |||||||||||||||||
Net Assets – 100% | $ | 236,946,370 | ||||||||||||||||
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (3) | Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (4) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. |
| (5) | Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information. |
| (6) | At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records. |
| (7) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. |
| N/R | Not rated. |
| (ETM) | Escrowed to maturity. |
| (IF) | Inverse floating rate investment. |
See accompanying notes to financial statements.
| Nuveen Investments | 33 |
Portfolio of Investments (Unaudited)
Nuveen New Jersey Municipal Bond Fund
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Consumer Discretionary – 0.1% | ||||||||||||||||||
Middlesex County Improvement Authority, New Jersey, Senior Revenue Bonds, Heldrich Center Hotel/Conference Center Project, Series 2005A: | ||||||||||||||||||
| $ | 280 | 5.000%, 1/01/32 | 1/15 at 100.00 | B3 | $ | 180,317 | ||||||||||||
| 240 | 5.125%, 1/01/37 | 1/15 at 100.00 | B3 | 154,608 | ||||||||||||||
| 520 | Total Consumer Discretionary | 334,925 | ||||||||||||||||
Consumer Staples – 3.8% | ||||||||||||||||||
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2007-1A: | ||||||||||||||||||
| 4,215 | 4.500%, 6/01/23 | 6/17 at 100.00 | B1 | 4,046,484 | ||||||||||||||
| 7,010 | 4.750%, 6/01/34 | 6/17 at 100.00 | B2 | 5,768,107 | ||||||||||||||
| 1,715 | 5.000%, 6/01/41 | 6/17 at 100.00 | B2 | 1,430,293 | ||||||||||||||
| 12,940 | Total Consumer Staples | 11,244,884 | ||||||||||||||||
Education and Civic Organizations – 11.0% | ||||||||||||||||||
| 2,000 | District of Columbia, Revenue Bonds, National Public Radio, Series 2010A, 5.000%, 4/01/43 | 4/15 at 100.00 | AA– | 2,156,860 | ||||||||||||||
| 375 | New Jersey Economic Development Authority, Revenue Bonds, The Seeing Eye Inc., Series 2005, 5.000%, 12/01/24 – AMBAC Insured | 6/15 at 100.00 | N/R | 398,539 | ||||||||||||||
| 2,500 | New Jersey Educational Facilities Authority, Revenue Bonds, Fairleigh Dickinson University, Series 2002D, 5.250%, 7/01/32 – ACA Insured | 7/13 at 100.00 | BBB | 2,516,425 | ||||||||||||||
| 1,000 | New Jersey Educational Facilities Authority, Revenue Bonds, Fairleigh Dickinson University, Series 2004C, 5.500%, 7/01/23 | 7/14 at 100.00 | BBB | 1,031,750 | ||||||||||||||
| 1,495 | New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Series 2007D, 5.000%, 7/01/32 – FGIC Insured | 7/17 at 100.00 | A2 | 1,607,962 | ||||||||||||||
| 45 | New Jersey Educational Facilities Authority, Revenue Bonds, Montclair State University, Series 2004L, 5.125%, 7/01/21 – NPFG Insured | 7/14 at 100.00 | AA– | 48,444 | ||||||||||||||
| 1,400 | New Jersey Educational Facilities Authority, Revenue Bonds, Montclair State University, Series 2005F, 5.000%, 7/01/16 – FGIC Insured | 7/15 at 100.00 | A1 | 1,555,414 | ||||||||||||||
| 1,035 | New Jersey Educational Facilities Authority, Revenue Bonds, Montclair State University, Series 2006A, 5.000%, 7/01/36 – AMBAC Insured | 7/16 at 100.00 | AA– | 1,093,809 | ||||||||||||||
New Jersey Educational Facilities Authority, Revenue Bonds, Princeton University, Series 2005A: | ||||||||||||||||||
| 465 | 5.000%, 7/01/23 | 7/15 at 100.00 | AAA | 518,140 | ||||||||||||||
| 465 | 5.000%, 7/01/24 | 7/15 at 100.00 | AAA | 518,140 | ||||||||||||||
New Jersey Educational Facilities Authority, Revenue Bonds, Ramapo College, Series 2012B: | ||||||||||||||||||
| 450 | 5.000%, 7/01/37 | 7/22 at 100.00 | A | 508,329 | ||||||||||||||
| 100 | 5.000%, 7/01/42 | 7/22 at 100.00 | A | 113,229 | ||||||||||||||
| 2,000 | New Jersey Educational Facilities Authority, Revenue Bonds, Richard Stockton College of New Jersey, Refunding Series 2008A, 5.375%, 7/01/38 | 7/18 at 100.00 | A+ | 2,221,280 | ||||||||||||||
New Jersey Educational Facilities Authority, Revenue Bonds, Rider University, Series 2012A: | ||||||||||||||||||
| 350 | 5.000%, 7/01/32 | 7/21 at 100.00 | BBB+ | 386,638 | ||||||||||||||
| 230 | 5.000%, 7/01/37 | 7/21 at 100.00 | BBB+ | 249,904 | ||||||||||||||
| 500 | New Jersey Educational Facilities Authority, Revenue Bonds, Rowan College, Series 2007B, 4.250%, 7/01/34 – FGIC Insured | 7/17 at 100.00 | A+ | 515,490 | ||||||||||||||
| 1,840 | New Jersey Educational Facilities Authority, Revenue Refunding Bonds, Kean University, Series 2009A, 5.500%, 9/01/36 – AGC Insured | 9/19 at 100.00 | AA– | 2,096,717 | ||||||||||||||
| 2,500 | New Jersey Educational Facilities Authority, Revenue Refunding Bonds, University of Medicine and Dentistry of New Jersey, Series 2009B, 7.500%, 12/01/32 | 6/19 at 100.00 | A– | 3,138,275 | ||||||||||||||
| 510 | New Jersey Higher Education Assistance Authority Student Loan Revenue Bonds Series 2010-2, 5.000%, 12/01/30 | 12/20 at 100.00 | Aa3 | 566,115 | ||||||||||||||
| 34 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Education and Civic Organizations (continued) | ||||||||||||||||||
| $ | 4,000 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2008A, 6.125%, 6/01/30 – AGC Insured (Alternative Minimum Tax) | 6/18 at 100.00 | AA– | $ | 4,464,000 | ||||||||||||
| 630 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2010-1A, 5.000%, 12/01/25 | 12/19 at 100.00 | AA | 693,743 | ||||||||||||||
| 2,125 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2012-1A, 4.375%, 12/01/26 (Alternative Minimum Tax) | 12/22 at 100.00 | AA | 2,207,323 | ||||||||||||||
| 1,425 | New Jersey Institute of Technology, New Jersey, General Obligation Bonds, Series 2012A, 5.000%, 7/01/42 | 7/22 at 100.00 | A+ | 1,622,462 | ||||||||||||||
| 550 | Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System Project, Refunding Series 2012, 5.125%, 4/01/32 | 4/22 at 100.00 | BBB– | 560,192 | ||||||||||||||
| 150 | Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Inter-American University of Puerto Rico Project, Refunding Series 2012, 5.000%, 10/01/31 | 10/22 at 100.00 | A– | 166,349 | ||||||||||||||
| 1,500 | Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Refunding Bonds, Ana G. Mendez University System, Series 2002, 5.500%, 12/01/31 | 12/12 at 101.00 | BBB– | 1,509,570 | ||||||||||||||
| 29,640 | Total Education and Civic Organizations | 32,465,099 | ||||||||||||||||
Financials – 0.6% | ||||||||||||||||||
| 750 | New Jersey Economic Development Authority, Industrial Development Revenue Refunding Bonds, Newark Airport Marriott Hotel, Series 1996, 7.000%, 10/01/14 | 10/12 at 100.00 | Ba1 | 753,690 | ||||||||||||||
| 1,000 | New Jersey Economic Development Authority, Revenue Refunding Bonds, Kapkowski Road Landfill Project, Series 2002, 5.750%, 10/01/21 | No Opt. Call | Ba2 | 1,110,030 | ||||||||||||||
| 1,750 | Total Financials | 1,863,720 | ||||||||||||||||
Health Care – 18.4% | ||||||||||||||||||
| 2,530 | Camden County Improvement Authority, New Jersey, Healthcare Revenue Bonds, Cooper Health System, Series 2005B, 5.250%, 2/15/27 | 2/15 at 100.00 | BBB | 2,630,492 | ||||||||||||||
| 350 | Camden County Improvement Authority, New Jersey, Revenue Bonds, Cooper Health System, Series 2004A, 5.750%, 2/15/34 | 8/14 at 100.00 | BBB | 357,273 | ||||||||||||||
| 2,955 | Camden County Improvement Authority, New Jersey, Revenue Bonds, Cooper Health System, Series 2005A, 5.000%, 2/15/25 | 2/15 at 100.00 | BBB | 3,057,598 | ||||||||||||||
| 4,225 | New Jersey Health Care Facilities Finance Authority, Revenue Bonds, AHS Hospital Corporation, Series 2008A, 5.000%, 7/01/27 | 7/18 at 100.00 | A1 | 4,554,254 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, FHA-Insured Mortgage Revenue Bonds, Jersey City Medical Center, Series 2001: | ||||||||||||||||||
| 3,080 | 5.000%, 8/01/31 – AMBAC Insured | 2/13 at 100.00 | N/R | 3,083,111 | ||||||||||||||
| 155 | 5.000%, 8/01/41 – AMBAC Insured | 2/13 at 100.00 | N/R | 155,119 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters University Hospital, Refunding Series 2011: | ||||||||||||||||||
| 800 | 6.000%, 7/01/26 | 7/21 at 100.00 | BBB– | 908,784 | ||||||||||||||
| 75 | 6.250%, 7/01/35 | 7/21 at 100.00 | BBB– | 85,798 | ||||||||||||||
| 1,160 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Atlanticare Regional Medical Center, Series 2007, 5.000%, 7/01/37 | 7/17 at 100.00 | A+ | 1,223,232 | ||||||||||||||
| 1,500 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, CentraState Medical Center, Series 2006A, 5.000%, 7/01/30 – AGC Insured | 7/17 at 100.00 | Aa3 | 1,607,805 | ||||||||||||||
| 140 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Children’s Specialized Hospital, Series 2005A, 5.500%, 7/01/36 | 7/15 at 100.00 | BBB | 143,695 | ||||||||||||||
| Nuveen Investments | 35 |
Portfolio of Investments (Unaudited)
Nuveen New Jersey Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Health Care (continued) | ||||||||||||||||||
| $ | 2,000 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hunterdon Medical Center, Series 2006B, 5.000%, 7/01/26 | 7/16 at 100.00 | A | $ | 2,079,340 | ||||||||||||
| 1,710 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hunterdon Medical Center, Series 2006, 5.125%, 7/01/35 | 7/16 at 100.00 | A | 1,775,493 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Kennedy Health System Obligated Group Issue, Refunding Series 2012: | ||||||||||||||||||
| 625 | 5.000%, 7/01/31 | 7/22 at 100.00 | A3 | 686,300 | ||||||||||||||
| 1,500 | 5.000%, 7/01/42 | 7/22 at 100.00 | A3 | 1,631,700 | ||||||||||||||
| 5,410 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Meridian Health, Series 2007-I, 5.000%, 7/01/38 – AGC Insured | 7/18 at 100.00 | AA– | 5,797,680 | ||||||||||||||
| 305 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Palisades Medical Center of New York Presbyterian Healthcare System, Series 2002, 6.625%, 7/01/31 | 7/13 at 100.00 | BB+ | 308,026 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, RWJ Health Care Corporation, Series 2005B: | ||||||||||||||||||
| 2,500 | 5.000%, 7/01/25 – RAAI Insured | 7/15 at 100.00 | N/R | 2,526,125 | ||||||||||||||
| 900 | 5.000%, 7/01/35 – RAAI Insured | 7/15 at 100.00 | N/R | 906,669 | ||||||||||||||
| 15,250 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Barnabas Health Care System, Refunding Series 2006B, 0.000%, 7/01/35 | 1/17 at 39.39 | BBB+ | 4,670,618 | ||||||||||||||
| 360 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Barnabas Health Care System, Refunding Series 2011A, 5.625%, 7/01/37 | 7/21 at 100.00 | BBB | 399,334 | ||||||||||||||
| 750 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Barnabas Health Care System, Series 2006A, 5.000%, 7/01/29 | 1/17 at 100.00 | BBB | 771,255 | ||||||||||||||
| 3,050 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Joseph’s Healthcare System Obligated Group Issue, Series 2008, 6.625%, 7/01/38 | 7/18 at 100.00 | BBB– | 3,530,497 | ||||||||||||||
| 1,315 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Shore Memorial Health System, Series 2003, 5.000%, 7/01/23 – RAAI Insured | 7/13 at 100.00 | N/R | 1,321,088 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Somerset Medical Center, Series 2003: | ||||||||||||||||||
| 1,125 | 5.500%, 7/01/23 | 7/13 at 100.00 | Ba2 | 1,135,035 | ||||||||||||||
| 1,785 | 5.500%, 7/01/33 | 7/13 at 100.00 | Ba2 | 1,794,371 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, South Jersey Hospital System, Refunding Series 2006: | ||||||||||||||||||
| 855 | 5.000%, 7/01/25 | 7/16 at 100.00 | A2 | 902,478 | ||||||||||||||
| 100 | 5.000%, 7/01/26 | 7/16 at 100.00 | A2 | 105,131 | ||||||||||||||
| 810 | 5.000%, 7/01/36 | 7/16 at 100.00 | A2 | 841,250 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Refunding Bonds, Bayshore Community Hospital, Series 2002: | ||||||||||||||||||
| 1,710 | 5.000%, 7/01/22 – RAAI Insured | 1/13 at 100.00 | N/R | 1,710,137 | ||||||||||||||
| 1,000 | 5.125%, 7/01/32 – RAAI Insured | 1/13 at 100.00 | N/R | 1,000,080 | ||||||||||||||
| 445 | New Jersey Health Care Facilities Financing Authority, Revenue Refunding Bonds, St. Barnabas Healthcare System, Series 1998B, 4.750%, 7/01/28 – NPFG Insured | 1/13 at 100.00 | BBB+ | 445,205 | ||||||||||||||
| 2,000 | North Carolina Medical Care Commission, Healthcare Facilities Revenue Bonds, Duke University Health System, Series 2009A, 5.000%, 6/01/39 | 6/19 at 100.00 | AA | 2,216,260 | ||||||||||||||
| 62,475 | Total Health Care | 54,361,233 | ||||||||||||||||
Housing/Multifamily – 3.5% | ||||||||||||||||||
| 1,000 | Essex County Improvement Authority, New Jersey, FNMA Enhanced Multifamily Housing Revenue Bonds, Ballantyne House Project, Series 2002, 4.750%, 11/01/22 (Alternative Minimum Tax) | 11/12 at 100.00 | Aaa | 1,002,580 | ||||||||||||||
| 36 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Housing/Multifamily (continued) | ||||||||||||||||||
New Jersey Economic Development Authority, Student Housing Revenue Bonds, Provident Group-Montclair Properties LLC, Montclair State University Student Housing Project, Series 2010A: | ||||||||||||||||||
| $ | 2,055 | 5.750%, 6/01/31 | 6/20 at 100.00 | Baa3 | $ | 2,299,751 | ||||||||||||
| 1,100 | 5.875%, 6/01/42 | 6/20 at 100.00 | Baa3 | 1,220,725 | ||||||||||||||
| 1,500 | New Jersey Housing and Mortgage Finance Agency, Multifamily Housing Revenue Bonds, Series 2000A-1, 6.350%, 11/01/31 – AGM Insured (Alternative Minimum Tax) | 3/13 at 100.00 | AA– | 1,502,880 | ||||||||||||||
| 530 | New Jersey Housing and Mortgage Finance Agency, Multifamily Housing Revenue Bonds, Series 2000E-1, 5.750%, 5/01/25 – AGM Insured | 2/13 at 100.00 | AA– | 531,044 | ||||||||||||||
| 3,000 | New Jersey Housing and Mortgage Finance Agency, Multifamily Housing Revenue Bonds, Series 2009A, 4.950%, 5/01/41 | 11/19 at 100.00 | A+ | 3,204,810 | ||||||||||||||
| 655 | Newark Housing Authority, New Jersey, GNMA Collateralized Housing Revenue Bonds, Fairview Apartments Project, Series 2000A, 6.300%, 10/20/19 (Alternative Minimum Tax) | 10/12 at 100.00 | Aaa | 656,762 | ||||||||||||||
| 9,840 | Total Housing/Multifamily | 10,418,552 | ||||||||||||||||
Housing/Single Family – 1.6% | ||||||||||||||||||
| 1,900 | New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2007T, 4.700%, 10/01/37 (Alternative Minimum Tax) | 4/17 at 100.00 | AA | 1,949,134 | ||||||||||||||
| 2,490 | New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2008AA, 6.375%, 10/01/28 | 10/18 at 100.00 | AA | 2,794,726 | ||||||||||||||
| 50 | Virgin Islands Housing Finance Corporation, GNMA Mortgage-Backed Securities Program Single Family Mortgage Revenue Refunding Bonds, Series 1995A, 6.450%, 3/01/16 (Alternative Minimum Tax) | 3/13 at 100.00 | N/R | 50,146 | ||||||||||||||
| 4,440 | Total Housing/Single Family | 4,794,006 | ||||||||||||||||
Long-Term Care – 3.2% | ||||||||||||||||||
| 735 | Burlington County Bridge Commission, New Jersey, Economic Development Revenue Bonds, The Evergreens Project, Series 2007, 5.625%, 1/01/38 | 1/18 at 100.00 | N/R | 761,783 | ||||||||||||||
| 855 | New Jersey Economic Development Authority, First Mortgage Fixed Rate Revenue Bonds, Cadbury Corporation, Series 1998A, 5.500%, 7/01/18 – ACA Insured | 1/13 at 100.00 | N/R | 855,043 | ||||||||||||||
| 1,975 | New Jersey Economic Development Authority, First Mortgage Revenue Bonds, Winchester Gardens at Wards Homestead, Series 2004A, 5.750%, 11/01/24 | 11/14 at 100.00 | BBB– | 2,029,885 | ||||||||||||||
| 600 | New Jersey Economic Development Authority, Revenue Bonds, Masonic Charity Foundation of New Jersey, Series 2001, 5.875%, 6/01/18 | 6/13 at 100.00 | A– | 607,584 | ||||||||||||||
| 140 | New Jersey Economic Development Authority, Revenue Bonds, Masonic Charity Foundation of New Jersey, Series 2002, 5.250%, 6/01/32 | 6/13 at 102.00 | A– | 144,047 | ||||||||||||||
New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey Obligated Group, Series 1998: | ||||||||||||||||||
| 1,500 | 5.125%, 7/01/25 | 1/13 at 100.00 | BB+ | 1,500,195 | ||||||||||||||
| 1,150 | 6.625%, 7/01/38 | 1/14 at 100.00 | BB+ | 1,169,113 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, House of the Good Shepherd Obligated Group, Series 2001: | ||||||||||||||||||
| 1,000 | 5.100%, 7/01/21 – RAAI Insured | 1/13 at 100.00 | N/R | 1,000,040 | ||||||||||||||
| 1,350 | 5.200%, 7/01/31 – RAAI Insured | 1/13 at 100.00 | N/R | 1,286,334 | ||||||||||||||
| 9,305 | Total Long-Term Care | 9,354,024 | ||||||||||||||||
Tax Obligation/General – 7.8% | ||||||||||||||||||
Jefferson Township School District, Morris County, New Jersey, General Obligation Bonds, Refunding Series 2012: | ||||||||||||||||||
| 755 | 4.000%, 9/15/26 | 9/22 at 100.00 | AA– | 848,922 | ||||||||||||||
| 1,270 | 4.000%, 9/15/27 | 9/22 at 100.00 | AA– | 1,422,032 | ||||||||||||||
| Nuveen Investments | 37 |
Portfolio of Investments (Unaudited)
Nuveen New Jersey Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/General (continued) | ||||||||||||||||||
| $ | 525 | Middletown Township Board of Education, Monmouth County, New Jersey, Refunding Series 2010, 5.000%, 8/01/27 | 8/20 at 100.00 | AA | $ | 618,109 | ||||||||||||
| 620 | Monmouth County Improvement Authority, New Jersey, Governmental Loan Revenue Bonds, Series 2006, 5.000%, 12/01/15 – AMBAC Insured | No Opt. Call | N/R | 678,695 | ||||||||||||||
| 2,500 | Monroe Township Board of Education, Middlesex County, New Jersey, General Obligation Bonds, Refunding Series 2012, 4.000%, 8/01/24 | 8/22 at 100.00 | AA– | 2,857,250 | ||||||||||||||
| 2,750 | Newark Housing Authority, New Jersey, City-Secured Police Facility Revenue Bonds, South Ward Police Facility, Series 2009A, 6.750%, 12/01/38 – AGC Insured | 12/19 at 100.00 | Aa3 | 3,466,348 | ||||||||||||||
Readington Township, New Jersey, General Obligation Bonds, General Improvement Series 2011: | ||||||||||||||||||
| 875 | 5.125%, 1/15/28 | 1/21 at 100.00 | AA | 1,015,595 | ||||||||||||||
| 875 | 5.250%, 1/15/30 | 1/21 at 100.00 | AA | 1,018,719 | ||||||||||||||
South Brunswick Township Board of Education, Middlesex County, New Jersey, General Obligation Bonds, Refunding Series 2012: | ||||||||||||||||||
| 500 | 4.000%, 12/01/22 | 6/22 at 100.00 | AA | 585,950 | ||||||||||||||
| 450 | 4.000%, 12/01/23 | 6/22 at 100.00 | AA | 521,231 | ||||||||||||||
| 305 | 4.000%, 12/01/24 | 6/22 at 100.00 | AA | 350,881 | ||||||||||||||
| 3,685 | Union County Utilities Authority, New Jersey, Resource Recovery Facility Lease Revenue Refunding Bonds, Covantan Union Inc. Lessee, Series 2011B, 5.250%, 12/01/31 (Alternative Minimum Tax) | 12/21 at 100.00 | AA+ | 4,111,944 | ||||||||||||||
| 2,515 | Union County Utilities Authority, New Jersey, Solid Waste System County Deficiency Revenue Bonds, Series 2011, 5.000%, 6/15/41 | 6/21 at 100.00 | AA+ | 2,887,346 | ||||||||||||||
| 300 | Upper Freehold Township, New Jersey, General Obligation Bonds, Series 2012, 3.000%, 12/15/14 | No Opt. Call | AA | 313,944 | ||||||||||||||
| 2,110 | Washington Township Board of Education, Mercer County, New Jersey, General Obligation Bonds, Series 2005, 5.000%, 1/01/21 – AGM Insured | 1/16 at 100.00 | Aa3 | 2,332,858 | ||||||||||||||
| 20,035 | Total Tax Obligation/General | 23,029,824 | ||||||||||||||||
Tax Obligation/Limited – 24.8% | ||||||||||||||||||
| 650 | Bergen County Improvement Authority, New Jersey, Guaranteed Lease Revenue Bonds, County Administration Complex Project, Series 2005, 5.000%, 11/15/26 | No Opt. Call | Aaa | 867,133 | ||||||||||||||
Burlington County Bridge Commission, New Jersey, Guaranteed Pooled Loan Bonds, Series 2003: | ||||||||||||||||||
| 1,000 | 5.000%, 12/01/20 – NPFG Insured | 12/13 at 100.00 | AA | 1,053,790 | ||||||||||||||
| 695 | 5.000%, 12/01/21 – NPFG Insured | 12/13 at 100.00 | AA | 732,384 | ||||||||||||||
| 825 | Essex County Improvement Authority, New Jersey, Project Consolidation Revenue Bonds, Series 2007, 5.250%, 12/15/22 – AMBAC Insured | No Opt. Call | Aa2 | 1,032,991 | ||||||||||||||
| 2,300 | Garden State Preservation Trust, New Jersey, Open Space and Farmland Preservation Bonds, Series 2005A, 5.750%, 11/01/28 – AGM Insured | No Opt. Call | AAA | 3,087,106 | ||||||||||||||
| 900 | Garden State Preservation Trust, New Jersey, Open Space and Farmland Preservation Bonds, Series 2005C, 5.125%, 11/01/18 – AGM Insured | No Opt. Call | AAA | 1,115,271 | ||||||||||||||
| 1,395 | Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.250%, 1/01/36 | 1/22 at 100.00 | A | 1,575,429 | ||||||||||||||
Hudson County Improvement Authority, New Jersey, County Secured Lease Revenue Bonds, County Services Building Project, Series 2005: | ||||||||||||||||||
| 395 | 5.000%, 4/01/25 – AMBAC Insured | 4/15 at 100.00 | AA– | 419,498 | ||||||||||||||
| 920 | 5.000%, 4/01/35 – AMBAC Insured | 4/15 at 100.00 | AA– | 959,210 | ||||||||||||||
| 2,255 | New Jersey Building Authority, State Building Revenue Bonds, Series 2007A, 5.000%, 6/15/27 | 6/16 at 100.00 | A+ | 2,404,033 | ||||||||||||||
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012: | ||||||||||||||||||
| 1,100 | 5.000%, 6/15/19 | No Opt. Call | BBB+ | 1,266,243 | ||||||||||||||
| 700 | 5.000%, 6/15/21 | No Opt. Call | BBB+ | 811,293 | ||||||||||||||
| 1,600 | 5.000%, 6/15/25 | 6/22 at 100.00 | BBB+ | 1,804,032 | ||||||||||||||
| 38 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 1,000 | New Jersey Economic Development Authority, Lease Revenue Bonds, Liberty State Park Project, Series 2005C, 5.000%, 3/01/27 – AGM Insured | 3/15 at 100.00 | AA– | $ | 1,049,920 | ||||||||||||
New Jersey Economic Development Authority, Revenue Bonds, Motor Vehicle Surcharge, Series 2004A: | ||||||||||||||||||
| 2,600 | 5.250%, 7/01/15 – NPFG Insured | 7/14 at 100.00 | A | 2,817,828 | ||||||||||||||
| 1,000 | 5.000%, 7/01/29 – NPFG Insured | 7/14 at 100.00 | A | 1,062,480 | ||||||||||||||
New Jersey Economic Development Authority, Revenue Bonds, Newark Downtown District Management Corporation Project, Series 2007: | ||||||||||||||||||
| 85 | 5.125%, 6/15/27 | 6/17 at 100.00 | Baa3 | 89,162 | ||||||||||||||
| 145 | 5.125%, 6/15/37 | 6/17 at 100.00 | Baa3 | 149,991 | ||||||||||||||
| 830 | New Jersey Economic Development Authority, School Facilities Construction Financing Program Bonds, Series 2007U, 5.000%, 9/01/37 – AMBAC Insured | 9/17 at 100.00 | A+ | 897,529 | ||||||||||||||
| 700 | New Jersey Educational Facilities Authority, Revenue Bonds, Higher Education Capital Improvement Fund, Refunding Series 2005A, 5.000%, 9/01/15 – AGM Insured | No Opt. Call | AA– | 784,049 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, Lease Revenue Bonds, Department of Human Services – Greystone Park Psychiatric Hospital, Series 2005: | ||||||||||||||||||
| 1,050 | 5.000%, 9/15/18 – AMBAC Insured | 9/15 at 100.00 | A+ | 1,149,803 | ||||||||||||||
| 1,875 | 5.000%, 9/15/24 – AMBAC Insured | 9/15 at 100.00 | A+ | 1,988,438 | ||||||||||||||
| 4,495 | 5.000%, 9/15/26 – AMBAC Insured | 9/15 at 100.00 | A+ | 4,735,213 | ||||||||||||||
| 1,325 | 5.000%, 9/15/28 – AMBAC Insured | 9/15 at 100.00 | A+ | 1,391,754 | ||||||||||||||
New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformatiom Program, Series 2008A: | ||||||||||||||||||
| 3,145 | 5.000%, 10/01/28 | 10/18 at 100.00 | A+ | 3,451,040 | ||||||||||||||
| 1,950 | 5.250%, 10/01/38 | 10/18 at 100.00 | A+ | 2,123,765 | ||||||||||||||
| 2,000 | New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformatiom Program, Series 2009A, 5.750%, 10/01/31 | 10/19 at 100.00 | A+ | 2,346,480 | ||||||||||||||
New Jersey Transportation Trust Fund Authority, Federal Highway Aid Grant Anticipation Bonds, Series 2006: | ||||||||||||||||||
| 695 | 5.000%, 6/15/17 – FGIC Insured | 6/16 at 100.00 | Aa3 | 795,330 | ||||||||||||||
| 1,000 | 5.000%, 6/15/18 – FGIC Insured | 6/16 at 100.00 | Aa3 | 1,136,540 | ||||||||||||||
| 14,635 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital Appreciation Series 2010A, 0.000%, 12/15/30 | No Opt. Call | A+ | 6,776,002 | ||||||||||||||
| 1,900 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Refunding Series 2006A, 5.500%, 12/15/22 | No Opt. Call | A+ | 2,421,949 | ||||||||||||||
| 1,500 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2004B, 5.500%, 12/15/16 – NPFG Insured | No Opt. Call | A+ | 1,787,475 | ||||||||||||||
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2006C: | ||||||||||||||||||
| 4,000 | 0.000%, 12/15/32 – AGM Insured | No Opt. Call | AA– | 1,636,160 | ||||||||||||||
| 4,000 | 0.000%, 12/15/33 – AGM Insured | No Opt. Call | AA– | 1,552,640 | ||||||||||||||
| 5,450 | 0.000%, 12/15/34 – AGM Insured | No Opt. Call | AA– | 2,010,287 | ||||||||||||||
| 500 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2007A, 5.000%, 12/15/26 – AMBAC Insured | 12/17 at 100.00 | A+ | 577,110 | ||||||||||||||
| 5,500 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2009A, 0.000%, 12/15/39 | No Opt. Call | A+ | 1,517,450 | ||||||||||||||
| 2,750 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D, 5.000%, 12/15/24 | No Opt. Call | A+ | 3,345,540 | ||||||||||||||
Passaic County Improvement Authority, New Jersey, Lease Revenue Bonds, Preakness Healthcare Center Expansion Project, Series 2012: | ||||||||||||||||||
| 1,465 | 5.000%, 5/01/21 | No Opt. Call | Aa3 | 1,743,086 | ||||||||||||||
| 2,000 | 3.500%, 5/01/35 | 5/22 at 100.00 | Aa3 | 1,973,700 | ||||||||||||||
| Nuveen Investments | 39 |
Portfolio of Investments (Unaudited)
Nuveen New Jersey Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 485 | Puerto Rico Convention Center District Authority, Hotel Occupancy Tax Revenue Bonds, Series 2006A, 4.500%, 7/01/36 – CIFG Insured | 7/16 at 100.00 | BBB+ | $ | 479,728 | ||||||||||||
| 2,000 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2009A, 6.000%, 8/01/42 | 8/19 at 100.00 | A+ | 2,245,320 | ||||||||||||||
| 1,495 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.500%, 8/01/42 | 2/20 at 100.00 | A+ | 1,616,215 | ||||||||||||||
| 450 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 5.250%, 8/01/57 | 8/17 at 100.00 | AA– | 478,769 | ||||||||||||||
| 86,760 | Total Tax Obligation/Limited | 73,259,166 | ||||||||||||||||
Transportation – 14.0% | ||||||||||||||||||
Delaware River and Bay Authority, Delaware and New Jersey, Revenue Bonds, Series 2005: | ||||||||||||||||||
| 1,335 | 5.000%, 1/01/26 – NPFG Insured | 1/15 at 100.00 | A1 | 1,432,949 | ||||||||||||||
| 500 | 5.000%, 1/01/27 – NPFG Insured | 1/15 at 100.00 | A1 | 536,685 | ||||||||||||||
| 570 | New Brunswick Parking Authority, Middlesex County, New Jersey, Guaranteed Parking Revenue Bonds, Refunding Series 2012, 5.000%, 9/01/30 | 9/22 at 100.00 | A+ | 660,123 | ||||||||||||||
| 400 | New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 1999, 6.400%, 9/15/23 (Alternative Minimum Tax) | 9/12 at 100.00 | B | 405,344 | ||||||||||||||
| 800 | New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 1999, 6.250%, 9/15/29 (Alternative Minimum Tax) | 9/12 at 100.00 | B | 817,256 | ||||||||||||||
| 1,295 | New Jersey Transit Corporation, Certificates of Participation, Federal Transit Administration Grants, Series 2005A, 5.000%, 9/15/18 – FGIC Insured | 9/15 at 100.00 | A1 | 1,418,906 | ||||||||||||||
New Jersey Turnpike Authority, Revenue Bonds, Series 1991C: | ||||||||||||||||||
| 45 | 6.500%, 1/01/16 | No Opt. Call | A+ | 53,939 | ||||||||||||||
| 485 | 6.500%, 1/01/16 – NPFG Insured | No Opt. Call | A+ | 581,340 | ||||||||||||||
| 5,000 | New Jersey Turnpike Authority, Revenue Bonds, Series 2003A, 5.000%, 1/01/19 – FGIC Insured | 7/13 at 100.00 | A+ | 5,180,399 | ||||||||||||||
| 1,300 | New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 5.250%, 1/01/29 – AGM Insured | No Opt. Call | AA– | 1,674,478 | ||||||||||||||
| 3,500 | New Jersey Turnpike Authority, Revenue Bonds, Series 2009I, 5.000%, 1/01/35 | 1/20 at 100.00 | A+ | 3,939,180 | ||||||||||||||
| 2,380 | New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/28 (WI/DD, Settling 9/20/12) | 1/23 at 100.00 | A+ | 2,826,916 | ||||||||||||||
| 900 | Passaic County Improvement Authority, New Jersey, County Guaranteed Parking Revenue Bonds, 200 Hospital Plaza Project, Series 2010, 5.000%, 5/01/42 | 5/20 at 100.00 | Aa3 | 1,009,656 | ||||||||||||||
| 2,000 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Fifty Third Series 2008, 5.000%, 7/15/38 | 7/18 at 100.00 | Aa2 | 2,213,260 | ||||||||||||||
Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Fortieth Series 2005: | ||||||||||||||||||
| 2,500 | 5.000%, 12/01/28 – SYNCORA GTY Insured | 6/15 at 101.00 | Aa2 | 2,762,025 | ||||||||||||||
| 500 | 5.000%, 12/01/34 | 6/15 at 101.00 | Aa2 | 549,265 | ||||||||||||||
| 420 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Forty Eighth Series 2008, Trust 2920, 17.244%, 8/15/32 – AGM Insured (IF) | 8/17 at 100.00 | AA– | 600,953 | ||||||||||||||
| 6,000 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Thirty-Fourth Series 2004, 5.000%, 7/15/34 | 1/14 at 101.00 | Aa2 | 6,348,239 | ||||||||||||||
Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC, Sixth Series 1997: | ||||||||||||||||||
| 1,000 | 7.000%, 12/01/12 – NPFG Insured (Alternative Minimum Tax) | No Opt. Call | BBB | 1,008,600 | ||||||||||||||
| 2,000 | 5.750%, 12/01/22 – NPFG Insured (Alternative Minimum Tax) | 12/12 at 100.00 | BBB | 2,000,700 | ||||||||||||||
| 3,125 | 5.750%, 12/01/25 – NPFG Insured (Alternative Minimum Tax) | 12/12 at 100.00 | BBB | 3,125,781 | ||||||||||||||
| 40 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Transportation (continued) | ||||||||||||||||||
| $ | 1,810 | South Jersey Transportation Authority, New Jersey, Transportation System Revenue Bonds, Series 2012., 5.000%, 11/01/22 | No Opt. Call | A– | $ | 2,123,383 | ||||||||||||
| 37,865 | Total Transportation | 41,269,377 | ||||||||||||||||
U.S. Guaranteed – 7.0% (4) | ||||||||||||||||||
| 735 | Monmouth County Improvement Authority, New Jersey, Governmental Loan Revenue Bonds, Series 2005, 4.000%, 12/01/17 (Pre-refunded 12/01/15) – AMBAC Insured | 12/15 at 100.00 | N/R (4) | 767,759 | ||||||||||||||
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004: | ||||||||||||||||||
| 1,595 | 5.750%, 6/15/29 (Pre-refunded 6/15/14) | 6/14 at 100.00 | Aaa | 1,750,241 | ||||||||||||||
| 2,560 | 5.750%, 6/15/34 (Pre-refunded 6/15/14) | 6/14 at 100.00 | Aaa | 2,809,165 | ||||||||||||||
| 460 | New Jersey Economic Development Authority, Revenue Bonds, Yeshiva Ktana of Passaic, Series 1993, 8.000%, 9/15/18 (ETM) | No Opt. Call | N/R (4) | 559,185 | ||||||||||||||
| 420 | New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Series 2005B, 5.000%, 7/01/30 (Pre-refunded 7/01/16) – NPFG Insured | 7/16 at 100.00 | A– (4) | 492,106 | ||||||||||||||
New Jersey Educational Facilities Authority, Revenue Bonds, Montclair State University, Series 2005F: | ||||||||||||||||||
| 1,825 | 5.000%, 7/01/24 (Pre-refunded 7/01/15) – FGIC Insured | 7/15 at 100.00 | A1 (4) | 2,062,104 | ||||||||||||||
| 525 | 5.000%, 7/01/32 (Pre-refunded 7/01/15) – FGIC Insured | 7/15 at 100.00 | A1 (4) | 593,208 | ||||||||||||||
New Jersey Educational Facilities Authority, Revenue Bonds, New Jersey Institute of Technology, Series 2004B: | ||||||||||||||||||
| 125 | 5.000%, 7/01/18 (Pre-refunded 1/01/14) – AMBAC Insured | 1/14 at 100.00 | A+ (4) | 132,855 | ||||||||||||||
| 265 | 5.000%, 7/01/19 (Pre-refunded 1/01/14) – AMBAC Insured | 1/14 at 100.00 | A+ (4) | 281,653 | ||||||||||||||
| 815 | 4.250%, 7/01/24 (Pre-refunded 1/01/14) – AMBAC Insured | 1/14 at 100.00 | A+ (4) | 858,081 | ||||||||||||||
| 290 | New Jersey Educational Facilities Authority, Revenue Bonds, Rider University, Series 2004A, 5.500%, 7/01/23 (Pre-refunded 7/01/14) – RAAI Insured | 7/14 at 100.00 | BBB+ (4) | 317,408 | ||||||||||||||
| 500 | New Jersey Educational Facilities Authority, Revenue Bonds, Rowan University, Series 2003I, 5.125%, 7/01/21 (Pre-refunded 7/01/13) – FGIC Insured | 7/13 at 100.00 | A+ (4) | 520,125 | ||||||||||||||
| 1,195 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Capital Health System Obligated Group, Series 2003A, 5.375%, 7/01/33 (Pre-refunded 7/01/13) | 7/13 at 100.00 | N/R (4) | 1,244,557 | ||||||||||||||
| 845 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, St. Clare’s Hospital, Series 2004A, 5.250%, 7/01/20 – RAAI Insured (ETM) | No Opt. Call | N/R (4) | 1,067,303 | ||||||||||||||
New Jersey Turnpike Authority, Revenue Bonds, Series 1991C: | ||||||||||||||||||
| 15 | 6.500%, 1/01/16 (ETM) | No Opt. Call | AA+ (4) | 18,041 | ||||||||||||||
| 255 | 6.500%, 1/01/16 – NPFG Insured (ETM) | No Opt. Call | A+ (4) | 306,689 | ||||||||||||||
| 650 | 6.500%, 1/01/16 (ETM) | No Opt. Call | AA+ (4) | 712,420 | ||||||||||||||
| 145 | 6.500%, 1/01/16 – AMBAC Insured (ETM) | No Opt. Call | A3 (4) | 158,924 | ||||||||||||||
| 90 | 6.500%, 1/01/16 – NPFG Insured (ETM) | No Opt. Call | A+ (4) | 98,643 | ||||||||||||||
| 5 | 6.500%, 1/01/16 – AMBAC Insured (ETM) | No Opt. Call | A3 (4) | 5,480 | ||||||||||||||
| 375 | Newark Housing Authority, New Jersey, Port Authority Terminal Revenue Bonds, Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14) – NPFG Insured | 1/14 at 100.00 | BBB (4) | 399,810 | ||||||||||||||
| 4,000 | Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured (ETM) | No Opt. Call | Aaa | 4,922,400 | ||||||||||||||
| 640 | Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2003, 6.375%, 6/01/32 (Pre-refunded 6/01/13) | 6/13 at 100.00 | Aaa | 667,686 | ||||||||||||||
| 18,330 | Total U.S. Guaranteed | 20,745,843 | ||||||||||||||||
Utilities – 0.4% | ||||||||||||||||||
| 1,195 | New Jersey Economic Development Authority, Energy Facilities Revenue Bonds, UMM Energy Partners, LLC Project, Series 2012A, 5.125%, 6/15/43 (Alternative Minimum Tax) | 6/22 at 100.00 | Baa3 | 1,215,614 | ||||||||||||||
| Nuveen Investments | 41 |
Portfolio of Investments (Unaudited)
Nuveen New Jersey Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Water and Sewer – 3.1% | ||||||||||||||||||
| $ | 1,380 | Bayonne Municipal Utilities Authority, New Jersey, Water System Revenue Refunding Bonds, Series 2003A, 5.000%, 4/01/18 – SYNCORA GTY Insured | 4/13 at 100.00 | N/R | $ | 1,393,924 | ||||||||||||
| 960 | New Jersey Economic Development Authority, Water Facilities Revenue Bonds, New Jersey-American Water Company Inc. Project, Refunding Series 2010D, 4.875%, 11/01/29 (Alternative Minimum Tax) | 11/20 at 100.00 | A | 1,049,808 | ||||||||||||||
| 1,770 | New Jersey Environmental Infrastructure Trust, Environmental Infrastructure Bonds, Tender Option Bond Trust 4729, 7.205%, 9/01/21 (IF) (5) | No Opt. Call | AAA | 2,446,370 | ||||||||||||||
North Hudson Sewerage Authority, New Jersey, Gross Revenue Senior Lien Lease Certificates, Series 2012A: | ||||||||||||||||||
| 1,500 | 5.000%, 6/01/27 – NPFG Insured | 6/22 at 100.00 | A | 1,750,110 | ||||||||||||||
| 1,500 | 5.000%, 6/01/42 – NPFG Insured | 6/22 at 100.00 | A | 1,671,435 | ||||||||||||||
| 760 | Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38 | 7/18 at 100.00 | Baa2 | 810,038 | ||||||||||||||
| 7,870 | Total Water and Sewer | 9,121,685 | ||||||||||||||||
| $ | 302,965 | Total Investments (cost $268,043,533) – 99.3% | 293,477,952 | |||||||||||||||
Other Assets Less Liabilities – 0.7% | 1,997,389 | |||||||||||||||||
Net Assets – 100% | $ | 295,475,341 | ||||||||||||||||
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (3) | Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (4) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. |
| (5) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. |
| N/R | Not rated. |
| WI/DD | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
| (ETM) | Escrowed to maturity. |
| (IF) | Inverse floating rate investment. |
See accompanying notes to financial statements.
| 42 | Nuveen Investments |
Portfolio of Investments (Unaudited)
Nuveen New York Municipal Bond Fund
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Consumer Discretionary – 0.1% | ||||||||||||||||||
| $ | 665 | New York City Industrial Development Agency, New York, Liberty Revenue Bonds, IAC/InterActiveCorp, Series 2005, 5.000%, 9/01/35 | 9/15 at 100.00 | BBB– | $ | 678,120 | ||||||||||||
Consumer Staples – 2.1% | ||||||||||||||||||
| 465 | New York Counties Tobacco Trust II, Tobacco Settlement Pass-Through Bonds, Series 2001, 5.250%, 6/01/25 | 12/12 at 100.00 | A3 | 452,329 | ||||||||||||||
| 1,085 | Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 | 11/12 at 100.00 | BBB+ | 1,084,978 | ||||||||||||||
| 205 | Rensselaer Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2001A, 5.200%, 6/01/25 | 12/12 at 100.00 | A3 | 197,671 | ||||||||||||||
| 6,650 | Suffolk Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2008C, 0.000%, 6/01/44 | 6/22 at 100.00 | B+ | 6,199,995 | ||||||||||||||
TSASC Inc., New York, Tobacco Asset-Backed Bonds, Series 2006: | ||||||||||||||||||
| 1,890 | 4.750%, 6/01/22 | 6/16 at 100.00 | BBB | 1,893,723 | ||||||||||||||
| 1,225 | 5.000%, 6/01/26 | 6/16 at 100.00 | BB– | 1,162,831 | ||||||||||||||
| 4,410 | 5.125%, 6/01/42 | 6/16 at 100.00 | B+ | 3,249,112 | ||||||||||||||
| 1,500 | Virgin Islands Public Finance Authority, Matching Fund Revenue Loan Note – Diageo Project, Series 2009A, 6.625%, 10/01/29 | 10/19 at 100.00 | BBB | 1,767,045 | ||||||||||||||
| 17,430 | Total Consumer Staples | 16,007,684 | ||||||||||||||||
Education and Civic Organizations – 9.8% | ||||||||||||||||||
| 660 | Albany Industrial Development Agency, New York, Revenue Bonds, Albany Law School, Series 2007A, 5.000%, 7/01/31 | 7/17 at 100.00 | BBB | 684,301 | ||||||||||||||
Albany Industrial Development Agency, New York, Revenue Bonds, Brighter Choice Charter Schools, Series 2007A: | ||||||||||||||||||
| 520 | 5.000%, 4/01/20 | 4/17 at 100.00 | BBB– | 532,802 | ||||||||||||||
| 1,000 | 5.000%, 4/01/27 | 4/17 at 100.00 | BBB– | 1,001,580 | ||||||||||||||
| 290 | 5.000%, 4/01/37 | 4/17 at 100.00 | BBB– | 279,653 | ||||||||||||||
| 1,000 | Allegany County Industrial Development Agency, New York, Revenue Bonds, Alfred University, Series 1998, 5.000%, 8/01/28 – NPFG Insured | 2/13 at 100.00 | Baa1 | 1,001,190 | ||||||||||||||
| 2,190 | Buffalo and Erie County Industrial Land Development Corporation, New York, Tax-Exempt Revenue Bonds, Enterprise Charter School Project, Series 2011A, 7.500%, 12/01/40 | 12/20 at 100.00 | BBB | 2,582,141 | ||||||||||||||
| 215 | Cattaraugus County Industrial Development Agency, New York, Revenue Bonds, St. Bonaventure University, Series 2006, 5.000%, 5/01/23 | 5/16 at 100.00 | BBB– | 223,518 | ||||||||||||||
| 1,750 | Dormitory Authority of the State of New York, Brooklyn Law School Revenue Bonds, Series 2009, 5.750%, 7/01/33 | 7/19 at 100.00 | BBB+ | 2,014,338 | ||||||||||||||
Dormitory Authority of the State of New York, General Revenue Bonds, Manhattan College, Series 2007A: | ||||||||||||||||||
| 2,655 | 5.000%, 7/01/32 – RAAI Insured | 7/17 at 100.00 | N/R | 2,730,508 | ||||||||||||||
| 2,820 | 5.000%, 7/01/41 – RAAI Insured | 7/17 at 100.00 | N/R | 2,875,554 | ||||||||||||||
| 1,000 | Dormitory Authority of the State of New York, General Revenue Bonds, New York University, Series 2001-1, 5.500%, 7/01/40 – AMBAC Insured | No Opt. Call | AA– | 1,361,950 | ||||||||||||||
| 1,880 | Dormitory Authority of the State of New York, General Revenue Bonds, Saint Johns University, Series 2007A, 5.250%, 7/01/32 – NPFG Insured | 7/17 at 100.00 | A– | 2,072,042 | ||||||||||||||
Dormitory Authority of the State of New York, Housing Revenue Bonds, Fashion Institute of Technology, Series 2007: | ||||||||||||||||||
| 1,670 | 5.250%, 7/01/29 – FGIC Insured | No Opt. Call | BBB | 1,972,437 | ||||||||||||||
| 735 | 5.250%, 7/01/34 – FGIC Insured | No Opt. Call | BBB | 869,696 | ||||||||||||||
| 605 | Dormitory Authority of the State of New York, Insured Revenue Bonds, Fordham University, Series 2002, 5.000%, 7/01/21 – FGIC Insured | 1/13 at 100.00 | A2 | 606,434 | ||||||||||||||
| 1,850 | Dormitory Authority of the State of New York, Insured Revenue Bonds, New York Medical College, Series 1998, 5.000%, 7/01/21 – NPFG Insured | 1/13 at 100.00 | BBB | 1,855,698 | ||||||||||||||
| 60 | Dormitory Authority of the State of New York, Insured Revenue Bonds, Yeshiva University, Series 2001, 5.000%, 7/01/30 – AMBAC Insured | 1/13 at 100.00 | A2 | 60,094 | ||||||||||||||
| Nuveen Investments | 43 |
Portfolio of Investments (Unaudited)
Nuveen New York Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Education and Civic Organizations (continued) | ||||||||||||||||||
Dormitory Authority of the State of New York, Lease Revenue Bonds, State University Dormitory Facilities, Series 2003B: | ||||||||||||||||||
| $ | 1,250 | 5.250%, 7/01/31 (Mandatory put 7/01/13) – FGIC Insured | No Opt. Call | Aa2 | $ | 1,300,975 | ||||||||||||
| 2,000 | 5.250%, 7/01/32 (Mandatory put 7/01/13) – SYNCORA GTY Insured | No Opt. Call | Aa2 | 2,081,560 | ||||||||||||||
| 2,120 | Dormitory Authority of the State of New York, Lease Revenue Bonds, State University Dormitory Facilities, Series 2004A, 5.000%, 7/01/29 – NPFG Insured | 7/15 at 100.00 | Aa2 | 2,314,213 | ||||||||||||||
| 435 | Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Series 2007A, 5.000%, 7/01/37 – FGIC Insured | 7/17 at 100.00 | BBB | 460,291 | ||||||||||||||
| 1,000 | Dormitory Authority of the State of New York, Revenue Bonds, Canisius College, Series 2000, 5.250%, 7/01/30 – NPFG Insured | 1/13 at 100.00 | BBB | 1,001,260 | ||||||||||||||
| 750 | Dormitory Authority of the State of New York, Revenue Bonds, Convent of the Sacred Heart, Series 2011, 5.625%, 11/01/32 – AGM Insured | 5/21 at 100.00 | AA– | 899,550 | ||||||||||||||
| 350 | Dormitory Authority of the State of New York, Revenue Bonds, New School University, Series 2010, 5.250%, 7/01/30 | 7/20 at 100.00 | A– | 397,145 | ||||||||||||||
| 585 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2007, 5.000%, 7/01/32 – AMBAC Insured | 7/17 at 100.00 | AA– | 646,261 | ||||||||||||||
| 1,500 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2009B, 5.000%, 7/01/39 | 7/19 at 100.00 | AA– | 1,690,470 | ||||||||||||||
| 1,200 | Dormitory Authority of the State of New York, Revenue Bonds, Non State Supported Debt, Cornell University, Series 2008C, 5.000%, 7/01/37 | 7/20 at 100.00 | Aa1 | 1,367,736 | ||||||||||||||
| 1,845 | Dutchess County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Bard College Project, Series 2007-A2, 4.500%, 8/01/36 | 8/17 at 100.00 | Baa1 | 1,883,690 | ||||||||||||||
| 615 | Hempstead Town Industrial Development Agency, New York, Revenue Bonds, Adelphi University, Civic Facility Project, Series 2005, 5.000%, 10/01/35 | 10/15 at 100.00 | A | 642,546 | ||||||||||||||
| 250 | Hempstead Town Local Development Corporation, New York, Revenue Bonds, Adelphi University Project, Series 2009B, 5.250%, 2/01/39 | 2/19 at 100.00 | A | 277,443 | ||||||||||||||
| 1,175 | Hempstead Town Local Development Corporation, New York, Revenue Bonds, Molloy College Project, Series 2009, 5.750%, 7/01/39 | 7/19 at 100.00 | BBB+ | 1,337,820 | ||||||||||||||
| 940 | Madison County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Colgate University, Tender Option Bond Trust 3127, 12.949%, 1/01/14 – AMBAC Insured (IF) | No Opt. Call | AA+ | 1,075,078 | ||||||||||||||
| 1,315 | New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, American Council of Learned Societies, Series 2002, 5.250%, 7/01/27 | 1/13 at 100.00 | A1 | 1,317,236 | ||||||||||||||
| 2,500 | New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Polytechnic University, Series 2007, 5.250%, 11/01/37 – ACA Insured | 11/17 at 100.00 | BBB– | 2,686,550 | ||||||||||||||
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, YMCA of Greater New York, Series 2006: | ||||||||||||||||||
| 5,520 | 5.000%, 8/01/26 | 8/16 at 100.00 | A– | 5,876,426 | ||||||||||||||
| 2,000 | 5.000%, 8/01/36 | 8/16 at 100.00 | A– | 2,096,540 | ||||||||||||||
New York City Industrial Development Agency, New York, PILOT Revenue Bonds, Queens Baseball Stadium Project, Series 2006: | ||||||||||||||||||
| 1,060 | 5.000%, 1/01/39 – AMBAC Insured | 1/17 at 100.00 | BB+ | 1,078,508 | ||||||||||||||
| 2,845 | 4.750%, 1/01/42 – AMBAC Insured | 1/17 at 100.00 | BB+ | 2,845,939 | ||||||||||||||
| 2,000 | 5.000%, 1/01/46 – AMBAC Insured | 1/17 at 100.00 | BB+ | 2,030,200 | ||||||||||||||
New York City Industrial Development Authority, New York, PILOT Revenue Bonds, Yankee Stadium Project, Series 2006: | ||||||||||||||||||
| 720 | 5.000%, 3/01/31 – FGIC Insured | 9/16 at 100.00 | BBB | 758,203 | ||||||||||||||
| 1,350 | 5.000%, 3/01/36 – NPFG Insured | 9/16 at 100.00 | BBB | 1,407,807 | ||||||||||||||
| 3,550 | 4.500%, 3/01/39 – FGIC Insured | 9/16 at 100.00 | BBB | 3,595,760 | ||||||||||||||
| 1,150 | 4.750%, 3/01/46 – NPFG Insured | 9/16 at 100.00 | BBB | 1,174,978 | ||||||||||||||
| 44 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Education and Civic Organizations (continued) | ||||||||||||||||||
| $ | 2,000 | New York City Trust for Cultural Resources, New York, Revenue Bonds, Carnegie Hall, Series 2009A, 5.000%, 12/01/39 | 12/19 at 100.00 | A+ | $ | 2,211,440 | ||||||||||||
| 600 | New York City Trust for Cultural Resources, New York, Revenue Bonds, Whitney Museum of American Art, Series 2011, 5.000%, 7/01/31 | 1/21 at 100.00 | A | 677,256 | ||||||||||||||
| 430 | Seneca County Industrial Development Authority, New York, Revenue Bonds, New York Chiropractic College, Series 2007, 5.000%, 10/01/27 | 10/17 at 100.00 | BBB | 452,214 | ||||||||||||||
| 1,600 | Troy Capital Resource Corporation, New York, Revenue Bonds, Rensselaer Polytechnic Institute, Series 2010A, 5.125%, 9/01/40 | 9/20 at 100.00 | A– | 1,771,232 | ||||||||||||||
| 895 | Utica Industrial Development Agency, New York, Revenue Bonds, Utica College, Series 1998A, 5.750%, 8/01/28 | 2/13 at 100.00 | N/R | 895,600 | ||||||||||||||
Yonkers Economic Development Corporation, New York, Revenue Bonds, Charter School Educational Excellence Project, Series 2010A: |
| |||||||||||||||||
| 1,340 | 6.000%, 10/15/30 | 10/20 at 100.00 | BB | 1,397,566 | ||||||||||||||
| 1,200 | 6.250%, 10/15/40 | 10/20 at 100.00 | BB | 1,255,032 | ||||||||||||||
| 1,000 | Yonkers Industrial Development Agency, New York, Civic Facility Revenue Bonds, Sarah Lawrence College Project, Series 2001A Remarketed, 6.000%, 6/01/41 | 6/19 at 100.00 | BBB+ | 1,129,520 | ||||||||||||||
| 69,990 | Total Education and Civic Organizations | 74,757,981 | ||||||||||||||||
Financials – 0.6% | ||||||||||||||||||
| 500 | Liberty Development Corporation, New York, Goldman Sachs Headquarter Revenue Bonds, Series 2005, 5.250%, 10/01/35 | No Opt. Call | A | 583,210 | ||||||||||||||
| 3,475 | Liberty Development Corporation, New York, Goldman Sachs Headquarters Revenue Bonds Series 2007, 5.500%, 10/01/37 | No Opt. Call | A | 4,211,075 | ||||||||||||||
| 3,975 | Total Financials | 4,794,285 | ||||||||||||||||
Health Care – 10.9% | ||||||||||||||||||
| 1,000 | Albany Capital Resource Corporation, New York, St. Peter’s Hospital Project, Series 2011, 6.125%, 11/15/30 | 11/20 at 100.00 | A3 | 1,194,030 | ||||||||||||||
| 3,575 | Albany Industrial Development Agency, New York, Revenue Bonds, Saint Peter’s Hospital, Series 2008A, 5.250%, 11/15/32 | 11/17 at 100.00 | A3 | 3,851,669 | ||||||||||||||
Dormitory Authority of the State of New York, FHA-Insured Mortgage Hospital Revenue Bonds, St. Barnabas Hospital, Series 2002A: | ||||||||||||||||||
| 1,910 | 5.125%, 2/01/22 – AMBAC Insured | 2/13 at 100.00 | N/R | 1,915,787 | ||||||||||||||
| 245 | 5.000%, 2/01/31 – AMBAC Insured | 2/13 at 100.00 | N/R | 245,760 | ||||||||||||||
| 1,405 | Dormitory Authority of the State of New York, FHA-Insured Mortgage Revenue Bonds, Hudson Valley Hospital Center, Series 2007, 5.000%, 8/15/27 – AGM Insured | 8/17 at 100.00 | AA– | 1,548,788 | ||||||||||||||
| 1,910 | Dormitory Authority of the State of New York, FHA-Insured Mortgage Revenue Bonds, Montefiore Hospital, Series 2004, 5.000%, 8/01/29 – FGIC Insured | 2/15 at 100.00 | BBB | 2,047,998 | ||||||||||||||
| 3,410 | Dormitory Authority of the State of New York, FHA-Insured Mortgage Revenue Bonds, New York Hospital Medical Center of Queens, Series 1999, 4.750%, 2/15/37 | 2/17 at 100.00 | N/R | 3,540,876 | ||||||||||||||
Dormitory Authority of the State of New York, FHA-Insured Revenue Bonds, Montefiore Medical Center, Series 2005: | ||||||||||||||||||
| 3,000 | 5.000%, 2/01/22 – FGIC Insured | 2/15 at 100.00 | BBB | 3,285,180 | ||||||||||||||
| 1,775 | 5.000%, 2/01/28 – FGIC Insured | 2/15 at 100.00 | BBB | 1,926,088 | ||||||||||||||
| 8,400 | Dormitory Authority of the State of New York, FHA-Insured Revenue Bonds, St. Lukes Roosevelt Hospital, Series 2005, 4.900%, 8/15/31 | 8/15 at 100.00 | N/R | 8,895,180 | ||||||||||||||
| 550 | Dormitory Authority of the State of New York, Highland Hospital of Rochester Revenue Bonds, Series 2010, 5.200%, 7/01/32 | 7/20 at 100.00 | A2 | 608,113 | ||||||||||||||
| 3,000 | Dormitory Authority of the State of New York, Insured Revenue Bonds, Franciscan Health Partnership Obligated Group – Frances Shervier Home and Hospital, Series 1997, 5.500%, 7/01/27 – RAAI Insured | 1/13 at 100.00 | A3 | 3,003,360 | ||||||||||||||
| Nuveen Investments | 45 |
Portfolio of Investments (Unaudited)
Nuveen New York Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Health Care (continued) | ||||||||||||||||||
| $ | 3,310 | Dormitory Authority of the State of New York, North Shore Long Island Jewish Obligated Group Revenue Bonds, Series 2011A, 5.000%, 5/01/41 | 5/21 at 100.00 | A– | $ | 3,635,406 | ||||||||||||
| 2,015 | Dormitory Authority of the State of New York, Orange Regional Medical Center Obligated Group Revenue Bonds, Series 2008, 6.250%, 12/01/37 | 12/18 at 100.00 | Ba1 | 2,193,650 | ||||||||||||||
| 1,250 | Dormitory Authority of the State of New York, Revenue Bonds, Catholic Health Services of Long Island, Series 2004, 5.100%, 7/01/34 | 7/14 at 100.00 | A– | 1,279,450 | ||||||||||||||
| 3,855 | Dormitory Authority of the State of New York, Revenue Bonds, New York and Presbyterian Hospital, Series 2004A, 5.250%, 8/15/15 – AGM Insured | 8/14 at 100.00 | AA– | 4,220,570 | ||||||||||||||
| 600 | Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Obligated Group, Series 2005A, 5.000%, 11/01/34 | 11/16 at 100.00 | A3 | 634,944 | ||||||||||||||
| 500 | Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Obligated Group, Series 2006B, 5.000%, 11/01/34 | 11/16 at 100.00 | A3 | 530,315 | ||||||||||||||
| 1,000 | Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Obligated Group, Series 2009A, 5.500%, 5/01/37 | 5/19 at 100.00 | A– | 1,138,660 | ||||||||||||||
| 2,000 | Dormitory Authority of the State of New York, Revenue Bonds, NYU Hospitals Center, Series 2006A, 5.000%, 7/01/20 | 7/16 at 100.00 | A– | 2,233,540 | ||||||||||||||
| 5,600 | Dormitory Authority of the State of New York, Revenue Bonds, NYU Hospitals Center, Series 2007B, 5.625%, 7/01/37 | 7/17 at 100.00 | A– | 6,115,536 | ||||||||||||||
| 1,500 | Dormitory Authority of the State of New York, Revenue Bonds, South Nassau Communities Hospital, Series 2003B, 5.500%, 7/01/23 | 7/13 at 100.00 | Baa1 | 1,524,600 | ||||||||||||||
| 2,360 | Dormitory Authority of the State of New York, Revenue Bonds, The New York and Presbyterian Hospital Project, Series 2007, 5.000%, 8/15/36 – AGM Insured | 8/14 at 100.00 | AA– | 2,439,202 | ||||||||||||||
| 5,000 | Dormitory Authority of the State of New York, Revenue Bonds, Winthrop South Nassau University Health System Obligated Group, Series 2001A, 5.250%, 7/01/31 – AMBAC Insured | 1/13 at 100.00 | Baa1 | 5,005,250 | ||||||||||||||
| 1,000 | Dormitory Authority of the State of New York, Revenue Bonds, Winthrop-South Nassau University Hospital Association, Series 2003A, 5.500%, 7/01/32 | 7/13 at 100.00 | Baa1 | 1,012,810 | ||||||||||||||
Dutchess County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Vassar Brothers Medical Center Facility, Series 2005: | ||||||||||||||||||
| 545 | 5.500%, 4/01/30 | 10/20 at 100.00 | AA– | 619,709 | ||||||||||||||
| 950 | 5.500%, 4/01/34 | 10/20 at 100.00 | AA– | 1,079,514 | ||||||||||||||
Madison County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Oneida Health System, Series 2007A: | ||||||||||||||||||
| 275 | 4.500%, 2/01/17 | No Opt. Call | BBB– | 284,199 | ||||||||||||||
| 710 | 5.250%, 2/01/27 | 2/17 at 100.00 | BBB– | 722,666 | ||||||||||||||
| 635 | 5.500%, 2/01/32 | 2/17 at 100.00 | BBB– | 651,078 | ||||||||||||||
| 2,720 | Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochestor Project, Series 2010, 5.750%, 8/15/35 | 2/21 at 100.00 | Aa2 | 3,321,528 | ||||||||||||||
New York City Health and Hospitals Corporation, New York, Health System Revenue Bonds, Series 2003A: | ||||||||||||||||||
| 2,000 | 5.250%, 2/15/21 – AMBAC Insured | 2/13 at 100.00 | Aa3 | 2,035,920 | ||||||||||||||
| 4,300 | 5.250%, 2/15/22 – AMBAC Insured | 2/13 at 100.00 | Aa3 | 4,389,010 | ||||||||||||||
Saratoga County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Saratoga Hospital Project, Series 2007B: | ||||||||||||||||||
| 1,000 | 5.125%, 12/01/27 | 12/17 at 100.00 | A– | 1,054,480 | ||||||||||||||
| 500 | 5.250%, 12/01/32 | 12/17 at 100.00 | A– | 530,395 | ||||||||||||||
| 1,965 | Suffolk County Economic Development Corp / Nassau County Local Economic Assistance & Financing Corp., New York, Revenue Bonds, Catholic Health Services of Long Island Obligated Group Project, Series 2011, 5.000%, 7/01/28 | 7/21 at 100.00 | A– | 2,237,644 | ||||||||||||||
| 2,000 | Yonkers Industrial Development Agency, New York, Revenue Bonds, St. John’s Riverside Hospital, Series 2001A, 7.125%, 7/01/31 | 1/13 at 100.00 | B+ | 2,002,980 | ||||||||||||||
| 77,770 | Total Health Care | 82,955,885 | ||||||||||||||||
| 46 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Housing/Multifamily – 2.9% | ||||||||||||||||||
| $ | 1,600 | Canton Capital Resource Corporation, New York, Student Housing Facility Revenue Bonds, Grasse River LLC at SUNY Canton Project Series 2010A, 5.000%, 5/01/40 | 5/20 at 100.00 | AA– | $ | 1,704,112 | ||||||||||||
| 285 | East Syracuse Housing Authority, New York, FHA-Insured Section 8 Assisted Revenue Refunding Bonds, Bennet Project, Series 2001A, 6.700%, 4/01/21 | 10/12 at 100.00 | AA+ | 285,844 | ||||||||||||||
| 1,000 | Madison County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Morrisville State College Foundation, Series 2005A, 5.000%, 6/01/37 – CIFG Insured | 6/15 at 101.00 | BBB– | 1,006,030 | ||||||||||||||
New York City Housing Development Corporation, New York, Capital Fund Program Revenue Bonds, Series 2005A: | ||||||||||||||||||
| 400 | 5.000%, 7/01/14 – FGIC Insured | No Opt. Call | AA– | 431,464 | ||||||||||||||
| 400 | 5.000%, 7/01/16 – FGIC Insured | 7/15 at 100.00 | AA– | 444,404 | ||||||||||||||
| 4,030 | 5.000%, 7/01/25 – FGIC Insured | 7/15 at 100.00 | AA– | 4,294,126 | ||||||||||||||
| 290 | New York City Housing Development Corporation, New York, Multifamily Housing Revenue Bonds, Pass-Through Certificates, Series 1991C, 6.500%, 2/20/19 – AMBAC Insured | 9/12 at 105.00 | N/R | 305,889 | ||||||||||||||
| 5 | New York City Housing Development Corporation, New York, Multifamily Housing Revenue Bonds, Series 2002A, 5.500%, 11/01/34 (Alternative Minimum Tax) | 11/12 at 100.00 | AA | 5,036 | ||||||||||||||
| 2,000 | New York City Housing Development Corporation, New York, Multifamily Housing Revenue Bonds, Series 2004A, 5.250%, 11/01/30 | 5/14 at 100.00 | AA | 2,059,700 | ||||||||||||||
| 540 | New York City Housing Development Corporation, New York, Multifamily Housing Revenue Bonds, Series 2004-H2, 5.125%, 11/01/34 (Alternative Minimum Tax) | 11/14 at 100.00 | AA | 553,160 | ||||||||||||||
| 855 | New York City Housing Development Corporation, New York, Multifamily Housing Revenue Bonds, Series 2010D-1A, 5.000%, 11/01/42 | 5/20 at 100.00 | AA | 930,351 | ||||||||||||||
| 2,500 | New York State Housing Finance Agency, Affordable Housing Revenue Bonds, Series 2007B, 5.300%, 11/01/37 (Alternative Minimum Tax) | 11/17 at 100.00 | Aa2 | 2,635,300 | ||||||||||||||
| 705 | New York State Housing Finance Agency, Affordable Housing Revenue, Series 2007A, 5.250%, 11/01/38 (Alternative Minimum Tax) | 11/17 at 100.00 | Aa2 | 737,783 | ||||||||||||||
New York State Housing Finance Agency, Mortgage Revenue Refunding Bonds, Housing Project, Series 1996A: | ||||||||||||||||||
| 220 | 6.100%, 11/01/15 – AGM Insured | 11/12 at 100.00 | AA– | 221,014 | ||||||||||||||
| 305 | 6.125%, 11/01/20 – AGM Insured | 11/12 at 100.00 | AA– | 305,744 | ||||||||||||||
| 1,760 | New York State Housing Finance Agency, Multifamily Housing Revenue Bonds, Cannon Street Senior Housing Project, Series 2007A, 5.300%, 2/15/39 (Alternative Minimum Tax) | 2/17 at 100.00 | Aa1 | 1,848,581 | ||||||||||||||
| 1,000 | New York State Housing Finance Agency, Secured Mortgage Program Multifamily Housing Revenue Bonds, Series 2001G, 5.400%, 8/15/33 (Alternative Minimum Tax) | 2/13 at 100.00 | Aa1 | 1,001,080 | ||||||||||||||
| 3,030 | Westchester County Industrial Development Agency, New York, GNMA Collateralized Mortgage Loan Revenue Bonds, Living Independently for the Elderly Inc., Series 2001A, 5.400%, 8/20/32 | 2/13 at 101.00 | Aaa | 3,065,603 | ||||||||||||||
| 20,925 | Total Housing/Multifamily | 21,835,221 | ||||||||||||||||
Housing/Single Family – 0.7% | ||||||||||||||||||
| 2,375 | New York State Mortgage Agency, Homeowner Mortgage Revenue Bonds, Series 130, 4.650%, 4/01/27 (Alternative Minimum Tax) | 4/15 at 100.00 | Aa1 | 2,428,438 | ||||||||||||||
| 760 | New York State Mortgage Agency, Homeowner Mortgage Revenue Bonds, Series 145, 5.125%, 10/01/37 (Alternative Minimum Tax) | 4/17 at 100.00 | Aa1 | 789,169 | ||||||||||||||
| 860 | New York State Mortgage Agency, Homeowner Mortgage Revenue Bonds, Series 148, 5.200%, 10/01/32 (Alternative Minimum Tax) | 10/17 at 100.00 | Aa1 | 909,648 | ||||||||||||||
| 1,660 | New York State Mortgage Agency, Mortgage Revenue Bonds, Thirty-Third Series A, 4.750%, 4/01/23 (Alternative Minimum Tax) | 4/13 at 101.00 | Aaa | 1,690,129 | ||||||||||||||
| 5,655 | Total Housing/Single Family | 5,817,384 | ||||||||||||||||
| Nuveen Investments | 47 |
Portfolio of Investments (Unaudited)
Nuveen New York Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Long-Term Care – 2.3% | ||||||||||||||||||
| $ | 370 | Dormitory Authority of the State of New York, FHA-Insured Mortgage Revenue Bonds, W.K. Nursing Home Corporation, Series 1996, 5.950%, 2/01/16 | 2/13 at 100.00 | AAA | $ | 375,191 | ||||||||||||
| 1,070 | Dormitory Authority of the State of New York, GNMA Collateralized Revenue Bonds, Cabrini of Westchester Project, Series 2006, 5.200%, 2/15/41 | 2/17 at 103.00 | AA+ | 1,171,222 | ||||||||||||||
Dormitory Authority of the State of New York, Insured Revenue Bonds, NYSARC Inc Projects, Series 2007B: | ||||||||||||||||||
| 290 | 6.000%, 7/01/26 – AMBAC Insured | 7/19 at 100.00 | A– | 337,441 | ||||||||||||||
| 310 | 6.000%, 7/01/27 – AMBAC Insured | 7/19 at 100.00 | A– | 360,198 | ||||||||||||||
| 330 | 6.000%, 7/01/28 – AMBAC Insured | 7/28 at 100.00 | A– | 383,107 | ||||||||||||||
| 350 | 6.000%, 7/01/29 – AMBAC Insured | 7/19 at 100.00 | A– | 405,402 | ||||||||||||||
| 1,460 | 6.000%, 7/01/36 – AMBAC Insured | 7/19 at 100.00 | A– | 1,675,744 | ||||||||||||||
| 1,000 | Dormitory Authority of the State of New York, Insured Revenue Bonds, NYSARC Inc Projects, Series 2009A, 6.000%, 7/01/38 | 7/19 at 100.00 | Aa3 | 1,170,920 | ||||||||||||||
| 2,000 | Dormitory Authority of the State of New York, Insured Revenue Bonds, NYSARC Inc., Series 2005A, 5.000%, 7/01/34 – AGM Insured | 7/15 at 100.00 | AA | 2,095,300 | ||||||||||||||
| 650 | Dormitory Authority of the State of New York, Non-State Supported Debt, Ozanam Hall of Queens Nursing Home Revenue Bonds, Series 2006, 5.000%, 11/01/31 | 11/16 at 100.00 | Ba3 | 625,144 | ||||||||||||||
| 1,000 | Dormitory Authority of the State of New York, Revenue Bonds, Miriam Osborn Memorial Home Association, Series 2000B, 6.375%, 7/01/29 – ACA Insured | 1/13 at 100.00 | BBB | 1,001,250 | ||||||||||||||
Dormitory Authority of the State of New York, Revenue Bonds, Providence Rest, Series 2005: | ||||||||||||||||||
| 50 | 5.125%, 7/01/30 – ACA Insured | 7/15 at 100.00 | N/R | 47,610 | ||||||||||||||
| 415 | 5.000%, 7/01/35 – ACA Insured | 7/15 at 100.00 | N/R | 371,313 | ||||||||||||||
| 1,120 | East Rochester Housing Authority, New York, GNMA Secured Revenue Refunding Bonds, Genesee Valley Presbyterian Nursing Center, Series 2001, 5.200%, 12/20/24 | 12/13 at 100.00 | Aaa | 1,133,440 | ||||||||||||||
| 1,700 | East Rochester Housing Authority, New York, Senior Living Revenue Bonds, Woodland Village Project, Series 2006, 5.500%, 8/01/33 | 8/16 at 101.00 | N/R | 1,693,642 | ||||||||||||||
| 265 | New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special Needs Facilities Pooled Program, Series 2000, 8.125%, 7/01/19 | 1/13 at 100.00 | N/R | 265,580 | ||||||||||||||
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special Needs Facilities Pooled Program, Series 2008A-1: | ||||||||||||||||||
| 1,000 | 5.800%, 7/01/23 | 7/16 at 101.00 | N/R | 977,610 | ||||||||||||||
| 1,175 | 6.100%, 7/01/28 | 7/16 at 101.00 | N/R | 1,139,656 | ||||||||||||||
| 800 | 6.200%, 7/01/33 | 7/16 at 101.00 | N/R | 771,408 | ||||||||||||||
| 1,225 | Suffolk County Economic Development Corporation, New York, Revenue Refunding Bonds, Peconic Landing At Southold, Inc. Project, Series 2010, 6.000%, 12/01/40 | 12/20 at 100.00 | BBB– | 1,359,726 | ||||||||||||||
| 190 | Suffolk County Industrial Development Agency, New York, Revenue Bonds, Special Needs Facilities Pooled Program, Series 2001C-1, 7.250%, 7/01/16 | 1/13 at 100.50 | N/R | 192,044 | ||||||||||||||
| 16,770 | Total Long-Term Care | 17,552,948 | ||||||||||||||||
Materials – 0.1% | ||||||||||||||||||
| 700 | Essex County Industrial Development Agency, New York, Environmental Improvement Revenue Bonds, International Paper Company, Series 1999A, 6.450%, 11/15/23 (Alternative Minimum Tax) | 11/12 at 100.00 | BBB | 702,639 | ||||||||||||||
Tax Obligation/General – 6.7% | ||||||||||||||||||
| 1,000 | Erie County, New York, General Obligation Bonds, Series 2003A, 5.250%, 3/15/16 – NPFG Insured | 3/13 at 100.00 | A2 | 1,024,450 | ||||||||||||||
| 48 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/General (continued) | ||||||||||||||||||
| $ | 3,000 | Erie County, New York, General Obligation Bonds, Series 2005A, 5.000%, 12/01/18 – NPFG Insured | 12/15 at 100.00 | A2 | $ | 3,288,480 | ||||||||||||
| 2,000 | Monroe-Woodbury Central School District, Orange County, New York, General Obligation Bonds, Series 2004A, 4.250%, 5/15/22 – FGIC Insured | 5/14 at 100.00 | Aa3 | 2,059,960 | ||||||||||||||
Mount Sinai Union Free School District, Suffolk County, New York, General Obligation Refunding Bonds, Series 1992: | ||||||||||||||||||
| 500 | 6.200%, 2/15/15 – AMBAC Insured | No Opt. Call | Aa3 | 568,360 | ||||||||||||||
| 1,035 | 6.200%, 2/15/16 – AMBAC Insured | No Opt. Call | Aa3 | 1,226,972 | ||||||||||||||
| 1,505 | Nassau County, North Hempstead, New York, General Obligation Refunding Bonds, Series 1992B, 6.400%, 4/01/14 – FGIC Insured | No Opt. Call | Aa1 | 1,642,346 | ||||||||||||||
| 10,000 | New York City, New York, General Obligation Bonds, Fiscal 2008 Series D, 5.125%, 12/01/26 | 12/17 at 100.00 | AA | 11,816,700 | ||||||||||||||
| 400 | New York City, New York, General Obligation Bonds, Fiscal 2009 Series E, 5.000%, 8/01/28 | 8/19 at 100.00 | AA | 467,156 | ||||||||||||||
| 1,000 | New York City, New York, General Obligation Bonds, Fiscal 2010 Series C, 5.000%, 8/01/23 | 8/19 at 100.00 | AA | 1,194,160 | ||||||||||||||
| 1,000 | New York City, New York, General Obligation Bonds, Fiscal 2012 Series I, 5.000%, 8/01/30 | No Opt. Call | AA | 1,193,630 | ||||||||||||||
New York City, New York, General Obligation Bonds, Fiscal Series 2004E: | ||||||||||||||||||
| 1,600 | 5.000%, 11/01/19 – AGM Insured | 11/14 at 100.00 | AA | 1,755,616 | ||||||||||||||
| 925 | 5.000%, 11/01/20 – AGM Insured | 11/14 at 100.00 | Aa2 | 1,014,966 | ||||||||||||||
| 3,620 | New York City, New York, General Obligation Bonds, Fiscal Series 2005F-1, 5.000%, 9/01/19 – SYNCORA GTY Insured | 9/15 at 100.00 | AA | 4,068,409 | ||||||||||||||
| 600 | New York City, New York, General Obligation Bonds, Fiscal Series 2005J, 5.000%, 3/01/19 – FGIC Insured | 3/15 at 100.00 | AA | 662,394 | ||||||||||||||
| 1,725 | New York City, New York, General Obligation Bonds, Fiscal Series 2006C, 5.000%, 8/01/16 – AGM Insured | 8/15 at 100.00 | AA | 1,953,080 | ||||||||||||||
| 1,500 | New York City, New York, General Obligation Bonds, Series 2011D-I, 5.000%, 10/01/29 | No Opt. Call | AA | 1,779,555 | ||||||||||||||
| 6,670 | New York City, New York, General Obligation Bonds, Subseries G-1 Fiscal Series 2012, 5.000%, 4/01/29 | No Opt. Call | AA | 7,973,185 | ||||||||||||||
Rensselaer County, New York, General Obligation Bonds, Series 1991: | ||||||||||||||||||
| 960 | 6.700%, 2/15/13 – AMBAC Insured | No Opt. Call | AA– | 987,744 | ||||||||||||||
| 960 | 6.700%, 2/15/14 – AMBAC Insured | No Opt. Call | AA– | 1,044,826 | ||||||||||||||
| 960 | 6.700%, 2/15/15 – AMBAC Insured | No Opt. Call | AA– | 1,098,461 | ||||||||||||||
Yonkers, New York, General Obligation Bonds, Series 2005B: | ||||||||||||||||||
| 1,985 | 5.000%, 8/01/17 – NPFG Insured | 8/15 at 100.00 | BBB+ | 2,152,157 | ||||||||||||||
| 2,085 | 5.000%, 8/01/18 – NPFG Insured | 8/15 at 100.00 | BBB+ | 2,243,689 | ||||||||||||||
| 45,030 | Total Tax Obligation/General | 51,216,296 | ||||||||||||||||
Tax Obligation/Limited – 29.0% | ||||||||||||||||||
| 1,500 | Albany Parking Authority, New York, Revenue Refunding Bonds, Series 1992A, 0.000%, 11/01/17 | No Opt. Call | N/R | 1,199,445 | ||||||||||||||
Canton Human Services Initiative Inc., New York, Facility Revenue Bonds, Series 2001: | ||||||||||||||||||
| 865 | 5.700%, 9/01/24 | 3/13 at 101.00 | Baa1 | 874,437 | ||||||||||||||
| 1,155 | 5.750%, 9/01/32 | 3/13 at 101.00 | Baa1 | 1,170,385 | ||||||||||||||
| 1,100 | Dormitory Authority of the State of New York, Consolidated Revenue Bonds, City University System, Series 1993A, 5.750%, 7/01/13 – NPFG Insured | No Opt. Call | Aa3 | 1,149,093 | ||||||||||||||
| 80 | Dormitory Authority of the State of New York, Improvement Revenue Bonds, Mental Health Services Facilities, Series 2000D, 5.250%, 8/15/30 – AGM Insured | 2/13 at 100.00 | AA– | 80,274 | ||||||||||||||
| Nuveen Investments | 49 |
Portfolio of Investments (Unaudited)
Nuveen New York Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 1,000 | Dormitory Authority of the State of New York, Lease Revenue Bonds, Wayne-Finger Lakes Board of Cooperative Education Services, Series 2004, 5.000%, 8/15/23 – AGM Insured | 8/14 at 100.00 | AA– | $ | 1,077,770 | ||||||||||||
Dormitory Authority of the State of New York, Residential Institutions for Children Revenue Bonds, Series 2008-A1: | ||||||||||||||||||
| 2,000 | 5.000%, 6/01/33 | 6/18 at 100.00 | Aa1 | 2,202,500 | ||||||||||||||
| 2,500 | 5.000%, 6/01/38 | 6/18 at 100.00 | Aa1 | 2,722,850 | ||||||||||||||
| 2,410 | Dormitory Authority of the State of New York, Revenue Bonds, Department of Health, Series 2004-2, 5.000%, 7/01/20 – FGIC Insured | 7/14 at 100.00 | AA– | 2,575,760 | ||||||||||||||
| 1,000 | Dormitory Authority of the State of New York, Revenue Bonds, Mental Health Services Facilities Improvements, Series 2005D-1, 5.000%, 8/15/23 – FGIC Insured | 2/15 at 100.00 | AA– | 1,094,990 | ||||||||||||||
Dormitory Authority of the State of New York, Revenue Bonds, School Districts Financing Program, Series 2002D: | ||||||||||||||||||
| 5,675 | 5.250%, 10/01/23 – NPFG Insured | 10/12 at 100.00 | A+ | 5,696,395 | ||||||||||||||
| 875 | 5.000%, 10/01/30 – NPFG Insured | 10/12 at 100.00 | A+ | 878,089 | ||||||||||||||
| 1,500 | Dormitory Authority of the State of New York, Revenue Bonds, School Districts Financing Program, Series 2009C, 5.125%, 10/01/36 – AGC Insured | 10/19 at 100.00 | AA– | 1,681,170 | ||||||||||||||
| �� | 4,000 | Dormitory Authority of the State of New York, Revenue Bonds, State University Educational Facilities, 1989 Resolution, Series 2000C, 5.750%, 5/15/16 – AGM Insured | No Opt. Call | AA– | 4,738,400 | |||||||||||||
| 1,000 | Dormitory Authority of the State of New York, Revenue Bonds, State University Educational Facilities, Series 1993C, 5.250%, 5/15/19 | 5/14 at 100.00 | AA– | 1,147,940 | ||||||||||||||
| 4,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Education Series 2008A, 5.000%, 3/15/28 | 3/18 at 100.00 | AAA | 4,630,520 | ||||||||||||||
| 10,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2012A, 5.000%, 12/15/29 | 12/22 at 100.00 | AAA | 12,088,800 | ||||||||||||||
| 3,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose, Series 2009A, 5.000%, 2/15/34 | 2/19 at 100.00 | AAA | 3,529,770 | ||||||||||||||
| 35 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Series 2005F, 5.000%, 3/15/21 – AGM Insured | No Opt. Call | AAA | 38,694 | ||||||||||||||
| 1,460 | Erie County Industrial Development Agency, New York, School Facility Revenue Bonds, Buffalo City School District Project, Series 2008A, 5.750%, 5/01/27 – AGM Insured | 5/18 at 100.00 | AA– | 1,720,610 | ||||||||||||||
| 14,675 | Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Series 2006A, 5.000%, 2/15/47 – FGIC Insured | 2/17 at 100.00 | A | 15,547,574 | ||||||||||||||
Metropolitan Transportation Authority, New York, Dedicated Tax Fund Bonds, Series 2002A: | ||||||||||||||||||
| 7,400 | 5.250%, 11/15/25 – AGM Insured | 11/12 at 100.00 | AA | 7,463,048 | ||||||||||||||
| 2,000 | 5.000%, 11/15/30 | 11/12 at 100.00 | AA | 2,016,700 | ||||||||||||||
| 1,825 | Metropolitan Transportation Authority, New York, State Service Contract Refunding Bonds, Series 2002A, 5.750%, 7/01/18 | No Opt. Call | AA– | 2,268,731 | ||||||||||||||
| 1,680 | Monroe Newpower Corporation, New York, Power Facilities Revenue Bonds, Series 2003, 5.500%, 1/01/34 | 1/13 at 102.00 | BBB | 1,699,522 | ||||||||||||||
New York City Sales Tax Asset Receivable Corporation, New York, Dedicated Revenue Bonds, Local Government Assistance Corporation, Series 2004A: | ||||||||||||||||||
| 5,570 | 5.000%, 10/15/25 – NPFG Insured | 10/14 at 100.00 | AAA | 6,045,455 | ||||||||||||||
| 3,095 | 5.000%, 10/15/26 – NPFG Insured | 10/14 at 100.00 | AAA | 3,355,320 | ||||||||||||||
| 5,875 | 5.000%, 10/15/29 – AMBAC Insured | 10/14 at 100.00 | AAA | 6,388,064 | ||||||||||||||
| 500 | 5.000%, 10/15/32 – AMBAC Insured | 10/14 at 100.00 | AAA | 542,450 | ||||||||||||||
| 10,000 | 5.000%, 10/15/32 – AGM Insured | 10/14 at 100.00 | AAA | 10,849,000 | ||||||||||||||
| 7,800 | New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal Series 2007S-2, 5.000%, 1/15/28 – FGIC Insured | 1/17 at 100.00 | AA– | 8,707,218 | ||||||||||||||
| 50 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 4,500 | New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal Series 2009-S1, 5.500%, 7/15/31 | 7/18 at 100.00 | AA– | $ | 5,298,795 | ||||||||||||
| 5,925 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Fiscal 2012 Series E-1, 5.000%, 2/01/42 | 2/22 at 100.00 | AAA | 6,804,211 | ||||||||||||||
New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Fiscal Series 2003E: | ||||||||||||||||||
| 25 | 5.250%, 2/01/22 – NPFG Insured | 2/13 at 100.00 | AAA | 25,485 | ||||||||||||||
| 310 | 5.000%, 2/01/23 – FGIC Insured | 2/13 at 100.00 | AAA | 315,627 | ||||||||||||||
| 3,705 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Fiscal Series 2007C-1, 5.000%, 11/01/27 | 11/17 at 100.00 | AAA | 4,339,629 | ||||||||||||||
New York Convention Center Development Corporation, Hotel Fee Revenue Bonds, Tender Option Bonds Trust 3095: | ||||||||||||||||||
| 440 | 13.153%, 11/15/30 – AMBAC Insured (IF) | 11/15 at 100.00 | AA+ | 532,875 | ||||||||||||||
| 1,395 | 13.139%, 11/15/44 – AMBAC Insured (IF) | 11/15 at 100.00 | AA+ | 1,627,114 | ||||||||||||||
| 180 | New York State Environmental Facilities Corporation, Infrastructure Revenue Bonds, Series 2003A, 5.000%, 3/15/21 | 3/14 at 100.00 | AA– | 190,480 | ||||||||||||||
New York State Environmental Facilities Corporation, State Personal Income Tax Revenue Bonds, Series 2008A: | ||||||||||||||||||
| 5,050 | 5.000%, 12/15/26 (UB) | 12/17 at 100.00 | AAA | 5,967,080 | ||||||||||||||
| 60 | 5.000%, 12/15/27 (UB) | 12/17 at 100.00 | AAA | 70,762 | ||||||||||||||
| 2,100 | New York State Housing Finance Agency, State Personal Income Tax Revenue Bonds, Economic Development and Housing, Series 2006A, 5.000%, 3/15/36 | 9/15 at 100.00 | AAA | 2,327,115 | ||||||||||||||
| 1,625 | New York State Local Government Assistance Corporation, Revenue Bonds, Series 1993E, 5.250%, 4/01/16 – AGM Insured | No Opt. Call | AAA | 1,833,341 | ||||||||||||||
New York State Municipal Bond Bank Agency, Buffalo, Special Program Revenue Bonds, Series 2001A: | ||||||||||||||||||
| 1,185 | 5.250%, 5/15/25 – AMBAC Insured | 11/12 at 100.00 | A1 | 1,189,005 | ||||||||||||||
| 1,250 | 5.250%, 5/15/26 – AMBAC Insured | 11/12 at 100.00 | A1 | 1,254,413 | ||||||||||||||
| 1,000 | New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Second General, Series 2004A, 5.000%, 4/01/23 – NPFG Insured | 4/14 at 100.00 | AA | 1,067,340 | ||||||||||||||
New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Second General, Series 2005B: | ||||||||||||||||||
| 5,385 | 5.500%, 4/01/20 – AMBAC Insured | No Opt. Call | AA | 6,851,766 | ||||||||||||||
| 1,500 | 5.000%, 4/01/21 – AMBAC Insured | 10/15 at 100.00 | AA | 1,701,075 | ||||||||||||||
| 2,750 | New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Series 2007, 5.000%, 4/01/27 | 10/17 at 100.00 | AA | 3,157,000 | ||||||||||||||
| 5,500 | New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Second General, Series 2005B, 5.500%, 4/01/20 – AMBAC Insured (UB) (4) | No Opt. Call | AA | 6,998,090 | ||||||||||||||
| 5,000 | New York State Thruway Authority, Second General Highway and Bridge Trust Fund Bonds, Series 2011A-1, 5.000%, 4/01/31 | 4/21 at 100.00 | AA | 5,831,950 | ||||||||||||||
| 1,500 | New York State Thruway Authority, State Personal Income Tax Revenue Bonds, Series 2004A, 5.000%, 3/15/24 – AMBAC Insured | 9/14 at 100.00 | AAA | 1,623,300 | ||||||||||||||
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and State Contingency Contract-Backed Bonds, Series 2003A-1: | ||||||||||||||||||
| 7,200 | 5.250%, 6/01/20 – AMBAC Insured | 6/13 at 100.00 | AA– | 7,461,432 | ||||||||||||||
| 3,005 | 5.250%, 6/01/21 – AMBAC Insured | 6/13 at 100.00 | AA– | 3,114,112 | ||||||||||||||
| 10,345 | 5.250%, 6/01/22 – AMBAC Insured | 6/13 at 100.00 | AA– | 10,720,627 | ||||||||||||||
| 3,000 | New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and State Contingency Contract-Backed Bonds, Series 2003B-1C, 5.500%, 6/01/21 | 6/13 at 100.00 | AA– | 3,114,540 | ||||||||||||||
| 960 | New York State Urban Development Corporation, State Personal Income Tax Revenue Bonds, Series 2005B, 5.000%, 3/15/30 – AGM Insured | 3/15 at 100.00 | AAA | 1,011,763 | ||||||||||||||
| Nuveen Investments | 51 |
Portfolio of Investments (Unaudited)
Nuveen New York Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 7,000 | New York State Urban Development Corporation, State Personal Income Tax Revenue Bonds, Series 2011A, 5.000%, 3/15/29 | 3/21 at 100.00 | AAA | $ | 8,270,150 | ||||||||||||
| 675 | Niagara Falls City School District, Niagara County, New York, Certificates of Participation, High School Facility, Series 2005, 5.000%, 6/15/28 – AGM Insured | 6/15 at 100.00 | AA– | 713,522 | ||||||||||||||
| 4,000 | Puerto Rico Highway and Transportation Authority, Highway Revenue Refunding Bonds, Series 2002E, 5.500%, 7/01/18 – AGM Insured | No Opt. Call | AA– | 4,645,320 | ||||||||||||||
| 5,000 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/44 – AMBAC Insured | No Opt. Call | BBB+ | 718,300 | ||||||||||||||
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010C: | ||||||||||||||||||
| 1,810 | 5.250%, 8/01/41 | 8/20 at 100.00 | A+ | 1,924,899 | ||||||||||||||
| 1,055 | 5.125%, 8/01/42 – AGM Insured | 8/20 at 100.00 | AA– | 1,153,917 | ||||||||||||||
| 1,850 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 5.250%, 8/01/57 | 8/17 at 100.00 | AA– | 1,968,271 | ||||||||||||||
| 2,235 | Syracuse Industrial Development Authority, New York, PILOT Mortgage Revenue Bonds, Carousel Center Project, Series 2007A, 5.000%, 1/01/36 – SYNCORA GTY Insured (Alternative Minimum Tax) | 1/17 at 100.00 | A+ | 2,291,680 | ||||||||||||||
| 204,095 | Total Tax Obligation/Limited | 221,295,960 | ||||||||||||||||
Transportation – 12.6% | ||||||||||||||||||
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2003A: | ||||||||||||||||||
| 3,000 | 5.000%, 11/15/15 – FGIC Insured | No Opt. Call | A | 3,407,550 | ||||||||||||||
| 2,605 | 5.000%, 11/15/25 – AGM Insured | 11/13 at 100.00 | AA– | 2,723,762 | ||||||||||||||
| 1,180 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2005A, 4.750%, 11/15/27 – NPFG Insured | 11/15 at 100.00 | AA– | 1,302,095 | ||||||||||||||
| 7,000 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2006A, 5.000%, 11/15/31 | 11/16 at 100.00 | A | 7,556,150 | ||||||||||||||
Metropolitan Transportation Authority, New York, Transportation Revenue Refunding Bonds, Series 2002A: | ||||||||||||||||||
| 4,250 | 5.500%, 11/15/18 – AMBAC Insured | 11/12 at 100.00 | A | 4,293,520 | ||||||||||||||
| 1,500 | 5.500%, 11/15/19 – AMBAC Insured | 11/12 at 100.00 | A | 1,514,880 | ||||||||||||||
| 1,000 | 5.125%, 11/15/22 – FGIC Insured | 11/12 at 100.00 | A | 1,008,690 | ||||||||||||||
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Bronx Parking Development Company, LLC Project, Series 2007: | ||||||||||||||||||
| 2,800 | 5.750%, 10/01/37 | 10/17 at 100.00 | N/R | 1,494,556 | ||||||||||||||
| 2,000 | 5.875%, 10/01/46 | 10/17 at 102.00 | N/R | 1,066,540 | ||||||||||||||
| 500 | New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds, British Airways PLC, Series 1998, 5.250%, 12/01/32 (Alternative Minimum Tax) | 12/12 at 100.00 | BB | 493,820 | ||||||||||||||
| 3,670 | New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds, Terminal One Group JFK Project, Series 2005, 5.500%, 1/01/24 (Alternative Minimum Tax) | 1/16 at 100.00 | A3 | 3,874,015 | ||||||||||||||
| 3,040 | New York Liberty Development Corporation, Liberty Revenue Bonds, 4 World Trade Center Project, Series 2011, 5.000%, 11/15/44 | 11/21 at 100.00 | A+ | 3,367,043 | ||||||||||||||
| 580 | New York State Thruway Authority, General Revenue Bonds, Refunding Series 2007H, 5.000%, 1/01/25 – FGIC Insured | 1/18 at 100.00 | A+ | 663,015 | ||||||||||||||
New York State Thruway Authority, General Revenue Bonds, Series 2005F: | ||||||||||||||||||
| 5,265 | 5.000%, 1/01/20 – AMBAC Insured | 1/15 at 100.00 | A+ | 5,756,488 | ||||||||||||||
| 295 | 5.000%, 1/01/30 – AMBAC Insured | 1/15 at 100.00 | A+ | 318,901 | ||||||||||||||
New York State Thruway Authority, General Revenue Bonds, Series 2005G: | ||||||||||||||||||
| 1,600 | 5.000%, 1/01/30 – AGM Insured | 7/15 at 100.00 | AA– | 1,763,888 | ||||||||||||||
| 3,000 | 5.000%, 1/01/32 – AGM Insured | 7/15 at 100.00 | AA– | 3,307,290 | ||||||||||||||
| 52 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Transportation (continued) | ||||||||||||||||||
| $ | 2,110 | New York State Thruway Authority, General Revenue Bonds, Series 2012I, 5.000%, 1/01/42 | 1/22 at 100.00 | A+ | $ | 2,373,476 | ||||||||||||
Niagara Frontier Airport Authority, New York, Airport Revenue Bonds, Buffalo Niagara International Airport, Series 1998: | ||||||||||||||||||
| 1,000 | 5.000%, 4/01/18 – FGIC Insured (Alternative Minimum Tax) | 10/12 at 100.00 | BBB | 1,000,420 | ||||||||||||||
| 1,500 | 5.000%, 4/01/28 – FGIC Insured (Alternative Minimum Tax) | 10/12 at 100.00 | BBB | 1,475,235 | ||||||||||||||
| 4,000 | Niagara Frontier Airport Authority, New York, Airport Revenue Bonds, Buffalo Niagara International Airport, Series 1999A, 5.625%, 4/01/29 – NPFG Insured (Alternative Minimum Tax) | 10/12 at 100.00 | BBB | 4,046,000 | ||||||||||||||
| 5,000 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Fifty Second Series 2007, 5.000%, 11/01/28 (Alternative Minimum Tax) | 5/18 at 100.00 | Aa2 | 5,576,700 | ||||||||||||||
Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Fortieth Series 2005: | ||||||||||||||||||
| 500 | 5.000%, 12/01/19 – AGM Insured | 6/15 at 101.00 | Aa2 | 561,865 | ||||||||||||||
| 2,000 | 5.000%, 12/01/28 – SYNCORA GTY Insured | 6/15 at 101.00 | Aa2 | 2,209,620 | ||||||||||||||
| 1,725 | 5.000%, 12/01/31 – SYNCORA GTY Insured | 6/15 at 101.00 | Aa2 | 1,894,964 | ||||||||||||||
| 1,535 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Forty Eighth Series 2008, Trust 2920, 17.244%, 8/15/32 – AGM Insured (IF) | 8/17 at 100.00 | AA– | 2,196,339 | ||||||||||||||
| 3,485 | Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC Project, Eighth Series 2010, 6.000%, 12/01/36 | 12/20 at 100.00 | BBB– | 4,063,649 | ||||||||||||||
| 4,545 | Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC, Sixth Series 1997, 5.750%, 12/01/25 – NPFG Insured (Alternative Minimum Tax) | 12/12 at 100.00 | BBB | 4,546,136 | ||||||||||||||
| 250 | Puerto Rico Ports Authority, Special Facilities Revenue Bonds, American Airlines Inc., Series 1996A, 6.250%, 6/01/26 (Alternative Minimum Tax) (5) | 12/12 at 100.00 | N/R | 156,810 | ||||||||||||||
| 15,000 | Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding Bonds, Series 2011A, 5.000%, 1/01/28 | 1/22 at 100.00 | AA– | 17,959,046 | ||||||||||||||
| 1,560 | Triborough Bridge and Tunnel Authority, New York, Subordinate Lien General Purpose Revenue Refunding Bonds, Series 2002E, 5.500%, 11/15/20 – NPFG Insured | No Opt. Call | A+ | 1,971,793 | ||||||||||||||
| 1,500 | Triborough Bridge and Tunnel Authority, New York, Subordinate Lien General Purpose Revenue Refunding Bonds, Tender Option Bond Trust 1184, 9.091%, 5/15/16 (IF) | No Opt. Call | AA– | 1,925,760 | ||||||||||||||
| 88,995 | Total Transportation | 95,870,016 | ||||||||||||||||
U.S. Guaranteed – 5.8% (6) | ||||||||||||||||||
| 2,000 | Dormitory Authority of the State of New York, Revenue Bonds, Memorial Sloan-Kettering Cancer Center, Series 2003-1, 5.000%, 7/01/21 (Pre-refunded 7/01/13) – NPFG Insured | 7/13 at 100.00 | Aa2 (6) | 2,079,620 | ||||||||||||||
| 1,250 | Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Group, Series 2003, 5.375%, 5/01/23 (Pre-refunded 5/01/13) | 5/13 at 100.00 | Aaa | 1,293,113 | ||||||||||||||
| 650 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Series 2005F, 5.000%, 3/15/21 (Pre-refunded 3/15/15) – AGM Insured | 3/15 at 100.00 | AA– (6) | 726,947 | ||||||||||||||
| 220 | Dormitory Authority of the State of New York, Suffolk County, Lease Revenue Bonds, Judicial Facilities, Series 1991A, 9.500%, 4/15/14 – FGIC Insured (ETM) | 10/12 at 102.34 | Baa1 (6) | 239,549 | ||||||||||||||
| 1,100 | Erie County Industrial Development Agency, New York, School Facility Revenue Bonds, Buffalo City School District, Series 2004, 5.750%, 5/01/26 (Pre-refunded 5/01/14) – AGM Insured | 5/14 at 100.00 | AA– (6) | 1,200,320 | ||||||||||||||
| 500 | Erie County Water Authority, New York, Water Revenue Bonds, Series 1990B, 6.750%, 12/01/14 – AMBAC Insured (ETM) | No Opt. Call | N/R (6) | 537,415 | ||||||||||||||
| Nuveen Investments | 53 |
Portfolio of Investments (Unaudited)
Nuveen New York Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
U.S. Guaranteed (6) (continued) | ||||||||||||||||||
| $ | 6,000 | Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2003C, 5.000%, 9/01/16 (Pre-refunded 9/01/13) – CIFG Insured | 9/13 at 100.00 | A (6) | $ | 6,286,200 | ||||||||||||
Metropolitan Transportation Authority, New York, Commuter Facilities Revenue Bonds, Series 1997B: | ||||||||||||||||||
| 855 | 5.000%, 7/01/20 – AMBAC Insured (ETM) | 1/13 at 100.00 | N/R (6) | 893,338 | ||||||||||||||
| 1,295 | 5.125%, 7/01/24 – AMBAC Insured (ETM) | 1/13 at 100.00 | N/R (6) | 1,332,594 | ||||||||||||||
Metropolitan Transportation Authority, New York, Transportation Revenue Refunding Bonds, Series 2002E: | ||||||||||||||||||
| 3,185 | 5.500%, 11/15/18 (Pre-refunded 11/15/12) – NPFG Insured | 11/12 at 100.00 | A (6) | 3,219,653 | ||||||||||||||
| 7,155 | 5.500%, 11/15/19 (Pre-refunded 11/15/12) – NPFG Insured | 11/12 at 100.00 | A (6) | 7,232,846 | ||||||||||||||
| 575 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Fiscal Series 2003E, 5.000%, 2/01/23 (Pre-refunded 2/01/13) – FGIC Insured | 2/13 at 100.00 | Aaa | 586,621 | ||||||||||||||
| 1,000 | New York City Transitional Finance Authority, New York, Future Tax Secured Refunding Bonds, Fiscal Series 2003D, 5.000%, 2/01/22 (Pre-refunded 2/01/13) – NPFG Insured | 2/13 at 100.00 | Aaa | 1,020,210 | ||||||||||||||
| 125 | New York City, New York, General Obligation Bonds, Fiscal Series 2004E, 5.000%, 11/01/20 (Pre-refunded 11/01/14) – AGM Insured | 11/14 at 100.00 | Aa2 (6) | 137,673 | ||||||||||||||
| 240 | New York State Urban Development Corporation, State Personal Income Tax Revenue Bonds, Series 2005B, 5.000%, 3/15/30 (Pre-refunded 3/15/15) – AGM Insured | 3/15 at 100.00 | AA– (6) | 268,411 | ||||||||||||||
Suffolk County Industrial Development Agency, New York, Revenue Bonds, Huntington Hospital, Series 2002C: | ||||||||||||||||||
| 850 | 6.000%, 11/01/22 (Pre-refunded 11/01/12) | 11/12 at 100.00 | A– (6) | 858,305 | ||||||||||||||
| 1,220 | 5.875%, 11/01/32 (Pre-refunded 11/01/12) | 11/12 at 100.00 | A– (6) | 1,231,663 | ||||||||||||||
| 15,000 | Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Refunding Bonds, Series 2002B, 5.250%, 11/15/19 (Pre-refunded 11/15/12) | 11/12 at 100.00 | AA– | 15,155,548 | ||||||||||||||
| 43,220 | Total U.S. Guaranteed | 44,300,026 | ||||||||||||||||
Utilities – 8.3% | ||||||||||||||||||
| 3,000 | Chautauqua County Industrial Development Agency, New York, Exempt Facility Revenue Bonds, NRG Dunkirk Power Project, Series 2009, 5.875%, 4/01/42 | 2/20 at 100.00 | Baa3 | 3,378,090 | ||||||||||||||
| 1,200 | Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 – AGM Insured | 10/20 at 100.00 | AA– | 1,317,324 | ||||||||||||||
| 6,000 | Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 1998A, 0.000%, 12/01/19 – AGM Insured | No Opt. Call | AA– | 5,241,480 | ||||||||||||||
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2000A: | ||||||||||||||||||
| 2,350 | 0.000%, 6/01/20 – AGM Insured | No Opt. Call | AA– | 1,991,249 | ||||||||||||||
| 2,000 | 0.000%, 6/01/24 – AGM Insured | No Opt. Call | AA– | 1,447,260 | ||||||||||||||
| 2,000 | 0.000%, 6/01/25 – AGM Insured | No Opt. Call | AA– | 1,387,760 | ||||||||||||||
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A: | ||||||||||||||||||
| 8,800 | 5.000%, 12/01/23 – FGIC Insured | 6/16 at 100.00 | A | 9,836,552 | ||||||||||||||
| 1,200 | 5.000%, 12/01/24 – FGIC Insured | 6/16 at 100.00 | A | 1,337,184 | ||||||||||||||
| 2,615 | 5.000%, 12/01/25 – FGIC Insured | 6/16 at 100.00 | A | 2,913,947 | ||||||||||||||
| 750 | Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006B, 5.000%, 12/01/35 – CIFG Insured | 6/16 at 100.00 | A | 795,000 | ||||||||||||||
| 5,000 | Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006C, 5.000%, 9/01/35 – BHAC Insured | 9/16 at 100.00 | AA+ | 5,482,200 | ||||||||||||||
Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2008A: | ||||||||||||||||||
| 10,000 | 6.000%, 5/01/33 | 5/19 at 100.00 | A | 12,112,698 | ||||||||||||||
| 5,000 | 5.500%, 5/01/33 – BHAC Insured | 5/19 at 100.00 | AA+ | 5,877,050 | ||||||||||||||
| 54 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Utilities (continued) | ||||||||||||||||||
| $ | 2,400 | Nassau County Industrial Development Authority, New York, Keyspan Glenwood Energy Project, Series 2003, 5.250%, 6/01/27 (Alternative Minimum Tax) | 6/13 at 100.00 | A– | $ | 2,467,992 | ||||||||||||
| 1,000 | New York State Energy Research and Development Authority, Electric Facilities Revenue Bonds, Long Island Lighting Company, Series 1995A, 5.300%, 8/01/25 – NPFG Insured (Alternative Minimum Tax) | 3/13 at 100.00 | A– | 1,001,430 | ||||||||||||||
| 1,500 | Niagara County Industrial Development Agency, New York, Solid Waste Disposal Facility Revenue Bonds, American Ref-Fuel Company of Niagara LP, Series 2001A, 5.450%, 11/15/26 (Mandatory put 11/15/12) (Alternative Minimum Tax) | 11/12 at 100.00 | Baa2 | 1,511,070 | ||||||||||||||
| 400 | Niagara County Industrial Development Agency, New York, Solid Waste Disposal Facility Revenue Bonds, American Ref-Fuel Company of Niagara LP, Series 2001C, 5.625%, 11/15/24 (Mandatory put 11/15/14) (Alternative Minimum Tax) | 11/12 at 100.00 | Baa2 | 404,172 | ||||||||||||||
| 200 | Niagara County Industrial Development Agency, New York, Solid Waste Disposal Facility Revenue Refunding Bonds, American Ref-Fuel Company of Niagara LP, Series 2001D, 5.550%, 11/15/24 (Mandatory put 11/15/15) | 11/12 at 100.00 | Baa2 | 202,074 | ||||||||||||||
| 520 | Power Authority of the State of New York, General Revenue Bonds, Series 2006A, 5.000%, 11/15/19 – FGIC Insured | 11/15 at 100.00 | Aa2 | 590,398 | ||||||||||||||
Suffolk County Industrial Development Agency, New York, Revenue Bonds, Nissequogue Cogeneration Partners Facility, Series 1998: | ||||||||||||||||||
| 480 | 5.300%, 1/01/13 (Alternative Minimum Tax) | No Opt. Call | N/R | 480,134 | ||||||||||||||
| 4,000 | 5.500%, 1/01/23 (Alternative Minimum Tax) | 1/13 at 100.00 | N/R | 4,000,080 | ||||||||||||||
| 60,415 | Total Utilities | 63,775,144 | ||||||||||||||||
Water and Sewer – 7.0% | ||||||||||||||||||
| 8,000 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue Bonds, Second Generation Resolution, Fiscal 2012 Series BB, 5.000%, 6/15/44 | 12/21 at 100.00 | AA+ | 9,110,960 | ||||||||||||||
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue Bonds, Second Generation Resolution, Series 2011HH: | ||||||||||||||||||
| 10,500 | 5.000%, 6/15/29 | 6/21 at 100.00 | AA+ | 12,563,878 | ||||||||||||||
| 4,500 | 5.000%, 6/15/31 | 6/21 at 100.00 | AA+ | 5,302,845 | ||||||||||||||
| 2,000 | 5.000%, 6/15/32 | 6/21 at 100.00 | AA+ | 2,336,380 | ||||||||||||||
| 2,105 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue Bonds, Series 2006B, 5.000%, 6/15/36 – NPFG Insured | 6/16 at 100.00 | AAA | 2,362,252 | ||||||||||||||
| 3,340 | New York City Municipal Water Finance Authority, New York, Water and Sewerage System Revenue Bonds, Fiscal Series 2005C, 5.000%, 6/15/27 – NPFG Insured | 6/15 at 100.00 | AAA | 3,714,815 | ||||||||||||||
| 3,000 | New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water Finance Authority Projects, Series 2006A, 4.750%, 6/15/29 | No Opt. Call | AAA | 3,376,890 | ||||||||||||||
| 4,000 | New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, Pooled Loan Issue, Series 2002F, 5.250%, 11/15/18 | 11/12 at 100.00 | AAA | 4,041,320 | ||||||||||||||
| 2,950 | Niagara Falls Public Water Authority, New York, Water and Sewerage Revenue Bonds, Series 2005, 5.000%, 7/15/27 – SYNCORA GTY Insured | 7/15 at 100.00 | BBB– | 3,092,367 | ||||||||||||||
| 1,520 | Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38 | 7/18 at 100.00 | Baa2 | 1,620,077 | ||||||||||||||
| 4,000 | Suffolk County Water Authority, New York, Waterworks Revenue Bonds, Series 2005C, 5.000%, 6/01/28 – NPFG Insured | 6/15 at 100.00 | AAA | 4,257,960 | ||||||||||||||
| Nuveen Investments | 55 |
Portfolio of Investments (Unaudited)
Nuveen New York Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Water and Sewer (continued) | ||||||||||||||||||
| $ | 1,455 | Western Nassau County Water Authority, New York, Water System Revenue Bonds, Series 2005, 5.000%, 5/01/18 – AMBAC Insured | 5/15 at 100.00 | AA– | $ | 1,591,290 | ||||||||||||
| 47,370 | Total Water and Sewer | 53,371,034 | ||||||||||||||||
| $ | 703,005 | Total Investments (cost $700,828,782) – 98.9% | 754,930,623 | |||||||||||||||
Floating Rate Obligations – (1.0)% | (7,955,000) | |||||||||||||||||
Other Assets Less Liabilities – 2.1% | 16,017,265 | |||||||||||||||||
Net Assets – 100% | $ | 762,992,888 | ||||||||||||||||
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (3) | Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (4) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. |
| (5) | At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records. |
| (6) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. |
| N/R | Not rated. |
| (ETM) | Escrowed to maturity. |
| (IF) | Inverse floating rate investment. |
| (UB) | Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information. |
See accompanying notes to financial statements.
| 56 | Nuveen Investments |
Statement of Assets and Liabilities (Unaudited)
August 31, 2012
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Assets | ||||||||||||||||
Investments, at value (cost $352,749,344, $209,913,412, $268,043,533 and 700,828,782, respectively) | $ | 379,348,722 | $ | 226,802,369 | $ | 293,477,952 | $ | 754,930,623 | ||||||||
Cash | 6,234,586 | 5,304,535 | 181,840 | 9,304,429 | ||||||||||||
Receivables: | ||||||||||||||||
Interest | 3,633,287 | 2,649,467 | 2,976,310 | 8,779,321 | ||||||||||||
Investments sold | 160,000 | 2,625,000 | 2,694,167 | 95,139 | ||||||||||||
Shares sold | 806,787 | 226,771 | 522,992 | 789,181 | ||||||||||||
Deferred Trustees’ compensation | 31,782 | — | 580 | 85,157 | ||||||||||||
Other assets | 816 | 589 | 689 | 1,314 | ||||||||||||
Total assets | 390,215,980 | 237,608,731 | 299,854,530 | 773,985,164 | ||||||||||||
Liabilities | ||||||||||||||||
Floating rate obligations | 10,000,000 | — | — | 7,955,000 | ||||||||||||
Payables: | ||||||||||||||||
Dividends | 373,176 | 151,249 | 249,504 | 484,848 | ||||||||||||
Investments purchased | — | — | 3,385,369 | — | ||||||||||||
Shares redeemed | 405,257 | 207,451 | 436,606 | 1,652,349 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Management fees | 162,077 | 133,700 | 127,323 | 344,400 | ||||||||||||
Trustees’ fees | 33,487 | 929 | 1,687 | 95,908 | ||||||||||||
12b-1 distribution and service fees | 86,041 | 38,755 | 60,926 | 119,818 | ||||||||||||
Other | 131,135 | 130,277 | 117,774 | 339,953 | ||||||||||||
Total liabilities | 11,191,173 | 662,361 | 4,379,189 | 10,992,276 | ||||||||||||
Net assets | $ | 379,024,807 | $ | 236,946,370 | $ | 295,475,341 | $ | 762,992,888 | ||||||||
Class A Shares | ||||||||||||||||
Net assets | $ | 267,121,370 | $ | 99,415,377 | $ | 154,601,191 | $ | 330,938,901 | ||||||||
Shares outstanding | 24,060,353 | 9,539,939 | 13,384,125 | 29,305,938 | ||||||||||||
Net asset value per share | $ | 11.10 | $ | 10.42 | $ | 11.55 | $ | 11.29 | ||||||||
Offering price per share (net asset value per share plus maximum sales charge of 4.20% of offering price) | $ | 11.59 | $ | 10.88 | $ | 12.06 | $ | 11.78 | ||||||||
Class B Shares | ||||||||||||||||
Net assets | $ | 1,483,855 | $ | 1,173,597 | $ | 2,289,634 | $ | 3,944,206 | ||||||||
Shares outstanding | 133,826 | 112,490 | 198,118 | 349,765 | ||||||||||||
Net asset value and offering price per share | $ | 11.09 | $ | 10.43 | $ | 11.56 | $ | 11.28 | ||||||||
Class C Shares | ||||||||||||||||
Net assets | $ | 62,413,040 | $ | 33,167,840 | $ | 52,360,472 | $ | 95,338,715 | ||||||||
Shares outstanding | 5,628,544 | 3,209,665 | 4,548,776 | 8,445,207 | ||||||||||||
Net asset value and offering price per share | $ | 11.09 | $ | 10.33 | $ | 11.51 | $ | 11.29 | ||||||||
Class I Shares | ||||||||||||||||
Net assets | $ | 48,006,542 | $ | 103,189,556 | $ | 86,224,044 | $ | 332,771,066 | ||||||||
Shares outstanding | 4,308,370 | 9,918,594 | 7,439,450 | 29,425,536 | ||||||||||||
Net asset value and offering price per share | $ | 11.14 | $ | 10.40 | $ | 11.59 | $ | 11.31 | ||||||||
Net assets consist of: | ||||||||||||||||
Capital paid-in | $ | 351,647,165 | $ | 220,693,589 | $ | 270,411,050 | $ | 707,658,158 | ||||||||
Undistrubuted (Over-distribution of) net investment income | 519,066 | 495,574 | 1,246,838 | 1,277,434 | ||||||||||||
Accumulated net realized gain (loss) | 259,198 | (1,131,750 | ) | (1,616,966 | ) | (44,545 | ) | |||||||||
Net unrealized appreciation (depreciation) | 26,599,378 | 16,888,957 | 25,434,419 | 54,101,841 | ||||||||||||
Net assets | $ | 379,024,807 | $ | 236,946,370 | $ | 295,475,341 | $ | 762,992,888 | ||||||||
Authorized shares | Unlimited | Unlimited | Unlimited | Unlimited | ||||||||||||
Par value per share | $ | 0.01 | $ | 0.01 | $ | 0.01 | $ | 0.01 | ||||||||
See accompanying notes to financial statements.
| Nuveen Investments | 57 |
Statement of Operations (Unaudited)
Six Months Ended August 31, 2012
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Investment Income | $ | 8,365,821 | $ | 5,398,039 | $ | 6,583,713 | $ | 16,640,063 | ||||||||
Expenses | ||||||||||||||||
Management fees | 945,632 | 596,210 | 730,897 | 1,876,039 | ||||||||||||
12b-1 service fees – Class A | 264,248 | 96,296 | 149,409 | 323,288 | ||||||||||||
12b-1 distribution and service fees – Class B | 7,480 | 5,947 | 12,314 | 20,438 | ||||||||||||
12b-1 distribution and service fees – Class C | 228,210 | 120,411 | 183,122 | 350,491 | ||||||||||||
Shareholders’ servicing agent fees and expenses | 93,409 | 70,035 | 86,685 | 221,597 | ||||||||||||
Interest expense on floating rate obligations | 20,519 | — | — | 18,700 | ||||||||||||
Custodian’s fees and expenses | 30,592 | 20,587 | 27,367 | 72,009 | ||||||||||||
Trustees’ fees and expenses | 4,811 | 2,986 | 3,702 | 9,723 | ||||||||||||
Professional fees | 25,536 | 11,981 | 22,068 | 34,186 | ||||||||||||
Shareholders’ reports – printing and mailing expenses | 18,097 | 17,382 | 18,447 | 40,621 | ||||||||||||
Federal and state registration fees | 4,083 | 4,262 | 4,385 | 7,664 | ||||||||||||
Other expenses | 8,868 | — | 8,157 | 10,225 | ||||||||||||
Total expenses before custodian fee credit | 1,651,485 | 946,097 | 1,246,553 | 2,984,981 | ||||||||||||
Custodian fee credit | (4,599 | ) | (2,702 | ) | (2,744 | ) | (1,760 | ) | ||||||||
Net expenses | 1,646,886 | 943,395 | 1,243,809 | 2,983,221 | ||||||||||||
Net investment income (loss) | 6,718,935 | 4,454,644 | 5,339,904 | 13,656,842 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net realized gain (loss) from investments | 197,500 | (989,450 | ) | 573,368 | 322,046 | |||||||||||
Net change in unrealized appreciation (depreciation) of investments | 3,704,535 | 5,401,803 | 5,938,805 | 7,739,849 | ||||||||||||
Net realized and unrealized gain (loss) | 3,902,035 | 4,412,353 | 6,512,173 | 8,061,895 | ||||||||||||
Net increase (decrease) in net assets from operations | $ | 10,620,970 | $ | 8,866,997 | $ | 11,852,077 | $ | 21,718,737 | ||||||||
See accompanying notes to financial statements.
| 58 | Nuveen Investments |
Statement of Changes in Net Assets (Unaudited)
| Connecticut | Massachusetts | |||||||||||||||
| Six Months Ended 8/31/12 | Year Ended 2/29/12 | Six Months Ended 8/31/12 | Year Ended 2/29/12 | |||||||||||||
Operations | ||||||||||||||||
Net investment income (loss) | $ | 6,718,935 | $ | 13,734,242 | $ | 4,454,644 | $ | 6,683,318 | ||||||||
Net realized gain (loss) from investments | 197,500 | 588,911 | (989,450 | ) | (33,141 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) of investments | 3,704,535 | 25,523,194 | 5,401,803 | 13,449,045 | ||||||||||||
Net increase (decrease) in net assets from operations | 10,620,970 | 39,846,347 | 8,866,997 | 20,099,222 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income: | ||||||||||||||||
Class A | (4,810,976 | ) | (10,035,318 | ) | (1,753,991 | ) | (3,073,723 | ) | ||||||||
Class B | (23,201 | ) | (61,062 | ) | (18,422 | ) | (27,301 | ) | ||||||||
Class C | (943,396 | ) | (1,877,113 | ) | (495,956 | ) | (738,745 | ) | ||||||||
Class I | (849,310 | ) | (1,441,986 | ) | (1,936,539 | ) | (3,001,123 | ) | ||||||||
From accumulated net realized gains: | ||||||||||||||||
Class A | — | (644,935 | ) | — | — | |||||||||||
Class B | — | (4,411 | ) | — | — | |||||||||||
Class C | — | (138,191 | ) | — | — | |||||||||||
Class I | — | (89,001 | ) | — | — | |||||||||||
Decrease in net assets from distributions to shareholders | (6,626,883 | ) | (14,292,017 | ) | (4,204,908 | ) | (6,840,892 | ) | ||||||||
Fund Share Transactions | ||||||||||||||||
Proceeds from Fund reorganization | — | — | — | 76,804,893 | ||||||||||||
Proceeds from sale of shares | 28,789,075 | 38,469,721 | 18,836,354 | 19,763,480 | ||||||||||||
Proceeds from shares issued to shareholders due to reinvestment of distributions | 4,120,914 | 7,926,102 | 2,972,423 | 4,149,780 | ||||||||||||
| 32,909,989 | 46,395,823 | 21,808,777 | 100,718,153 | |||||||||||||
Cost of shares redeemed | (19,059,453 | ) | (53,476,672 | ) | (13,431,127 | ) | (20,495,726 | ) | ||||||||
Net increase (decrease) in net assets from Fund share transactions | 13,850,536 | (7,080,849 | ) | 8,377,650 | 80,222,427 | |||||||||||
Net increase (decrease) in net assets | 17,844,623 | 18,473,481 | 13,039,739 | 93,480,757 | ||||||||||||
Net assets at the beginning of period | 361,180,184 | 342,706,703 | 223,906,631 | 130,425,874 | ||||||||||||
Net assets at the end of period | $ | 379,024,807 | $ | 361,180,184 | $ | 236,946,370 | $ | 223,906,631 | ||||||||
Undistributed (Over-distribution of) net investment income at the end of period | $ | 519,066 | $ | 427,014 | $ | 495,574 | $ | 245,838 | ||||||||
See accompanying notes to financial statements.
| Nuveen Investments | 59 |
Statement of Changes in Net Assets (Unaudited) (continued)
| New Jersey | New York | |||||||||||||||
| Six Months Ended 8/31/12 | Year Ended 2/29/12 | Six Months Ended 8/31/12 | Year Ended 2/29/12 | |||||||||||||
Operations | ||||||||||||||||
Net investment income (loss) | $ | 5,339,904 | $ | 10,556,399 | $ | 13,656,842 | $ | 21,013,989 | ||||||||
Net realized gain (loss) from investments | 573,368 | (2,016,875 | ) | 322,046 | 2,538,571 | |||||||||||
Change in net unrealized appreciation (depreciation) of investments | 5,938,805 | 26,493,162 | 7,739,849 | 38,017,753 | ||||||||||||
Net increase (decrease) in net assets from operations | 11,852,077 | 35,032,686 | 21,718,737 | 61,570,313 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income: | ||||||||||||||||
Class A | (2,876,696 | ) | (5,494,799 | ) | (5,866,819 | ) | (9,958,747 | ) | ||||||||
Class B | (40,442 | ) | (116,421 | ) | (63,321 | ) | (155,056 | ) | ||||||||
Class C | (814,144 | ) | (1,424,614 | ) | (1,448,342 | ) | (2,546,077 | ) | ||||||||
Class I | (1,692,494 | ) | (3,115,912 | ) | (6,344,658 | ) | (8,518,271 | ) | ||||||||
From accumulated net realized gains: | ||||||||||||||||
Class A | — | — | — | (568,910 | ) | |||||||||||
Class B | — | — | — | (9,586 | ) | |||||||||||
Class C | — | — | — | (173,146 | ) | |||||||||||
Class I | — | — | — | (395,675 | ) | |||||||||||
Decrease in net assets from distributions to shareholders | (5,423,776 | ) | (10,151,746 | ) | (13,723,140 | ) | (22,325,468 | ) | ||||||||
Fund Share Transactions | ||||||||||||||||
Proceeds from Fund reorganization | — | — | — | 271,199,012 | ||||||||||||
Proceeds from sale of shares | 27,489,552 | 47,720,256 | 47,109,961 | 76,284,317 | ||||||||||||
Proceeds from shares issued to shareholders due to reinvestment of distributions | 3,458,857 | 5,275,139 | 10,022,137 | 13,807,037 | ||||||||||||
| 30,948,409 | 52,995,395 | 57,132,098 | 361,290,366 | |||||||||||||
Cost of shares redeemed | (15,355,752 | ) | (42,220,748 | ) | (40,410,916 | ) | (79,266,235 | ) | ||||||||
Net increase (decrease) in net assets from Fund share transactions | 15,592,657 | 10,774,647 | 16,721,182 | 282,024,131 | ||||||||||||
Net increase (decrease) in net assets | 22,020,958 | 35,655,587 | 24,716,779 | 321,268,976 | ||||||||||||
Net assets at the beginning of period | 273,454,383 | 237,798,796 | 738,276,109 | 417,007,133 | ||||||||||||
Net assets at the end of period | $ | 295,475,341 | $ | 273,454,383 | $ | 762,992,888 | $ | 738,276,109 | ||||||||
Undistributed (Over-distribution of) net investment income at the end of period | $ | 1,246,838 | $ | 1,330,710 | $ | 1,277,434 | $ | 1,343,732 | ||||||||
See accompanying notes to financial statements.
| 60 | Nuveen Investments |
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| Nuveen Investments | 61 |
Financial Highlights (Unaudited)
| Selected data for a share outstanding throughout each period: | ||||||||||||||||||||||||||||||||||||
| Class (Commencement Date) | ||||||||||||||||||||||||||||||||||||
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||||
| CONNECTICUT | ||||||||||||||||||||||||||||||||||||
| Year Ended February 28/29, | Beginning Net Asset Value | Net Invest- | Net Realized/ Unrealized Gain (Loss) | Total | Net Invest- ment Income | Capital Gains(b) | Total | Ending Net Asset Value | Total Return(c) | |||||||||||||||||||||||||||
Class A (7/87) |
| |||||||||||||||||||||||||||||||||||
2013(f) | $ | 10.98 | $ | .20 | $ | .12 | $ | .32 | $ | (.20 | ) | $ | — | $ | (.20 | ) | $ | 11.10 | 2.96 | % | ||||||||||||||||
2012 | 10.19 | .43 | .81 | 1.24 | (.42 | ) | (.03 | ) | (.45 | ) | 10.98 | 12.40 | ||||||||||||||||||||||||
2011 | 10.49 | .42 | (.30 | ) | .12 | (.42 | ) | — | ** | (.42 | ) | 10.19 | 1.13 | |||||||||||||||||||||||
2010 | 9.77 | .43 | .71 | 1.14 | (.42 | ) | — | (.42 | ) | 10.49 | 11.86 | |||||||||||||||||||||||||
2009 | 10.01 | .42 | (.21 | ) | .21 | (.42 | ) | (.03 | ) | (.45 | ) | 9.77 | 2.20 | |||||||||||||||||||||||
2008 | 10.67 | .42 | (.65 | ) | (.23 | ) | (.42 | ) | (.01 | ) | (.43 | ) | 10.01 | (2.24 | ) | |||||||||||||||||||||
Class B (2/97) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 10.97 | .16 | .12 | .28 | (.16 | ) | — | (.16 | ) | 11.09 | 2.60 | |||||||||||||||||||||||||
2012 | 10.19 | .35 | .80 | 1.15 | (.34 | ) | (.03 | ) | (.37 | ) | 10.97 | 11.48 | ||||||||||||||||||||||||
2011 | 10.48 | .34 | (.29 | ) | .05 | (.34 | ) | — | ** | (.34 | ) | 10.19 | .48 | |||||||||||||||||||||||
2010 | 9.77 | .35 | .71 | 1.06 | (.35 | ) | — | (.35 | ) | 10.48 | 10.97 | |||||||||||||||||||||||||
2009 | 10.00 | .35 | (.21 | ) | .14 | (.34 | ) | (.03 | ) | (.37 | ) | 9.77 | 1.53 | |||||||||||||||||||||||
2008 | 10.66 | .34 | (.65 | ) | (.31 | ) | (.34 | ) | (.01 | ) | (.35 | ) | 10.00 | (2.97 | ) | |||||||||||||||||||||
Class C (10/93) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 10.97 | .17 | .12 | .29 | (.17 | ) | — | (.17 | ) | 11.09 | 2.69 | |||||||||||||||||||||||||
2012 | 10.19 | .37 | .81 | 1.18 | (.37 | ) | (.03 | ) | (.40 | ) | 10.97 | 11.72 | ||||||||||||||||||||||||
2011 | 10.48 | .36 | (.28 | ) | .08 | (.37 | ) | — | ** | (.37 | ) | 10.19 | .71 | |||||||||||||||||||||||
2010 | 9.77 | .37 | .71 | 1.08 | (.37 | ) | — | (.37 | ) | 10.48 | 11.17 | |||||||||||||||||||||||||
2009 | 10.00 | .37 | (.21 | ) | .16 | (.36 | ) | (.03 | ) | (.39 | ) | 9.77 | 1.73 | |||||||||||||||||||||||
2008 | 10.66 | .36 | (.65 | ) | (.29 | ) | (.36 | ) | (.01 | ) | (.37 | ) | 10.00 | (2.80 | ) | |||||||||||||||||||||
Class I (2/97) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 11.02 | .22 | .11 | .33 | (.21 | ) | — | (.21 | ) | 11.14 | 3.06 | |||||||||||||||||||||||||
2012 | 10.23 | .45 | .81 | 1.26 | (.44 | ) | (.03 | ) | (.47 | ) | 11.02 | 12.60 | ||||||||||||||||||||||||
2011 | 10.53 | .45 | (.31 | ) | .14 | (.44 | ) | — | ** | (.44 | ) | 10.23 | 1.36 | |||||||||||||||||||||||
2010 | 9.81 | .45 | .71 | 1.16 | (.44 | ) | — | (.44 | ) | 10.53 | 12.07 | |||||||||||||||||||||||||
2009 | 10.05 | .44 | (.21 | ) | .23 | (.44 | ) | (.03 | ) | (.47 | ) | 9.81 | 2.44 | |||||||||||||||||||||||
2008 | 10.71 | .44 | (.65 | ) | (.21 | ) | (.44 | ) | (.01 | ) | (.45 | ) | 10.05 | (2.01 | ) | |||||||||||||||||||||
| 62 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||
| Ratios to Average Net Assets(d) | ||||||||||||||||||
| Ending Net Assets (000) | Expenses Including Interest(e) | Expenses Excluding Interest | Net Invest- ment Income (Loss) | Portfolio Turnover Rate | ||||||||||||||
| $ | 267,121 | .82 | %* | .81 | %* | 3.69 | %* | 6 | % | |||||||||
| 259,183 | .82 | .81 | 4.08 | 9 | ||||||||||||||
| 255,092 | .81 | .80 | 4.01 | 10 | ||||||||||||||
| 257,989 | .85 | .83 | 4.20 | 4 | ||||||||||||||
| 241,958 | .93 | .83 | 4.22 | 14 | ||||||||||||||
| 247,654 | 1.07 | .81 | 3.96 | 16 | ||||||||||||||
| 1,484 | 1.57 | * | 1.56 | * | 2.95 | * | 6 | |||||||||||
| 1,692 | 1.57 | 1.56 | 3.34 | 9 | ||||||||||||||
| 2,537 | 1.56 | 1.55 | 3.28 | 10 | ||||||||||||||
| 5,784 | 1.60 | 1.58 | 3.45 | 4 | ||||||||||||||
| 9,341 | 1.68 | 1.58 | 3.46 | 14 | ||||||||||||||
| 13,256 | 1.82 | 1.56 | 3.21 | 16 | ||||||||||||||
| 62,413 | 1.37 | * | 1.36 | * | 3.14 | * | 6 | |||||||||||
| 58,829 | 1.37 | 1.36 | 3.53 | 9 | ||||||||||||||
| 53,317 | 1.36 | 1.35 | 3.48 | 10 | ||||||||||||||
| 54,948 | 1.40 | 1.38 | 3.65 | 4 | ||||||||||||||
| 45,761 | 1.48 | 1.38 | 3.68 | 14 | ||||||||||||||
| 39,561 | 1.62 | 1.36 | 3.41 | 16 | ||||||||||||||
| 48,007 | .62 | * | .61 | * | 3.89 | * | 6 | |||||||||||
| 41,475 | .62 | .61 | 4.27 | 9 | ||||||||||||||
| 31,761 | .61 | .60 | 4.22 | 10 | ||||||||||||||
| 25,590 | .65 | .63 | 4.40 | 4 | ||||||||||||||
| 17,875 | .73 | .63 | 4.43 | 14 | ||||||||||||||
| 17,518 | .87 | .61 | 4.17 | 16 | ||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Distributions from Capital Gains include short-term capital gains, if any. |
| (c) | Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. |
| (d) | Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. |
| (e) | The expense ratios reflect, among other things, 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, where applicable, as described in Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities. |
| (f) | For the six months ended August 31, 2012. |
| * | Annualized. |
| ** | Rounds to less than $.01 per share. |
See accompanying notes to financial statements.
| Nuveen Investments | 63 |
Financial Highlights (Unaudited) (continued)
| Selected data for a share outstanding throughout each period: | ||||||||||||||||||||||||||||||||||||
| Class (Commencement Date) | ||||||||||||||||||||||||||||||||||||
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||||
| MASSACHUSETTS | ||||||||||||||||||||||||||||||||||||
| Year Ended February 28/29 | Beginning Net Asset Value | Net Invest- ment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | Net Invest- ment Income | Capital Gains(b) | Total | Ending Net Asset Value | Total Return(c) | |||||||||||||||||||||||||||
Class A (9/94) |
| |||||||||||||||||||||||||||||||||||
2013(g) | $ | 10.21 | $ | .20 | $ | .20 | $ | .40 | $ | (.19 | ) | $ | — | $ | (.19 | ) | $ | 10.42 | 3.94 | % | ||||||||||||||||
2012 | 9.47 | .42 | .75 | 1.17 | (.43 | ) | — | (.43 | ) | 10.21 | 12.66 | |||||||||||||||||||||||||
2011 | 9.75 | .44 | (.27 | ) | .17 | (.45 | ) | — | (.45 | ) | 9.47 | 1.69 | ||||||||||||||||||||||||
2010 | 8.81 | .45 | .94 | 1.39 | (.45 | ) | — | (.45 | ) | 9.75 | 16.03 | |||||||||||||||||||||||||
2009 | 9.34 | .41 | (.51 | ) | (.10 | ) | (.39 | ) | (.04 | ) | (.43 | ) | 8.81 | (1.05 | ) | |||||||||||||||||||||
2008 | 10.11 | .39 | (.74 | ) | (.35 | ) | (.38 | ) | (.04 | ) | (.42 | ) | 9.34 | (3.61 | ) | |||||||||||||||||||||
Class B (3/97) |
| |||||||||||||||||||||||||||||||||||
2013(g) | 10.23 | .16 | .19 | .35 | (.15 | ) | — | (.15 | ) | 10.43 | 3.47 | |||||||||||||||||||||||||
2012 | 9.48 | .35 | .76 | 1.11 | (.36 | ) | — | (.36 | ) | 10.23 | 11.93 | |||||||||||||||||||||||||
2011 | 9.76 | .37 | (.27 | ) | .10 | (.38 | ) | — | (.38 | ) | 9.48 | .94 | ||||||||||||||||||||||||
2010 | 8.83 | .38 | .93 | 1.31 | (.38 | ) | — | (.38 | ) | 9.76 | 15.04 | |||||||||||||||||||||||||
2009 | 9.35 | .34 | (.50 | ) | (.16 | ) | (.32 | ) | (.04 | ) | (.36 | ) | 8.83 | (1.69 | ) | |||||||||||||||||||||
2008 | 10.13 | .31 | (.74 | ) | (.43 | ) | (.31 | ) | (.04 | ) | (.35 | ) | 9.35 | (4.41 | ) | |||||||||||||||||||||
Class C (10/94) |
| |||||||||||||||||||||||||||||||||||
2013(g) | 10.13 | .17 | .19 | .36 | (.16 | ) | — | (.16 | ) | 10.33 | 3.57 | |||||||||||||||||||||||||
2012 | 9.39 | .36 | .76 | 1.12 | (.38 | ) | — | (.38 | ) | 10.13 | 12.14 | |||||||||||||||||||||||||
2011 | 9.67 | .39 | (.27 | ) | .12 | (.40 | ) | — | (.40 | ) | 9.39 | 1.14 | ||||||||||||||||||||||||
2010 | 8.74 | .39 | .93 | 1.32 | (.39 | ) | — | (.39 | ) | 9.67 | 15.37 | |||||||||||||||||||||||||
2009 | 9.26 | .36 | (.50 | ) | (.14 | ) | (.34 | ) | (.04 | ) | (.38 | ) | 8.74 | (1.53 | ) | |||||||||||||||||||||
2008 | 10.04 | .33 | (.75 | ) | (.42 | ) | (.32 | ) | (.04 | ) | (.36 | ) | 9.26 | (4.27 | ) | |||||||||||||||||||||
Class I (12/86) |
| |||||||||||||||||||||||||||||||||||
2013(g) | 10.19 | .21 | .20 | .41 | (.20 | ) | — | (.20 | ) | 10.40 | 4.04 | |||||||||||||||||||||||||
2012 | 9.45 | .44 | .75 | 1.19 | (.45 | ) | — | (.45 | ) | 10.19 | 12.89 | |||||||||||||||||||||||||
2011 | 9.73 | .46 | (.27 | ) | .19 | (.47 | ) | — | (.47 | ) | 9.45 | 1.91 | ||||||||||||||||||||||||
2010 | 8.80 | .47 | .92 | 1.39 | (.46 | ) | — | (.46 | ) | 9.73 | 16.15 | |||||||||||||||||||||||||
2009 | 9.32 | .43 | (.50 | ) | (.07 | ) | (.41 | ) | (.04 | ) | (.45 | ) | 8.80 | (.74 | ) | |||||||||||||||||||||
2008 | 10.09 | .41 | (.74 | ) | (.33 | ) | (.40 | ) | (.04 | ) | (.44 | ) | 9.32 | (3.45 | ) | |||||||||||||||||||||
| 64 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||||||
| Ratios to Average Net Assets Before Reimbursement(e) | Ratios to Average Net Assets After Reimbursement(d)(e) | |||||||||||||||||||||||||||||
Ending | Expenses Including Interest(f) | Expenses Excluding Interest | Net Invest- ment Income (loss) | Expenses Including Interest(f) | Expenses Excluding Interest | Net Invest- ment Income (Loss) | Portfolio Turnover Rate | |||||||||||||||||||||||
| $ | 99,415 | .83 | %* | .83 | %* | 3.85 | %* | .83 | %* | .83 | %* | 3.85 | %* | 6 | % | |||||||||||||||
| 92,565 | .95 | .95 | 4.21 | .89 | .89 | 4.26 | 3 | |||||||||||||||||||||||
| 61,883 | .85 | .85 | 4.54 | .85 | .85 | 4.54 | 7 | |||||||||||||||||||||||
| 61,382 | .91 | .91 | 4.77 | .91 | .91 | 4.77 | 5 | |||||||||||||||||||||||
| 45,433 | .91 | .91 | 4.47 | .91 | .91 | 4.47 | 20 | |||||||||||||||||||||||
| 67,297 | .88 | .88 | 3.90 | .88 | .88 | 3.90 | 12 | |||||||||||||||||||||||
| 1,174 | 1.57 | * | 1.57 | * | 3.11 | * | 1.57 | * | 1.57 | * | 3.11 | * | 6 | |||||||||||||||||
| 1,384 | 1.67 | 1.67 | 3.43 | 1.64 | 1.64 | 3.47 | 3 | |||||||||||||||||||||||
| 741 | 1.60 | 1.60 | 3.80 | 1.60 | 1.60 | 3.80 | 7 | |||||||||||||||||||||||
| 1,402 | 1.65 | 1.65 | 4.03 | 1.65 | 1.65 | 4.03 | 5 | |||||||||||||||||||||||
| 2,741 | 1.67 | 1.67 | 3.71 | 1.67 | 1.67 | 3.71 | 20 | |||||||||||||||||||||||
| 3,519 | 1.63 | 1.63 | 3.15 | 1.63 | 1.63 | 3.15 | 12 | |||||||||||||||||||||||
| 33,168 | 1.38 | * | 1.38 | * | 3.30 | * | 1.38 | * | 1.38 | * | 3.30 | * | 6 | |||||||||||||||||
| 30,815 | 1.49 | 1.49 | 3.63 | 1.44 | 1.44 | 3.68 | 3 | |||||||||||||||||||||||
| 14,872 | 1.40 | 1.40 | 3.98 | 1.40 | 1.40 | 3.98 | 7 | |||||||||||||||||||||||
| 12,550 | 1.46 | 1.46 | 4.23 | 1.46 | 1.46 | 4.23 | 5 | |||||||||||||||||||||||
| 10,944 | 1.47 | 1.47 | 3.91 | 1.47 | 1.47 | 3.91 | 20 | |||||||||||||||||||||||
| 11,661 | 1.44 | 1.44 | 3.35 | 1.44 | 1.44 | 3.35 | 12 | |||||||||||||||||||||||
| 103,190 | .63 | * | .63 | * | 4.05 | * | .63 | * | .63 | * | 4.05 | * | 6 | |||||||||||||||||
| 99,142 | .74 | .74 | 4.39 | .69 | .69 | 4.44 | 3 | |||||||||||||||||||||||
| 52,930 | .65 | .65 | 4.74 | .65 | .65 | 4.74 | 7 | |||||||||||||||||||||||
| 53,698 | .71 | .71 | 4.98 | .71 | .71 | 4.98 | 5 | |||||||||||||||||||||||
| 47,238 | .72 | .72 | 4.67 | .72 | .72 | 4.67 | 20 | |||||||||||||||||||||||
| 52,832 | .69 | .69 | 4.10 | .69 | .69 | 4.10 | 12 | |||||||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Distributions from Capital Gains include short-term capital gains, if any. |
| (c) | Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. |
| (d) | After expense reimbursement from the Adviser, where applicable. The Fund did not receive an expense reimbursement from the Adviser during the six months ended August 31, 2012, and the fiscal years ended 2008 through 2011. |
| (e) | Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. |
| (f) | The expense ratios reflect, among other things, 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, where applicable, as described in Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities. |
| (g) | For the six months ended August 31, 2012. |
| * | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 65 |
Financial Highlights (Unaudited) (continued)
| Selected data for a share outstanding throughout each period: | ||||||||||||||||||||||||||||||||||||
| Class (Commencement Date) | ||||||||||||||||||||||||||||||||||||
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||||
| NEW JERSEY | ||||||||||||||||||||||||||||||||||||
| Year Ended February 28/29, | Beginning Net Asset Value | Net Invest- ment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | Net Invest- ment Income | Capital Gains(b) | Total | Ending Net Asset Value | Total Return(c) | |||||||||||||||||||||||||||
Class A (9/94) |
| |||||||||||||||||||||||||||||||||||
2013(f) | $ | 11.29 | $ | .22 | $ | .26 | $ | .48 | $ | (.22 | ) | $ | — | $ | (.22 | ) | $ | 11.55 | 4.30 | % | ||||||||||||||||
2012 | 10.22 | .46 | 1.05 | 1.51 | (.44 | ) | — | (.44 | ) | 11.29 | 15.13 | |||||||||||||||||||||||||
2011 | 10.64 | .46 | (.44 | ) | .02 | (.44 | ) | — | (.44 | ) | 10.22 | .14 | ||||||||||||||||||||||||
2010 | 9.81 | .45 | .81 | 1.26 | (.43 | ) | — | ** | (.43 | ) | 10.64 | 13.14 | ||||||||||||||||||||||||
2009 | 10.09 | .43 | (.26 | ) | .17 | (.42 | ) | (.03 | ) | (.45 | ) | 9.81 | 1.66 | |||||||||||||||||||||||
2008 | 10.82 | .42 | (.72 | ) | (.30 | ) | (.41 | ) | (.02 | ) | (.43 | ) | 10.09 | (2.82 | ) | |||||||||||||||||||||
Class B (2/97) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 11.30 | .18 | .26 | .44 | (.18 | ) | — | (.18 | ) | 11.56 | 3.92 | |||||||||||||||||||||||||
2012 | 10.23 | .38 | 1.06 | 1.44 | (.37 | ) | — | (.37 | ) | 11.30 | 14.28 | |||||||||||||||||||||||||
2011 | 10.65 | .38 | (.43 | ) | (.05 | ) | (.37 | ) | — | (.37 | ) | 10.23 | (.59 | ) | ||||||||||||||||||||||
2010 | 9.83 | .37 | .81 | 1.18 | (.36 | ) | — | ** | (.36 | ) | 10.65 | 12.21 | ||||||||||||||||||||||||
2009 | 10.10 | .36 | (.26 | ) | .10 | (.34 | ) | (.03 | ) | (.37 | ) | 9.83 | .98 | |||||||||||||||||||||||
2008 | 10.83 | .34 | (.72 | ) | (.38 | ) | (.33 | ) | (.02 | ) | (.35 | ) | 10.10 | (3.58 | ) | |||||||||||||||||||||
Class C (9/94) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 11.26 | .18 | .26 | .44 | (.19 | ) | — | (.19 | ) | 11.51 | 3.95 | |||||||||||||||||||||||||
2012 | 10.19 | .40 | 1.05 | 1.45 | (.38 | ) | — | (.38 | ) | 11.26 | 14.54 | |||||||||||||||||||||||||
2011 | 10.61 | .40 | (.43 | ) | (.03 | ) | (.39 | ) | — | (.39 | ) | 10.19 | (.41 | ) | ||||||||||||||||||||||
2010 | 9.79 | .39 | .81 | 1.20 | (.38 | ) | — | ** | (.38 | ) | 10.61 | 12.48 | ||||||||||||||||||||||||
2009 | 10.05 | .38 | (.25 | ) | .13 | (.36 | ) | (.03 | ) | (.39 | ) | 9.79 | 1.28 | |||||||||||||||||||||||
2008 | 10.79 | .36 | (.73 | ) | (.37 | ) | (.35 | ) | (.02 | ) | (.37 | ) | 10.05 | (3.47 | ) | |||||||||||||||||||||
Class I (2/92) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 11.33 | .23 | .26 | .49 | (.23 | ) | — | (.23 | ) | 11.59 | 4.40 | |||||||||||||||||||||||||
2012 | 10.26 | .48 | 1.06 | 1.54 | (.47 | ) | — | (.47 | ) | 11.33 | 15.30 | |||||||||||||||||||||||||
2011 | 10.68 | .48 | (.43 | ) | .05 | (.47 | ) | — | (.47 | ) | 10.26 | .36 | ||||||||||||||||||||||||
2010 | 9.85 | .47 | .81 | 1.28 | (.45 | ) | — | ** | (.45 | ) | 10.68 | 13.32 | ||||||||||||||||||||||||
2009 | 10.11 | .45 | (.25 | ) | .20 | (.43 | ) | (.03 | ) | (.46 | ) | 9.85 | 2.05 | |||||||||||||||||||||||
2008 | 10.85 | .44 | (.73 | ) | (.29 | ) | (.43 | ) | (.02 | ) | (.45 | ) | 10.11 | (2.74 | ) | |||||||||||||||||||||
| 66 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||
| Ratios to Average Net Assets(d) | ||||||||||||||||||
| Ending Net Assets (000) | Expenses Including Interest(e) | Expenses Excluding Interest | Net Invest- ment Income (Loss) | Portfolio Turnover Rate | ||||||||||||||
| $ | 154,601 | .83 | %* | .83 | %* | 3.80 | %* | 6 | % | |||||||||
| 145,946 | .83 | .83 | 4.30 | 7 | ||||||||||||||
| 125,945 | .82 | .82 | 4.29 | 7 | ||||||||||||||
| 121,371 | .85 | .85 | 4.36 | 8 | ||||||||||||||
| 91,348 | .87 | .85 | 4.31 | 21 | ||||||||||||||
| 83,210 | .96 | .84 | 3.91 | 11 | ||||||||||||||
| 2,290 | 1.58 | * | 1.58 | * | 3.05 | * | 6 | |||||||||||
| 3,101 | 1.58 | 1.58 | 3.59 | 7 | ||||||||||||||
| 4,275 | 1.57 | 1.57 | 3.53 | 7 | ||||||||||||||
| 8,442 | 1.60 | 1.60 | 3.64 | 8 | ||||||||||||||
| 11,881 | 1.62 | 1.60 | 3.52 | 21 | ||||||||||||||
| 14,539 | 1.71 | 1.59 | 3.16 | 11 | ||||||||||||||
| 52,360 | 1.38 | * | 1.38 | * | 3.24 | * | 6 | |||||||||||
| 45,046 | 1.38 | 1.38 | 3.75 | 7 | ||||||||||||||
| 37,511 | 1.37 | 1.37 | 3.74 | 7 | ||||||||||||||
| 37,482 | 1.40 | 1.40 | 3.81 | 8 | ||||||||||||||
| 29,143 | 1.42 | 1.40 | 3.75 | 21 | ||||||||||||||
| 28,363 | 1.51 | 1.39 | 3.37 | 11 | ||||||||||||||
| 86,224 | .63 | * | .63 | * | 3.99 | * | 6 | |||||||||||
| 79,361 | .63 | .63 | 4.51 | 7 | ||||||||||||||
| 70,068 | .62 | .62 | 4.49 | 7 | ||||||||||||||
| 77,172 | .65 | .65 | 4.57 | 8 | ||||||||||||||
| 66,899 | .67 | .65 | 4.48 | 21 | ||||||||||||||
| 68,499 | .76 | .64 | 4.11 | 11 | ||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Distributions from Capital Gains include short-term capital gains, if any. |
| (c) | Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. |
| (d) | Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. |
| (e) | The expense ratios reflect, among other things, 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, where applicable, as described in Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities. |
| (f) | For the six months ended August 31, 2012. |
| * | Annualized. |
| ** | Rounds to less than $.01 per share. |
See accompanying notes to financial statements.
| Nuveen Investments | 67 |
Financial Highlights (Unaudited) (continued)
| Selected data for a share outstanding throughout each period: | ||||||||||||||||||||||||||||||||||||
| Class (Commencement Date) | ||||||||||||||||||||||||||||||||||||
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||||
| NEW YORK | ||||||||||||||||||||||||||||||||||||
| Year Ended February 28/29, | Beginning Net Asset Value | Net Invest- ment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | Net Invest- ment Income | Capital Gains(b) | Total | Ending Net Asset Value | Total Return(c) | |||||||||||||||||||||||||||
Class A (9/94) |
| |||||||||||||||||||||||||||||||||||
2013(f) | $ | 11.17 | $ | .20 | $ | .13 | $ | .33 | $ | (.21 | ) | $ | — | $ | (.21 | ) | $ | 11.29 | 2.94 | % | ||||||||||||||||
2012 | 10.39 | .46 | .81 | 1.27 | (.46 | ) | (.03 | ) | (.49 | ) | 11.17 | 12.45 | ||||||||||||||||||||||||
2011 | 10.72 | .47 | (.34 | ) | .13 | (.46 | ) | — | (.46 | ) | 10.39 | 1.12 | ||||||||||||||||||||||||
2010 | 9.84 | .46 | .88 | 1.34 | (.46 | ) | — | ** | (.46 | ) | 10.72 | 13.87 | ||||||||||||||||||||||||
2009 | 10.15 | .45 | (.28 | ) | .17 | (.44 | ) | (.04 | ) | (.48 | ) | 9.84 | 1.67 | |||||||||||||||||||||||
2008 | 10.86 | .44 | (.70 | ) | (.26 | ) | (.44 | ) | (.01 | ) | (.45 | ) | 10.15 | (2.53 | ) | |||||||||||||||||||||
Class B (2/97) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 11.16 | .16 | .13 | .29 | (.17 | ) | — | (.17 | ) | 11.28 | 2.58 | |||||||||||||||||||||||||
2012 | 10.38 | .38 | .81 | 1.19 | (.38 | ) | (.03 | ) | (.41 | ) | 11.16 | 11.66 | ||||||||||||||||||||||||
2011 | 10.71 | .39 | (.34 | ) | .05 | (.38 | ) | — | (.38 | ) | 10.38 | .39 | ||||||||||||||||||||||||
2010 | 9.84 | .38 | .87 | 1.25 | (.38 | ) | — | ** | (.38 | ) | 10.71 | 12.96 | ||||||||||||||||||||||||
2009 | 10.14 | .38 | (.28 | ) | .10 | (.36 | ) | (.04 | ) | (.40 | ) | 9.84 | 1.00 | |||||||||||||||||||||||
2008 | 10.86 | .36 | (.71 | ) | (.35 | ) | (.36 | ) | (.01 | ) | (.37 | ) | 10.14 | (3.34 | ) | |||||||||||||||||||||
Class C (9/94) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 11.17 | .17 | .13 | .30 | (.18 | ) | — | (.18 | ) | 11.29 | 2.66 | |||||||||||||||||||||||||
2012 | 10.39 | .40 | .81 | 1.21 | (.40 | ) | (.03 | ) | (.43 | ) | 11.17 | 11.83 | ||||||||||||||||||||||||
2011 | 10.72 | .41 | (.34 | ) | .07 | (.40 | ) | — | (.40 | ) | 10.39 | .58 | ||||||||||||||||||||||||
2010 | 9.84 | .41 | .87 | 1.28 | (.40 | ) | — | ** | (.40 | ) | 10.72 | 13.28 | ||||||||||||||||||||||||
2009 | 10.15 | .40 | (.28 | ) | .12 | (.39 | ) | (.04 | ) | (.43 | ) | 9.84 | 1.12 | |||||||||||||||||||||||
2008 | 10.87 | .39 | (.71 | ) | (.32 | ) | (.39 | ) | (.01 | ) | (.40 | ) | 10.15 | (3.12 | ) | |||||||||||||||||||||
Class I (12/86) |
| |||||||||||||||||||||||||||||||||||
2013(f) | 11.19 | .22 | .12 | .34 | (.22 | ) | — | (.22 | ) | 11.31 | 3.04 | |||||||||||||||||||||||||
2012 | 10.41 | .48 | .81 | 1.29 | (.48 | ) | (.03 | ) | (.51 | ) | 11.19 | 12.65 | ||||||||||||||||||||||||
2011 | 10.73 | .49 | (.33 | ) | .16 | (.48 | ) | — | (.48 | ) | 10.41 | 1.44 | ||||||||||||||||||||||||
2010 | 9.86 | .48 | .87 | 1.35 | (.48 | ) | — | ** | (.48 | ) | 10.73 | 14.00 | ||||||||||||||||||||||||
2009 | 10.17 | .48 | (.29 | ) | .19 | (.46 | ) | (.04 | ) | (.50 | ) | 9.86 | 1.91 | |||||||||||||||||||||||
2008 | 10.88 | .47 | (.71 | ) | (.24 | ) | (.46 | ) | (.01 | ) | (.47 | ) | 10.17 | (2.31 | ) | |||||||||||||||||||||
| 68 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||
| Ratios to Average Net Assets(d) | ||||||||||||||||||
| Ending Net Assets (000) | Expenses Including Interest(e) | Expenses Excluding Interest | Net Invest- ment Income (Loss) | Portfolio Turnover Rate | ||||||||||||||
| $ | 330,939 | .80 | %* | .80 | %* | 3.62 | %* | 3 | % | |||||||||
| 316,904 | .85 | .84 | 4.19 | 16 | ||||||||||||||
| 209,283 | .83 | .81 | 4.38 | 7 | ||||||||||||||
| 226,162 | .87 | .84 | 4.46 | 3 | ||||||||||||||
| 181,049 | .97 | .84 | 4.49 | 30 | ||||||||||||||
| 190,598 | 1.12 | .83 | 4.13 | 17 | ||||||||||||||
| 3,944 | 1.55 | * | 1.55 | * | 2.88 | * | 3 | |||||||||||
| 4,666 | 1.60 | 1.59 | 3.48 | 16 | ||||||||||||||
| 5,114 | 1.58 | 1.56 | 3.62 | 7 | ||||||||||||||
| 8,898 | 1.62 | 1.59 | 3.73 | 3 | ||||||||||||||
| 12,094 | 1.72 | 1.59 | 3.71 | 30 | ||||||||||||||
| 19,133 | 1.87 | 1.58 | 3.38 | 17 | ||||||||||||||
| 95,339 | 1.35 | * | 1.35 | * | 3.07 | * | 3 | |||||||||||
| 91,281 | 1.40 | 1.39 | 3.65 | 16 | ||||||||||||||
| 61,439 | 1.38 | 1.36 | 3.82 | 7 | ||||||||||||||
| 60,840 | 1.42 | 1.39 | 3.91 | 3 | ||||||||||||||
| 51,978 | 1.52 | 1.39 | 3.95 | 30 | ||||||||||||||
| 49,910 | 1.67 | 1.38 | 3.58 | 17 | ||||||||||||||
| 332,771 | .60 | * | .60 | * | 3.82 | * | 3 | |||||||||||
| 325,424 | .65 | .64 | 4.35 | 16 | ||||||||||||||
| 141,171 | .63 | .61 | 4.58 | 7 | ||||||||||||||
| 150,977 | .67 | .64 | 4.66 | 3 | ||||||||||||||
| 132,815 | .77 | .64 | 4.69 | 30 | ||||||||||||||
| 137,731 | .92 | .63 | 4.33 | 17 | ||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Distributions from Capital Gains include short-term capital gains, if any. |
| (c) | Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. |
| (d) | Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. The Fund did not receive an expense reimbursement from the Adviser during the periods presented herein. |
| (e) | The expense ratios reflect, among other things, 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, where applicable, as described in Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities. |
| (f) | For the six months ended August 31, 2012. |
| * | Annualized. |
| ** | Rounds to less than $.01 per share. |
See accompanying notes to financial statements.
| Nuveen Investments | 69 |
Notes to Financial Statements (Unaudited)
1. General Information and Significant Accounting Policies
General Information
The Nuveen Multistate Trust II (the “Trust”) is an open-end investment company registered under the Investment Company Act of 1940, as amended. The Trust is comprised of the Nuveen Connecticut Municipal Bond Fund (“Connecticut”), Nuveen Massachusetts Municipal Bond Fund (“Massachusetts”), Nuveen New Jersey Municipal Bond Fund (“New Jersey”) and Nuveen New York Municipal Bond Fund (“New York”) (each a “Fund” and collectively, the “Funds”), among others. The Trust was organized as a Massachusetts business trust on July 1, 1996. The Funds were each organized as a series of predecessor trusts or corporations prior to that date.
The Funds’ investment objective is to provide as high a level of current interest income exempt from regular federal, state and, in some cases, local income taxes as is consistent with preservation of capital. Under normal market conditions, each Fund invests at least 80% of their net assets, plus the amount of any borrowings for investment purposes, in municipal bonds that pay interest that is exempt from regular federal and its respective state personal income tax. Each Fund may invest without limit in securities that generate income subject to the alternative minimum tax. Each Fund is a long-term bond fund and, as such, will generally maintain, under normal market conditions, an investment portfolio with an overall weighted average maturity of greater than 10 years. Under normal market conditions, each Fund invests at least 80% of its net assets in investment grade municipal bonds rated BBB/Baa or higher at the time of purchase by at least one independent rating agency, or, if unrated, judged by Nuveen Asset Management, LLC (the “Sub-Adviser”), a wholly-owned subsidiary of Nuveen Fund Advisors, Inc., (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”), to be of comparable quality. Each Fund may invest up to 20% of its net assets in below investment grade municipal bonds, commonly referred to as “high yield” or “junk” bonds.
Each Fund may invest in all types of municipal bonds, including general obligation bonds, revenue bonds and participation interests in municipal leases. Each Fund may invest in zero coupon bonds, which are issued at substantial discounts from their value at maturity and pay no cash income to their holders until they mature. Each Fund may invest up to 15% of its net assets in municipal securities whose interest payments vary inversely with changes in short-term tax-exempt interest rates (“inverse floaters”). Inverse floaters are derivative securities that provide leveraged exposure to underlying municipal bonds. Each Fund’s investments in inverse floaters are designed to increase the Funds’ income and returns through this leveraged exposure. These investments are speculative, however, and also create the possibility that income and returns will be diminished. Each Fund may utilize futures contracts, swap contracts, options on futures contracts and options on swap contracts in an attempt to manage market risk, credit risk and yield curve risk, and to manage the effective maturity or duration of securities in each Fund’s portfolio.
The Funds’ most recent prospectus provides further description of each Fund’s investment objective, principal investment strategies, and principal risks.
Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
Investment Valuation
Prices of municipal bonds are provided by a pricing service approved by the Funds’ Board of Trustees. These securities are generally classified as Level 2 for fair value measurement purposes. The pricing service establishes 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, the pricing service may consider information about a security, its issuer, or market activity provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Funds’ Board of Trustees or its designee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be 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. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds’ Board of Trustees or its designee.
| 70 | Nuveen Investments |
Refer to Footnote 2 – Fair Value Measurements for further details on the leveling of securities held by the Funds as of the end of the reporting period.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to earmark securities in the Funds’ portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At August 31, 2012, New Jersey had outstanding delayed delivery purchase commitments of $2,779,935. There were no such outstanding purchase commitments in any of the other Funds.
Investment Income
Investment income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also reflects paydown gains and losses, if any.
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment, or to pursue other claims or legal actions on behalf of Fund shareholders.
Income Taxes
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 to 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. Furthermore, 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.
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Dividends and Distributions to Shareholders
The Funds declare dividends from their net investment income daily and pay shareholders monthly. Fund shares begin to accrue dividends on the business day after the day when the monies used to purchase Fund shares are collected by the Funds’ transfer agent.
Net realized capital gains and/or market discount from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
Distributions to shareholders of net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Flexible Sales Charge Program
Class A Shares are generally sold with an up-front sales charge and incur a .20% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (“CDSC”) if redeemed within eighteen months of purchase. Class B Shares were sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .20% annual 12b-1 service fee. Class B Shares are subject to a CDSC of up to 5% depending upon the length of time the shares are held by the investor (CDSC is reduced to 0% at the end of six years). Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares are sold without an up-front sales charge but incur a .55% annual 12b-1 distribution fee and a .20% annual 12b-1 service fee. Class C Shares are subject to a CDSC of 1% if redeemed within twelve months of purchase. Class I Shares are not subject to any sales charge or 12b-1 distribution or service fees.
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, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. In turn, this trust (a) issues floating rate certificates, in face amounts equal to some fraction of the deposited bond’s par amount or market value, that typically pay short-term tax-exempt interest rates to third parties, and (b) issues to a long-term investor (such as one of the Funds) an inverse floating rate certificate (sometimes referred to as an “inverse floater”) that represents all remaining or residual interest in the trust. The income received by the inverse floater holder varies inversely with the short-term rate paid to the floating rate certificates’ holders, 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 price of an inverse floating rate
| Nuveen Investments | 71 |
Notes to Financial Statements (Unaudited) (continued)
security 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 floating rate certificates, and because the inverse floating rate security essentially bears the risk of loss of the greater face value of the underlying bond.
A Fund may purchase an inverse floating rate security in a secondary market transaction without first owning the underlying bond (referred to as an “externally-deposited inverse floater”), or instead by first selling a fixed-rate bond to a broker-dealer for deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a “self-deposited inverse floater”). The inverse floater held by a Fund gives the Fund the right (a) to cause the holders of the floating rate certificates to tender their notes at par, and (b) to have the broker transfer the fixed-rate bond held by the trust to the Fund, thereby collapsing the trust. An investment in an externally-deposited inverse floater is identified in the Portfolio of Investments as “(IF) – Inverse floating rate investment.” An investment in a self-deposited inverse floater is accounted for as a financing transaction. In such instances, a fixed-rate bond deposited into a special purpose trust is identified in the Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund accounting for the short-term floating rate certificates issued by the trust as “Floating rate obligations” on the Statement of Assets and Liabilities. In addition, the Fund reflects in “Investment Income” the entire earnings of the underlying bond and recognizes the related interest paid to the holders of the short-term floating rate certificates as “Interest expense on floating rate obligations” on the Statement of Operations.
During the six months ended August 31, 2012, each Fund invested in externally-deposited inverse floaters and/or self-deposited inverse floaters.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse trust” or “credit recovery swap”) (such agreements referred to herein as “Recourse Trusts”) with a broker-dealer by which a Fund agrees to reimburse the broker-dealer, in certain circumstances, for the difference between the liquidation value of the fixed-rate bond held by the trust and the liquidation value of the floating rate certificates issued by the trust plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on inverse floaters may increase beyond the value of a Fund’s inverse floater investments as a Fund may potentially be liable to fulfill all amounts owed to holders of the floating rate certificates. At period end, any such shortfall is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
At August 31, 2012, each Fund’s maximum exposure to externally-deposited Recourse Trusts was as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Maximum exposure to Recourse Trusts | $ | — | $ | 1,600,000 | $ | 1,770,000 | $ | 3,670,000 | ||||||||
The average floating rate obligations outstanding and average annual interest rate and fees related to self-deposited inverse floaters for the following Funds during the six months ended August 31, 2012, were as follows:
| Connecticut | New York | |||||||
Average floating rate obligations outstanding | $ | 10,000,000 | $ | 7,955,000 | ||||
Average annual interest rate and fees | .41 | % | .47 | % | ||||
Derivative Financial Instruments
Each Fund is authorized to invest in certain derivative instruments, including foreign currency exchange contracts, futures, options and swap contracts. Although each Fund is authorized to invest in such derivative instruments, and may do so in the future, they did not make any such investments during the six months ended August 31, 2012.
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. Futures contracts, when applicable, expose a Fund to minimal counterparty credit risk as they are exchange traded and the exchange’s clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contracts against default.
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.
Zero Coupon Securities
Each Fund is authorized to invest in 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
| 72 | Nuveen Investments |
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.
Multiclass Operations and Allocations
Income and expenses of the Funds that are not directly attributable to a specific class of shares are prorated among the classes based on the relative settled shares of each class. Expenses directly attributable to a class of shares, which presently only include 12b-1 distribution and shareholder service fees, are recorded to the specific class.
Realized and unrealized capital gains and losses of the Funds are prorated among the classes based on the relative net assets of each class.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.
Indemnifications
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts that provide general indemnifications to other parties. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.
2. Fair Value Measurements
Fair value is defined as the price that the Funds would receive 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. A three-tier hierarchy 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 the reporting entity’s own 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, prepayment speeds, credit risk, etc.). | |
| Level 3– | Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of each Fund’s fair value measurements as of the end of the reporting period:
| Connecticut | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 379,348,722 | $ | — | $ | 379,348,722 | ||||||||
| Massachusetts | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 225,462,168 | $ | 1,340,201 | $ | 226,802,369 | ||||||||
| New Jersey | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 293,477,952 | $ | — | $ | 293,477,952 | ||||||||
| New York | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 754,930,623 | $ | — | $ | 754,930,623 | ||||||||
| * | Refer to the Fund’s Portfolio of Investments for industry classifications. |
| Nuveen Investments | 73 |
Notes to Financial Statements (Unaudited) (continued)
The Nuveen funds’ Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds’ pricing policies, and reporting to the Board of Directors/Trustees. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees.
3. Derivative Instruments and Hedging Activities
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. The Funds did not invest in derivative instruments during the six months ended August 31, 2012.
4. Fund Shares
Transactions in Fund shares were as follows:
| Connecticut | ||||||||||||||||
| Six Months Ended 8/31/12 | Year Ended 2/29/12 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Shares sold: | ||||||||||||||||
Class A | 1,337,899 | $ | 14,718,710 | 1,720,104 | $ | 18,238,586 | ||||||||||
Class A – automatic conversion of Class B Shares | 9,115 | 100,079 | 34,580 | 356,260 | ||||||||||||
Class B | 414 | 4,548 | 1,125 | 11,870 | ||||||||||||
Class C | 563,494 | 6,194,352 | 769,189 | 8,178,708 | ||||||||||||
Class I | 703,297 | 7,771,386 | 1,096,864 | 11,684,297 | ||||||||||||
Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 295,997 | 3,259,852 | 600,365 | 6,355,193 | ||||||||||||
Class B | 1,270 | 13,966 | 3,263 | 34,445 | ||||||||||||
Class C | 45,858 | 504,378 | 96,884 | 1,024,538 | ||||||||||||
Class I | 31,005 | 342,718 | 48,085 | 511,926 | ||||||||||||
| 2,988,349 | 32,909,989 | 4,370,459 | 46,395,823 | |||||||||||||
Shares redeemed: | ||||||||||||||||
Class A | (1,179,819 | ) | (12,975,370 | ) | (3,781,861 | ) | (39,657,269 | ) | ||||||||
Class B | (12,979 | ) | (142,848 | ) | (64,570 | ) | (670,940 | ) | ||||||||
Class B – automatic conversion to Class A Shares | (9,123 | ) | (100,079 | ) | (34,614 | ) | (356,260 | ) | ||||||||
Class C | (343,061 | ) | (3,765,177 | ) | (738,238 | ) | (7,728,440 | ) | ||||||||
Class I | (188,249 | ) | (2,075,979 | ) | (486,729 | ) | (5,063,763 | ) | ||||||||
| (1,733,231 | ) | (19,059,453 | ) | (5,106,012 | ) | (53,476,672 | ) | |||||||||
Net increase (decrease) | 1,255,118 | $ | 13,850,536 | (735,553 | ) | $ | (7,080,849 | ) | ||||||||
| 74 | Nuveen Investments |
| Massachusetts | ||||||||||||||||
| Six Months Ended 8/31/12 | Year Ended 2/29/12 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Shares issued from reorganization (1): | ||||||||||||||||
Class A | — | $ | — | 2,427,261 | $ | 23,874,084 | ||||||||||
Class B | — | — | 97,752 | 962,788 | ||||||||||||
Class C | — | — | 1,349,215 | 13,159,703 | ||||||||||||
Class I | — | — | 3,952,842 | 38,808,318 | ||||||||||||
Shares sold: | ||||||||||||||||
Class A | 912,848 | 9,392,507 | 828,446 | 8,110,454 | ||||||||||||
Class A – automatic conversion of Class B Shares | 1,137 | 11,586 | 4,993 | 48,251 | ||||||||||||
Class B | 332 | 3,418 | 491 | 4,861 | ||||||||||||
Class C | 291,514 | 2,972,480 | 439,588 | 4,280,548 | ||||||||||||
Class I | 628,113 | 6,456,363 | 743,869 | 7,319,366 | ||||||||||||
Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 120,690 | 1,244,816 | 154,319 | 1,516,902 | ||||||||||||
Class B | 1,087 | 11,212 | 1,702 | 16,730 | ||||||||||||
Class C | 29,335 | 299,633 | 41,092 | 400,923 | ||||||||||||
Class I | 137,790 | 1,416,762 | 226,162 | 2,215,225 | ||||||||||||
| 2,122,846 | 21,808,777 | 10,267,732 | 100,718,153 | |||||||||||||
Shares redeemed: | ||||||||||||||||
Class A | (558,402 | ) | (5,745,469 | ) | (889,098 | ) | (8,657,165 | ) | ||||||||
Class B | (23,109 | ) | (237,518 | ) | (37,830 | ) | (363,920 | ) | ||||||||
Class B – automatic conversion to Class A Shares | (1,136 | ) | (11,586 | ) | (4,986 | ) | (48,251 | ) | ||||||||
Class C | (153,960 | ) | (1,567,973 | ) | (371,208 | ) | (3,601,323 | ) | ||||||||
Class I | (572,091 | ) | (5,868,581 | ) | (800,341 | ) | (7,825,067 | ) | ||||||||
| (1,308,698 | ) | (13,431,127 | ) | (2,103,463 | ) | (20,495,726 | ) | |||||||||
Net increase (decrease) | 814,148 | $ | 8,377,650 | 8,164,269 | $ | 80,222,427 | ||||||||||
| New Jersey | ||||||||||||||||
| Six Months Ended 8/31/12 | Year Ended 2/29/12 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Shares sold: | ||||||||||||||||
Class A | 938,002 | $ | 10,690,290 | 2,457,556 | $ | 26,517,220 | ||||||||||
Class A – automatic conversion of Class B Shares | 35,386 | 400,178 | 40,304 | 421,209 | ||||||||||||
Class B | 298 | 3,405 | 740 | 7,902 | ||||||||||||
Class C | 670,262 | 7,589,097 | 765,501 | 8,258,655 | ||||||||||||
Class I | 773,361 | 8,806,582 | 1,153,202 | 12,515,270 | ||||||||||||
Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 180,346 | 2,058,578 | 279,301 | 3,003,065 | ||||||||||||
Class B | 2,735 | 31,183 | 7,764 | 83,090 | ||||||||||||
Class C | 45,870 | 521,496 | 77,168 | 825,878 | ||||||||||||
Class I | 74,068 | 847,600 | 126,513 | 1,363,106 | ||||||||||||
| 2,720,328 | 30,948,409 | 4,908,049 | 52,995,395 | |||||||||||||
Shares redeemed: | ||||||||||||||||
Class A | (691,210 | ) | (7,850,916 | ) | (2,175,078 | ) | (23,282,340 | ) | ||||||||
Class B | (43,918 | ) | (500,578 | ) | (111,719 | ) | (1,176,905 | ) | ||||||||
Class B – automatic conversion to Class A Shares | (35,364 | ) | (400,178 | ) | (40,266 | ) | (421,209 | ) | ||||||||
Class C | (168,756 | ) | (1,907,478 | ) | (522,603 | ) | (5,543,996 | ) | ||||||||
Class I | (410,960 | ) | (4,696,602 | ) | (1,108,764 | ) | (11,796,298 | ) | ||||||||
| (1,350,208 | ) | (15,355,752 | ) | (3,958,430 | ) | (42,220,748 | ) | |||||||||
Net increase (decrease) | 1,370,120 | $ | 15,592,657 | 949,619 | $ | 10,774,647 | ||||||||||
| (1) | – Refer to Footnote 8 – Fund Reorganizations for further details. |
| Nuveen Investments | 75 |
Notes to Financial Statements (Unaudited) (continued)
| New York | ||||||||||||||||
| Six Months Ended 8/31/12 | Year Ended 2/29/12 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Shares issued from reorganization (1): | ||||||||||||||||
Class A | — | $ | — | 7,732,611 | $ | 83,804,432 | ||||||||||
Class B | — | — | 143,786 | 1,556,846 | ||||||||||||
Class C | — | — | 1,842,680 | 19,966,920 | ||||||||||||
Class I | — | — | 15,282,356 | 165,870,814 | ||||||||||||
Shares sold: | ||||||||||||||||
Class A | 2,333,582 | $ | 26,145,803 | 4,194,452 | 45,511,005 | |||||||||||
Class A – automatic conversion of Class B Shares | 10,864 | 121,289 | 81,913 | 883,759 | ||||||||||||
Class B | 683 | 7,679 | 1,242 | 13,558 | ||||||||||||
Class C | 744,318 | 8,330,438 | 1,346,785 | 14,599,411 | ||||||||||||
Class I | 1,116,813 | 12,504,752 | 1,406,462 | 15,276,584 | ||||||||||||
Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 375,560 | 4,208,919 | 528,882 | 5,733,214 | ||||||||||||
Class B | 4,113 | 46,004 | 9,260 | 99,893 | ||||||||||||
Class C | 82,596 | 924,896 | 149,611 | 1,618,959 | ||||||||||||
Class I | 431,655 | 4,842,318 | 583,994 | 6,354,971 | ||||||||||||
| 5,100,184 | 57,132,098 | 33,304,034 | 361,290,366 | |||||||||||||
Shares redeemed: | ||||||||||||||||
Class A | (1,777,344 | ) | (19,891,772 | ) | (4,312,417 | ) | (46,290,843 | ) | ||||||||
Class B | (62,252 | ) | (695,477 | ) | (146,738 | ) | (1,568,908 | ) | ||||||||
Class B – automatic conversion to Class A Shares | (10,875 | ) | (121,289 | ) | (82,006 | ) | (883,759 | ) | ||||||||
Class C | (553,207 | ) | (6,191,155 | ) | (1,081,180 | ) | (11,565,747 | ) | ||||||||
Class I | (1,205,650 | ) | (13,511,223 | ) | (1,755,622 | ) | (18,956,978 | ) | ||||||||
| (3,609,328 | ) | (40,410,916 | ) | (7,377,963 | ) | (79,266,235 | ) | |||||||||
Net increase (decrease) | 1,490,856 | $ | 16,721,182 | 25,926,071 | $ | 282,024,131 | ||||||||||
| (1) | – Refer to Footnote 8 – Fund Reorganizations for further details. |
5. Investment Transactions
Purchases and sales (including maturities but excluding short-term investments, where applicable) during the six months ended August 31, 2012, were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Purchases | $ | 37,637,001 | $ | 17,702,430 | $ | 39,355,085 | $ | 46,492,380 | ||||||||
Sales and maturities | 21,939,650 | 13,242,301 | 15,867,040 | 24,518,938 | ||||||||||||
6. Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds.
At August 31, 2012, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Cost of investments | $ | 342,314,407 | $ | 209,717,982 | $ | 267,327,737 | $ | 692,354,684 | ||||||||
Gross unrealized: | ||||||||||||||||
Appreciation | $ | 27,225,798 | $ | 18,838,357 | $ | 26,407,303 | $ | 56,726,211 | ||||||||
Depreciation | (191,483 | ) | (1,753,970 | ) | (257,088 | ) | (2,106,338 | ) | ||||||||
Net unrealized appreciation (depreciation) of investments | $ | 27,034,315 | $ | 17,084,387 | $ | 26,150,215 | $ | 54,619,873 | ||||||||
| 76 | Nuveen Investments |
Permanent differences, primarily due to federal taxes paid, taxable market discount, paydowns, nondeductible reorganization expenses and capital loss carryforward from reorganization resulted in reclassifications among the Funds’ components of net assets at February 29, 2012, the Funds’ last tax year end, as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Capital paid-in | $ | 4,230 | $ | (46,903 | ) | $ | 13,805 | $ | 1,342,864 | |||||||
Undistributed (Over-distribution of) net investment income | (5,464 | ) | 45,283 | (30,426 | ) | 103,393 | ||||||||||
Accumulated net realized gain (loss) | 1,234 | 1,620 | 16,621 | (1,446,257 | ) | |||||||||||
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at February 29, 2012, the Funds’ last tax year end, were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Undistributed net tax-exempt income* | $ | 1,156,707 | $ | 758,101 | $ | 1,583,800 | $ | 3,252,541 | ||||||||
Undistributed net ordinary income** | 17,073 | — | 5,028 | — | ||||||||||||
Undistributed net long-term capital gains | 36,425 | — | — | 397,242 | ||||||||||||
| * | Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividends declared during the period on February 1, 2012, through February 29, 2012 and paid on March 1, 2012. |
| ** | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
The tax character of distributions paid during the Funds’ last tax year ended February 29, 2012, was designated for purposes of the dividends paid deduction as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Distributions from net tax-exempt income | $ | 13,439,511 | $ | 6,649,266 | $ | 10,126,225 | $ | 20,234,370 | ||||||||
Distributions from net ordinary income** | — | — | — | 83,130 | ||||||||||||
Distributions from net long-term capital gains | 876,538 | — | — | 1,147,317 | ||||||||||||
| ** | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
At February 29, 2012, the Funds’ last tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
| Massachusetts | New Jersey | New York* | ||||||||||
Expiration: | ||||||||||||
February 28, 2017 | $ | 12,497 | $ | — | $ | 763,829 | ||||||
February 28, 2018 | 98,330 | — | — | |||||||||
February 28, 2019 | — | 80,823 | — | |||||||||
Total | $ | 110,827 | $ | 80,823 | $ | 763,829 | ||||||
| * | A portion of New York’s capital loss carryforward is subject to an annual limitation under Internal Revenue Code and related regulations. |
During the Fund’s last tax year ended February 29, 2012, New York utilized $876,646 of its capital loss carryforwards.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), capital losses incurred by the Funds after December 31, 2010 will not be subject to expiration. Capital losses incurred that will be carried forward under the provisions of the Act are as follows:
| Massachusetts | New Jersey | |||||||
Post-enactment losses | ||||||||
Short-term | $ | 21,278 | $ | 30,675 | ||||
Long-term | — | 2,079,784 | ||||||
The Funds have elected to defer losses incurred from November 1, 2011 through February 29, 2012, the Funds’ last tax year end, in accordance with federal income tax rules. These losses are treated as having arisen on the first day of the current fiscal year. The following Fund has elected to defer losses as follows:
| Massachusetts | ||||
Post-October capital losses | $ | 10,243 | ||
Late-year ordinary losses | — | |||
7. Management Fees and Other Transactions with Affiliates
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 each Fund’s 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.
| Nuveen Investments | 77 |
Notes to Financial Statements (Unaudited) (continued)
The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedule:
| Average Daily Net Assets | Fund-Level Fee Rate | |||
For the first $125 million | .3500 | % | ||
For the next $125 million | .3375 | |||
For the next $250 million | .3250 | |||
For the next $500 million | .3125 | |||
For the next $1 billion | .3000 | |||
For the next $3 billion | .2750 | |||
For net assets over $5 billion | .2500 | |||
The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:
| Complex-Level Asset Breakpoint Level* | Effective Rate at Breakpoint Level | |||
$55 billion | .2000 | % | ||
$56 billion | .1996 | |||
$57 billion | .1989 | |||
$60 billion | .1961 | |||
$63 billion | .1931 | |||
$66 billion | .1900 | |||
$71 billion | .1851 | |||
$76 billion | .1806 | |||
$80 billion | .1773 | |||
$91 billion | .1691 | |||
$125 billion | .1599 | |||
$200 billion | .1505 | |||
$250 billion | .1469 | |||
$300 billion | .1445 | |||
| * | The complex-level fee is calculated based upon the aggregate daily “eligible assets” of all Nuveen Funds. Eligible assets do not include assets attributable to investments in other Nuveen Funds or assets in excess of $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. Eligible assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the closed-end 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 eligible assets in certain circumstances. As of August 31, 2012, the complex-level fee rate for these Funds was .1702%. |
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser is responsible for each Fund’s overall investment strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with the Sub-Adviser under which the Sub-Adviser manages the investment portfolios of the Funds. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
The Adviser has agreed to waive fees and/or reimburse expenses of Massachusetts and New York so that total annual fund operating expenses (excluding 12b-1 distribution and service fees, interest expenses, taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses) do not exceed .750% and .750%, respectively, of the average daily net assets of any class of Fund shares. The Adviser may also voluntarily reimburse additional expenses from time to time in any of the Funds. Voluntary reimbursements may be terminated at any time at the Adviser’s discretion.
The Trust pays no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Trust from the Adviser or its affiliates. The Board of Trustees 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.
During the six months ended August 31, 2012, Nuveen Securities, LLC (the “Distributor”), a wholly-owned subsidiary of Nuveen, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to financial intermediaries as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Sales charges collected | $ | 180,824 | $ | 77,708 | $ | 108,372 | $ | 331,351 | ||||||||
Paid to financial intermediaries | 162,805 | 65,872 | 95,169 | 288,860 | ||||||||||||
The Distributor also received 12b-1 service fees on Class A Shares, substantially all of which were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.
| 78 | Nuveen Investments |
During the six months ended August 31, 2012, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Commission advances | $ | 122,245 | $ | 32,548 | $ | 82,679 | $ | 138,005 | ||||||||
To compensate for commissions advanced to financial intermediaries, all 12b-1 service fees collected on Class B Shares during the first year following a purchase, all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service and distribution fees collected on Class C Shares during the first year following a purchase are retained by the Distributor. During the six months ended August 31, 2012, the Distributor retained such 12b-1 fees as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
12b-1 fees retained | $ | 42,308 | $ | 20,239 | $ | 43,966 | $ | 68,031 | ||||||||
The remaining 12b-1 fees charged to the Funds were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.
The Distributor also collected and retained CDSC on share redemptions during the six months ended August 31, 2012, as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
CDSC retained | $ | 1,214 | $ | 768 | $ | 2,687 | $ | 3,922 | ||||||||
8. Fund Reorganizations
During the fiscal period end February 29, 2012, the following Nuveen open-end funds were reorganized into the following Funds included in this report as follows (each the “Reorganization” and collectively, the “Reorganizations”):
| • | Nuveen Massachusetts Municipal Bond Fund 2 (“Massachusetts 2”) into Massachusetts; and |
| • | Nuveen New York Municipal Bond Fund 2 (“New York 2”) into New York. |
Massachusetts 2 and New York 2 are collectively the “Acquired Funds.” Massachusetts and New York are collectively the “Acquiring Funds.”
The Adviser proposed the Reorganizations of the Acquired Funds into the Acquiring Funds, as well as a number of other fund reorganizations between funds with similar investment objectives and policies, as part of an initiative to eliminate certain redundancies among the products it offers and in an effort to achieve certain operating efficiencies. The Acquired Funds’ Board of Trustees has determined that the Reorganizations were in the best interest of the Acquired Funds and that the interests of existing shareholders will not be diluted as a result of the Reorganizations. The Board of Trustees unanimously approved the Reorganizations on July 25, 2011.
A special meeting of the Acquired Funds’ shareholders was held on November 7, 2011, for the purpose of voting on the Reorganizations, at which time, each of the Reorganizations was approved. The Reorganizations were consummated at the close of business on November 18, 2011.
Upon consummation of each Fund’s Reorganization, the Acquired Funds transferred all of their assets and liabilities to the Acquiring Funds in exchange for the Acquiring Funds’ shares of equal value. The Acquiring Funds’ shares were then distributed to the Acquired Funds’ shareholders and the Acquired Funds were terminated. As a result of the Reorganizations, the Acquired Funds’ shareholders became shareholders of the Acquiring Funds and the Acquired Funds’ shareholders received the Acquiring Funds’ shares with a total value equal to the total value of their Acquired Funds’ shares immediately prior to the closing of their Reorganization.
The Reorganizations were structured to qualify as tax-free reorganizations under the Internal Revenue Code for federal income tax purposes, and the Acquired Funds’ shareholders will recognize no gain or loss for federal income tax purposes as a result of the Reorganizations. Prior to the closing of each of the Reorganizations, the Acquired Funds distributed all of their net investment income and capital gains, if any. Such a distribution may be taxable to the Acquired Funds’ shareholders for federal income tax purposes.
The cost, fair value and net unrealized appreciation (depreciation) of the investments of the Acquired Funds as of the date of their respective Reorganization were as follows:
| Massachusetts 2 | New York 2 | |||||||
Cost of investments | $ | 73,289,208 | $ | 259,335,054 | ||||
Fair value of investments | 75,981,201 | 271,526,604 | ||||||
Net unrealized appreciation (depreciation) of investments | 2,691,993 | 12,191,550 | ||||||
For financial reporting purposes, assets received and shares issued by the Acquiring Funds were recorded at fair value; however, the cost basis of the investments received from the Acquired Funds were carried forward to align ongoing reporting of the Acquiring Funds’ realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
| Nuveen Investments | 79 |
Notes to Financial Statements (Unaudited) (continued)
For accounting and performance reporting purposes, the Acquiring Funds are the survivors. The shares outstanding, net assets and NAV per share immediately before and after the Reorganizations are as follows:
| Acquired Funds – Prior to Reorganizations | Shares Outstanding | Net Assets | NAV per Share | |||||||||
Massachusetts 2 | ||||||||||||
Class A | 2,330,540 | $ | 23,874,084 | $ | 10.24 | |||||||
Class B | 93,821 | 962,788 | 10.26 | |||||||||
Class C | 1,283,761 | 13,159,703 | 10.25 | |||||||||
Class I | 3,767,642 | 38,808,318 | 10.30 | |||||||||
New York 2 | ||||||||||||
Class A | 8,174,772 | $ | 83,804,433 | $ | 10.25 | |||||||
Class B | 151,405 | 1,556,846 | 10.28 | |||||||||
Class C | 1,944,842 | 19,966,920 | 10.27 | |||||||||
Class I | 16,116,725 | 165,870,814 | 10.29 | |||||||||
| Acquiring Funds – Prior to Reorganizations | Shares Outstanding | Net Assets | NAV per Share | |||||||||
Massachusetts | ||||||||||||
Class A | 6,541,304 | $ | 64,338,693 | $ | 9.84 | |||||||
Class B | 44,501 | 438,299 | 9.85 | |||||||||
Class C | 1,598,047 | 15,586,736 | 9.75 | |||||||||
Class I | 5,746,796 | 56,421,142 | 9.82 | |||||||||
New York | ||||||||||||
Class A | 19,685,275 | $ | 213,345,066 | $ | 10.84 | |||||||
Class B | 329,194 | 3,564,354 | 10.83 | |||||||||
Class C | 5,971,043 | 64,700,880 | 10.84 | |||||||||
Class I | 13,612,569 | 147,746,231 | 10.85 | |||||||||
| Acquiring Funds – Post Reorganizations | Shares Outstanding | Net Assets | NAV per Share | |||||||||
Massachusetts | ||||||||||||
Class A | 8,968,565 | $ | 88,212,776 | $ | 9.84 | |||||||
Class B | 142,253 | 1,401,087 | 9.85 | |||||||||
Class C | 2,947,262 | 28,746,440 | 9.75 | |||||||||
Class I | 9,699,638 | 95,229,459 | 9.82 | |||||||||
New York | ||||||||||||
Class A | 27,417,886 | $ | 297,149,499 | $ | 10.84 | |||||||
Class B | 472,980 | 5,121,200 | 10.83 | |||||||||
Class C | 7,813,723 | 84,667,800 | 10.84 | |||||||||
Class I | 28,894,925 | 313,617,045 | 10.85 | |||||||||
The beginning of the Acquired Funds’ fiscal period was March 1, 2011.
The net investment income (loss), net realized and unrealized gains (losses) and change in net assets resulting from operations for the period March 1, 2011 through November 18, 2011, each Acquired Fund’s Reorganization date, were as follows:
| Massachusetts 2 | New York 2 | |||||||
Net investment income (loss) | $ | 2,050,603 | $ | 7,777,893 | ||||
Net realized and unrealized gains (losses) | 2,934,464 | 13,313,948 | ||||||
Change in net assets resulting from operations | (2,598,940 | ) | (4,364,395 | ) | ||||
Because the combined investment portfolios for each Reorganization have been managed as a single integrated portfolio since each Reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Funds that have been included in the Statement of Operations since November 18, 2011.
9. New Accounting Pronouncements
Financial Accounting Standards Board (“FASB”) Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities
In December 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-11 (“ASU No. 2011-11”) to enhance disclosures about financial instruments and derivative instruments that are subject to offsetting (“netting”) on the Statement of Assets and Liabilities. This information will enable users of the entity’s financial statements to evaluate the effect or potential effect of netting arrangements on the entity’s financial position. ASU No. 2011-11 is effective prospectively during interim or annual periods beginning on or after January 1, 2013. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statements amounts and footnote disclosures, if any.
| 80 | Nuveen Investments |
Annual Investment Management Agreement Approval Process
(Unaudited)
The Board of Trustees (each, a “Board” and each Trustee, a “Board Member”) of the Funds, including the Board Members who are not parties to the Funds’ advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), is responsible for approving the advisory agreements (each, an “Investment Management Agreement”) between each Fund and Nuveen Fund Advisors, Inc. (the “Advisor”) and the sub-advisory agreements (each a “Sub-Advisory Agreement”) between the Advisor and Nuveen Asset Management, LLC (the “Sub-Advisor”) (the Investment Management Agreements and the Sub-Advisory Agreements are referred to collectively as the “Advisory Agreements”) and their periodic continuation. Pursuant to the Investment Company Act of 1940, as amended (the “1940 Act”), the Board is required to consider the continuation of the Advisory Agreements on an annual basis. Accordingly, at an in-person meeting held on May 21-23, 2012 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the continuation of the Advisory Agreements for the Funds for an additional one-year period.
In preparation for its considerations at the May Meeting, the Board requested and received extensive materials prepared in connection with the review of the Advisory Agreements. The materials provided a broad range of information regarding the Funds, the Advisor and the Sub-Advisor (the Advisor and the Sub-Advisor are collectively, the “Fund Advisers” and each, a “Fund Adviser”). As described in more detail below, the information provided included, among other things, a review of Fund performance, including Fund investment performance assessments against peer groups and appropriate benchmarks, a comparison of Fund fees and expenses relative to peers, a description and assessment of shareholder service levels for the Funds, a summary of the performance of certain service providers, a review of product initiatives and shareholder communications and an analysis of the Advisor’s profitability with comparisons to comparable peers in the managed fund business. As part of its annual review, the Board also held a separate meeting on April 18-19, 2012, to review the Funds’ investment performance and consider an analysis provided by the Advisor of the Sub-Advisor which generally evaluated the Sub-Advisor’s investment team, investment mandate, organizational structure and history, investment philosophy and process, performance of the applicable Fund, and significant changes to the foregoing. As a result of its review of the materials and discussions, the Board presented the Advisor with questions and the Advisor responded.
The materials and information prepared in connection with the annual review of the Advisory Agreements supplement the information and analysis provided to the Board during the year. In this regard, throughout the year, the Board, acting directly or through its committees, regularly reviews the performance and various services provided by the Advisor and the Sub-Advisor. The Board meets at least quarterly as well as at other times as the need arises. At its quarterly meetings, the Board reviews reports by the Advisor which include, among other things, Fund performance, a review of the investment teams and reports on compliance, regulatory matters and risk management. The Board also meets with key investment personnel managing the Fund portfolios during the year. In October 2011, the Board also created two new standing committees (the Open-end Fund Committee and the Closed-end Fund Committee) to assist the full Board in monitoring and gaining a deeper insight into the distinctive issues and business practices of open-end and closed-end funds.
In addition, the Board continues its program of seeking to have the Board Members or a subset thereof visit each sub-advisor to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel. In this regard, the Board visited with the Sub-Advisor’s municipal team in Minneapolis in September 2011, and with the Sub-Advisor’s municipal team in Chicago in November 2011. Further, an ad hoc committee of the Board visited the then-current transfer agents of the Nuveen funds in 2011 and the audit committee of the Board visited the various pricing agents for the Nuveen funds in January 2012.
The Board considers factors and information that are relevant to its annual consideration of the renewal of the Advisory Agreements at the meetings held throughout the year. Accordingly, the Board considers the information provided and knowledge gained at these meetings when performing its annual review of the Advisory Agreements. The Independent Board Members are assisted throughout the process by independent legal counsel who provided materials describing applicable law and the duties of directors or trustees in reviewing advisory contracts and met with the Independent Board Members in executive sessions without management present. In addition, it is important to recognize that the management arrangements for the Nuveen funds are the result of many years of review and discussion between the Independent Board Members and fund management and that the Board Members’ conclusions may be based, in part, on their consideration of fee arrangements and other factors developed in previous years.
The Board considered all factors it believed relevant with respect to each Fund, including among other factors: (a) the nature, extent and quality of the services provided by the Fund Advisers, (b) the investment performance of the Fund and Fund Advisers, (c) the advisory fees and costs of the services to be provided to the Fund and the profitability of the Fund Advisers, (d) the extent of any economies of scale, (e) any benefits derived by the Fund Advisers from the relationship with the Fund and (f) other factors. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to a Fund’s Advisory Agreements. The Independent Board Members did not identify any single factor as all important or controlling. The Independent Board Members’ considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.
A. Nature, Extent and Quality of Services
In considering renewal of the Advisory Agreements, the Independent Board Members considered the nature, extent and quality of the Fund Adviser’s services, including advisory services and the resulting Fund performance and administrative services. The Independent Board Members further considered the overall reputation and capabilities of the Advisor and its affiliates, the commitment of the
| Nuveen Investments | 81 |
Annual Investment Management Agreement Approval Process
(Unaudited) (continued)
Advisor to provide high quality service to the Funds, their overall confidence in the Advisor’s integrity and the Advisor’s responsiveness to questions and concerns raised by them. The Independent Board Members reviewed materials outlining, among other things, the Fund Adviser’s organization and business; the types of services that the Fund Adviser or its affiliates provide to the Funds; the performance record of the applicable Fund (as described in further detail below); and any initiatives Nuveen had taken for the applicable fund product line.
In considering advisory services, the Board recognized that the Advisor provides various oversight, administrative, compliance and other services for the Funds and the Sub-Advisor generally provides the portfolio investment management services to the Funds. In reviewing the portfolio management services provided to each Fund, the Board reviewed the materials provided by the Nuveen Investment Services Oversight Team analyzing, among other things, the Sub-Advisor’s investment team and changes thereto, organization and history, assets under management, Fund objectives and mandate, the investment team’s philosophy and strategies in managing the Fund, developments affecting the Sub-Advisor or Fund and Fund performance. The Independent Board Members also reviewed portfolio manager compensation arrangements to evaluate each Fund Adviser’s ability to attract and retain high quality investment personnel, preserve stability, and reward performance but not provide an inappropriate incentive to take undue risks. In addition, the Board considered the Advisor’s execution of its oversight responsibilities over the Sub-Advisor. Given the importance of compliance, the Independent Board Members also considered Nuveen’s compliance program, including the report of the chief compliance officer regarding the Funds’ compliance policies and procedures; the resources dedicated to compliance; and the record of compliance with the policies and procedures.
In addition to advisory services, the Board considered the quality and extent of administrative and other non-investment advisory services the Advisor and its affiliates provide to the Funds, including product management, investment services (such as oversight of investment policies and procedures, risk management, and pricing), fund administration, oversight of service providers, shareholder services and communications, administration of Board relations, regulatory and portfolio compliance and legal support. The Board further recognized Nuveen’s additional investments in personnel, including in compliance and risk management. In reviewing the services provided, the Board also reviewed materials describing various notable initiatives and projects the Advisor performed in connection with the open-end fund product line. These initiatives included efforts to eliminate product overlap through mergers or liquidations; commencement of various new funds; elimination of insurance mandates for various funds; updates in investment policies or guidelines for several funds; and reductions in management fees and expense caps for certain funds.
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement were satisfactory.
B. The Investment Performance of the Funds and Fund Advisers
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund over various time periods. The Board reviewed, among other things, each Fund’s historic investment performance as well as information comparing the Fund’s performance information with that of other funds (the “Performance Peer Group”) based on data compiled by Nuveen that was provided by an independent provider of mutual fund data and with recognized and/or customized benchmarks (i.e., benchmarks derived from multiple recognized benchmarks).
The Board reviewed reports, including a comprehensive analysis of the Funds’ performance and the applicable investment team. In this regard, the Board reviewed each Fund’s total return information compared to its Performance Peer Group for the quarter, one-, three- and five-year periods ending December 31, 2011, as well as performance information reflecting the first quarter of 2012. In addition, the Board reviewed each Fund’s total return information compared to recognized and/or customized benchmarks for the quarter, one- and three-year periods ending December 31, 2011, as well as performance information reflecting the first quarter of 2012.
In reviewing performance comparison information, the Independent Board Members recognized that the usefulness of the comparisons of the performance of certain funds with the performance of their respective Performance Peer Group may be limited because the Performance Peer Group may not adequately represent the objectives and strategies of the applicable funds or may be limited in size or number. The Independent Board Members also noted that the investment experience of a particular shareholder in the Nuveen funds will vary depending on when such shareholder invests in the applicable fund, the class held (if multiple classes are offered in a fund) and the performance of the fund (or respective class) during that shareholder’s investment period. In addition, although the performance below reflects the performance results for the time periods ending as of the most recent calendar year end (unless otherwise indicated), the Board also recognized that selecting a different ending time period may derive different results. Furthermore, while the Board is cognizant of the relevant performance of a fund’s peer set and/or benchmark(s), the Board evaluated fund performance in light of the respective fund’s investment objectives, investment parameters and guidelines and recognized that the objectives, investment parameters and guidelines of peers and/or benchmarks may differ to some extent, thereby resulting in differences in performance results. Nevertheless, with respect to any Nuveen funds that the Board considers to have underperformed their peers and/or benchmarks from time to time, the Board monitors such funds closely and considers any steps necessary or appropriate to address such issues.
In considering the results of the comparisons, the Independent Board Members observed, among other things, that the Nuveen New Jersey Municipal Bond Fund (the “New Jersey Fund”) and the Nuveen New York Municipal Bond Fund (the “New York Fund”) had
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demonstrated generally favorable performance in comparison to peers, performing in the first or second quartile over various periods. In addition the Independent Board Members considered that the Nuveen Connecticut Municipal Bond Fund (the “Connecticut Fund”) and the Nuveen Massachusetts Municipal Bond Fund (the “Massachusetts Fund”) lagged their peers somewhat in the short term, but demonstrated more favorable performance in the longer three- and/or five-year periods. In this regard, they noted that although the Massachusetts Fund lagged its peers in the short one-year period, it was in the first quartile over the three-year period.
Based on their review, the Independent Board Members determined that each Fund’s investment performance had been satisfactory.
C. Fees, Expenses and Profitability
1. Fees and Expenses
The Board evaluated the management fees and expenses of each Fund reviewing, among other things, such Fund’s gross management fees, net management fees and net expense ratios in absolute terms as well as compared to the fee and expenses of a comparable universe of funds provided by an independent fund data provider (the “Peer Universe”) and to a more focused subset of funds in the Peer Universe (the “Peer Group”) and any expense limitations.
The Independent Board Members further reviewed the methodology regarding the construction of the applicable Peer Universe and Peer Group. In reviewing the comparisons of fee and expense information, the Independent Board Members took into account that in certain instances various factors such as: the limited size and particular composition of the Peer Universe or Peer Group (including the inclusion of other Nuveen funds in the peer set); expense anomalies; changes in the funds comprising the Peer Universe or Peer Group from year to year; levels of reimbursement or fee waivers; the timing of information used; and differences in the states reflected in the Peer Universe or Peer Group may impact the comparative data, thereby limiting somewhat the ability to make a meaningful comparison with peers.
In reviewing the fee schedule for a Fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen. In reviewing fees and expenses, the Board considered the expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were approximately 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Group. In reviewing the reports, the Board noted that the overwhelming majority of the Nuveen funds were at, close to or below their Peer Group or Peer Universe (if no separate Peer Group) average based on the net total expense ratio. The Independent Board Members noted that the Massachusetts Fund, the Connecticut Fund and the New Jersey Fund each had net management fees slightly higher or higher than the peer average, but net expense ratios below or in line with the peer average, while the New York Fund had net management fees and a net expense ratio (including fee waivers and expense reimbursements) below or in line with its peer average.
Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund’s management fees were reasonable in light of the nature, extent and quality of services provided to the Fund.
2. Comparisons with the Fees of Other Clients
The Independent Board Members further reviewed information regarding the nature of services and range of fees offered by the Advisor to other clients, including municipal separately managed accounts and passively managed exchange traded funds (ETFs) sub-advised by the Advisor. In evaluating the comparisons of fees, the Independent Board Members noted that the fee rates charged to the Funds and other clients vary, among other things, because of the different services involved and the additional regulatory and compliance requirements associated with registered investment companies, such as the Funds. Accordingly, the Independent Board Members considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Independent Board Members noted, in particular, that the range of services provided to the Funds (as discussed above) is much more extensive than that provided to separately managed accounts. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members believe such facts justify the different levels of fees.
In considering the fees of the Sub-Advisor, the Independent Board Members also considered the pricing schedule or fees that the Sub-Advisor charges for similar investment management services for other Nuveen funds, funds of other sponsors (if any), and other clients (such as retail and/or institutional managed accounts).
3. Profitability of Fund Advisers
In conjunction with its review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen’s advisory activities for the last two calendar years, the allocation methodology used in preparing the profitability data and an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2011. The Independent Board Members noted this information supplemented the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense reimbursement commitments). In this regard, the Independent Board Members noted that they have an Independent Board Member serve as a point person to review
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Annual Investment Management Agreement Approval Process
(Unaudited) (continued)
and keep them apprised of changes to the profitability analysis and/or methodologies during the year. The Independent Board Members also considered Nuveen’s revenues for advisory activities, expenses, and profit margin compared to that of various unaffiliated management firms with comparable assets under management (based on asset size and asset composition).
In reviewing profitability, the Independent Board Members recognized the Advisor’s continued investment in its business to enhance its services, including capital improvements to investment technology, updated compliance systems, and additional personnel in compliance, risk management, and product development as well as its ability to allocate resources to various areas of the Advisor as the need arises. In addition, in evaluating profitability, the Independent Board Members also recognized the subjective nature of determining profitability which may be affected by numerous factors including the allocation of expenses. Further, the Independent Board Members recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser’s particular business mix, capital costs, types of funds managed and expense allocations. Notwithstanding the foregoing, the Independent Board Members reviewed Nuveen’s methodology and assumptions for allocating expenses across product lines to determine profitability. In reviewing profitability, the Independent Board Members recognized Nuveen’s investment in its fund business. Based on their review, the Independent Board Members concluded that the Advisor’s level of profitability for its advisory activities was reasonable in light of the services provided.
With respect to sub-advisers affiliated with Nuveen, including the Sub-Advisor, the Independent Board Members reviewed the sub-adviser’s revenues, expenses and profitability margins (pre- and post-tax) for its advisory activities and the methodology used for allocating expenses among the internal sub-advisers. Based on their review, the Independent Board Members were satisfied that the Sub-Advisor’s level of profitability was reasonable in light of the services provided.
In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as any indirect benefits (such as soft dollar arrangements, if any) the Fund Adviser and its affiliates receive, or are expected to receive, that are directly attributable to the management of the Funds, if any. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds. Based on their review of the overall fee arrangements of each Fund, the Independent Board Members determined that the advisory fees and expenses of the respective Fund were reasonable.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
With respect to economies of scale, the Independent Board Members have recognized the potential benefits resulting from the costs of a fund being spread over a larger asset base, although economies of scale are difficult to measure and predict with precision, particularly on a fund-by-fund basis. One method to help ensure the shareholders share in these benefits is to include breakpoints in the advisory fee schedule. Generally, management fees for funds in the Nuveen complex are comprised of a fund-level component and a complex-level component, subject to certain exceptions. Accordingly, the Independent Board Members reviewed and considered the applicable fund-level breakpoints in the advisory fee schedules that reduce advisory fees as asset levels increase.
In addition to fund-level advisory fee breakpoints, the Board also considered the Funds’ complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex are generally reduced as the assets in the fund complex reach certain levels. The complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflects the notion that some of Nuveen’s costs are attributable to services provided to all its funds in the complex and therefore all funds benefit if these costs are spread over a larger asset base. In addition, with the acquisition of the funds previously advised by FAF Advisors, Inc., the Board noted that a portion of such funds’ assets at the time of acquisition were deemed eligible to be included in the complex-wide fee calculation in order to deliver fee savings to shareholders in the combined complex and such funds were subject to differing complex-level fee rates.
Based on their review, the Independent Board Members concluded that the breakpoint schedules and complex-wide fee arrangement were acceptable and reflect economies of scale to be shared with shareholders when assets under management increase.
E. Indirect Benefits
In evaluating fees, the Independent Board Members received and considered information regarding potential “fall out” or ancillary benefits the respective Fund Adviser or its affiliates may receive as a result of its relationship with each Fund. In this regard, the Independent Board Members considered, among other things, any sales charges, distribution fees and shareholder services fees received and retained by the Funds’ principal underwriter, an affiliate of the Advisor, which includes fees received pursuant to any 12b-1 plan. The Independent Board Members, therefore, considered the 12b-1 fees retained by Nuveen during the last calendar year.
In addition to the above, the Independent Board Members considered whether the Fund Advisers received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Funds and other clients. The Independent Board Members recognized that each Fund Adviser has the authority to pay a higher commission in return for brokerage and research services if it determines in good faith that the commission paid is reasonable in relation to the value of the brokerage and research services provided and may benefit
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from such soft dollar arrangements. Similarly, the Board recognized that the research received pursuant to soft dollar arrangements by a Fund Adviser may also benefit a Fund and shareholders to the extent the research enhances the ability of the Fund Adviser to manage the Fund. The Independent Board Members noted that the Fund Advisers’ profitability may be somewhat lower if they did not receive the research services pursuant to the soft dollar arrangements and had to acquire such services directly.
Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.
F. Other Considerations
The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, unanimously concluded that the terms of each Advisory Agreement are fair and reasonable, that the respective Fund Adviser’s fees are reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.
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Glossary of Terms Used in this Report
Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
Average Effective Maturity: The market-value-weighted average of the effective maturity dates of the individual securities including cash. In the case of a bond that has been advance-refunded to a call date, the effective maturity is the date on which the bond is scheduled to be redeemed using the proceeds of an escrow account. In most other cases the effective maturity is the stated maturity date of the security.
Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s (or bond fund’s) value to changes when market interest rates change. Generally, the longer a bond or Fund’s duration, the more the price of the bond or Fund will change as interest rates change.
Effective Leverage: Effective leverage is investment exposure created either through borrowings or indirectly through inverse floaters, divided by the assets invested, including those assets that were purchased with the proceeds of the leverage, or referenced by the levered instrument.
Inverse Floaters: Inverse Floating Rate Securities: Inverse floating rate securities, also known as inverse floaters or tender option bonds (TOBs), are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond’s par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an “inverse floater”) to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond’s downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond’s value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis.
Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.
Lipper Connecticut Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper Connecticut Municipal Debt Funds Classification Average. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
Lipper Massachusetts Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper Massachusetts Municipal Debt Funds Classification Average. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
Lipper New Jersey Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper New Jersey Municipal Debt Funds Classification Average. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
Lipper New York Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper New York Municipal Debt Funds Classification Average. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
Net Asset Value (NAV): The net market value of all securities held in a portfolio.
Net Asset Value (NAV) Per Share: The market value of one share of a mutual fund or closed-end fund. For a Fund, the NAV is calculated daily by taking the Fund’s total assets (securities, cash, and accrued earnings), subtracting the Fund’s liabilities, and dividing by the number of shares outstanding.
Pre-Refundings: Pre-Refundings, also known as advance refundings or refinancings, occur when an issuer sells new bonds and uses the proceeds to fund principal and interest payments of older existing bonds. This process often results in lower borrowing costs for bond issuers.
S&P Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Tax-exempt income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically.
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Fund Manager
Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606
Sub-Adviser
Nuveen Asset Management, LLC
333 West Wacker Drive
Chicago, IL 60606
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
Independent Registered
Public Accounting Firm
PricewaterhouseCoopers LLP
Chicago, IL
Custodian
State Street Bank & Trust Company
Boston, MA
Transfer Agent and Shareholder Services
Boston Financial
Data Services, Inc.
Nuveen Investor Services
P.O. Box 8530
Boston, MA 02266-8530
(800) 257-8787
Quarterly Portfolio of Investments and Proxy Voting Information: You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) 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 Investments at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.
The Financial Industry Regulatory Authority (FINRA) provides a Public Disclosure Program which supplies certain information regarding the disciplinary history of FINRA members and their associated persons in response to either telephone inquiries at (800) 289-9999 or written inquiries at www.finra.org. FINRA also provides an investor brochure that includes information describing the Public Disclosure Program.
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Nuveen Investments:
Serving Investors for Generations
Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.
Focused on meeting investor needs.
Nuveen Investments provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates-Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management, and Gresham Investment Management. In total, Nuveen Investments managed $212 billion as of June 30, 2012.
Find out how we can help you.
To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
Learn more about Nuveen Funds at: www.nuveen.com/mf
Distributed by Nuveen Securities, LLC 333 West Wacker Drive Chicago, IL 60606 www.nuveen.com |
MSA-MS3-0812D
Mutual Funds
Nuveen Municipal Bond Funds
Dependable, tax-free income because it’s not what you earn, it’s what you keep.®
Semi-Annual Report
August 31, 2012
| Share Class / Ticker Symbol | ||||||||
| Fund Name | Class A | Class B | Class C | Class I | ||||
Nuveen California High Yield Municipal Bond Fund | NCHAX | — | NCHCX | NCHRX | ||||
Nuveen California Municipal Bond Fund | NCAAX | NCBBX | NCACX | NCSPX | ||||
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Letter to Shareholders
Dear Shareholders,
Investors have many reasons to remain cautious. The challenges in the Euro area are casting a shadow over global economies and financial markets. The political support for addressing fiscal issues is eroding as the economic and social impacts become more visible. At the same time, member nations appear unwilling to provide adequate financial support or to surrender sufficient sovereignty to strengthen the banks or unify the Euro area financial system. The gains made in reducing deficits, and the hard-won progress on winning popular acceptance of the need for economic austerity, are at risk. To their credit, European political leaders press on to find compromise solutions, but there is increasing concern that time will begin to run out.
In the U.S., strong corporate earnings have enabled the equity markets to withstand much of the downward pressures coming from weakening job creation, slower economic growth and political uncertainty. The Fed remains committed to low interest rates and announced on September 13, 2012 (after the close of this reporting period) another program of quantitative easing (QE3) to continue until mid-2015. Pre-election maneuvering has added to the already highly partisan atmosphere in Congress. The end of the Bush-era tax cuts and implementation of the spending restrictions of the Budget Control Act of 2011, both scheduled to take place at year-end, loom closer.
During the last year, U.S. based investors have experienced a sharp decline and a strong recovery in the equity markets. The experienced investment teams at Nuveen keep their eye on a longer time horizon and use their practiced investment disciplines to negotiate through market peaks and valleys to achieve long-term goals for investors. Experienced professionals pursue investments that will weather short-term volatility and at the same time, seek opportunities that are created by markets that overreact to negative developments. Monitoring this process is an important consideration for the Fund Board as it oversees your Nuveen Fund on your behalf.
As always, I encourage you to contact your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
Robert P. Bremner
Chairman of the Board
October 22, 2012
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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.
Ratings shown 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. 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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
Portfolio managers John Miller and Scott Romans examine key investment strategies and the Funds’ performance during the six months ending August 31, 2012. John has managed the Nuveen California High Yield Municipal Bond Fund since 2006 and Scott has managed the Nuveen California Municipal Bond Fund since 2003.
How did the Funds perform during the six-month period ending August 31, 2012?
The tables in the Fund Performance, Expense and Effective Leverage Ratios section of this report provide total return performance information for the six-month, one-year, five-year and ten-year periods ending August 31, 2012. Each Fund’s Class A Share total returns at net asset value (NAV) are compared with the performance of their benchmark index and corresponding Lipper average.
During the six-month period, the Nuveen California High Yield Municipal Bond Fund at NAV surpassed the results of both the S&P Municipal Yield Index and the S&P High Yield Municipal Bond Index, as well as the Fund’s peer group average, the Lipper California Municipal Debt Funds Average. Meanwhile, the Nuveen California Municipal Bond Fund at NAV outpaced the national S&P Municipal Bond Index, as well as the Lipper California Municipal Debt Funds Classification Average.
During the reporting period, the Nuveen California High Yield Municipal Bond Fund’s primary index was changed. Previously, the Fund used Standard & Poor’s (S&P) High Yield Municipal Bond Index as its benchmark. Going forward, the Fund’s performance will be compared to S&P Municipal Yield Index because it more closely reflects the Fund’s investment universe.
Nuveen California High Yield Municipal Bond Fund
The California High Yield Fund performed well compared with the S&P Municipal Yield Index. The Fund, like the index, benefited in absolute terms from the generally favorable market backdrop for municipal bonds. For instance, the decline in rates on the long end of the yield curve created a tailwind for bonds with extended maturities, which describes many of the positions in our portfolio. In addition, lower rated bonds generally outperformed high rated bonds in the low interest- rate environment, as investors were more willing to take on additional credit risk in exchange for a higher level of income. Given the Fund’s focus on lower rated, higher yielding issues, this, too provided favorable conditions for performance.
Relative to the national Index, the Fund was helped by its focus on California issued bonds, especially those secured by real estate taxes, of which there is significant supply in
| Nuveen Investments | 5 |
the California market. These include special taxing district, or land-backed, bonds, which are repaid by property tax revenues. These bonds performed relatively well compared with the overall high yield market, and because they make up a substantial percentage of California supply, we owned a sizeable amount. Among all of the special taxing district bonds in the portfolio, we entered the reporting period with only one issue experiencing any financial difficulty, and that bond’s credit did not worsen during the period. As a result, a large portion of the portfolio was able to benefit from the continued stabilization of the real estate market during the past six months. One notable outperformer in this sector was Moreno Valley special taxing district bonds, which were priced at 80 cents on the dollar entering into the reporting period. As the reporting period progressed, the market came to share our assessment that these bonds were priced too cheaply relative to their underlying potential, and the securities’ prices moved considerably higher by period end, while their yields declined accordingly from 6.75% to 5.25% (bond yields and prices move in opposite directions).
The Fund also enjoyed contributions from several hospital bond issues, including those of Children’s Hospital Los Angeles and the Kaiser Permanente Hospital System, as well as the San Buenaventura Community Memorial Health System. Even as none of these issues experienced a material change in their credit ratings or financial results, they did benefit from market conditions that encouraged investors to bid up prices in exchange for the extra yield provided by these securities. Of final note, the Fund was supported by its near total lack of local general obligation bonds in its portfolio. As these types of issues were hurt in sympathy with a few well publicized bankruptcies among California municipalities, which subsequently dragged down the entire sector, the Fund’s minimal exposure to this category proved advantageous for results on a relative basis.
Nuveen California Municipal Bond Fund
The California Fund surpassed the results of the S&P Municipal Bond Index during the six-month reporting period, due largely to the Fund’s longer than average duration, which allowed the Fund to be more sensitive to the beneficial effects of falling interest rates. More specifically, the Fund was underweight in very short maturity bonds, which did not see their prices rise to the same degree as longer bonds. The Fund was generally overweight in most categories of long dated debt, a very helpful factor, although an underweighting in the longest maturity segment of the yield curve (14 years and longer) limited the otherwise strong performance impact.
A secondary factor contributing to the Fund’s positive results was credit-quality allocation, primarily an overweighting in BBB-rated and BB-rated bonds. Lower rated bonds such as these outperformed their higher quality counterparts during the reporting period, as investors were willing to own riskier securities in exchange for the prospect of obtaining a higher level of income. The Fund also benefited from a corresponding underweight in AAA-rated and AA-rated securities, as these high quality bonds did not enjoy similarly high demand during the six-month period. Modestly tempering favorable performance, however, was a slight overweight in A-rated bonds, a category that did not see quite as much upside as the overall market.
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Sector positioning also added to the Fund’s results on a relative basis, led by a significant overweight in redevelopment district bonds, an area of substantial supply in the California market that we have long favored and one that generated very strong returns during the six-month period. The Fund was also overweight in the health care sector, which added to our results.
What strategies were used to manage the Funds during the six-month reporting period ended August 31, 2012?
Nuveen California High Yield Municipal Bond Fund
The Fund invests primarily in municipal bonds that pay interest exempt from regular federal, California state and, in some cases, California local income taxes. The Fund seeks to identify below investment-grade or medium to lower rated, high yielding municipal bonds that offer attractive value in terms of current yields, prices, credit quality, liquidity or future prospects.
Throughout the six-month reporting period, we continued to follow our established investment strategy, conducting thorough bond-by-bond analysis to select securities across various sectors that we believed could add value over time. For example, we added charter school bonds and hospital bond issues. We also increased the Fund’s existing holdings in two toll road bond issues, the Foothill Eastern toll road and the San Joaquin Hills toll road, whose prices were depressed because the roads were not yet generating the level of usage (and therefore revenues) that was originally projected. In both cases, we anticipate that the currently sluggish traffic growth is likely to catch up to projections over time.
Three California municipalities declared bankruptcy. Stockton, San Bernardino and Mammoth Lakes declared bankruptcy within several weeks of one another during the summer of 2012. Worries about their bonds specifically, as well as the financial positions of local issuers generally, resulted in a volatile marketplace. However, this situation opened up timely opportunities for municipal bond investors with the resources and patience to find securities offering good value at undeservedly low prices. During the reporting period, we added bonds issued by San Bernardino County (as opposed to the bankrupt city) to finance a local courthouse project secured by a dedicated tax unaffected by the bankruptcy filing. In the case of Stockton, we took a position in Stockton Community Facilities District special tax bonds secured by the revenue stream of a local parking lot that we believed would continue to cover its debt obligations. In both cases, we concluded that the risk/reward tradeoff was highly favorable for our shareholders, and we assessed that the bonds would not be vulnerable to the financial pressures faced by the municipalities themselves.
Redevelopment agency bonds contributed as another source of opportunistic investing. Pricing of these bonds was erratic during the past six months because of legal uncertainties surrounding the sector. These concerns meant that, at times, the bonds were attractively priced, and we applied our methodical research to our selections from this sector. We also bought land secured, special taxing-district bonds, which are a large component of issuance in the California tax exempt bond market, and we took advantage
| Nuveen Investments | 7 |
of several good value opportunities. To fund our purchases, we used the proceeds of a consistent level of new investment activity, as well as a number of bond calls during the period. Given these inflows, we did not need to rely on the sales of existing holdings to finance our new purchases.
California has faced many financial challenges in recent years. The state has cut spending, which in turn has pressured the resources of local communities. In response to these challenges, we will continue to adhere to our systematic investment and research process, which thus far has enabled us to avoid exposure to any of the publicized financial troubles experienced by various municipal issuers. Considering multiple sources of uncertainty is an essential part of our research process as we seek to reduce the risk while maximizing the reward potential of owning high yield bonds.
To manage the duration of the Fund’s portfolio and to reduce sensitivity to movements in U.S. interest rates, we continued to utilizes swaps contracts. During this period, swap contracts were utilized to shorten the duration of the Fund’s portfolio. Due to generally lower interest rates during the period, the swap positions detracted mildly from performance.
Nuveen California Municipal Bond Fund
The Fund invests primarily in investment-grade bonds in an effort to provide interest income exempt from regular federal, California state and, in some cases, California local income taxes.
Throughout the six-month reporting period, we continued to identify multiple opportunities among redevelopment district bonds, which raise tax exempt money for community development projects and are backed by property tax revenues. Recently, some negative news affecting this sector resulted in essentially the entire category seeing its credit ratings downgraded to below investment grade. This situation resulted in an abundance of bonds available for purchase, in part because a number of investors that are ineligible to own bonds below a certain credit rating had to quickly liquidate their positions at lower than usual prices. Given Nuveen’s significant resources and experience in conducting careful credit research, we were able to analyze these bonds on a case by case basis and select those that we believed provided exceptional long-term value for our shareholders at an acceptable level of risk.
In addition, during May and June, 2012, we sought to capitalize on investors’ concern, coupled with elevated supply in the California bond market, to obtain bonds at prices we found unusually favorable. These included California state general obligation debt and essential service utility revenue bonds, which we believed would be less vulnerable than other California bonds amid the serious pension and other financial challenges faced by several local bond issuers. We also made a variety of purchases in the health care sector.
To fund our purchases during the reporting period, we primarily relied on the proceeds of called bonds and new investment inflows into the Fund. We made selective sales as well, including some of our local general obligation debt and appropriation bonds, whose prospects we believed would be uncertain given the market’s heightened concern about issuers’ financial challenges.
| 8 | Nuveen Investments |
Impact of the Fund’s Leveraging Strategy on Performance
One important factor impacting the returns of Nuveen California High Yield Municipal Bond Fund relative to its comparative benchmarks was the Fund’s use of leverage through its investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Fund uses leverage because the manager believes that, over time, leveraging provides opportunities for additional income and total return, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments have been much lower than the interest the Fund has been earning on its portfolio of long-term bonds that it has bought with the proceeds of that leverage. However, use of leverage also can expose the Fund to additional volatility. For example, the value of an inverse floating rate security will increase or decrease in value by a multiple of the increase or decrease of the market value of the underlying bond due to changes in market interest rates or the bond’s creditworthiness. Thus, when investing in an inverse floating rate security rather than directly in the underlying bond, the Fund will experience a greater increase in its net asset value if the underlying municipal bond increases in value, but will also experience a correspondingly larger decline in its net asset value if the underlying bond declines in value, which will make the Fund’s net asset value more volatile, and its total return performance more variable over time. In addition, income on inverse floating rate securities will decrease when short-term interest rates increase and increase when short-term interest rates decrease. As a consequence, although investments in inverse floating rate securities offer the opportunity for higher income than the underlying bond at times of low short-term market interest rates, those investments would serve to reduce the Fund’s income if short-term interest rates rise such that they exceed the net income on the underlying bond.
The Fund’s use of leverage through inverse floating rate securities made a positive contribution to the performance of the Fund over this reporting period, largely because of the income differential between the higher rates earned on the Fund’s long-term bond investments and the lower rates paid on its leveraging instruments.
Risk Considerations
Nuveen California High Yield Municipal Bond Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, state concentration risk, tax risk, political and economic risk, and income risk. As interest rates rise, bond prices fall. Credit risk refers to an issuers ability to make interest and principal payments when due.
The Fund concentrates in non-investment-grade and unrated bonds with long maturities and durations which carry heightened credit risk, liquidity risk, and potential for default. In addition, the Fund oftentimes engages in a significant amount of portfolio leverage and in doing so, assumes a high level of risk in pursuit of its objectives. Leverage involves the risk that the Fund could lose more than its original investment and also increases the Fund’s exposure to volatility, interest rate risk and credit risk.
| Nuveen Investments | 9 |
Nuveen California Municipal Bond Fund
Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, state concentration risk, tax risk, and income risk. As interest rates rise, bond prices fall. Credit risk refers to an issuers ability to make interest and principal payments when due. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. The Fund’s use of inverse floaters creates effective leverage. Leverage involves the risk that the Fund could lose more than its original investment and also increases the Fund’s exposure to volatility and interest rate risk.
Dividend Information
All class shares of the Nuveen California High Yield Municipal Bond Fund and the Nuveen California Municipal Bond Fund had one monthly dividend decrease during the six-month reporting period ended August 31, 2012. Each Fund seeks to pay dividends at a rate that reflects the past and projected performance of the Fund. To permit a 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 investment income actually earned by the Fund during the period. If the Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if the Fund has cumulatively paid in dividends more than it has earned, the excess will constitute negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders. As of August 31, 2012, the Funds had positive UNII balances, based upon our best estimate, for tax purposes and positive UNII balances for financial reporting purposes.
| 10 | Nuveen Investments |
Fund Performance, Expense and Effective Leverage Ratios
The Fund Performance, Expense and Effective Leverage Ratios for each Fund are shown on the following two pages.
Returns quoted represent past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns without sales charges would be lower if the sales charge were included. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Income is generally exempt from regular federal income taxes. Some income may be subject to state and local income taxes and to the federal alternative minimum tax. Capital gains, if any, are subject to tax.
Returns may reflect a contractual agreement between certain Funds and the investment adviser to waive certain fees and expenses; see Notes to Financial Statements, Footnote 7 — Management Fees and Other Transactions with Affiliates for more information. In addition, returns may reflect a voluntary expense limitation by the Funds’ investment adviser that may be modified or discontinued at any time without notice. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.
Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains.
Comparative index and Lipper return information is provided for the Funds’ Class A Shares at net asset value (NAV) only.
The expense ratios shown reflect the Funds’ total operating expenses (before fee waivers or expense reimbursements, if any) as shown in the Funds’ most recent prospectus. The expense ratios include management fees and other fees and expenses.
Leverage is created whenever a Fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital. The effective leverage ratio shown is the amount of investment exposure created either through borrowings or indirectly through inverse floaters, divided by the assets invested, including those assets that were purchased with the proceeds of the leverage, or referenced by the levered instrument.
| Nuveen Investments | 11 |
Fund Performance, Expense and Effective Leverage Ratios (continued)
Nuveen California High Yield Municipal Bond Fund
Refer to the first page of this Fund Performance, Expense and Effective Leverage Ratios section for further explanation of the information included within this page.
Fund Performance
Average Annual Total Returns as of August 31, 2012*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | Since Inception** | |||||||||||||
Class A Shares at NAV | 8.48% | 20.59% | 5.20% | 4.09% | ||||||||||||
Class A Shares at maximum Offering Price | 3.97% | 15.48% | 4.29% | 3.40% | ||||||||||||
S&P Municipal Yield Index*** | 6.95% | 15.29% | 5.27% | 5.08% | ||||||||||||
S&P High Yield Municipal Bond Index*** | 8.17% | 17.35% | 5.21% | 4.84% | ||||||||||||
S&P Municipal Bond California Index*** | 3.53% | 10.79% | 6.12% | 5.35% | ||||||||||||
Lipper California Municipal Debt Funds Classification Average*** | 4.10% | 12.44% | 5.42% | 4.65% | ||||||||||||
Class C Shares | 8.08% | 19.84% | 4.61% | 3.52% | ||||||||||||
Class I Shares | 8.60% | 20.87% | 5.40% | 4.29% | ||||||||||||
Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | Since Inception** | |||||||||||||
Class A Shares at NAV | 8.66% | 18.76% | 5.11% | 4.22% | ||||||||||||
Class A Shares at maximum Offering Price | 4.04% | 13.83% | 4.21% | 3.53% | ||||||||||||
Class C Shares | 8.50% | 18.15% | 4.57% | 3.66% | ||||||||||||
Class I Shares | 8.78% | 19.03% | 5.32% | 4.42% | ||||||||||||
Class A Shares have a maximum 4.20% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.
Expense Ratios as of Most Recent Prospectus
| Gross Expense Ratios | Net Expense Ratios | |||
Class A Shares | 0.89% | 0.88% | ||
Class C Shares | 1.44% | 1.43% | ||
Class I Shares | 0.69% | 0.68% | ||
The Fund’s investment adviser has agreed to waive fees and/or reimburse expenses through July 31, 2013 so that total annual Fund operating expenses (excluding 12b-1 distribution and/or service fees, interest expenses, taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses) do not exceed 0.70% (1.00% after July 31, 2013) of the average daily net assets of any class of Fund shares. The expense limitation expiring July 31, 2013 may be terminated or modified prior to that date only with the approval of the Board of Trustees of the Fund. The expense limitation in effect thereafter may be terminated or modified only with the approval of shareholders of the Fund.
Effective Leverage Ratio as of August 31, 2012
Effective Leverage Ratio | 14.61% |
| * | Six-month returns are cumulative; all other returns are annualized. |
| ** | Since inception returns are from 3/28/06. |
| *** | Refer to the Glossary of Terms Used in this Report for definitions. Indexes and Lipper averages are not available for direct investment. |
| 12 | Nuveen Investments |
Nuveen California Municipal Bond Fund
Refer to the first page of this Fund Performance, Expense and Effective Leverage Ratios section for further explanation of the information included within this page.
Fund Performance
Average Annual Total Returns as of August 31, 2012*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 4.82% | 13.54% | 6.23% | 5.10% | ||||||||||||
Class A Shares at maximum Offering Price | 0.44% | 8.74% | 5.32% | 4.65% | ||||||||||||
S&P Municipal Bond Index** | 3.22% | 9.36% | 6.00% | 5.28% | ||||||||||||
S&P Municipal Bond California Index** | 3.53% | 10.79% | 6.12% | 5.35% | ||||||||||||
Lipper California Municipal Debt Funds Classification Average** | 4.10% | 12.44% | 5.42% | 4.52% | ||||||||||||
Class B Shares w/o CDSC | 4.45% | 12.64% | 5.43% | 4.48% | ||||||||||||
Class B Shares w/CDSC | -0.55% | 8.64% | 5.27% | 4.48% | ||||||||||||
Class C Shares | 4.55% | 12.86% | 5.62% | 4.52% | ||||||||||||
Class I Shares | 4.92% | 13.65% | 6.43% | 5.30% | ||||||||||||
Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 6.09% | 12.23% | 6.03% | 4.96% | ||||||||||||
Class A Shares at maximum Offering Price | 1.62% | 7.55% | 5.12% | 4.51% | ||||||||||||
Class B Shares w/o CDSC | 5.62% | 11.34% | 5.22% | 4.34% | ||||||||||||
Class B Shares w/CDSC | 0.62% | 7.34% | 5.05% | 4.34% | ||||||||||||
Class C Shares | 5.72% | 11.55% | 5.43% | 4.38% | ||||||||||||
Class I Shares | 6.19% | 12.55% | 6.25% | 5.17% | ||||||||||||
Class A Shares have a maximum 4.20% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.
Expense Ratios as of Most Recent Prospectus
| Expense Ratios | ||||
Class A Shares | 0.81% | |||
Class B Shares | 1.56% | |||
Class C Shares | 1.36% | |||
Class I Shares | 0.61% | |||
Effective Leverage Ratio as of August 31, 2012
Effective Leverage Ratio | 1.25% |
| * | Six-month returns are cumulative; all other returns are annualized. |
| ** | Refer to the Glossary of Terms Used in this Report for definitions. Indexes and Lipper averages are not available for direct investment. |
| Nuveen Investments | 13 |
Dividend Yield is the most recent dividend per share (annualized) divided by the offering price per share.
The SEC 30-Day Yield is a standardized measure of the Fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the Fund’s portfolio. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. Dividend Yield may differ from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.
The 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 at a specified tax rate. With respect to investments that generate qualified dividend income that is taxable at a maximum rate of 15%, the Taxable-Equivalent Yield is lower.
Nuveen California High Yield Municipal Bond Fund
| Dividend Yield | SEC 30-Day Yield | Taxable- Equivalent Yield1 | ||||||||||
Class A Shares2 | 5.38% | 4.38% | 6.71% | |||||||||
Class C Shares | 5.08% | 3.99% | 6.11% | |||||||||
Class I Shares | 5.82% | 4.73% | 7.24% | |||||||||
Nuveen California Municipal Bond Fund
| Dividend Yield | SEC 30-Day Yield | Taxable- Equivalent Yield1 | ||||||||||
Class A Shares2 | 4.04% | 2.84% | 4.35% | |||||||||
Class B Shares | 3.50% | 2.20% | 3.37% | |||||||||
Class C Shares | 3.68% | 2.42% | 3.71% | |||||||||
Class I Shares | 4.39% | 3.16% | 4.84% | |||||||||
| 1 | The Taxable-Equivalent Yield is based on the Fund’s SEC 30-Day Yield on the indicated date and a combined federal and state income tax rate of 34.7%. |
| 2 | The SEC Yield for Class A shares quoted in the table reflects the maximum sales load. Investors paying a reduced load because of volume discounts, investors paying no load because they qualify for one of the several exclusions from the load, and existing shareholders who previously paid a load but would like to know the SEC Yield applicable to their shares on a going-forward basis, should understand that the SEC Yield effectively applicable to them would be higher than the figure quoted in the table. |
| 14 | Nuveen Investments |
Holding Summaries as of August 31, 2012
This data relates to the securities held in each Fund’s portfolio of investments. It should not be construed as a measure of performance for the Fund itself.
Ratings shown 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. 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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
Nuveen California High Yield Municipal Bond Fund
Bond Credit Quality1
Nuveen California Municipal Bond Fund
Bond Credit Quality2
| Portfolio Composition1 | ||||
| Tax Obligation/Limited | 50.8% | |||
| Health Care | 11.0% | |||
| Education and Civic Organizations | 9.2% | |||
| Transportation | 6.2% | |||
| Housing/Multifamily | 5.5% | |||
| Consumer Staples | 4.3% | |||
| Other | 13.0% | |||
| Portfolio Composition2 | ||||
| Tax Obligation/Limited | 35.0% | |||
Tax Obligation/General | 20.5% | |||
Health Care | 14.5% | |||
Water and Sewer | 5.6% | |||
Education and Civic Organizations | 5.0% | |||
U.S. Guaranteed | 3.9% | |||
Utilities | 3.7% | |||
| Other | 11.8% | |||
| 1 | As a percentage of total investments (excluding investments in derivatives) as of August 31, 2012. Holdings are subject to change. |
| 2 | As a percentage of total investments as of August 31, 2012. Holdings are subject to change. |
| Nuveen Investments | 15 |
As a shareholder of one or more of the Funds, you incur two types of costs: (1) transaction costs, including up-front and back-end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. The Examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples below are based on an investment of $1,000 invested at the beginning of the period and held for the period.
The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.
The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transaction costs were included, your costs would have been higher.
Nuveen California High Yield Municipal Bond Fund
| Hypothetical Performance | ||||||||||||||||||||||||||
| Actual Performance | (5% annualized return before expenses) | |||||||||||||||||||||||||
| A Shares | C Shares | I Shares | A Shares | C Shares | I Shares | |||||||||||||||||||||
| Beginning Account Value (3/01/12) | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||||||||
| Ending Account Value (8/31/12) | $ | 1,084.80 | $ | 1,080.80 | $ | 1,080.60 | $ | 1,020.82 | $ | 1,018.05 | $ | 1,021.83 | ||||||||||||||
| Expenses Incurred During Period | $ | 4.57 | $ | 7.45 | $ | 3.52 | $ | 4.43 | $ | 7.22 | $ | 3.41 | ||||||||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .87%, 1.42% and .67% for Classes A, C and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Nuveen California Municipal Bond Fund
| Hypothetical Performance | ||||||||||||||||||||||||||||||||||
| Actual Performance | (5% annualized return before expenses) | |||||||||||||||||||||||||||||||||
| A Shares | B Shares | C Shares | I Shares | A Shares | B Shares | C Shares | I Shares | |||||||||||||||||||||||||||
| Beginning Account Value (3/01/12) | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||||||||||||
| Ending Account Value (8/31/12) | $ | 1,048.20 | $ | 1,044.50 | $ | 1,045.50 | $ | 1,049.20 | $ | 1,021.07 | $ | 1,017.39 | $ | 1,018.25 | $ | 1,022.13 | ||||||||||||||||||
| Expenses Incurred During Period | $ | 4.23 | $ | 7.99 | $ | 7.11 | $ | 3.15 | $ | 4.18 | $ | 7.88 | $ | 7.02 | $ | 3.11 | ||||||||||||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .82%, 1.55%, 1.38% and .61% for Classes A, B, C and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
| 16 | Nuveen Investments |
Portfolio of Investments (Unaudited)
Nuveen California High Yield Municipal Bond Fund
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Consumer Discretionary – 0.9% | ||||||||||||||||||
| $ | 275 | Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, Third Tier Series 2001C, 9.750%, 1/01/26 | 1/13 at 100.00 | N/R | $ | 279,128 | ||||||||||||
| 1,000 | Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel Revenue Bonds, Series 2005A-2, 5.500%, 1/01/36 – ACA Insured | 1/16 at 100.00 | CCC | 645,510 | ||||||||||||||
| 1,000 | Louisiana Local Government Environmental Facilities and Community Development Authority, Revenue Bonds, Southgate Suites Hotel LLC Project, Series 2007A, 6.750%, 12/15/37 (5) | 12/17 at 100.00 | N/R | 455,720 | ||||||||||||||
| 500 | Morongo Band of Mission Indians, California, Enterprise Revenue Bonds, Series 2008B, 6.500%, 3/01/28 | 3/18 at 100.00 | N/R | 534,565 | ||||||||||||||
| 260 | Norfolk Economic Development Authority, Virginia, Empowerment Zone Facility Revenue Bonds, BBL Old Dominion University LLC Project Revenue Bonds, Series 2006B, 5.625%, 11/01/15 (Alternative Minimum Tax) | No Opt. Call | N/R | 240,773 | ||||||||||||||
| 3,035 | Total Consumer Discretionary | 2,155,696 | ||||||||||||||||
Consumer Staples – 4.2% | ||||||||||||||||||
| 1,000 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Golden Gate Tobacco Funding Corporation, Turbo, Series 2007A, 5.000%, 6/01/47 | 6/17 at 100.00 | BB | 764,840 | ||||||||||||||
| 50 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005, 5.250%, 6/01/45 | 6/15 at 100.00 | B– | 41,159 | ||||||||||||||
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-1: | ||||||||||||||||||
| 1,000 | 4.500%, 6/01/27 | 6/17 at 100.00 | BB– | 865,320 | ||||||||||||||
| 2,750 | 5.000%, 6/01/33 | 6/17 at 100.00 | BB– | 2,255,000 | ||||||||||||||
| 1,845 | 5.750%, 6/01/47 | 6/17 at 100.00 | BB– | 1,571,257 | ||||||||||||||
| 1,305 | 5.125%, 6/01/47 | 6/17 at 100.00 | BB– | 1,006,468 | ||||||||||||||
| 1,000 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-2, 0.000%, 6/01/37 | 6/22 at 100.00 | BB– | 794,330 | ||||||||||||||
Tobacco Securitization Authority of Southern California, Tobacco Settlement Asset-Backed Bonds, San Diego County Tobacco Asset Securitization Corporation, Senior Series 2001A: | ||||||||||||||||||
| 1,000 | 5.000%, 6/01/37 | 6/14 at 100.00 | BB+ | 815,990 | ||||||||||||||
| 2,000 | 5.125%, 6/01/46 | 6/14 at 100.00 | B+ | 1,580,480 | ||||||||||||||
| 11,950 | Total Consumer Staples | 9,694,844 | ||||||||||||||||
Education and Civic Organizations – 9.1% | ||||||||||||||||||
| 2,000 | California Educational Facilities Authority, Revenue Bonds, California College of the Arts, Series 2005, 5.000%, 6/01/35 | 6/15 at 100.00 | BBB– | 2,022,360 | ||||||||||||||
| 1,065 | California Educational Facilities Authority, Revenue Bonds, Dominican University, Series 2006, 5.000%, 12/01/36 | 12/16 at 100.00 | Baa3 | 1,080,794 | ||||||||||||||
| 75 | California Educational Facilities Authority, Revenue Bonds, University of Redlands, Series 2005A, 5.000%, 10/01/35 | 10/15 at 100.00 | A3 | 78,315 | ||||||||||||||
| 1,250 | California Educational Facilities Authority, Revenue Bonds, University of Southern California, Tender Option Bond Trust 3144, 18.193%, 10/01/16 (IF) | No Opt. Call | Aa1 | 1,980,400 | ||||||||||||||
| 100 | California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Series 2006, 5.000%, 11/01/36 | 11/15 at 100.00 | A2 | 104,409 | ||||||||||||||
California Educational Facilities Authority, Revenue Bonds, Woodbury University, Series 2006: | ||||||||||||||||||
| 1,165 | 5.000%, 1/01/30 | 1/15 at 100.00 | Baa3 | 1,172,817 | ||||||||||||||
| 500 | 5.000%, 1/01/36 | 1/15 at 100.00 | Baa3 | 501,165 | ||||||||||||||
| 1,000 | California Municipal Finance Authority, Education Revenue Bonds, American Heritage Education Foundation Project, Series 2006A, 5.250%, 6/01/36 | 6/16 at 100.00 | BB+ | 929,470 | ||||||||||||||
| Nuveen Investments | 17 |
Portfolio of Investments (Unaudited)
Nuveen California High Yield Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Education and Civic Organizations (continued) | ||||||||||||||||||
| $ | 1,335 | California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A, 7.000%, 10/01/39 | 10/18 at 100.00 | N/R | $ | 1,361,300 | ||||||||||||
| 300 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2012A, 6.625%, 1/01/32 | 1/22 at 100.00 | N/R | 309,243 | ||||||||||||||
| 1,500 | California Municipal Finance Authority, Revenue Refunding Bonds, Biola University, Series 2008A, 5.875%, 10/01/34 | 4/18 at 100.00 | Baa1 | 1,621,515 | ||||||||||||||
| 750 | California Statewide Communities Development Authority, School Facility Revenue Bonds, Alliance College-Ready Public Schools, Series 2011A, 7.000%, 7/01/46 | 7/21 at 100.00 | BBB | 823,950 | ||||||||||||||
| 1,000 | California Statewide Communitities Development Authority, Charter School Revenue Bonds, Rocketship 4 – Mosaic Elementary Charter School, Series 2011A, 8.500%, 12/01/41 | 12/21 at 100.00 | N/R | 1,089,330 | ||||||||||||||
| 815 | California Statewide Community Development Authority, Charter School Revenue Bonds, Rocklin Academy Charter, Series 2011A, 8.250%, 6/01/41 | 6/21 at 100.00 | BB+ | 951,007 | ||||||||||||||
| 500 | California Statewide Community Development Authority, Revenue Bonds, California Baptist University, Series 2007A, 5.500%, 11/01/38 | 11/17 at 102.00 | N/R | 519,750 | ||||||||||||||
| 2,135 | California Statewide Community Development Authority, Revenue Bonds, Drew School, Series 2007, 5.300%, 10/01/37 | 10/15 at 102.00 | N/R | 2,170,996 | ||||||||||||||
| 200 | California Statewide Community Development Authority, Revenue Bonds, International School of the Peninsula, Palo Alto, California, Series 2006, 5.000%, 11/01/29 | 11/16 at 100.00 | N/R | 197,266 | ||||||||||||||
| 395 | California Statewide Community Development Authority, Revenue Bonds, Montessori in Redlands School, Series 2007A, 5.125%, 12/01/36 | 12/16 at 100.00 | N/R | 342,054 | ||||||||||||||
| 200 | Hawaii Department of Budget and Finance, Private School Revenue Bonds, Montessori of Maui, Series 2007, 5.500%, 1/01/37 | 2/17 at 100.00 | N/R | 189,224 | ||||||||||||||
| 600 | La Vernia Education Financing Corporation, Texas, Charter School Revenue Bonds, Riverwalk Education Foundation, Series 2007A, 5.450%, 8/15/36 | 2/13 at 100.00 | N/R | 538,026 | ||||||||||||||
| 2,000 | Los Alamitos Unified School District, Orange County, California, Certificates of Participation, Series 2012, 0.000%, 8/01/42 | 8/29 at 100.00 | A+ | 1,183,860 | ||||||||||||||
| 100 | Pima County Industrial Development Authority, Arizona, Choice Education and Development Charter School Revenue Bonds, Series 2006, 6.375%, 6/01/36 | 6/16 at 100.00 | N/R | 101,448 | ||||||||||||||
| 65 | Pima County Industrial Development Authority, Arizona, Educational Revenue Bonds, Paradise Education Center Charter School, Series 2006, 6.000%, 6/01/36 | 6/16 at 100.00 | BBB– | 65,665 | ||||||||||||||
| 385 | Pingree Grove Village, Illinois, Charter School Revenue Bonds, Cambridge Lakes Learning Center, Series 2007, 6.000%, 6/01/36 | 6/16 at 102.00 | N/R | 343,940 | ||||||||||||||
| 1,060 | San Diego County, California, Certificates of Participation, Burnham Institute, Series 2006, 5.000%, 9/01/34 | 9/15 at 102.00 | Baa3 | 1,079,695 | ||||||||||||||
| 20,495 | Total Education and Civic Organizations | 20,757,999 | ||||||||||||||||
Health Care – 10.9% | ||||||||||||||||||
| 50 | California Health Facilities Financing Authority, Health Facility Revenue Bonds, Adventist Health System/West, Series 2003A, 5.000%, 3/01/33 | 3/13 at 100.00 | A | 50,291 | ||||||||||||||
| 1,220 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children’s Hospital, Series 2012A, 5.000%, 8/15/51 (UB) (7) | 8/22 at 100.00 | AA | 1,324,054 | ||||||||||||||
| 695 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children’s Hospital, Tender Option Bond Trust 4726, 17.670%, 8/15/51 (IF) | 8/22 at 100.00 | AA | 932,106 | ||||||||||||||
| 1,000 | California Municipal Financing Authority, Certificates of Participation, Community Hospitals of Central California, Series 2007, 5.250%, 2/01/27 | 2/17 at 100.00 | BBB | 1,044,100 | ||||||||||||||
| 1,500 | California Statewide Communities Development Authority, Revenue Bonds, ValleyCare Health System, Series 2007A, 5.125%, 7/15/31 | 7/17 at 100.00 | N/R | 1,544,370 | ||||||||||||||
| 18 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Health Care (continued) | ||||||||||||||||||
| $ | 490 | California Statewide Community Development Authority, Health Facility Revenue Bonds, Catholic Healthcare West, Series 2008A, 5.500%, 7/01/30 | 7/17 at 100.00 | A+ | $ | 543,435 | ||||||||||||
California Statewide Community Development Authority, Revenue Bonds, Childrens Hospital of Los Angeles, Series 2007: | ||||||||||||||||||
| 250 | 5.000%, 8/15/39 – NPFG Insured | 8/17 at 100.00 | BBB | 256,105 | ||||||||||||||
| 2,500 | 5.000%, 8/15/47 | 8/17 at 100.00 | BBB+ | 2,549,475 | ||||||||||||||
California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A: | ||||||||||||||||||
| 1,000 | 5.250%, 7/01/24 | 7/15 at 100.00 | BBB | 1,054,370 | ||||||||||||||
| 750 | 5.250%, 7/01/30 | 7/15 at 100.00 | BBB | 783,938 | ||||||||||||||
| 515 | 5.250%, 7/01/35 | 7/15 at 100.00 | BBB | 537,315 | ||||||||||||||
| 495 | 5.000%, 7/01/39 | 7/15 at 100.00 | BBB | 510,182 | ||||||||||||||
| 1,000 | California Statewide Community Development Authority, Revenue Bonds, Kaiser Permanente System, Tender Option Bond Trust 1065, 17.267%, 4/01/42 (IF) (7) | 4/22 at 100.00 | A+ | 1,370,100 | ||||||||||||||
| 715 | California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender Option Bond Trust 3048, 18.232%, 11/15/32 (IF) | 5/18 at 100.00 | AA– | 927,441 | ||||||||||||||
| 1,285 | California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender Option Bond Trust 3102, 18.442%, 11/15/48 (IF) (7) | 5/18 at 100.00 | AA– | 1,666,799 | ||||||||||||||
| 1,000 | California Statewide Communities Development Authority, Revenue Bonds, Saint Joseph Health System, Trust 2554, 18.234%, 7/01/47 – AGM Insured (IF) | 7/18 at 100.00 | AA– | 1,361,400 | ||||||||||||||
| 1,490 | Loma Linda, California, Hospital Revenue Bonds, Loma Linda University Medical Center, Series 2008A, 8.250%, 12/01/38 | 12/17 at 100.00 | BBB | 1,744,343 | ||||||||||||||
| 1,060 | Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35 | 11/20 at 100.00 | BB+ | 1,143,125 | ||||||||||||||
| 500 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2009, 6.750%, 11/01/39 | 11/19 at 100.00 | Baa3 | 562,525 | ||||||||||||||
| 500 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010, 6.000%, 11/01/41 | 11/20 at 100.00 | Baa3 | 536,440 | ||||||||||||||
San Buenaventura, California, Revenue Bonds, Community Memorial Health System, Series 2011: | ||||||||||||||||||
| 1,000 | 8.000%, 12/01/26 | 12/21 at 100.00 | BB | 1,285,140 | ||||||||||||||
| 500 | 7.500%, 12/01/41 | 12/21 at 100.00 | BB | 607,350 | ||||||||||||||
| 2,500 | Tulare Local Health Care District, California, Revenue Bonds, Series 2007, 5.200%, 11/01/32 | 11/17 at 100.00 | BB+ | 2,462,975 | ||||||||||||||
| 60 | Weatherford Hospital Authority, Oklahoma, Sales Tax Revenue Bonds, Series 2006, 6.000%, 5/01/31 | 5/16 at 103.00 | N/R | 59,861 | ||||||||||||||
| 22,075 | Total Health Care | 24,857,240 | ||||||||||||||||
Housing/Multifamily – 5.4% | ||||||||||||||||||
| 1,400 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010B, 7.250%, 8/15/45 | 8/20 at 100.00 | N/R | 1,471,890 | ||||||||||||||
| 295 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2012A, 5.500%, 8/15/47 | 8/22 at 100.00 | BBB | 310,470 | ||||||||||||||
| 480 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2012B, 7.250%, 8/15/47 | 8/22 at 100.00 | A1 | 500,885 | ||||||||||||||
| 400 | California Municipal Finance Authority, Revenue Bonds, University Students Coop Association, Series 2007, 4.750%, 4/01/27 | 4/17 at 100.00 | BBB– | 406,904 | ||||||||||||||
| 120 | California Statewide Communities Development Authority, Multifamily Housing Revenue Subordinate Bonds Stanford Arms Seniors Apartments Series 2001-P2, Pass-Through Certificates of Beneficial Ownership, 5.750%, 11/01/34 (Mandatory put 11/01/16) (Alternative Minimum Tax) | 12/12 at 100.00 | N/R | 120,168 | ||||||||||||||
| Nuveen Investments | 19 |
Portfolio of Investments (Unaudited)
Nuveen California High Yield Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Housing/Multifamily (continued) | ||||||||||||||||||
| $ | 1,000 | California Statewide Community Development Authority, Lancer Educational Student Housing Revenue Bonds, California Baptist University, Series 2007, 5.625%, 6/01/33 | 6/17 at 102.00 | N/R | $ | 1,034,770 | ||||||||||||
| 350 | California Statewide Community Development Authority, Multifamily Housing Revenue Bonds, Magnolia City Lights, Series 1999X, 6.650%, 7/01/39 | 11/12 at 100.00 | N/R | 350,109 | ||||||||||||||
| 740 | Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Augusta Communities Mobile Home Park, Series 2012A, 5.000%, 5/15/39 | 5/22 at 100.00 | A– | 765,841 | ||||||||||||||
| 1,000 | Independent Cities Lease Finance Authority, California, Mobile Home Park Revenue Bonds, San Juan Mobile Estates Project, Series 2006A, 5.125%, 5/15/41 | 5/16 at 100.00 | BBB+ | 1,018,990 | ||||||||||||||
| 1,250 | Richmond, California, Joint Powers Financing Agency Multifamily Housing Revenue Bonds, Westridge Hilltop Apartments, Series 2007, 5.000%, 12/15/33 | 12/12 at 100.00 | Ba1 | 1,170,575 | ||||||||||||||
| 4,037 | San Jose, California, Multifamily Housing Revenue Bonds, Almaden Family Apartments Project, Series 2007B, 4.720%, 11/15/37 (Alternative Minimum Tax) | No Opt. Call | N/R | 3,799,367 | ||||||||||||||
| 495 | Santa Clara County Housing Authority, California, Multifamily Housing Revenue Bonds, Blossom River Project, Series 1998A, 6.500%, 9/01/39 | 11/12 at 100.00 | N/R | 494,985 | ||||||||||||||
| 720 | Ventura County Area Housing Authority, California, Mira Vista Senior Apartments Project, Junior Subordinate Series 2006C, 6.500%, 12/01/39 (Mandatory put 7/01/16) (Alternative Minimum Tax) | No Opt. Call | N/R | 701,503 | ||||||||||||||
| 485 | Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds, Rutland Place, Series 2007A, 6.300%, 7/01/37 | 7/17 at 100.00 | N/R | 299,837 | ||||||||||||||
| 12,772 | Total Housing/Multifamily | 12,446,294 | ||||||||||||||||
Housing/Single Family – 0.4% | ||||||||||||||||||
| 500 | California Housing Finance Agency, California, Home Mortgage Revenue Bonds, Series 2007E, 4.800%, 8/01/37 (Alternative Minimum Tax) | 2/17 at 100.00 | BBB | 463,990 | ||||||||||||||
| 600 | California Housing Finance Agency, Home Mortgage Revenue Bonds, Tender Option Bond Trust 3206, 7.876%, 8/01/25 (Alternative Minimum Tax) (IF) | 2/16 at 100.00 | BBB | 515,352 | ||||||||||||||
| 1,100 | Total Housing/Single Family | 979,342 | ||||||||||||||||
Industrials – 0.1% | ||||||||||||||||||
| 65 | California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2002A, 5.000%, 1/01/22 (Alternative Minimum Tax) | 1/16 at 102.00 | BBB | 71,250 | ||||||||||||||
| 1,000 | California Statewide Communities Development Authority, Revenue Bonds, EnerTech Regional Biosolids Project, Series 2007A, 5.500%, 12/01/33 (Alternative Minimum Tax) (5) | No Opt. Call | D | 79,700 | ||||||||||||||
| 250 | Kootenai County Industrial Development Corporation, Idaho, Industrial Development Revenue Bonds, Coer d’Alene Fiber Fuels, Inc., Series 2006, 6.750%, 12/01/26 (6), (8) | 12/16 at 100.00 | N/R | 11,865 | ||||||||||||||
| 750 | Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc., Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) (5) | 7/17 at 102.00 | N/R | 105,120 | ||||||||||||||
| 2,065 | Total Industrials | 267,935 | ||||||||||||||||
Long-Term Care – 2.4% | ||||||||||||||||||
California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series 2009: | ||||||||||||||||||
| 500 | 8.000%, 11/01/29 | 11/19 at 100.00 | Baa1 | 598,690 | ||||||||||||||
| 1,040 | 8.500%, 11/01/39 | 11/19 at 100.00 | AA | 1,256,185 | ||||||||||||||
| 520 | California Statewide Communities Development Authority, Revenue Bonds, American Baptist Homes of the West, Series 2010, 6.250%, 10/01/39 | 10/19 at 100.00 | BBB+ | 565,614 | ||||||||||||||
| 20 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Long-Term Care (continued) | ||||||||||||||||||
| $ | 1,000 | California Statewide Community Development Authority, Revenue Bonds, Hollenbeck Palms, Magnolia Assisted Living, Series 2007A, 4.600%, 2/01/37 – RAAI Insured (Alternative Minimum Tax) | 2/17 at 100.00 | N/R | $ | 924,020 | ||||||||||||
| 1,000 | Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, Elderly Care, Lenbrook Square Project, Series 2006A, 5.125%, 7/01/37 | 7/17 at 100.00 | N/R | 960,970 | ||||||||||||||
| 50 | Louisiana Local Government Environmental Facilities and Community Development Authority, Revenue Bonds, CDF Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36 | 6/16 at 101.00 | N/R | 50,940 | ||||||||||||||
| 1,000 | Wisconsin Public Finance Authority, Revenue Bonds, SearStone Retirement Community of Cary North Carolina, Series 2012A, 8.625%, 6/01/47 | 6/22 at 100.00 | N/R | 1,054,010 | ||||||||||||||
| 5,110 | Total Long-Term Care | �� | 5,410,429 | |||||||||||||||
Tax Obligation/General – 2.2% | ||||||||||||||||||
Bakersfield City School District, Kern County, California, General Obligation Bonds, Series 2012C: | ||||||||||||||||||
| 1,100 | 0.000%, 5/01/37 | No Opt. Call | Aa2 | 369,105 | ||||||||||||||
| 5,250 | 0.000%, 5/01/42 | 5/40 at 100.00 | Aa2 | 1,763,528 | ||||||||||||||
| 385 | Bessemer, Alabama, General Obligation Warrants, Series 2007, 6.500%, 2/01/37 | 2/17 at 102.00 | N/R | 352,221 | ||||||||||||||
| 1,000 | Guam Government, General Obligation Bonds, 2009 Series A, 7.000%, 11/15/39 | 11/19 at 100.00 | B+ | 1,130,960 | ||||||||||||||
| 500 | Guam, General Obligation Bonds, Series 2007A, 5.250%, 11/15/37 | 11/17 at 100.00 | B+ | 508,490 | ||||||||||||||
| 250 | Palomar Pomerado Health, California, General Obligation Bonds, Tender Option Bond Trust 4683, 17.458%, 8/01/37 – NPFG Insured (IF) (7) | 8/17 at 100.00 | A+ | 325,360 | ||||||||||||||
| 500 | Stockton Unified School District, San Joaquin County, California, General Obligation Bonds, Series 2006, 4.550%, 9/01/30 – FGIC Insured | 9/15 at 100.00 | A | 508,790 | ||||||||||||||
| 8,985 | Total Tax Obligation/General | 4,958,454 | ||||||||||||||||
Tax Obligation/Limited – 50.2% | ||||||||||||||||||
| 4,305 | Anaheim Public Finance Authority, California, Subordinate Lease Revenue Bonds, Public Improvement Project, Series 1997C, 0.000%, 9/01/35 – AGM Insured | No Opt. Call | AA– | 1,323,357 | ||||||||||||||
| 1,000 | Azusa Redevelopment Agency, California, Tax Allocation Refunding Bonds, Merged West End Development, Series 2007B, 5.300%, 8/01/36 | 8/17 at 100.00 | N/R | 898,110 | ||||||||||||||
| 695 | Azusa, California, Special Tax Bonds, Community Facilities District 2005-1 Rosedale Improvement Area 1, Series 2007, 5.000%, 9/01/27 | 9/17 at 100.00 | N/R | 673,608 | ||||||||||||||
| 1,000 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 20 Series 2012B, 5.950%, 9/01/35 | 9/22 at 100.00 | N/R | 1,034,260 | ||||||||||||||
| 1,000 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 8C, Series 2007E, 6.250%, 9/01/38 | 11/12 at 100.00 | N/R | 1,010,610 | ||||||||||||||
Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 8D & 17B, Series 2009B: | ||||||||||||||||||
| 60 | 8.875%, 9/01/34 | 9/15 at 100.00 | N/R | 61,960 | ||||||||||||||
| 125 | 8.625%, 9/01/39 | 9/16 at 100.00 | N/R | 129,046 | ||||||||||||||
| 300 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Series 2006B, 5.050%, 9/01/37 | 9/13 at 100.50 | N/R | 285,687 | ||||||||||||||
| 1,000 | Borrego Water District, California, Community Facilities District 2007-1 Montesoro, Special Tax Bonds, Series 2007, 5.750%, 8/01/32 (5) | 8/17 at 102.00 | N/R | 270,090 | ||||||||||||||
| 1,000 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2012A, 5.000%, 4/01/37 | 4/22 at 100.00 | A2 | 1,085,970 | ||||||||||||||
| 1,000 | California Statewide Communities Development Authority, Recovery Zone Facility Bonds, SunEdison Huntington Beach Solar Projects, Series 2010, 7.500%, 1/01/31 | 1/21 at 100.00 | N/R | 1,079,240 | ||||||||||||||
| Nuveen Investments | 21 |
Portfolio of Investments (Unaudited)
Nuveen California High Yield Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 1,415 | California Statewide Communities Development Authority, Recovery Zone Facility Bonds, SunEdison Irvine Unified School District Solar Projects, Series 2010, 7.500%, 7/01/30 | 1/20 at 100.00 | N/R | $ | 1,516,399 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2011A, 8.000%, 9/02/41 | 9/21 at 100.00 | N/R | 1,067,330 | ||||||||||||||
| 250 | California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series 2004A, 7.750%, 3/01/34 | 3/14 at 102.00 | N/R | 261,460 | ||||||||||||||
Chino Public Financing Authority, California, Revenue Refunding Bonds, Series 2012: | ||||||||||||||||||
| 1,160 | 5.000%, 9/01/34 | 9/22 at 100.00 | N/R | 1,183,803 | ||||||||||||||
| 315 | 5.000%, 9/01/38 | 9/22 at 100.00 | N/R | 318,960 | ||||||||||||||
| 1,000 | Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Housing Second Lien Series 2010A, 5.500%, 8/01/30 | 8/20 at 100.00 | BBB– | 993,200 | ||||||||||||||
| 990 | Davis Redevelopment Agency, California, Tax Allocation Bonds, Davis Redevelopment Project, Subordinate Series 2011A, 7.000%, 12/01/36 | 12/21 at 100.00 | A+ | 1,200,157 | ||||||||||||||
| 1,610 | Desert Hot Springs Redevelopment Agency, California, Merged Redevelopment Project Tax Allocation Bonds, Series 2008A-2, 5.000%, 9/01/23 | 9/18 at 100.00 | B | 1,247,154 | ||||||||||||||
| 85 | Eastern Municipal Water District, California, Special Tax Bonds, Community Facility District 2005-38 Improvement Area A, Series 2006, 5.200%, 9/01/36 | 3/13 at 102.00 | N/R | 86,163 | ||||||||||||||
| 950 | El Dorado County, California, Special Tax Bonds, Blackstone Community Facilities District 2005-1, Series 2005, 5.250%, 9/01/35 | 9/14 at 102.00 | N/R | 890,967 | ||||||||||||||
| 250 | El Dorado County, California, Special Tax Bonds, Community Facilities District 2005-2, Series 2006, 5.100%, 9/01/36 | 9/14 at 102.00 | N/R | 247,270 | ||||||||||||||
Elk Grove Community Facilities District 2005-1, California, Special Tax Bonds, Series 2007: | ||||||||||||||||||
| 80 | 5.000%, 9/01/18 | 9/17 at 100.00 | N/R | 77,070 | ||||||||||||||
| 10 | 5.000%, 9/01/20 | 9/17 at 100.00 | N/R | 9,291 | ||||||||||||||
| 50 | 5.125%, 9/01/22 | 3/13 at 103.00 | N/R | 45,603 | ||||||||||||||
| 980 | 5.200%, 9/01/27 | 9/15 at 102.00 | N/R | 805,119 | ||||||||||||||
| 1,200 | 5.250%, 9/01/37 | 9/15 at 102.00 | N/R | 959,676 | ||||||||||||||
| 500 | Fairfield, California, Community Facilities District 2007-1 Special Tax Bonds, Fairfield Commons Project, Series 2008, 6.875%, 9/01/38 | 9/18 at 100.00 | N/R | 525,105 | ||||||||||||||
| 710 | Fillmore Redevelopment Agency, Ventura County, California, Central City Redevelopment Project, Subordinate Lien Tax Allocation Bonds, Series 2006A, 5.375%, 5/01/31 | 11/16 at 100.00 | N/R | 509,631 | ||||||||||||||
| 500 | Folsom Public Financing Authority, California, Subordinate Special Tax Revenue Bonds, Series 2007B, 5.200%, 9/01/32 | 9/17 at 100.00 | N/R | 505,700 | ||||||||||||||
| 1,000 | Fontana, California, Special Tax Bonds, Community Facilities District 31 Citrus Heights North, Series 2006, 5.000%, 9/01/36 | 9/14 at 102.00 | N/R | 954,300 | ||||||||||||||
Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Revenue Bonds, Tender Option Bond Trust 1011: | ||||||||||||||||||
| 500 | 17.091%, 6/01/29 – AMBAC Insured (IF) (7) | 11/12 at 100.00 | A2 | 502,140 | ||||||||||||||
| 750 | 17.091%, 6/01/45 (IF) (7) | 6/15 at 100.00 | A2 | 812,700 | ||||||||||||||
| 1,000 | 17.070%, 6/01/45 – AMBAC Insured (IF) (7) | 6/15 at 100.00 | A2 | 1,083,490 | ||||||||||||||
| 1,000 | Hawthorne Community Redevelopment Agency, California, Project Area 2 Tax Allocation Bonds, Series 2006, 5.000%, 9/01/26 – SYNCORA GTY Insured | 9/16 at 100.00 | A– | 1,031,700 | ||||||||||||||
| 1,000 | Hawthorne, California, Special Tax Bonds, Community Facilities District 2006-1, Three Sixty Degrees @ South Bay, Series 2006, 5.000%, 9/01/36 | 9/16 at 102.00 | N/R | 928,790 | ||||||||||||||
| 1,000 | Hemet Unified School District Community Facilities District 2005-3, Riverside County, California, Special Tax Bonds, Series 2007, 5.750%, 9/01/39 | 9/13 at 100.50 | N/R | 989,190 | ||||||||||||||
| 22 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 200 | Hemet Unified School District, California, Community Facilities District 2005-1 Special Tax Bonds, Series 2006, 5.125%, 9/01/36 | 9/13 at 100.00 | N/R | $ | 200,588 | ||||||||||||
Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2005: | ||||||||||||||||||
| 1,000 | 5.000%, 8/01/25 – AMBAC Insured | 8/15 at 100.00 | CC | 705,710 | ||||||||||||||
| 500 | 4.750%, 8/01/35 – AMBAC Insured | 8/15 at 100.00 | CC | 321,845 | ||||||||||||||
Hesperia Public Financing Authority, California, Redevelopment and Housing Projects Tax Allocation Bonds, Series 2007A: | ||||||||||||||||||
| 500 | 5.500%, 9/01/17 – SYNCORA GTY Insured | No Opt. Call | Ba1 | 520,805 | ||||||||||||||
| 1,250 | 5.500%, 9/01/22 – SYNCORA GTY Insured | 9/17 at 100.00 | Ba1 | 1,241,475 | ||||||||||||||
| 1,250 | 5.000%, 9/01/37 – SYNCORA GTY Insured | 9/17 at 100.00 | Ba1 | 1,056,450 | ||||||||||||||
| 295 | Hesperia Unified School District, San Bernardino County, California, Community Facilities District 2006-5 Special Tax Bonds, Series 2007, 5.000%, 9/01/37 | 9/17 at 100.00 | N/R | 282,817 | ||||||||||||||
| 240 | Hesperia, California, Improvement Act of 1915, Assessment District, 91-1, Joshua West Main Street, Series 1992, 8.500%, 9/02/24 | 3/13 at 103.00 | N/R | 249,648 | ||||||||||||||
| 870 | Imperial, California, Community Facilities District 2006-2 Savanna Ranch Special Tax Bonds, Improvement Area 1, Series 2006, 5.000%, 9/01/26 | 9/14 at 102.00 | N/R | 881,319 | ||||||||||||||
| 150 | Indio, California, Special Tax Bonds, Community Facilities District 2006-1 Sonora Wells, Series 2006, 5.050%, 9/01/26 | 9/16 at 100.00 | N/R | 150,000 | ||||||||||||||
| 120 | Irvine, California, Unified School District, Community Facilities District Special Tax Bonds, Series 2006A, 5.125%, 9/01/36 | 9/16 at 100.00 | N/R | 122,190 | ||||||||||||||
| 1,000 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 23 Eastvale, Series 2012A, 5.000%, 9/01/42 | 3/13 at 103.00 | N/R | 1,010,980 | ||||||||||||||
| 1,115 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 25 Eastvale Area, Series 2008A, 8.375%, 9/01/28 | 9/18 at 100.00 | N/R | 1,302,030 | ||||||||||||||
| 500 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 34 Eastvale Area , Series 2010A, 6.500%, 9/01/40 | 9/20 at 100.00 | N/R | 517,965 | ||||||||||||||
| 500 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 38 Eastvale Improvement Area 2, Series 2010A, 6.375%, 9/01/40 | 3/13 at 103.00 | N/R | 518,065 | ||||||||||||||
| 750 | Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area C, Series 2010A, 6.250%, 9/01/40 | 9/18 at 100.00 | N/R | 772,785 | ||||||||||||||
| 1,000 | Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2004-3, Rosetta Canyon Improvement Area 2, Series 2006, 5.250%, 9/01/37 | 9/14 at 100.00 | N/R | 1,009,810 | ||||||||||||||
| 815 | Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2005-1, Series 2006A, 5.350%, 9/01/36 | 9/14 at 100.00 | N/R | 838,260 | ||||||||||||||
| 1,500 | Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2005-2 Improvement Area A, Series 2005A, 5.450%, 9/01/36 | 9/14 at 100.00 | N/R | 1,495,230 | ||||||||||||||
| 2,000 | Lammersville School District, California, Special Tax Refunding Bonds, Community Facilities District 2002 Mountain House, Series 2012, 0.000%, 9/01/32 | 9/22 at 100.00 | N/R | 1,741,500 | ||||||||||||||
| 1,335 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 | 8/19 at 100.00 | BBB+ | 1,520,245 | ||||||||||||||
Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Subordinate Refunding Series 2003: | ||||||||||||||||||
| 500 | 4.750%, 8/01/27 – NPFG Insured | 8/15 at 102.00 | BBB+ | 500,200 | ||||||||||||||
| 1,000 | 4.750%, 8/01/33 – NPFG Insured | 8/15 at 102.00 | BBB+ | 951,560 | ||||||||||||||
| 1,000 | Los Angeles Community Redevelopment Agency, California, Subordinate Lien Tax Allocation Bonds, Bunker Hill Redevelopment Project, Series 2004L, 5.000%, 3/01/18 | 3/13 at 100.00 | BBB– | 1,006,980 | ||||||||||||||
| Nuveen Investments | 23 |
Portfolio of Investments (Unaudited)
Nuveen California High Yield Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 250 | Los Banos Redevelopment Agency, California, Tax Allocation Bonds, Los Banos Redevelopment Project, Series 2006, 5.000%, 9/01/36 – RAAI Insured | 9/16 at 100.00 | BBB | $ | 251,078 | ||||||||||||
| 1,275 | Lynwood Redevelopment Agency, California, Project A Revenue Bonds, Subordinate Lien Series 2011A, 7.250%, 9/01/38 | 9/21 at 100.00 | A– | 1,521,713 | ||||||||||||||
March Joint Powers Redevelopment Agency, California, March Air Force Base Redevelopment Project Tax Allocation Revenue Bonds, Series 2011A: | ||||||||||||||||||
| 300 | 7.250%, 8/01/31 | 8/21 at 100.00 | BBB+ | 351,603 | ||||||||||||||
| 1,550 | 7.500%, 8/01/41 | 8/21 at 100.00 | BBB+ | 1,814,988 | ||||||||||||||
| 500 | March Joint Powers Redevelopment Agency, California, March Air Force Base Redevelopment Project Tax Allocation Revenue Bonds, Series 2011B, 7.500%, 8/01/41 | 8/21 at 100.00 | BBB+ | 585,480 | ||||||||||||||
| 130 | Merced, California, Community Facilities District 2005-1, Special Tax Bonds, Bellevue Ranch West, Series 2006, 5.300%, 9/01/36 | 9/13 at 103.00 | N/R | 84,452 | ||||||||||||||
| 65 | Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2004-5, Series 2006, 5.200%, 9/01/36 | 3/16 at 100.00 | N/R | 65,579 | ||||||||||||||
| 1,000 | Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2004-6, Series 2005, 5.200%, 9/01/36 | 3/13 at 103.00 | N/R | 1,013,280 | ||||||||||||||
| 1,000 | Moreno Valley, California, Special Tax Bonds, Community Facilities District 5, Series 2007, 5.000%, 9/01/37 | 9/17 at 100.00 | N/R | 965,420 | ||||||||||||||
| 1,000 | Murrieta Public Finance Authority, California, Special Tax Revenue Bonds, Refunding Series 2012, 5.000%, 9/01/31 | 9/22 at 100.00 | BBB– | 1,084,760 | ||||||||||||||
| 125 | Murrieta Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2002-4, Series 2006B, 5.450%, 9/01/38 | 9/16 at 100.00 | N/R | 125,249 | ||||||||||||||
| 330 | Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment Project, Series 2011, 6.750%, 9/01/40 | 9/21 at 100.00 | A– | 380,754 | ||||||||||||||
| 830 | Oakley Public Financing Authority, Contra Costa County, California, Revenue Bonds, Refunding Series 2012, 5.300%, 9/02/34 | 9/22 at 100.00 | BBB– | 866,952 | ||||||||||||||
| 1,000 | Oxnard Financing Authority, California, Local Obligation Revenue Bonds, Special District Bond Refinancings, Subordinate Lien Series 2012B, 5.000%, 9/02/33 | 9/22 at 100.00 | N/R | 973,380 | ||||||||||||||
| 1,000 | Pacifica, California, Certificates of Participation, Series 2008, 5.375%, 1/01/37 – AMBAC Insured | 1/16 at 102.00 | A– | 1,071,190 | ||||||||||||||
| 2,000 | Palm Desert Finance Authority, California, Tax Allocation Revenue Bonds, Project Area 3, Series 2006A, 4.750%, 4/01/36 – NPFG Insured | 4/16 at 100.00 | BBB+ | 2,002,540 | ||||||||||||||
Palm Desert, California, Special Tax Bonds, Community Facilities District 2005-1 University Park, Series 2006: | ||||||||||||||||||
| 350 | 5.300%, 9/01/32 | 3/13 at 103.00 | N/R | 283,500 | ||||||||||||||
| 100 | 5.450%, 9/01/32 | 9/16 at 100.00 | N/R | 86,792 | ||||||||||||||
| 1,500 | 5.500%, 9/01/36 | 9/16 at 100.00 | N/R | 1,266,180 | ||||||||||||||
| 1,600 | Palm Drive Health Care District, Sonoma County, California, Certificates of Participation, Parcel Tax Secured Financing Program, Series 2010, 7.500%, 4/01/35 | 4/13 at 102.00 | BB | 1,640,816 | ||||||||||||||
| 1,000 | Palm Drive Health Care District, Sonoma County, California, Parcel Tax Revenue Bonds, Series 2005, 5.250%, 4/01/30 | 4/13 at 102.00 | BB | 901,560 | ||||||||||||||
| 1,000 | Palmdale Community Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment Project Areas, Refunding Series 2004A, 5.000%, 9/01/34 – NPFG Insured | 9/14 at 102.00 | A | 1,025,240 | ||||||||||||||
| 1,100 | Perris Public Finance Authority, California, Local Agency Revenue Bonds, Perris Vally Vistas IA3, Series 2008B, 6.625%, 9/01/38 | 9/16 at 100.00 | N/R | 1,155,143 | ||||||||||||||
| 485 | Perris Public Financing Authority, California, Local Agency Revenue Bonds, Series 2007D, 5.800%, 9/01/38 | 9/14 at 100.00 | N/R | 488,448 | ||||||||||||||
| 24 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 220 | Perris Union High School District Financing Authority, Riverside County, California, Revenue Bonds, Series 2011, 6.125%, 9/01/41 | 3/13 at 103.00 | N/R | $ | 227,568 | ||||||||||||
| 570 | Perris, California, Special Tax Bonds, Community Facilities District 2001-1, Improvement Area 5-A, Series 2006, 5.000%, 9/01/37 | 9/13 at 100.50 | N/R | 554,929 | ||||||||||||||
| 1,500 | Pittsburg Redevelopment Agency, California, Tax Allocation Bonds, Los Medanos Community Development Project, Refunding Series 2008A, 6.500%, 9/01/28 | 9/18 at 100.00 | BBB | 1,619,670 | ||||||||||||||
| 550 | Pittsburg Redevelopment Agency, California, Tax Allocation Refunding Bonds, Los Medanos Community Development Project, Series 2006C, 4.250%, 9/01/34 – AMBAC Insured | 9/16 at 100.00 | BBB | 484,627 | ||||||||||||||
| 250 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Tender Option Bond Trust 1081, 20.699%, 8/01/57 (IF) (7) | 8/19 at 100.00 | AA– | 366,240 | ||||||||||||||
| 500 | Rancho Cardova, California, Special Tax Bonds, Sunridge Anatolia Area Community Facilities District 2003-1, Series 2005, 5.500%, 9/01/37 | 9/13 at 102.00 | N/R | 502,330 | ||||||||||||||
| 2,000 | Rancho Cardova, California, Special Tax Bonds, Sunridge Park Area Community Facilities District 2004-1, Series, 6.125%, 9/01/37 | 9/17 at 100.00 | N/R | 2,094,860 | ||||||||||||||
| 500 | Redwood City, California, Special Tax Bonds, Community Facilities District 2010-1 One Marina, Series 2011, 7.500%, 9/01/31 | 9/16 at 103.00 | N/R | 548,305 | ||||||||||||||
| 1,710 | Riverside County Public Financing Authority, California, Tax Allocation Bonds, Multiple Projects, Series 2004, 5.000%, 10/01/35 – SYNCORA GTY Insured | 10/14 at 100.00 | BBB | 1,698,355 | ||||||||||||||
| 500 | Riverside County Redevelopment Agency, California, Interstate 215 Corridor Redevelopment Project Area Tax Allocation Bonds, Series 2010E, 6.500%, 10/01/40 | 10/20 at 100.00 | A– | 554,955 | ||||||||||||||
| 205 | Riverside County Redevelopment Agency, California, Tax Allocation Housing Bonds, Series 2011A, 7.125%, 10/01/42 | 10/21 at 100.00 | A– | 243,655 | ||||||||||||||
| 875 | Riverside County, California, Special Tax Bonds, Community Facilities District 04-2 Lake Hill Crest, Series 2012, 5.000%, 9/01/35 | 9/22 at 100.00 | N/R | 890,855 | ||||||||||||||
| 2,000 | Riverside County, California, Special Tax Bonds, Community Facilities District 05-8 Scott Road, Series 2008, 7.250%, 9/01/38 | 9/17 at 100.00 | N/R | 2,069,380 | ||||||||||||||
| 125 | Riverside Unified School District, Riverside County, California, Community Facilities District 24 Special Tax Bonds, Series 2006, 5.100%, 9/01/36 | 9/14 at 102.00 | N/R | 125,134 | ||||||||||||||
| 1,000 | Riverside, California, Improvement Bond Act of 1915, Special Assessment Bonds, Hunter Park Assessment District, Series 2006, 5.200%, 9/02/36 | 9/16 at 101.00 | N/R | 1,006,650 | ||||||||||||||
Rocklin Unified School District, Placer County, California, Special Tax Bonds, Community Facilities District 2, Series 2007: | ||||||||||||||||||
| 1,010 | 0.000%, 9/01/34 – NPFG Insured | No Opt. Call | AA– | 283,143 | ||||||||||||||
| 1,155 | 0.000%, 9/01/35 – NPFG Insured | No Opt. Call | AA– | 296,662 | ||||||||||||||
| 1,000 | Roseville Finance Authority, California, Special Tax Revenue Bonds, Refunding Series 2007B, 5.000%, 9/01/33 | 9/17 at 100.00 | N/R | 973,380 | ||||||||||||||
| 1,700 | Roseville, California, Special Tax Bonds, Community Facilities District 1 – Westpark, Series 2005, 5.200%, 9/01/36 | 9/15 at 100.00 | N/R | 1,668,006 | ||||||||||||||
| 1,800 | Roseville, California, Special Tax Bonds, Community Facilities District 1, Fiddyment Ranch, Series 2006, 5.125%, 9/01/26 | 9/16 at 100.00 | N/R | 1,821,060 | ||||||||||||||
| 1,510 | Sacramento City Financing Authority California, Lease Revenue Bonds, Master Lease Program Facilities Projects, Tender Option Bond Trust 4698, 18.405%, 12/01/33 – AMBAC Insured (IF) (7) | No Opt. Call | Aa3 | 2,646,245 | ||||||||||||||
| 1,490 | Sacramento, California, Community Facilities District 05-1, College Square Special Tax Bonds, Series 2007, 5.900%, 9/01/37 | 9/17 at 100.00 | N/R | 1,495,751 | ||||||||||||||
| 459 | Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Grace Lofts Redevelopment Projects, Series 2007A, 6.000%, 3/27/26 | 12/12 at 100.00 | N/R | 419,549 | ||||||||||||||
| 500 | San Bernardino County Financing Authority, California, Revenue Bonds, Courthouse Facilities Project, Series 2007, 5.500%, 6/01/37 – NPFG Insured | No Opt. Call | BBB | 525,365 | ||||||||||||||
| Nuveen Investments | 25 |
Portfolio of Investments (Unaudited)
Nuveen California High Yield Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 100 | San Jacinto Unified School District, Riverside County, California, Community Facilities District 2006-1 Special Tax Bonds, Infrastructure Projects, Series 2006, 5.200%, 9/01/36 | 9/16 at 100.00 | N/R | $ | 100,071 | ||||||||||||
San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2006C: | ||||||||||||||||||
| 500 | 5.000%, 8/01/24 – NPFG Insured | 8/17 at 100.00 | BBB | 506,060 | ||||||||||||||
| 1,000 | 3.750%, 8/01/28 – NPFG Insured | 8/17 at 100.00 | BBB | 880,980 | ||||||||||||||
| 2,120 | 3.750%, 8/01/28 – BHAC Insured | 8/17 at 100.00 | AA+ | 2,065,304 | ||||||||||||||
| 2,000 | San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2007B, 4.250%, 8/01/36 – SYNCORA GTY Insured | 8/17 at 100.00 | BBB | 1,728,060 | ||||||||||||||
| 1,470 | San Marcos Public Facilities Authority, California, Revenue Refunding Bonds, Series 2012C, 5.000%, 9/01/35 – AGM Insured | 9/22 at 100.00 | N/R | 1,473,440 | ||||||||||||||
| 500 | Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and Housing Facility, Series 1994A, 6.250%, 7/01/24 – NPFG Insured | No Opt. Call | BBB | 576,385 | ||||||||||||||
| 1,000 | Santa Cruz County Redevelopment Agency, California, Tax Allocation Bonds, Live Oak-Sequel Community Development Project, Series 2005A, 5.000%, 9/01/32 – NPFG Insured | No Opt. Call | A | 1,029,290 | ||||||||||||||
| 1,000 | South Gate, California, Certificates of Participation, Series 2002A, 5.000%, 9/01/24 – AMBAC Insured | 3/13 at 103.00 | BB+ | 998,210 | ||||||||||||||
Stockton Public Financing Authority, California, Lease Revenue Bonds, Series 2004: | ||||||||||||||||||
| 305 | 5.125%, 9/01/30 – FGIC Insured | 9/14 at 100.00 | BBB | 271,252 | ||||||||||||||
| 235 | 5.250%, 9/01/34 – FGIC Insured | 9/14 at 100.00 | BBB | 209,681 | ||||||||||||||
| 2,500 | Stockton, California, Special Tax Bonds, Arch Road Community Facilities District 99-02, Refunding Series 2007, 5.875%, 9/01/37 | 9/17 at 102.00 | N/R | 2,545,150 | ||||||||||||||
| 570 | Sulphur Springs Union School District, California, Special Tax Bonds, Community Facilities District 2002-1, Refunding Series 2012A, 5.000%, 9/01/33 | 9/22 at 100.00 | BBB+ | 613,434 | ||||||||||||||
Tejon Ranch Public Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2000-1, Tejon Industrial Complex Public Improvements, Refunding Series 2012: | ||||||||||||||||||
| 1,635 | 5.500%, 9/01/30 | 9/22 at 100.00 | N/R | 1,753,243 | ||||||||||||||
| 500 | 5.500%, 9/01/33 | 9/22 at 100.00 | N/R | 528,760 | ||||||||||||||
| 500 | Temecula Public Financing Authority, California, Special Tax Bonds, Community Facilities District 03-01 Crowne Hill, Series 2012, 5.000%, 9/01/33 | 9/22 at 100.00 | BBB+ | 520,570 | ||||||||||||||
| 1,000 | Temecula Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Project 1, Series 2002, 5.250%, 8/01/36 – NPFG Insured | 11/12 at 100.00 | A– | 1,000,710 | ||||||||||||||
| 530 | Turlock Public Financing Authority, California, Tax Allocation Revenue Bonds, Series 2011, 7.250%, 9/01/29 | 3/21 at 100.00 | BBB+ | 598,831 | ||||||||||||||
| 1,220 | Tustin Community Redevelopment Agency, California, MCAS Project Area Tax Allocation Bonds, Series 2010, 5.000%, 9/01/35 | 9/18 at 102.00 | A | 1,273,521 | ||||||||||||||
| 650 | Twentynine Palms Redevelopment Agency, California, Tax Allocation Bonds, Four Corners Project Area, Series 2011A, 7.650%, 9/01/42 | 9/21 at 100.00 | BBB+ | 762,801 | ||||||||||||||
| 500 | Union City Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Project, Subordinate Lien Series 2011, 6.875%, 12/01/33 | 12/21 at 100.00 | A | 587,550 | ||||||||||||||
| 500 | Val Verde Unified School District Financing Authority, California, Special Tax Revenue, Junior Lien Refunding Series 2003, 6.250%, 10/01/28 | 10/13 at 102.00 | N/R | 515,855 | ||||||||||||||
| 500 | Victor Elementary School District, Los Angeles County, California, Community Facilities District 2005-1 Special Tax Bonds, Series 2007A, 5.500%, 9/01/37 | 9/15 at 102.00 | N/R | 494,640 | ||||||||||||||
| 26 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 600 | West Hollywood Community Development Commission, California, East Side Redevelopment Project Series 2011 Tax Allocation Bonds Series 2011A, 7.500%, 9/01/42 | 9/21 at 100.00 | BBB | $ | 687,504 | ||||||||||||
| 590 | West Patterson Financing Authority, California, Special Tax Bonds, Community Facilities District 01-1, Refunding Series 2009B, 10.000%, 9/01/32 | 9/14 at 105.00 | N/R | 649,035 | ||||||||||||||
| 965 | West Sacramento Financing Authority, California, Special Tax Revenue Bonds, Refunding Series 1999F, 6.100%, 9/01/29 | 3/13 at 100.00 | N/R | 970,742 | ||||||||||||||
| 500 | Westminster Redevelopment Agency, California, Tax Allocation Bonds, Commercial Redevelopment Project 1, Subordinate Lien Series 2011A, 5.875%, 11/01/41 | 11/21 at 100.00 | A | 556,905 | ||||||||||||||
Westside Union School District, California, Special Tax Bonds, Community Facilities District 2005-3, Series 2006: | ||||||||||||||||||
| 700 | 5.000%, 9/01/26 | 9/14 at 102.00 | N/R | 707,574 | ||||||||||||||
| 295 | 5.000%, 9/01/36 | 9/14 at 102.00 | N/R | 285,392 | ||||||||||||||
| 1,000 | Woodland Finance Authority, California, Lease Revenue Bonds, Series 2002, 5.000%, 3/01/32 – SYNCORA GTY Insured | 3/13 at 102.00 | A1 | 1,026,750 | ||||||||||||||
| 290 | Yorkville United City Business District, Illinois, Storm Water and Water Improvement Project Revenue Bonds, Series 2007, 6.000%, 1/01/27 | 1/17 at 102.00 | N/R | 198,488 | ||||||||||||||
| 135 | Yuba County, California, Special Tax Bonds, Community Facilities District 2004-1, Edgewater, Series 2005, 5.125%, 9/01/35 | 3/15 at 100.00 | N/R | 120,060 | ||||||||||||||
| 118,709 | Total Tax Obligation/Limited | 114,881,782 | ||||||||||||||||
Transportation – 6.1% | �� | |||||||||||||||||
| 1,125 | Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Tender Option Bond Trust 2985, 17.286%, 4/01/17 (IF) | No Opt. Call | AA | 1,701,405 | ||||||||||||||
Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Refunding Bonds, Series 1999: | ||||||||||||||||||
| 8,275 | 0.000%, 1/15/30 | 11/12 at 35.92 | BBB– | 2,938,618 | ||||||||||||||
| 1,315 | 0.000%, 1/15/32 – NPFG Insured | 11/12 at 31.77 | BBB | 412,897 | ||||||||||||||
| 1,535 | 0.000%, 1/15/34 – NPFG Insured | 11/12 at 28.13 | BBB | 426,699 | ||||||||||||||
| 1,125 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Tender Option Bond Trust 10-27B, 18.269%, 5/15/40 (IF) (7) | 5/20 at 100.00 | AA | 1,682,235 | ||||||||||||||
Palm Springs Financing Authority, California, Palm Springs International Airport Revenue Bonds, Series 2006: | ||||||||||||||||||
| 35 | 5.450%, 7/01/20 (Alternative Minimum Tax) | 7/14 at 102.00 | N/R | 35,177 | ||||||||||||||
| 45 | 5.550%, 7/01/28 (Alternative Minimum Tax) | 7/14 at 102.00 | N/R | 43,841 | ||||||||||||||
Palm Springs, California, Airport Passenger Facility Charge Subordinate Refunding Revenue Bonds, Palm Springs International Airport, Series 2008: | ||||||||||||||||||
| 250 | 6.400%, 7/01/23 (Alternative Minimum Tax) | 7/14 at 102.00 | N/R | 254,465 | ||||||||||||||
| 515 | 6.500%, 7/01/27 (Alternative Minimum Tax) | 7/14 at 102.00 | N/R | 522,416 | ||||||||||||||
| 140 | Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Revenue Bonds, American Airlines Inc., Series 1985A, 6.450%, 12/01/25 (5) | 11/12 at 100.00 | C | 65,649 | ||||||||||||||
| 35 | Puerto Rico Ports Authority, Special Facilities Revenue Bonds, American Airlines Inc., Series 1993A, 6.300%, 6/01/23 (Alternative Minimum Tax) (5) | 12/12 at 100.00 | C | 21,944 | ||||||||||||||
| 2,320 | Puerto Rico Ports Authority, Special Facilities Revenue Bonds, American Airlines Inc., Series 1996A, 6.250%, 6/01/26 (Alternative Minimum Tax) (5) | 12/12 at 100.00 | N/R | 1,455,197 | ||||||||||||||
San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Refunding Bonds, Series 1997A: | ||||||||||||||||||
| 2,000 | 0.000%, 1/15/25 – NPFG Insured | No Opt. Call | BBB | 1,026,420 | ||||||||||||||
| 6,500 | 0.000%, 1/15/26 – NPFG Insured | No Opt. Call | BBB | 3,160,755 | ||||||||||||||
| 240 | 5.250%, 1/15/30 – NPFG Insured | 1/13 at 100.00 | BBB | 239,988 | ||||||||||||||
| 25,455 | Total Transportation | 13,987,706 | ||||||||||||||||
| Nuveen Investments | 27 |
Portfolio of Investments (Unaudited)
Nuveen California High Yield Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
U.S. Guaranteed – 0.7% (4) | ||||||||||||||||||
| $ | 500 | Bay Area Governments Association, California, BART SFO Extension, Airport Premium Fare Revenue Bonds, Series 2002A, 5.000%, 8/01/32 (Pre-refunded 10/22/12) – AMBAC Insured | 10/12 at 100.00 | N/R (4) | $ | 500,025 | ||||||||||||
| 1,000 | California Statewide Community Development Authority, Revenue Bonds, Live Oak School, Series 2000, 6.750%, 10/01/30 (Pre-refunded 10/01/12) | 10/12 at 100.00 | N/R (4) | 1,005,180 | ||||||||||||||
| 100 | California Statewide Community Development Authority, Revenue Bonds, Viewpoint School, Series 2004, 5.000%, 10/01/28 (Pre-refunded 10/01/14) – ACA Insured | 10/14 at 100.00 | BBB (4) | 109,512 | ||||||||||||||
| 10 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2003A-1, 6.250%, 6/01/33 (Pre-refunded 6/01/13) | 6/13 at 100.00 | Aaa | 10,433 | ||||||||||||||
| 100 | Sierra Kings Health Care District, Fresno County, California, Revenue Bonds, Series 2006A, 5.750%, 12/01/36 (Pre-refunded 12/01/16) | 12/16 at 100.00 | N/R (4) | 120,065 | ||||||||||||||
| 1,710 | Total U.S. Guaranteed | 1,745,215 | ||||||||||||||||
Utilities – 3.9% | ||||||||||||||||||
Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series 2007A: | ||||||||||||||||||
| 25 | 5.500%, 11/15/30 | No Opt. Call | A | 27,530 | ||||||||||||||
| 700 | 5.000%, 11/15/35 | No Opt. Call | A | 719,481 | ||||||||||||||
| 2,150 | 5.500%, 11/15/37 | No Opt. Call | A | 2,351,821 | ||||||||||||||
| 7,890 | Merced Irrigation District, California, Certificates of Participation, Water and Hydroelectric Series 2008B, 0.000%, 9/01/33 | 9/16 at 32.62 | A | 2,075,465 | ||||||||||||||
| 1,000 | M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series 2009B, 6.500%, 11/01/39 | No Opt. Call | A | 1,285,140 | ||||||||||||||
| 1,000 | M-S-R Energy Authority, California, Gas Revenue Bonds, Series 2009C, 6.500%, 11/01/39 | No Opt. Call | A | 1,285,138 | ||||||||||||||
| 1,000 | Sacramento Municipal Utility District Financing Authority, California, Consumnes Power Plant Project Revenue Bonds, Series 2006, 5.125%, 7/01/29 – NPFG Insured | 7/16 at 100.00 | A3 | 1,066,838 | ||||||||||||||
| 13,765 | Total Utilities | 8,811,413 | ||||||||||||||||
Water and Sewer – 2.3% | ||||||||||||||||||
| 500 | Dinuba Financing Authority, California, Wastewater System Revenue Bonds, Series 2007, 5.375%, 9/01/38 | 9/17 at 100.00 | N/R | 481,380 | ||||||||||||||
| 1,000 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.500%, 7/01/30 | 7/20 at 100.00 | Ba2 | 1,040,880 | ||||||||||||||
| 2,000 | Oxnard, California, Financing Authority, Wastewater Revenue Bonds, Redwood Trunk Sewer and Headworks Projects, Series 2004A, 5.250%, 6/01/34 – FGIC Insured | 6/14 at 100.00 | BBB | 2,061,718 | ||||||||||||||
| 1,500 | Pico Rivera Water Authority, California, Water System Project, Revenue Refunding Bonds, Series 1999A, 5.500%, 5/01/29 – NPFG Insured | No Opt. Call | BBB | 1,625,173 | ||||||||||||||
| 5,000 | Total Water and Sewer | 5,209,151 | ||||||||||||||||
| $ | 252,226 | �� | Total Investments (cost $209,515,043) – 98.8% | 226,163,500 | ||||||||||||||
Floating Rate Obligations – (0.4)% | (915,000) | |||||||||||||||||
Other Assets Less Liabilities – 1.6% (9) | 3,614,343 | |||||||||||||||||
Net Assets – 100% | $ | 228,862,843 | ||||||||||||||||
Investments in Derivatives at August 31, 2012:
Forward Swaps outstanding:
| Counterparty | Notional Amount | Fund Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate (Annualized) | Fixed Rate Payment Frequency | Effective Date (10) | Termination Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Barclays Bank PLC | $ | 4,600,000 | Receive | 3-Month USD-LIBOR | 2.670 | % | Semi-Annually | 6/26/14 | 6/26/42 | $ | (7,073 | ) | ||||||||||||||||||||
| 28 | Nuveen Investments |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (3) | Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (4) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. |
| (5) | At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records. |
| (6) | Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. |
| (7) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives and/or inverse floating rate transactions. |
| (8) | For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information. |
| (9) | Other Assets Less Liabilities includes the net Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at August 31, 2012. |
| (10) | Effective date represents the date on which both the Fund and counterparty commence interest payment accrual on each forward swap contract. |
| N/R | Not rated. |
| (IF) | Inverse floating rate investment. |
| (UB) | Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information. |
| USD-LIBOR | United States Dollar-London Inter-Bank Offered Rate. |
See accompanying notes to financial statements.
| Nuveen Investments | 29 |
Portfolio of Investments (Unaudited)
Nuveen California Municipal Bond Fund
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Consumer Staples – 3.3% | ||||||||||||||||||
| $ | 3,500 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Alameda County Tobacco Asset Securitization Corporation, Series 2002, 5.750%, 6/01/29 | 11/12 at 100.00 | BBB+ | $ | 3,497,795 | ||||||||||||
| 400 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005, 4.250%, 6/01/21 | 6/15 at 100.00 | BB+ | 389,280 | ||||||||||||||
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-1: | ||||||||||||||||||
| 5,635 | 5.750%, 6/01/47 | 6/17 at 100.00 | BB– | 4,798,935 | ||||||||||||||
| 16,950 | 5.125%, 6/01/47 | 6/17 at 100.00 | BB– | 13,072,516 | ||||||||||||||
| 26,485 | Total Consumer Staples | 21,758,526 | ||||||||||||||||
Education and Civic Organizations – 5.0% | ||||||||||||||||||
| 1,015 | ABAG Finance Authority for Non-Profit Corporations, California, Revenue Bonds, The Jackson Laboratory, Series 2007, 5.750%, 7/01/37 | 7/15 at 102.00 | A1 | 1,107,284 | ||||||||||||||
| 240 | California Educational Facilities Authority, Revenue Bonds, Claremont Graduate University, Series 2007A, 5.000%, 3/01/20 | 3/17 at 100.00 | A3 | 266,726 | ||||||||||||||
California Educational Facilities Authority, Revenue Bonds, Claremont Graduate University, Series 2008A: | ||||||||||||||||||
| 865 | 5.000%, 3/01/23 | 3/18 at 100.00 | A3 | 945,557 | ||||||||||||||
| 500 | 5.125%, 3/01/28 | 3/18 at 100.00 | A3 | 535,805 | ||||||||||||||
| 430 | California Educational Facilities Authority, Revenue Bonds, Golden Gate University, Series 2005, 5.000%, 10/01/20 | 10/15 at 100.00 | Baa3 | 442,470 | ||||||||||||||
| 1,000 | California Educational Facilities Authority, Revenue Bonds, Pitzer College, Refunding Series 2009, 5.375%, 4/01/34 | 4/20 at 100.00 | A | 1,107,410 | ||||||||||||||
| 1,000 | California Educational Facilities Authority, Revenue Bonds, University of Redlands, Series 2008A, 5.000%, 8/01/28 | 8/18 at 100.00 | A3 | 1,069,850 | ||||||||||||||
California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Series 2006: | ||||||||||||||||||
| 105 | 5.000%, 11/01/21 | 11/15 at 100.00 | A2 | 113,427 | ||||||||||||||
| 1,000 | 5.000%, 11/01/30 | 11/15 at 100.00 | A2 | 1,053,910 | ||||||||||||||
California Educational Facilities Authority, Revenue Bonds, Woodbury University, Series 2006: | ||||||||||||||||||
| 450 | 4.400%, 1/01/15 | No Opt. Call | Baa3 | 457,866 | ||||||||||||||
| 470 | 4.500%, 1/01/16 | 1/15 at 100.00 | Baa3 | 479,579 | ||||||||||||||
| 2,960 | 5.000%, 1/01/36 | 1/15 at 100.00 | Baa3 | 2,966,897 | ||||||||||||||
| 750 | California Educational Facilities Authority, Student Loan Revenue Bonds, Cal Loan Program, Series 2001A, 5.400%, 3/01/21 – NPFG Insured (Alternative Minimum Tax) | 3/13 at 100.00 | Baa2 | 751,028 | ||||||||||||||
| 400 | California Municipal Finance Authority, Education Revenue Bonds, American Heritage Education Foundation Project, Series 2006A, 5.250%, 6/01/26 | 6/16 at 100.00 | BB+ | 390,028 | ||||||||||||||
California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A: | ||||||||||||||||||
| 1,000 | 6.750%, 10/01/28 | 10/18 at 100.00 | N/R | 1,017,080 | ||||||||||||||
| 1,500 | 7.000%, 10/01/39 | 10/18 at 100.00 | N/R | 1,529,550 | ||||||||||||||
| 855 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2012A, 5.750%, 1/01/22 | No Opt. Call | N/R | 882,403 | ||||||||||||||
| 1,500 | California Municipal Finance Authority, Revenue Bonds, University of La Verne, Series 2010A, 6.125%, 6/01/30 | 6/20 at 100.00 | BBB+ | 1,699,815 | ||||||||||||||
California Municipal Finance Authority, Revenue Refunding Bonds, Biola University, Series 2008A: | ||||||||||||||||||
| 1,000 | 5.000%, 10/01/18 | No Opt. Call | Baa1 | 1,118,100 | ||||||||||||||
| 500 | 5.625%, 10/01/23 | 4/18 at 100.00 | Baa1 | 541,580 | ||||||||||||||
| 30 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Education and Civic Organizations (continued) | ||||||||||||||||||
| $ | 695 | California State Public Works Board, Lease Revenue Bonds, California State University, J. Paul Leonard & Sutro Library, Series 2009J, 5.500%, 11/01/26 | 11/19 at 100.00 | Aa3 | $ | 817,786 | ||||||||||||
| 500 | California State Public Works Board, Lease Revenue Bonds, California State University, Various University Projects, Series 2010B-1, 5.400%, 3/01/26 | 3/20 at 100.00 | Aa3 | 570,580 | ||||||||||||||
| 1,000 | California State Public Works Board, Lease Revenue Bonds, University of California Department of Education Riverside Campus Project, Series 2009B, 5.750%, 4/01/23 | 4/19 at 100.00 | A2 | 1,195,320 | ||||||||||||||
| 1,250 | California State Public Works Board, Lease Revenue Bonds, University of California Regents, Series 2009E, 5.000%, 4/01/34 | 4/19 at 100.00 | Aa2 | 1,377,513 | ||||||||||||||
| 2,500 | California State Public Works Board, Lease Revenue Bonds, University of California, Institute Projects, Series 2005C, 5.000%, 4/01/30 – AMBAC Insured | 4/15 at 100.00 | Aa2 | 2,708,600 | ||||||||||||||
| 1,035 | California State Public Works Board, Lease Revenue Refunding Bonds, Community College Projects, Series 2004B, 5.500%, 6/01/19 | 6/14 at 100.00 | A2 | 1,112,045 | ||||||||||||||
| 200 | California State Public Works Board, Lease Revenue Refunding Bonds, Community Colleges Projects, Series 1999A, 4.875%, 12/01/18 | 11/12 at 100.00 | A2 | 200,478 | ||||||||||||||
| 1,000 | California State University, Systemwide Revenue Bonds, Series 2005C, 5.000%, 11/01/25 – NPFG Insured | 11/15 at 100.00 | Aa2 | 1,125,430 | ||||||||||||||
| 1,600 | California Statewide Communities Development Authority, School Facility Revenue Bonds, Alliance College-Ready Public Schools, Series 2011A, 7.000%, 7/01/46 | 7/21 at 100.00 | BBB | 1,757,760 | ||||||||||||||
| 1,500 | California Statewide Community Development Authority, Certificates of Participation, San Diego Space and Science Foundation, Series 1996, 7.500%, 12/01/26 | 6/12 at 100.00 | N/R | 1,598,310 | ||||||||||||||
| 2,000 | San Diego County, California, Certificates of Participation, Burnham Institute, Series 2006, 5.000%, 9/01/34 | 9/15 at 102.00 | Baa3 | 2,037,160 | ||||||||||||||
| 30,820 | Total Education and Civic Organizations | 32,977,347 | ||||||||||||||||
Health Care – 14.4% | ||||||||||||||||||
| 2,000 | Antelope Valley Healthcare District, California, Insured Revenue Refunding Bonds, Series 1997A, 5.200%, 1/01/27 – AGM Insured | 1/13 at 100.00 | AA– | 2,002,620 | ||||||||||||||
| 1,000 | California Health Facilities Financing Authority, Refunding Revenue Bonds, Stanford Hospital and Clinics, Series 2010A, 5.000%, 11/15/25 | 11/20 at 100.00 | AA– | 1,149,260 | ||||||||||||||
| 2,000 | California Health Facilities Financing Authority, Refunding Revenue Bonds, Stanford Hospital and Clinics, Series 2010B, 5.750%, 11/15/31 | 11/20 at 100.00 | AA– | 2,425,680 | ||||||||||||||
| 500 | California Health Facilities Financing Authority, Revenue Bonds, Adventist Health System/West, Series 2009C, 5.250%, 3/01/21 | 3/19 at 100.00 | A | 570,650 | ||||||||||||||
| 150 | California Health Facilities Financing Authority, Revenue Bonds, Casa Colina Inc., Series 2001, 5.500%, 4/01/13 | 11/12 at 100.00 | BBB | 150,395 | ||||||||||||||
| 1,000 | California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West, Series 2008G, 5.500%, 7/01/25 | 7/18 at 100.00 | A+ | 1,126,560 | ||||||||||||||
| 3,000 | California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West, Series 2009F, 5.625%, 7/01/25 | 7/19 at 100.00 | A+ | 3,455,130 | ||||||||||||||
| 1,000 | California Health Facilities Financing Authority, Revenue Bonds, Childrens Hospital of Orange County, Series 2009A, 6.500%, 11/01/38 | 11/19 at 100.00 | A | 1,213,720 | ||||||||||||||
| 1,760 | California Health Facilities Financing Authority, Revenue Bonds, Marshall Medical Center, Series 2004A, 4.750%, 11/01/19 | 11/14 at 100.00 | A– | 1,828,024 | ||||||||||||||
| 6,000 | California Health Facilities Financing Authority, Revenue Bonds, Rady Children’s Hospital - San Diego, Series 2011, 5.000%, 8/15/31 | 8/21 at 100.00 | A+ | 6,516,000 | ||||||||||||||
| 200 | California Health Facilities Financing Authority, Revenue Bonds, Scripps Health, Refunding Series 2008A, 5.000%, 10/01/22 | 10/18 at 100.00 | AA– | 229,534 | ||||||||||||||
| 250 | California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Series 2008A, 5.000%, 8/15/38 | 8/18 at 100.00 | AA– | 266,605 | ||||||||||||||
| Nuveen Investments | 31 |
Portfolio of Investments (Unaudited)
Nuveen California Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Health Care (continued) | ||||||||||||||||||
| $ | 2,000 | California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Series 2011B, 6.000%, 8/15/42 | 8/20 at 100.00 | AA– | $ | 2,400,660 | ||||||||||||
| 2,000 | California Municipal Finance Authority, Certificates of Participation, Community Hospitals of Central California Obligated Group, Series 2009, 5.500%, 2/01/39 | 2/19 at 100.00 | BBB | 2,117,740 | ||||||||||||||
| 2,000 | California Statewide Communities Development Authority, Health Facility Revenue Bonds, Community Hospital of the Monterey Peninsula, Series 2011A, 6.000%, 6/01/33 | 6/21 at 100.00 | AA– | 2,384,740 | ||||||||||||||
California Statewide Communities Development Authority, Revenue Bonds, Adventist Health System West, Series 2005A: | ||||||||||||||||||
| 300 | 5.000%, 3/01/30 | 3/15 at 100.00 | A | 310,938 | ||||||||||||||
| 440 | 5.000%, 3/01/35 | 3/15 at 100.00 | A | 455,294 | ||||||||||||||
| 2,610 | California Statewide Communities Development Authority, Revenue Bonds, Kaiser Permanente, Series 2012A, 5.000%, 4/01/42 | 4/22 at 100.00 | A+ | 2,851,843 | ||||||||||||||
| 5,500 | California Statewide Communities Development Authority, Revenue Bonds, ValleyCare Health System, Series 2007A, 5.125%, 7/15/31 | 7/17 at 100.00 | N/R | 5,662,690 | ||||||||||||||
| 1,000 | California Statewide Community Development Authority, Health Facility Revenue Bonds, Catholic Healthcare West, Series 2008C, 5.625%, 7/01/35 | 7/18 at 100.00 | A+ | 1,132,890 | ||||||||||||||
California Statewide Community Development Authority, Health Revenue Bonds, Enloe Medical Center, Refunding Series 2008A: | ||||||||||||||||||
| 125 | 5.250%, 8/15/19 | 8/18 at 100.00 | A– | 141,179 | ||||||||||||||
| 500 | 5.500%, 8/15/23 | 8/18 at 100.00 | A– | 553,955 | ||||||||||||||
| 500 | California Statewide Community Development Authority, Hospital Revenue Bonds, Redlands Community Hospital, Series 2005A, 5.000%, 4/01/15 – RAAI Insured | No Opt. Call | BBB | 532,235 | ||||||||||||||
California Statewide Community Development Authority, Insured Health Facility Revenue Bonds, Henry Mayo Newhall Memorial Hospital, Series 2007A: | ||||||||||||||||||
| 500 | 5.000%, 10/01/20 | 10/17 at 100.00 | A– | 555,780 | ||||||||||||||
| 400 | 5.000%, 10/01/27 | 10/17 at 100.00 | A– | 427,092 | ||||||||||||||
| 1,000 | California Statewide Community Development Authority, Revenue Bonds, Childrens Hospital of Los Angeles, Series 2007, 5.000%, 8/15/39 – NPFG Insured | 8/17 at 100.00 | BBB | 1,024,420 | ||||||||||||||
California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A: | ||||||||||||||||||
| 2,150 | 5.250%, 7/01/30 | 7/15 at 100.00 | BBB | 2,247,288 | ||||||||||||||
| 655 | 5.250%, 7/01/35 | 7/15 at 100.00 | BBB | 683,381 | ||||||||||||||
California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005G: | ||||||||||||||||||
| 400 | 5.250%, 7/01/13 | No Opt. Call | BBB | 412,928 | ||||||||||||||
| 3,670 | 5.000%, 7/01/22 | 7/15 at 100.00 | BBB | 3,872,914 | ||||||||||||||
| 1,615 | California Statewide Community Development Authority, Revenue Bonds, Kaiser Permanente System, Series 2001C, 5.250%, 8/01/31 | 8/16 at 100.00 | A+ | 1,808,267 | ||||||||||||||
| 3,000 | California Statewide Community Development Authority, Revenue Bonds, Kaiser Permanente System, Series 2007B, 1.089%, 4/01/36 | 4/17 at 100.00 | A+ | 2,025,540 | ||||||||||||||
| 2,250 | California Statewide Community Development Authority, Revenue Bonds, Methodist Hospital Project, Series 2009, 6.750%, 2/01/38 | 8/19 at 100.00 | Aa2 | 2,750,603 | ||||||||||||||
| 8,225 | California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System, Series 2007A, 5.750%, 7/01/47 – FGIC Insured | 7/18 at 100.00 | AA– | 9,207,641 | ||||||||||||||
| 1,100 | California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System, Series 2007B, 5.500%, 7/01/27 – FGIC Insured | 7/18 at 100.00 | AA– | 1,242,967 | ||||||||||||||
| 500 | California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System, Series 2007C, 5.500%, 7/01/27 – FGIC Insured | 7/18 at 100.00 | AA– | 564,985 | ||||||||||||||
| 32 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Health Care (continued) | ||||||||||||||||||
| $ | 3,065 | Loma Linda, California, Hospital Revenue Bonds, Loma Linda University Medical Center, Series 2008A, 8.250%, 12/01/38 | 12/17 at 100.00 | BBB | $ | 3,588,196 | ||||||||||||
Marysville, California, Revenue Bonds, The Fremont-Rideout Health Group, Series 2011: | ||||||||||||||||||
| 2,015 | 5.250%, 1/01/27 | 1/21 at 100.00 | A | 2,237,879 | ||||||||||||||
| 3,700 | 5.250%, 1/01/35 | 1/21 at 100.00 | A | 4,037,144 | ||||||||||||||
| 1,335 | Northern Inyo County Local Hospital District, Inyo County, California, Revenue Bonds, Series 2010, 6.375%, 12/01/25 | 12/20 at 100.00 | BBB– | 1,449,263 | ||||||||||||||
| 1,580 | Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35 | 11/20 at 100.00 | BB+ | 1,703,904 | ||||||||||||||
| 3,625 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010, 6.000%, 11/01/41 | 11/20 at 100.00 | Baa3 | 3,889,190 | ||||||||||||||
| 4,500 | Santa Clara County Financing Authority, California, Insured Revenue Bonds, El Camino Hospital, Series 2007A, 5.750%, 2/01/41 – AMBAC Insured | 8/17 at 100.00 | A+ | 4,886,865 | ||||||||||||||
Sierra View Local Health Care District, California, Revenue Bonds, Series 2007: | ||||||||||||||||||
| 1,000 | 5.250%, 7/01/24 | 7/17 at 100.00 | A | 1,052,810 | ||||||||||||||
| 1,000 | 5.300%, 7/01/26 | 7/17 at 100.00 | A | 1,048,280 | ||||||||||||||
| 1,000 | 5.250%, 7/01/37 | 9/17 at 100.00 | A | 1,033,730 | ||||||||||||||
| 3,000 | Upland, California, Certificates of Participation, San Antonio Community Hospital, Series 2011, 6.500%, 1/01/41 | 1/21 at 100.00 | A | 3,511,800 | ||||||||||||||
| 87,120 | Total Health Care | 94,741,209 | ||||||||||||||||
Housing/Multifamily – 2.6% | ||||||||||||||||||
| 1,290 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010A, 6.400%, 8/15/45 | 8/20 at 100.00 | BBB | 1,412,447 | ||||||||||||||
| 1,580 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2012A, 5.500%, 8/15/47 | 8/22 at 100.00 | BBB | 1,662,855 | ||||||||||||||
| 1,000 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2012B, 7.250%, 8/15/47 | 8/22 at 100.00 | A1 | 1,043,510 | ||||||||||||||
| 410 | California Statewide Communities Development Authority, Student Housing Revenue Bonds, CHF-Irvine, LLC-UCI East Campus Apartments, Phase II, Series 2008, 5.500%, 5/15/26 | 5/18 at 100.00 | Baa2 | 443,460 | ||||||||||||||
| 4,180 | California Statewide Community Development Authority, Multifamily Housing Revenue Senior Bonds, Westgate Courtyards Apartments, Series 2001X-1, 5.420%, 12/01/34 – AMBAC Insured (Alternative Minimum Tax) | 12/12 at 100.00 | N/R | 4,180,627 | ||||||||||||||
| 3,865 | Los Angeles, California, GNMA Mortgage-Backed Securities Program Multifamily Housing Revenue Bonds, Park Plaza West Senior Apartments, Series 2001B, 5.400%, 1/20/31 (Alternative Minimum Tax) | 1/13 at 101.00 | AA+ | 3,908,211 | ||||||||||||||
| 2,055 | San Dimas Housing Authority, California, Mobile Home Park Revenue Bonds, Charter Oak Mobile Home Estates Acquisition Project, Series 1998A, 5.700%, 7/01/28 | 1/13 at 100.00 | N/R | 2,056,377 | ||||||||||||||
| 1,750 | San Jose, California, Multifamily Housing Senior Lien Revenue Bonds, Fallen Leaves Apartments, Series 2002J1, 4.950%, 12/01/22 – AMBAC Insured (Alternative Minimum Tax) | 12/12 at 100.00 | N/R | 1,767,518 | ||||||||||||||
| 1,000 | Ventura County Area Housing Authority, California, Multifamily Revenue Bonds, Mira Vista Senior Apartments Project, Series 2006A, 5.150%, 12/01/31 – AMBAC Insured (Alternative Minimum Tax) | 12/16 at 100.00 | N/R | 951,830 | ||||||||||||||
| 17,130 | Total Housing/Multifamily | 17,426,835 | ||||||||||||||||
Housing/Single Family – 0.5% | ||||||||||||||||||
| 3,000 | California Department of Veteran Affairs, Home Purchase Revenue Bonds, Series 2007, 5.000%, 12/01/42 (Alternative Minimum Tax) | 12/16 at 100.00 | AA | 3,078,810 | ||||||||||||||
| 310 | California Housing Finance Agency, Home Mortgage Revenue Bonds, Series 2006H, 5.750%, 8/01/30 – FGIC Insured (Alternative Minimum Tax) | 2/16 at 100.00 | BBB | 323,578 | ||||||||||||||
| 3,310 | Total Housing/Single Family | 3,402,388 | ||||||||||||||||
| Nuveen Investments | 33 |
Portfolio of Investments (Unaudited)
Nuveen California Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Industrials – 0.2% | ||||||||||||||||||
| $ | 500 | California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2002B, 5.000%, 7/01/27 (Alternative Minimum Tax) | 7/15 at 101.00 | BBB | $ | 535,075 | ||||||||||||
| 500 | California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2005A-2, 5.400%, 4/01/25 (Alternative Minimum Tax) | 4/15 at 101.00 | BBB | 541,520 | ||||||||||||||
| 1,000 | Total Industrials | 1,076,595 | ||||||||||||||||
Long-Term Care – 2.0% | ||||||||||||||||||
ABAG Finance Authority for Non-Profit Corporations, California, Cal-Mortgage Revenue Bonds, Elder Care Alliance of Union City, Series 2004: | ||||||||||||||||||
| 1,850 | 5.400%, 8/15/24 | 8/14 at 100.00 | A– | 1,899,266 | ||||||||||||||
| 2,130 | 5.600%, 8/15/34 | 8/14 at 100.00 | A– | 2,182,994 | ||||||||||||||
| 3,000 | ABAG Finance Authority for Non-Profit Corporations, California, Health Facility Revenue Bonds, The Insitute on Aging, Series 2008A, 5.650%, 8/15/38 | 8/18 at 100.00 | A– | 3,209,610 | ||||||||||||||
| 1,000 | California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series 2009, 8.000%, 11/01/29 | 11/19 at 100.00 | Baa1 | 1,197,380 | ||||||||||||||
| 2,000 | California Municipal Finance Authority, Senior Living Revenue Bonds, Pilgrim Place at Claremont, Series 2009A, 6.125%, 5/15/39 | 5/19 at 100.00 | A– | 2,233,960 | ||||||||||||||
| 560 | California Statewide Community Development Authority, Revenue Bonds, Los Angeles Jewish Home for the Aging, Series 2008, 4.500%, 11/15/19 | 5/18 at 100.00 | A– | 610,876 | ||||||||||||||
| 1,000 | Eden Township Healthcare District, California, Certificates of Participation, Installment Sale Agreement with Eden Hospital Health Services Corporation, Series 2010, 6.000%, 6/01/30 | 6/20 at 100.00 | BBB | 1,098,180 | ||||||||||||||
| 500 | La Verne, California, Certificates of Participation, Brethren Hillcrest Homes, Series 2003A, 5.600%, 2/15/33 – ACA Insured | 2/13 at 101.00 | BB | 502,140 | ||||||||||||||
| 12,040 | Total Long-Term Care | 12,934,406 | ||||||||||||||||
Tax Obligation/General – 20.4% | ||||||||||||||||||
| 1,000 | Acalanes Union High School District, Contra Costa County, California, General Obligation Bonds, Refunding Series 2010A, 0.000%, 8/01/26 | No Opt. Call | Aa1 | 578,240 | ||||||||||||||
| 1,000 | Baldwin Park Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2002 Series 2006, 0.000%, 8/01/20 – AMBAC Insured | 8/16 at 83.04 | A+ | 724,030 | ||||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2009: | ||||||||||||||||||
| 600 | 5.625%, 4/01/26 | 4/19 at 100.00 | A1 | 710,952 | ||||||||||||||
| 5,000 | 5.500%, 11/01/34 | 11/19 at 100.00 | A1 | 5,784,750 | ||||||||||||||
| 4,060 | 6.000%, 11/01/39 | 11/19 at 100.00 | A1 | 4,844,351 | ||||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2010: | ||||||||||||||||||
| 5,000 | 5.250%, 3/01/30 | 3/20 at 100.00 | A1 | 5,756,000 | ||||||||||||||
| 10,000 | 5.500%, 3/01/40 | 3/20 at 100.00 | A1 | 11,476,198 | ||||||||||||||
| 4,000 | 5.250%, 11/01/40 | 11/20 at 100.00 | A1 | 4,531,240 | ||||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2011: | ||||||||||||||||||
| 11,515 | 5.250%, 9/01/25 | 9/21 at 100.00 | A1 | 13,723,460 | ||||||||||||||
| 2,500 | 5.250%, 10/01/27 | 10/21 at 100.00 | A1 | 2,947,550 | ||||||||||||||
| 4,000 | 5.250%, 10/01/32 | 10/21 at 100.00 | A1 | 4,606,080 | ||||||||||||||
| 2,480 | 5.000%, 9/01/41 | 9/21 at 100.00 | A1 | 2,723,883 | ||||||||||||||
| 1,000 | 5.000%, 10/01/41 | 10/21 at 100.00 | A1 | 1,099,080 | ||||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2012: | ||||||||||||||||||
| 4,500 | 5.250%, 2/01/28 | No Opt. Call | A1 | 5,298,885 | ||||||||||||||
| 2,000 | 5.250%, 4/01/35 | 4/22 at 100.00 | A1 | 2,283,700 | ||||||||||||||
| 855 | Central Unified School District, Fresno County, California, General Obligation Bonds, Election 2008 Series 2009A, 5.625%, 8/01/33 – AGC Insured | 8/19 at 100.00 | AA– | 987,012 | ||||||||||||||
| 34 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/General (continued) | ||||||||||||||||||
| $ | 6,900 | Central Unified School District, Fresno County, California, General Obligation Bonds, Series 2006B, 5.000%, 8/01/31 – AGM Insured | 8/16 at 100.00 | AA– | $ | 7,375,893 | ||||||||||||
| 1,000 | College of the Sequoias Visalia Area Improvement District 2, Tulare County, California, General Obligation Bonds, Sequoias Community College District, Election 2008 Series 2009A, 5.250%, 8/01/29 – AGC Insured | 8/19 at 100.00 | AA– | 1,133,900 | ||||||||||||||
| 500 | Corona-Norco Unified School District, Riverside County, California, General Obligation Bonds, Capital Appreciation, Election 2006 Refunding Series 2009C, 0.000%, 8/01/39 – AGM Insured | 8/27 at 100.00 | Aa2 | 487,285 | ||||||||||||||
| 500 | Corona-Norco Unified School District, Riverside County, California, General Obligation Bonds, Election 2006 Series 2009B, 5.375%, 2/01/34 – AGC Insured | 8/18 at 100.00 | Aa2 | 560,905 | ||||||||||||||
| 1,705 | Cupertino Union School District, Santa Clara County, California, General Obligation Bonds, Series 2010D, 0.000%, 8/01/30 | 8/20 at 52.75 | Aa1 | 644,405 | ||||||||||||||
| 350 | Desert Sands Unified School District, Riverside County, California, General Obligation Bonds, Election 2001, Series 2008, 5.250%, 8/01/23 | 8/18 at 100.00 | Aa2 | 413,557 | ||||||||||||||
| 1,185 | Folsom Cordova Unified School District, Sacramento County, California, General Obligation Bonds, School Facilities Improvement District 2, Series 2004B, 5.000%, 10/01/27 – AGM Insured | 10/14 at 100.00 | AA– | 1,273,093 | ||||||||||||||
Golden West Schools Financing Authority, California, General Obligation Revenue Refunding Bonds, School District Program, Series 1999A: | ||||||||||||||||||
| 670 | 5.700%, 2/01/13 – NPFG Insured | No Opt. Call | BBB | 682,114 | ||||||||||||||
| 770 | 5.750%, 2/01/14 – NPFG Insured | No Opt. Call | BBB | 815,245 | ||||||||||||||
| 320 | 5.800%, 8/01/22 – NPFG Insured | No Opt. Call | BBB | 392,685 | ||||||||||||||
| 345 | 5.800%, 8/01/23 – NPFG Insured | No Opt. Call | BBB | 425,868 | ||||||||||||||
| 950 | Grossmont Union High School District, San Diego County, California, General Obligation Bonds, Series 2009A, 5.500%, 8/01/31 | 8/19 at 100.00 | Aa2 | 1,109,277 | ||||||||||||||
| 600 | Hemet Unified School District, Riverside County, California, General Obligation Bonds, Series 2008B, 5.000%, 8/01/30 – AGC Insured | 8/16 at 102.00 | AA– | 652,944 | ||||||||||||||
Jefferson Union High School District, San Mateo County, California, General Obligation Bonds, Series 2000A: | ||||||||||||||||||
| 300 | 6.250%, 2/01/14 – NPFG Insured | No Opt. Call | A+ | 318,942 | ||||||||||||||
| 460 | 6.250%, 8/01/20 – NPFG Insured | No Opt. Call | A+ | 570,460 | ||||||||||||||
| 1,460 | Jurupa Unified School District, Riverside County, California, General Obligation Bonds, Series 2004, 5.000%, 8/01/24 – FGIC Insured | 8/13 at 100.00 | AA– | 1,512,545 | ||||||||||||||
| 500 | Long Beach Unified School District, Los Angeles County, California, General Obligation Bonds, Election of 2008, Series 2009A, 5.500%, 8/01/29 | 8/19 at 100.00 | Aa2 | 592,105 | ||||||||||||||
| 100 | Los Angeles Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2009D, 5.000%, 1/01/34 | 7/19 at 100.00 | Aa2 | 112,962 | ||||||||||||||
| 100 | Lucia Mar Unified School District, San Luis Obispo County, California, General Obligation Bonds, Refunding Series 2005, 5.250%, 8/01/22 – FGIC Insured | No Opt. Call | Aa2 | 130,537 | ||||||||||||||
| 2,405 | Oak Valley Hospital District, Stanislaus County, California, General Obligation Bonds, Series 2005, 5.000%, 7/01/31 – FGIC Insured | 7/14 at 101.00 | A1 | 2,469,021 | ||||||||||||||
| 1,155 | Pittsburg Unified School District, Contra Costa County, California, General Obligation Bonds, Series 2009B, 5.500%, 8/01/34 – AGM Insured | 8/18 at 100.00 | AA– | 1,318,178 | ||||||||||||||
| 855 | Pomona Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2001A, 5.950%, 2/01/17 – NPFG Insured | No Opt. Call | A | 994,587 | ||||||||||||||
| 5,000 | Poway Unified School District, San Diego County, California, School Facilities Improvement District 2007-1 General Obligation Bonds, Series 2009A, 0.000%, 8/01/29 | No Opt. Call | Aa2 | 2,295,600 | ||||||||||||||
| 50 | Puerto Rico Government Development Bank, Senior Note Revenue Bonds, Senior Lien, Series 2006B, 5.000%, 12/01/14 | No Opt. Call | Baa1 | 53,392 | ||||||||||||||
| 1,000 | Puerto Rico, General Obligation and Public Improvement Bonds, Series 1996, 6.500%, 7/01/15 – AGM Insured | No Opt. Call | AA | 1,139,390 | ||||||||||||||
| Nuveen Investments | 35 |
Portfolio of Investments (Unaudited)
Nuveen California Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/General (continued) | ||||||||||||||||||
| $ | 545 | Roseville Joint Union High School District, Placer County, California, General Obligation Bonds, Series 2006B, 5.000%, 8/01/27 – FGIC Insured | 8/15 at 100.00 | AA+ | $ | 600,628 | ||||||||||||
| 4,070 | San Benito Health Care District, California, General Obligation Bonds, Series 2005, 5.000%, 7/01/31 – SYNCORA GTY Insured | 7/14 at 101.00 | BBB+ | 4,142,283 | ||||||||||||||
| 1,265 | San Bernardino Community College District, California, General Obligation Bonds, Series 2008A, 6.500%, 8/01/27 | 8/18 at 100.00 | Aa2 | 1,556,911 | ||||||||||||||
| 2,000 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Series 2009A, 0.000%, 7/01/33 | 7/24 at 100.00 | Aa2 | 1,572,240 | ||||||||||||||
| 1,000 | Santa Ana Unified School District, Orange County, California, General Obligation Bonds, Series 2008A, 5.250%, 8/01/28 | 8/18 at 100.00 | Aa2 | 1,120,260 | ||||||||||||||
| 1,000 | Santa Barbara Community College District, California, General Obligation Bonds, Series 2008A, 5.250%, 8/01/27 | 8/18 at 100.00 | AA+ | 1,193,100 | ||||||||||||||
| 5,000 | Southwestern Community College District, San Diego County, California, General Obligation Bonds, Election of 2008, Series 2011C, 5.250%, 8/01/36 | 8/21 at 100.00 | Aa2 | 5,821,150 | ||||||||||||||
| 3,040 | Sulphur Springs Union School District, Los Angeles County, California, General Obligation Bonds, Series 1991A, 0.000%, 9/01/15 – NPFG Insured | No Opt. Call | BBB | 2,886,723 | ||||||||||||||
| 8,500 | Tahoe Forest Hospital District, Placer and Nevada Counties, California, General Obligation Bonds, Series 2010B, 5.500%, 8/01/35 | 8/18 at 100.00 | Aa3 | 9,480,473 | ||||||||||||||
Tulare Local Health Care District, California, General Obligation Bonds, Series 2009B-1: | ||||||||||||||||||
| 500 | 6.375%, 8/01/25 | 8/19 at 100.00 | A1 | 599,020 | ||||||||||||||
| 1,005 | 6.500%, 8/01/26 | 8/19 at 100.00 | A1 | 1,206,874 | ||||||||||||||
| 1,530 | Victor Valley Community College District, San Bernardino County, California, General Obligation Bonds, Election of 2008 Series 2009A, 5.000%, 8/01/31 | 8/19 at 100.00 | Aa2 | 1,691,124 | ||||||||||||||
| 2,000 | Victor Valley Union High School District, San Bernardino County, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/31 – AGC Insured | 8/26 at 100.00 | AA– | 1,502,280 | ||||||||||||||
| 1,000 | Washington Unified School District, Yolo County, California, General Obligation Bonds, Series 2004A, 5.000%, 8/01/22 – FGIC Insured | 8/13 at 100.00 | AA– | 1,035,990 | ||||||||||||||
| 1,100 | West Contra Costa Unified School District, Contra Costa County, California, General Obligation Bonds, Series 2008B, 6.000%, 8/01/24 | No Opt. Call | Aa3 | 1,413,489 | ||||||||||||||
| 770 | West Covina Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2002A Refunding, 5.350%, 2/01/20 – NPFG Insured | No Opt. Call | A+ | 902,009 | ||||||||||||||
| 1,000 | Whittier Union High School District, Los Angeles County, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/34 | 8/19 at 38.81 | AA– | 270,630 | ||||||||||||||
| 3,500 | Yosemite Community College District, California, General Obligation Bonds, Capital Appreciation, Election 2004, Series 2010D, 0.000%, 8/01/42 | No Opt. Call | Aa2 | 1,474,480 | ||||||||||||||
| 127,515 | Total Tax Obligation/General | 134,019,965 | ||||||||||||||||
Tax Obligation/Limited – 34.8% | ||||||||||||||||||
| 4,915 | Alameda County Redevelopment Agency, California, Eden Area Redevelopment Project, Tax Allocation Bonds, Series 2006A, 5.000%, 8/01/36 – NPFG Insured | 8/16 at 100.00 | A– | 4,978,404 | ||||||||||||||
| 1,000 | Anitoch Area Public Facilities Financing Agency, California, Special Tax Bonds, Community Facilities District 1989-1, Refunding Series 2006, 4.000%, 8/01/18 – AMBAC Insured | 8/16 at 100.00 | A1 | 1,035,620 | ||||||||||||||
Apple Valley Public Financing Authority, California, Lease Revenue Bonds, Town Hall Annex Project, Series 2007A: | ||||||||||||||||||
| 485 | 4.500%, 9/01/17 – AMBAC Insured | No Opt. Call | A– | 554,709 | ||||||||||||||
| 500 | 5.000%, 9/01/27 – AMBAC Insured | 9/17 at 100.00 | A– | 546,400 | ||||||||||||||
| 105 | Barstow Redevelopment Agency, California, Tax Allocation Bonds, Central Redevelopment Project, Series 1994A, 7.000%, 9/01/14 – NPFG Insured | No Opt. Call | BBB | 110,473 | ||||||||||||||
| 36 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 1,000 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 17B, Series 2011A, 6.125%, 9/01/31 | 9/21 at 100.00 | N/R | $ | 1,072,500 | ||||||||||||
| 1,655 | Bell Community Housing Authority, California, Lease Revenue Bonds, Series 2005, 5.000%, 10/01/36 – AMBAC Insured | 10/15 at 100.00 | N/R | 1,233,703 | ||||||||||||||
| 2,250 | Brea and Olinda Unified School District, Orange County, California, Certificates of Participation Refunding, Series 2002A, 5.125%, 8/01/26 – AGM Insured | 11/12 at 100.00 | AA– | 2,257,718 | ||||||||||||||
Brea Public Finance Authority, California, Revenue Bonds, Series 2008A: | ||||||||||||||||||
| 2,105 | 7.000%, 9/01/23 | 9/16 at 102.00 | BBB+ | 2,293,692 | ||||||||||||||
| 2,000 | 7.125%, 9/01/26 | 9/16 at 102.00 | BBB+ | 2,170,020 | ||||||||||||||
| 1,960 | California Infrastructure and Economic Development Bank, Revenue Bonds, North County Center for Self-Sufficiency Corporation, Series 2004, 5.000%, 12/01/25 – AMBAC Insured | 12/13 at 100.00 | AA+ | 2,063,900 | ||||||||||||||
| 540 | California State Public Works Board, Lease Revenue Bonds, Department of Mental Health, Coalinga State Hospital, Series 2004A, 5.500%, 6/01/16 | 6/14 at 100.00 | A2 | 583,438 | ||||||||||||||
| 2,500 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2009G-1, 5.750%, 10/01/30 | 10/19 at 100.00 | A2 | 2,948,825 | ||||||||||||||
| 2,000 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2009-I, 6.375%, 11/01/34 | 11/19 at 100.00 | A2 | 2,428,680 | ||||||||||||||
| 3,000 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2010A-1, 6.000%, 3/01/35 | 3/20 at 100.00 | A2 | 3,550,680 | ||||||||||||||
| 685 | Capistrano Unified School District, Orange County, California, Special Tax Bonds, Community Facilities District, Series 2005, 5.000%, 9/01/24 – FGIC Insured | 9/15 at 100.00 | BBB | 703,988 | ||||||||||||||
| 225 | Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Housing Set-Aside, Series 2002D, 5.000%, 8/01/26 – NPFG Insured | 8/14 at 100.00 | A | 228,573 | ||||||||||||||
| 740 | Cerritos Public Financing Authority, California, Tax Allocation Revenue Bonds, Los Cerritos Redevelopment Projects, Series 2002A, 5.000%, 11/01/15 – AMBAC Insured | No Opt. Call | A– | 802,315 | ||||||||||||||
Chino Public Financing Authority, California, Revenue Refunding Bonds, Series 2012: | ||||||||||||||||||
| 1,000 | 5.000%, 9/01/30 | 9/22 at 100.00 | N/R | 1,039,090 | ||||||||||||||
| 1,160 | 5.000%, 9/01/34 | 9/22 at 100.00 | N/R | 1,183,803 | ||||||||||||||
| 310 | 5.000%, 9/01/38 | 9/22 at 100.00 | N/R | 313,897 | ||||||||||||||
| 1,400 | Chula Vista Public Financing Authority, California, Pooled Community Facility District Assessment Revenue Bonds, Series 2005A, 5.000%, 9/01/29 – NPFG Insured | 9/15 at 100.00 | BBB | 1,413,958 | ||||||||||||||
| 635 | Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Housing Second Lien Series 2010A, 5.500%, 8/01/30 | 8/20 at 100.00 | BBB– | 630,682 | ||||||||||||||
| 1,420 | Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Second Lien Series 2010B, 5.000%, 8/01/25 | 8/20 at 100.00 | BBB– | 1,407,944 | ||||||||||||||
| 1,060 | Davis Redevelopment Agency, California, Tax Allocation Bonds, Davis Redevelopment Project, Subordinate Series 2011A, 7.000%, 12/01/36 | 12/21 at 100.00 | A+ | 1,285,017 | ||||||||||||||
| 6,265 | Escondido Joint Powers Financing Authority, California, Lease Revenue Bonds, Water System Financing, Series 2012, 5.000%, 9/01/41 | No Opt. Call | AA– | 6,973,446 | ||||||||||||||
| 1,650 | Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Revenue Bonds, Series 2005A, 4.550%, 6/01/22 – AGM Insured | 6/18 at 100.00 | AA– | 1,735,503 | ||||||||||||||
| 6,715 | Hawthorne Community Redevelopment Agency, California, Project Area 2 Tax Allocation Bonds, Series 2006, 5.000%, 9/01/26 – SYNCORA GTY Insured | 9/16 at 100.00 | A– | 6,927,866 | ||||||||||||||
| 2,075 | Hesperia Community Redevelopment Agency, California, Tax Allocation Bonds, Series 2005A, 5.000%, 9/01/35 – SYNCORA GTY Insured | 9/15 at 100.00 | BB+ | 1,843,970 | ||||||||||||||
| Nuveen Investments | 37 |
Portfolio of Investments (Unaudited)
Nuveen California Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 1,660 | Highland, California, Special Tax Bonds, Communitiy Facilities District 01-1, Refunding, Series 2011, 5.500%, 9/01/28 | 9/21 at 100.00 | BBB | $ | 1,797,714 | ||||||||||||
Inglewood Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment Project, Subordinate Lien Series 2007A-1: | ||||||||||||||||||
| 430 | 5.000%, 5/01/24 – AMBAC Insured | 5/17 at 100.00 | BBB+ | 438,751 | ||||||||||||||
| 1,155 | 5.000%, 5/01/25 – AMBAC Insured | 5/17 at 100.00 | BBB+ | 1,175,109 | ||||||||||||||
| 740 | Irvine, California, Unified School District, Community Facilities District 06-1 Special Tax Bonds, Series 2010, 6.700%, 9/01/35 | 9/20 at 100.00 | N/R | 849,439 | ||||||||||||||
Irvine, California, Unified School District, Community Facilities District Special Tax Bonds, Series 2006A: | ||||||||||||||||||
| 170 | 5.000%, 9/01/26 | 9/16 at 100.00 | N/R | 175,719 | ||||||||||||||
| 395 | 5.125%, 9/01/36 | 9/16 at 100.00 | N/R | 402,209 | ||||||||||||||
| 335 | Irwindale Community Redevelopment Agency, California, Tax Allocation Bonds, City Industrial Development Project, Subordinate Lien Refunding Series 2006, 5.000%, 12/01/18 – AMBAC Insured | No Opt. Call | BBB+ | 363,364 | ||||||||||||||
Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 25 Eastvale Area, Series 2008A: | ||||||||||||||||||
| 1,000 | 8.375%, 9/01/28 | 9/18 at 100.00 | N/R | 1,167,740 | ||||||||||||||
| 3,205 | 8.875%, 9/01/38 | 9/18 at 100.00 | N/R | 3,742,575 | ||||||||||||||
| 1,300 | Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area C, Series 2010A, 6.250%, 9/01/40 | 9/18 at 100.00 | N/R | 1,339,494 | ||||||||||||||
| 500 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 | 8/19 at 100.00 | BBB+ | 569,380 | ||||||||||||||
| 2,500 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas, Subordinate Lien Series 2003B, 5.000%, 8/01/34 – FGIC Insured | 8/13 at 100.00 | BBB+ | 2,454,175 | ||||||||||||||
| 1,870 | Lancaster Redevelopment Agency, California, Tax Allocation Refunding Bonds, Combined Area Sheriff’s Facilities Projects, Series 2004, 5.000%, 12/01/23 – SYNCORA GTY Insured | 12/14 at 100.00 | A | 1,961,069 | ||||||||||||||
Lancaster Redevelopment Agency, California, Tax Allocation Refunding Bonds, Combined Fire Protection Facilities Project, Series 2004: | ||||||||||||||||||
| 800 | 5.250%, 12/01/17 – SYNCORA GTY Insured | 12/14 at 100.00 | A | 854,872 | ||||||||||||||
| 1,120 | 5.000%, 12/01/23 – SYNCORA GTY Insured | 12/14 at 100.00 | A | 1,179,315 | ||||||||||||||
| 4,555 | Long Beach Bond Finance Authority, California, Multiple Project Tax Allocation Bonds, Housing and Gas Utility Financing Project Areas, Series 2005A-1, 5.000%, 8/01/35 – AMBAC Insured | 8/15 at 100.00 | BBB+ | 4,590,438 | ||||||||||||||
Los Angeles Community Redevelopment Agency, California, Lease Revenue Bonds, Manchester Social Services Project, Series 2005: | ||||||||||||||||||
| 1,200 | 5.000%, 9/01/16 – AMBAC Insured | 9/15 at 100.00 | A1 | 1,341,432 | ||||||||||||||
| 2,460 | 5.000%, 9/01/37 – AMBAC Insured | 9/15 at 100.00 | A1 | 2,519,458 | ||||||||||||||
| 2,565 | Los Angeles Community Redevelopment Agency, California, Subordinate Lien Tax Allocation Bonds, Bunker Hill Redevelopment Project, Series 2004L, 5.000%, 3/01/17 | 3/13 at 100.00 | BBB– | 2,585,802 | ||||||||||||||
| 1,000 | Los Angeles Community Redevelopment Agency, California, Tax Allocation Bonds, Bunker Hill Project, Series 2004A, 5.000%, 12/01/20 – AGM Insured | 12/14 at 100.00 | AA– | 1,083,440 | ||||||||||||||
| 330 | Los Angeles, California, Certificates of Participation, Department of Public Social Services, Sonnenblick Del Rio West LA, Senior Lien Series 2000, 6.000%, 11/01/19 – AMBAC Insured | 11/12 at 100.00 | A2 | 331,010 | ||||||||||||||
| 325 | Maywood Community Development Commission, California, Tax Allocation Bonds, Merged Maywood Redevelopement Project Area, Series 2007, 4.500%, 8/01/37 – RAAI Insured | 8/17 at 102.00 | N/R | 257,065 | ||||||||||||||
| 970 | Milpitas, California, Local Improvement District 20 Limited Obligation Bonds, Series 1998A, 5.700%, 9/02/18 | 3/13 at 103.00 | N/R | 1,007,277 | ||||||||||||||
| 38 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2003-1, Series 2004: | ||||||||||||||||||
| $ | 805 | 5.550%, 9/01/29 | 9/14 at 100.00 | N/R | $ | 826,429 | ||||||||||||
| 1,250 | 5.650%, 9/01/34 | 9/14 at 100.00 | N/R | 1,280,138 | ||||||||||||||
| 7,100 | Murrieta Redevelopment Agency, California, Tax Allocation Bonds, Series 2007A, 5.000%, 8/01/37 – NPFG Insured | 8/17 at 100.00 | A– | 7,206,287 | ||||||||||||||
| 350 | Murrieta, California, Special Tax Bonds, Community Facilities District 2000-2, The Oaks Improvement Area A, Series 2004A, 5.750%, 9/01/20 | 9/14 at 100.00 | N/R | 361,592 | ||||||||||||||
National City Community Development Commission, California, Tax Allocation Bonds, National City Redevelopment Project, Series 2011: | ||||||||||||||||||
| 625 | 6.500%, 8/01/24 | 8/21 at 100.00 | A– | 772,063 | ||||||||||||||
| 2,705 | 7.000%, 8/01/32 | 8/21 at 100.00 | A– | 3,378,788 | ||||||||||||||
| 1,000 | Norco Redevelopment Agency, California, Tax Allocation Refunding Bonds, Project Area 1, Refunding Series 2010, 6.000%, 3/01/36 | 3/20 at 100.00 | A | 1,100,270 | ||||||||||||||
| 300 | Norco, California, Community Facilities District 97-1, Norco Hills, Special Tax Refunding Series 2005, 4.875%, 10/01/30 – AGC Insured | 10/15 at 100.00 | AA– | 309,600 | ||||||||||||||
| 230 | Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment Project, Series 2011, 6.750%, 9/01/40 | 9/21 at 100.00 | A– | 265,374 | ||||||||||||||
| 2,070 | Oakland Redevelopment Agency, California, Subordinate Lien Tax Allocation Bonds, Central District Redevelopment Project, Series 2003, 5.500%, 9/01/16 – FGIC Insured | 3/13 at 100.00 | A– | 2,107,922 | ||||||||||||||
| 1,000 | Palm Desert Finance Authority, California, Tax Allocation Revenue Bonds, Project Area 4, Refunding Series 2006A, 5.000%, 10/01/29 – NPFG Insured | 10/16 at 100.00 | A– | 1,023,480 | ||||||||||||||
| 2,350 | Palm Desert Financing Authority, California, Housing Set Aside Tax Allocation Bonds, Refunding Series 2007, 5.000%, 10/01/22 – NPFG Insured | 10/17 at 100.00 | Baa2 | 2,454,857 | ||||||||||||||
| 2,500 | Palm Drive Health Care District, Sonoma County, California, Certificates of Participation, Parcel Tax Secured Financing Program, Series 2010, 7.500%, 4/01/35 | 4/13 at 102.00 | BB | 2,563,775 | ||||||||||||||
| 14,050 | Paramount Redevelopment Agency, California, Tax Allocation Refunding Bonds, Redevelopment Project Area 1, Series 1998, 0.000%, 8/01/26 – NPFG Insured | No Opt. Call | A– | 6,536,341 | ||||||||||||||
Perris Union High School District Financing Authority, Riverside County, California, Revenue Bonds, Series 2011: | ||||||||||||||||||
| 225 | 6.000%, 9/01/33 | 3/13 at 103.00 | N/R | 232,853 | ||||||||||||||
| 490 | 6.125%, 9/01/41 | 3/13 at 103.00 | N/R | 506,856 | ||||||||||||||
| 3,355 | Pittsburg Redevelopment Agency, California, Tax Allocation Bonds, Los Medanos Community Development Project, Refunding Series 2008A, 6.500%, 9/01/28 | 9/18 at 100.00 | BBB | 3,622,662 | ||||||||||||||
| 1,600 | Pomona Public Financing Authority, California, Merged Projects Revenue Bonds, Series 2007AS, 5.000%, 2/01/31 – AMBAC Insured | 2/17 at 100.00 | A | 1,651,376 | ||||||||||||||
| 750 | Poway Redevelopment Agency, California, Tax Allocation Bonds, Paugay Redevelopment Project, Series 2003A, 5.250%, 6/15/20 – NPFG Insured | 6/13 at 100.00 | A | 761,730 | ||||||||||||||
| 2,300 | Poway Redevelopment Agency, California, Tax Allocation Bonds, Paugay Redevelopment Project, Series 2007, 5.000%, 6/15/30 – NPFG Insured | 6/17 at 100.00 | A | 2,356,350 | ||||||||||||||
| 650 | Poway Unified School District, San Diego County, California, Special Tax Bonds, Community Facilities District 6, Series 2005, 5.000%, 9/01/23 | 3/13 at 103.00 | BBB+ | 668,207 | ||||||||||||||
| 25 | Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 1993X, 5.500%, 7/01/15 – NPFG Insured | No Opt. Call | A3 | 27,330 | ||||||||||||||
| 500 | Ramona Unified School District, San Diego County, California, Certificates of Participation, Refunding Series 2007, 5.000%, 5/01/32 – NPFG Insured | 5/17 at 100.00 | A | 515,585 | ||||||||||||||
Rancho Cucamonga Redevelopment Agency, California, Housing Set-Aside Tax Allocation Bonds, Series 2007A: | ||||||||||||||||||
| 310 | 4.125%, 9/01/18 – NPFG Insured | 9/17 at 100.00 | A+ | 320,760 | ||||||||||||||
| 500 | 5.000%, 9/01/34 – NPFG Insured | 9/17 at 100.00 | A+ | 507,060 | ||||||||||||||
| Nuveen Investments | 39 |
Portfolio of Investments (Unaudited)
Nuveen California Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
| $ | 630 | Rancho Cucamonga Redevelopment Agency, California, Tax Allocation Revenue Bonds, Rancho Redevelopment Project, Series 2004, 4.500%, 9/01/32 – AMBAC Insured | 9/14 at 100.00 | A+ | $ | 630,655 | ||||||||||||
| 1,645 | Rancho Cucamonga, California, Limited Obligation Improvement Bonds, Masi Plaza Assessment District 93-1, Series 1997, 6.250%, 9/02/22 | 3/13 at 100.00 | N/R | 1,662,256 | ||||||||||||||
| 1,045 | Rancho Santa Fe CSD Financing Authority, California, Revenue Bonds, Superior Lien Series 2011A, 5.750%, 9/01/30 | 9/21 at 100.00 | BBB+ | 1,148,915 | ||||||||||||||
| 595 | Rialto Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2005A, 5.000%, 9/01/35 – SYNCORA GTY Insured | 9/15 at 100.00 | A– | 601,182 | ||||||||||||||
| 2,345 | Richmond Redevelopment Agency, California, Harbour Project Tax Allocation Bonds, Series 1998A Refunding, 5.500%, 7/01/18 – NPFG Insured | 11/12 at 100.00 | AA– | 2,353,512 | ||||||||||||||
| 260 | Riverside County Public Financing Authority, California, Tax Allocation Bonds, Multiple Projects, Series 2005A, 5.000%, 10/01/24 – SYNCORA GTY Insured | No Opt. Call | BBB | 261,685 | ||||||||||||||
| 2,950 | Riverside County Redevelopment Agency, California, Interstate 215 Corridor Redevelopment Project Area Tax Allocation Bonds, Series 2010E, 6.250%, 10/01/30 | 10/20 at 100.00 | A– | 3,285,887 | ||||||||||||||
| 100 | Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Jurupa Valley Project Area, Series 2011B, 6.500%, 10/01/25 | 10/21 at 100.00 | A– | 111,690 | ||||||||||||||
| 1,250 | Riverside Unified School District Finance Authority, Riverside County, California, Revenue Bonds Series 2012A, 5.000%, 9/01/32 | 9/22 at 100.00 | A– | 1,371,100 | ||||||||||||||
| 740 | Roseville, California, Certificates of Participation, Public Facilities, Series 2003A, 5.000%, 8/01/25 – AMBAC Insured | 8/13 at 100.00 | AA– | 752,069 | ||||||||||||||
| 3,560 | Roseville, California, Special Tax Bonds, Community Facilities District 1 – Woodcreek West, Series 2005, 5.000%, 9/01/30 – AMBAC Insured | 9/15 at 100.00 | A– | 3,621,908 | ||||||||||||||
| 1,700 | Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993A, 5.400%, 11/01/20 – AMBAC Insured | No Opt. Call | A1 | 1,941,502 | ||||||||||||||
| 500 | Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993B, 5.400%, 11/01/20 | No Opt. Call | A1 | 573,950 | ||||||||||||||
| 850 | San Bernardino County Redevelopment Agency, California, Tax Allocation Refunding Bonds, San Sevaine Project, Series 2005A, 5.000%, 9/01/16 – RAAI Insured | 9/15 at 100.00 | BBB | 887,494 | ||||||||||||||
| 1,955 | San Francisco City and County Redevelopment Agency, California, Hotel Occupancy Tax Revenue Bonds, Refunding Series 2011, 5.000%, 6/01/25 – AGM Insured | 6/21 at 100.00 | AA– | 2,226,100 | ||||||||||||||
| 5,180 | San Francisco City and County, California, Certificates of Participation, Refunding Series 2010A, 5.000%, 10/01/30 | 10/20 at 100.00 | AA– | 5,904,630 | ||||||||||||||
San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds, Mission Bay North Redevelopment Project, Series 2006B: | ||||||||||||||||||
| 325 | 4.100%, 8/01/14 – RAAI Insured | No Opt. Call | A– | 335,036 | ||||||||||||||
| 250 | 4.250%, 8/01/16 – RAAI Insured | No Opt. Call | A– | 262,595 | ||||||||||||||
| 380 | 4.375%, 8/01/18 – RAAI Insured | 8/16 at 100.00 | A– | 392,133 | ||||||||||||||
| 1,185 | San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds, Mission Bay North Redevelopment Project, Series 2011C, 6.750%, 8/01/41 | 2/21 at 100.00 | A– | 1,387,149 | ||||||||||||||
San Francisco Redevelopment Financing Authority, California, Tax Allocation Revenue Bonds, Mission Bay South Redevelopment Project, Series 2011D: | ||||||||||||||||||
| 80 | 7.000%, 8/01/33 | 2/21 at 100.00 | BBB | 92,485 | ||||||||||||||
| 105 | 7.000%, 8/01/41 | 2/21 at 100.00 | BBB | 119,975 | ||||||||||||||
| 3,500 | San Jose Redevelopment Agency, California, Housing Set-Aside Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2010A-1, 5.500%, 8/01/35 | 8/20 at 100.00 | A | 3,549,140 | ||||||||||||||
| 40 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2006C: | ||||||||||||||||||
| $ | 590 | 5.000%, 8/01/25 – NPFG Insured | 8/17 at 100.00 | BBB | $ | 595,859 | ||||||||||||
| 1,560 | 5.000%, 8/01/26 – NPFG Insured | 8/17 at 100.00 | BBB | 1,576,864 | ||||||||||||||
San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2006D: | ||||||||||||||||||
| 1,900 | 5.000%, 8/01/18 – AMBAC Insured | 8/17 at 100.00 | BBB | 1,955,765 | ||||||||||||||
| 645 | 5.000%, 8/01/19 – AMBAC Insured | 8/17 at 100.00 | BBB | 655,926 | ||||||||||||||
| 540 | 5.000%, 8/01/21 – AMBAC Insured | 8/17 at 100.00 | BBB | 549,148 | ||||||||||||||
San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2008B: | ||||||||||||||||||
| 1,025 | 6.375%, 8/01/21 | 8/18 at 100.00 | BBB | 1,119,925 | ||||||||||||||
| 480 | 6.500%, 8/01/23 | 8/18 at 100.00 | BBB | 525,451 | ||||||||||||||
| 6,245 | San Marcos Redevelopment Agency, California, Tax Allocation Bonds, Affordable Housing Project, Series 1997A, 6.000%, 10/01/27 (Alternative Minimum Tax) | 10/12 at 100.00 | AA– | 6,256,928 | ||||||||||||||
| 315 | Sand City Redevelopment Agency, Monterrey County, California, Tax Allocation Revenue Bonds, Redevelopment Project, Series 2008A, 4.000%, 11/01/19 – AGC Insured | 11/18 at 100.00 | Aa3 | 329,673 | ||||||||||||||
| 2,140 | Santa Ana Community Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2011A, 6.750%, 9/01/28 | 3/21 at 100.00 | A+ | 2,511,675 | ||||||||||||||
| 3,500 | Santa Clara Redevelopment Agency, California, Tax Allocation Bonds, Bayshore North Project, Series 1999A, 5.500%, 6/01/23 – AMBAC Insured | 12/12 at 100.00 | A | 3,538,255 | ||||||||||||||
Santa Cruz County Redevelopment Agency, California, Tax Allocation Bonds, Live Oak-Soquel Community Improvement Project Area, Series 2009A: | ||||||||||||||||||
| 1,860 | 6.625%, 9/01/29 | 9/19 at 100.00 | A | 2,198,483 | ||||||||||||||
| 500 | 7.000%, 9/01/36 | 9/19 at 100.00 | A | 602,135 | ||||||||||||||
| 1,500 | Santee Community Development Commission, California, Santee Redevelopment Project Tax Allocation Bonds, Series 2011A, 6.500%, 8/01/26 | 2/21 at 100.00 | A | 1,749,585 | ||||||||||||||
| 3,425 | Shafter Joint Powers Financing Authority, California, Lease Revenue Bonds, Community Correctional Facility Acquisition Project, Series 1997A, 6.050%, 1/01/17 | 1/13 at 100.00 | A3 | �� | 3,435,857 | |||||||||||||
| 180 | Signal Hill Redevelopment Agency, California, Project 1 Tax Allocation Bonds, Series 2011, 7.000%, 10/01/26 | 4/21 at 100.00 | N/R | 198,394 | ||||||||||||||
| 205 | Soledad Redevelopment Agency, California, Tax Allocation Bonds, Soledad Redevelopment Project, Series 2007A, 4.500%, 12/01/16 – SYNCORA GTY Insured | No Opt. Call | BB+ | 193,231 | ||||||||||||||
South Tahoe Redevelopment Agency, California, Community Facilities District 2001-1 , Heavenly Village, Special Tax Refunding Bonds, Series 2007: | ||||||||||||||||||
| 120 | 4.400%, 10/01/15 | No Opt. Call | N/R | 127,700 | ||||||||||||||
| 125 | 4.500%, 10/01/16 | 10/15 at 102.00 | N/R | 134,595 | ||||||||||||||
| 280 | 4.600%, 10/01/18 | 10/15 at 102.00 | N/R | 297,466 | ||||||||||||||
| 1,300 | Temecula Public Financing Authority, California, Special Tax Bonds, Community Facilities District 03-01 Crowne Hill, Series 2012, 5.000%, 9/01/30 | 9/22 at 100.00 | BBB+ | 1,365,247 | ||||||||||||||
| 500 | Temecula Redevelopment Agency, California, Redevelopment Project 1 Tax Allocation Housing Bonds Series 2011A, 6.750%, 8/01/31 | 8/21 at 100.00 | A | 601,210 | ||||||||||||||
| 1,000 | Temecula Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Project 1, Series 2002, 5.250%, 8/01/36 – NPFG Insured | 11/12 at 100.00 | A– | 1,000,710 | ||||||||||||||
| Nuveen Investments | 41 |
Portfolio of Investments (Unaudited)
Nuveen California Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Tax Obligation/Limited (continued) | ||||||||||||||||||
Travis Unified School District, Solano County, California, Certificates of Participation, Series 2006: | ||||||||||||||||||
| $ | 300 | 4.500%, 9/01/16 – FGIC Insured | No Opt. Call | N/R | $ | 321,639 | ||||||||||||
| 6,700 | 5.000%, 9/01/31 – FGIC Insured | 9/16 at 100.00 | N/R | 6,721,641 | ||||||||||||||
| 2,500 | Tulare Public Financing Authority, California, Lease Revenue Bonds, Series 2008, 5.250%, 4/01/27 – AGC Insured | 4/18 at 100.00 | AA– | 2,814,500 | ||||||||||||||
| 1,225 | Turlock Public Financing Authority, California, Tax Allocation Revenue Bonds, Series 2011, 7.000%, 9/01/25 | 3/21 at 100.00 | BBB+ | 1,384,826 | ||||||||||||||
| 2,000 | Tustin, California, Community Facilities District 2007-1, Legacy-Retail Center Special Tax Bonds, 6.000%, 9/01/37 | 9/17 at 100.00 | N/R | 2,092,920 | ||||||||||||||
| 1,045 | Ukiah Redevelopment Agency, California, Tax Allocation Bonds, Ukiah Redevelopment Project, Series 2011A, 6.500%, 12/01/28 | 6/21 at 100.00 | A | 1,195,355 | ||||||||||||||
| 240 | Union City Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Project, Subordinate Lien Series 2011, 6.375%, 12/01/23 | 12/21 at 100.00 | A | 286,375 | ||||||||||||||
Upland, California, Special Tax Bonds, Community Facilities District 2003-2 Improvement Area 1 The Colonies at San Antonio, Series 2012: | ||||||||||||||||||
| 350 | 5.000%, 9/01/31 | 9/22 at 100.00 | BBB | 364,543 | ||||||||||||||
| 1,000 | 5.000%, 9/01/34 | 9/22 at 100.00 | BBB | 1,028,540 | ||||||||||||||
| 25 | Vernon Redevelopment Agency, California, Tax Allocation Bonds, Industrial Redevelopment Project, Series 2005, 5.000%, 9/01/35 – NPFG Insured | 9/15 at 100.00 | BBB | 25,083 | ||||||||||||||
Vista Community Development Commission, California, Taxable Non-Housing Tax Allocation Revenue Bonds, Vista Redevlopment Project, Series 2011: | ||||||||||||||||||
| 7,600 | 6.000%, 9/01/33 | 9/21 at 100.00 | A– | 8,540,728 | ||||||||||||||
| 7,920 | 6.125%, 9/01/37 | 9/21 at 100.00 | A– | 8,842,126 | ||||||||||||||
| 400 | West Sacramento Financing Authority, California, Special Tax Revenue Bonds, Series 2006A, 5.000%, 9/01/34 – SYNCORA GTY Insured | No Opt. Call | BBB+ | 408,060 | ||||||||||||||
| 320 | Yorba Linda Redevelopment Agency, Orange County, California, Tax Allocation Revenue Bonds, Yorba Linda Redevelopment Project, Subordinate Lien Series 2011A, 6.500%, 9/01/32 | 9/21 at 100.00 | A– | 366,554 | ||||||||||||||
| 1,965 | Yuba City Redevelopment Agency, California, Tax Allocation Bonds, Series 2007A, 6.000%, 9/01/31 | 9/14 at 100.00 | N/R | 1,997,855 | ||||||||||||||
| 223,635 | Total Tax Obligation/Limited | 229,247,221 | ||||||||||||||||
Transportation – 3.2% | ||||||||||||||||||
| 1,000 | Alameda Corridor Transportation Authority, California, Subordinate Lien Revenue Bonds, Series 2004A, 0.000%, 10/01/14 – AMBAC Insured | No Opt. Call | BBB+ | 947,990 | ||||||||||||||
| 6,500 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Series 1995A, 5.000%, 1/01/35 – NPFG Insured | 1/13 at 100.00 | BBB | 6,486,545 | ||||||||||||||
Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Refunding Bonds, Series 1999: | ||||||||||||||||||
| 2,750 | 5.875%, 1/15/28 | 1/14 at 101.00 | BBB– | 2,855,518 | ||||||||||||||
| 3,255 | 5.750%, 1/15/40 – NPFG Insured | 1/13 at 100.00 | BBB | 3,256,758 | ||||||||||||||
Palm Springs Financing Authority, California, Palm Springs International Airport Revenue Bonds, Series 2006: | ||||||||||||||||||
| 285 | 5.450%, 7/01/20 (Alternative Minimum Tax) | 7/14 at 102.00 | N/R | 286,442 | ||||||||||||||
| 215 | 5.550%, 7/01/28 (Alternative Minimum Tax) | 7/14 at 102.00 | N/R | 209,462 | ||||||||||||||
| 4,000 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2002, Issue 32G, 5.000%, 5/01/24 – FGIC Insured | 5/16 at 100.00 | A+ | 4,462,080 | ||||||||||||||
| 1,290 | San Francisco Airports Commission, California, Special Facilities Lease Revenue Bonds, San Francisco International Airport, SFO Fuel Company LLC, Series 1997A, 5.250%, 1/01/22 – AMBAC Insured (Alternative Minimum Tax) | 1/13 at 100.00 | A3 | 1,291,922 | ||||||||||||||
| 42 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Transportation (continued) | ||||||||||||||||||
| $ | 1,320 | San Francisco Airports Commission, California, Special Facilities Lease Revenue Bonds, San Francisco International Airport, SFO Fuel Company LLC, Series 2000A, 6.100%, 1/01/20 – AGM Insured (Alternative Minimum Tax) | 1/13 at 100.00 | AA– | $ | 1,323,973 | ||||||||||||
| 20,615 | Total Transportation | 21,120,690 | ||||||||||||||||
U.S. Guaranteed – 3.9% (4) | ||||||||||||||||||
| 210 | Barstow Redevelopment Agency, California, Tax Allocation Bonds, Central Redevelopment Project, Series 1994A, 7.000%, 9/01/14 – NPFG Insured (ETM) | No Opt. Call | BBB (4) | 223,396 | ||||||||||||||
| 500 | Bonita Unified School District, San Diego County, California, General Obligation Bonds, Series 2004A, 5.250%, 8/01/20 (Pre-refunded 8/01/14) – NPFG Insured | 8/14 at 100.00 | AA (4) | 547,640 | ||||||||||||||
| 7,740 | California Statewide Community Development Authority, Health Facility Revenue Refunding Bonds, Memorial Health Services, Series 2003A, 6.000%, 10/01/23 (Pre-refunded 4/01/13) | 4/13 at 100.00 | AA– (4) | 8,003,237 | ||||||||||||||
Central Unified School District, Fresno County, California, General Obligation Bonds, Series 2004A: | ||||||||||||||||||
| 1,000 | 5.500%, 7/01/22 (Pre-refunded 7/01/14) – FGIC Insured | 7/14 at 100.00 | A (4) | 1,087,560 | ||||||||||||||
| 1,500 | 5.500%, 7/01/24 (Pre-refunded 7/01/14) – FGIC Insured | 7/14 at 100.00 | A (4) | 1,631,340 | ||||||||||||||
| 2,500 | Daly City Housing Development Finance Agency, California, Mobile Home Park Revenue Bonds, Franciscan Mobile Home Park Project, Series 2002A, 5.800%, 12/15/25 (Pre-refunded 12/15/13) | 12/13 at 102.00 | A (4) | 2,724,450 | ||||||||||||||
| 2,525 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2003A-1, 6.250%, 6/01/33 (Pre-refunded 6/01/13) | 6/13 at 100.00 | Aaa | 2,634,408 | ||||||||||||||
| 2,500 | Los Angeles County Schools, California, Certificates of Participation, Pooled Financing Program, Regionalized Business Services Corporation, Series 2003A, 5.000%, 9/01/22 (Pre-refunded 9/01/13) – AGM Insured | 9/13 at 100.00 | AA– (4) | 2,616,150 | ||||||||||||||
| 1,495 | Los Angeles Harbors Department, California, Revenue Bonds, Series 1988, 7.600%, 10/01/18 (ETM) | No Opt. Call | AA+ (4) | 1,795,689 | ||||||||||||||
| 2,000 | Murrieta Valley Unified School District, Riverside County, California, General Obligation Bonds, Series 2003A, 5.000%, 9/01/26 (Pre-refunded 9/01/13) – FGIC Insured | 9/13 at 100.00 | A+ (4) | 2,095,600 | ||||||||||||||
| 435 | Oakland, California, General Obligation Bonds, Series 2003A, 5.000%, 1/15/26 (Pre-refunded 1/15/13) – NPFG Insured | 1/13 at 100.00 | Aa2 (4) | 442,673 | ||||||||||||||
| 75 | Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 1993X, 5.500%, 7/01/15 – NPFG Insured (ETM) | No Opt. Call | A3 (4) | 83,308 | ||||||||||||||
| 1,505 | San Mateo Union High School District, San Mateo County, California, Certificates of Participation, Phase 1, Series 2007A, 5.000%, 12/15/30 (Pre-refunded 12/15/17) – AMBAC Insured | 12/17 at 100.00 | AA– (4) | 1,838,674 | ||||||||||||||
| 23,985 | Total U.S. Guaranteed | 25,724,125 | ||||||||||||||||
Utilities – 3.7% | ||||||||||||||||||
| 2,445 | California Statewide Community Development Authority, Certificates of Participation Refunding, Rio Bravo Fresno Project, Series 1999A, 6.500%, 12/01/18 | 12/12 at 100.00 | N/R | 2,382,066 | ||||||||||||||
| 500 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2003A-2, 5.000%, 7/01/21 – NPFG Insured | 7/13 at 100.00 | AA– | 518,770 | ||||||||||||||
Merced Irrigation District, California, Certificates of Participation, Water and Hydroelectric Series 2008B: | ||||||||||||||||||
| 4,535 | 0.000%, 9/01/23 | 9/16 at 64.56 | A | 2,407,450 | ||||||||||||||
| 27,110 | 0.000%, 9/01/33 | 9/16 at 32.62 | A | 7,131,286 | ||||||||||||||
| 12,000 | 0.000%, 9/01/38 | 9/16 at 23.21 | A | 2,235,480 | ||||||||||||||
| 1,210 | Merced Irrigation District, California, Electric System Revenue Bonds, Series 2005, 5.125%, 9/01/31 – SYNCORA GTY Insured | 9/15 at 100.00 | N/R | 1,240,553 | ||||||||||||||
| Nuveen Investments | 43 |
Portfolio of Investments (Unaudited)
Nuveen California Municipal Bond Fund (continued)
August 31, 2012
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||||
Utilities (continued) | ||||||||||||||||||
| $ | 3,470 | Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Co-Generation Facility Revenue Bonds, Series 2000A, 6.625%, 6/01/26 (Alternative Minimum Tax) | 12/12 at 100.00 | Ba1 | $ | 3,483,984 | ||||||||||||
| 1,950 | Salinas Valley Solid Waste Authority, California, Revenue Bonds, Series 2002, 5.250%, 8/01/27 – AMBAC Insured (Alternative Minimum Tax) | 11/12 at 100.00 | A+ | 1,953,939 | ||||||||||||||
| 2,700 | Santa Clara, California, Subordinate Electric Revenue Bonds, Series 2003A, 5.000%, 7/01/23 – NPFG Insured | 7/13 at 100.00 | A+ | 2,796,039 | ||||||||||||||
| 55,920 | Total Utilities | 24,149,567 | ||||||||||||||||
Water and Sewer – 5.5% | ||||||||||||||||||
Banning Utility Authority, California, Water Revenue Bonds, Series 2005: | ||||||||||||||||||
| 1,025 | 5.000%, 11/01/20 – FGIC Insured | 11/16 at 100.00 | A+ | 1,135,874 | ||||||||||||||
| 1,040 | 5.000%, 11/01/23 – FGIC Insured | 11/16 at 100.00 | A+ | 1,133,933 | ||||||||||||||
| 3,000 | Brentwood Infrastructure Financing Authority, California, Water Revenue Bonds, Series 2008, 5.750%, 7/01/38 | 7/18 at 100.00 | AA | 3,401,430 | ||||||||||||||
| 2,000 | California Statewide Community Development Authority, Water and Wastewater Revenue Bonds, Pooled Financing Program, Series 2003A, 5.250%, 10/01/23 – AGM Insured | 10/13 at 100.00 | AA– | 2,081,980 | ||||||||||||||
| 1,680 | Castaic Lake Water Agency, California, Certificates of Participation, Series 2004A, 5.000%, 8/01/20 – AMBAC Insured | 8/14 at 100.00 | AA | 1,809,175 | ||||||||||||||
| 1,150 | Compton, California, Sewer Revenue Bonds, Series 1998 Refunding, 5.375%, 9/01/23 – NPFG Insured | 11/12 at 100.00 | BBB | 1,150,219 | ||||||||||||||
| 1,250 | Cucamonga Valley Water District, California, Certificates of Participation, Series 2006, 5.000%, 9/01/36 – NPFG Insured | 9/16 at 100.00 | AA– | 1,330,225 | ||||||||||||||
| 3,745 | Los Angeles, California, Wastewater System Revenue Bonds, Refunding Series 2009A, 5.750%, 6/01/26 | 6/19 at 100.00 | AA+ | 4,535,607 | ||||||||||||||
| 1,000 | Norco Financing Authority, California, Enterprise Revenue Refunding Bonds, Series 2009, 5.625%, 10/01/34 – AGM Insured | 10/19 at 100.00 | AA– | 1,142,030 | ||||||||||||||
| 805 | Oakdale Irrigation District, California, Certificates of Participation, Water Facilities Project, Series 2009, 5.500%, 8/01/34 | 8/19 at 100.00 | AA | 913,965 | ||||||||||||||
| 1,770 | Pomona Public Finance Authority, California, Revenue Bonds, Water Facilities Project, Series 2007AY, 5.000%, 5/01/27 – AMBAC Insured | 5/17 at 100.00 | A+ | 1,896,307 | ||||||||||||||
Rowland Water District, California, Certificates of Participation, Recycled Water Project, Series 2008: | ||||||||||||||||||
| 565 | 5.750%, 12/01/24 | 12/18 at 100.00 | AA– | 662,333 | ||||||||||||||
| 480 | 5.750%, 12/01/25 | 12/18 at 100.00 | AA– | 560,587 | ||||||||||||||
| 500 | 6.250%, 12/01/39 | 12/18 at 100.00 | AA– | 578,075 | ||||||||||||||
| 8,275 | San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds, Series 2012A, 5.000%, 11/01/35 | No Opt. Call | AA– | 9,620,513 | ||||||||||||||
| 2,780 | West Basin Municipal Water District, California, Revenue Bonds, Tender Option Bonds Trust 1035, 17.699%, 8/01/36 (IF) (5) | 8/21 at 100.00 | Aa2 | 4,298,658 | ||||||||||||||
| 250 | Yuba Levee Financing Authority, California, Revenue Bonds, Yuba County Levee Financing Project, Series 2008A, 5.000%, 9/01/38 – AGC Insured | 9/17 at 100.00 | AA– | 266,298 | ||||||||||||||
| 31,315 | Total Water and Sewer | 36,517,209 | ||||||||||||||||
| $ | 660,890 | Total Investments (cost $606,571,947) – 99.5% | 655,096,083 | |||||||||||||||
Other Assets Less Liabilities – 0.5% | 2,991,722 | |||||||||||||||||
Net Assets – 100% | $ | 658,087,805 | ||||||||||||||||
| 44 | Nuveen Investments |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (3) | Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| (4) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. |
| (5) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. |
| N/R | Not rated. |
| (ETM) | Escrowed to maturity. |
| (IF) | Inverse floating rate investment. |
See accompanying notes to financial statements.
| Nuveen Investments | 45 |
Statement of Assets and Liabilities (Unaudited)
August 31, 2012
| California High Yield | California | |||||||
Assets | ||||||||
Investments, at value (cost $209,515,043 and $606,571,947, respectively) | $ | 226,163,500 | $ | 655,096,083 | ||||
Receivables: | ||||||||
Interest | 4,234,385 | 8,969,874 | ||||||
Investments sold | 2,473,250 | 984,181 | ||||||
Shares sold | 2,510,219 | 1,697,881 | ||||||
Deferred Trustees’ compensation | — | 50,351 | ||||||
Other assets | 571 | 1,166 | ||||||
Total assets | 235,381,925 | 666,799,536 | ||||||
Liabilities | ||||||||
Cash overdraft | 4,244,164 | 6,064,666 | ||||||
Floating rate obligations | 915,000 | — | ||||||
Unrealized depreciation on forward swaps | 7,073 | — | ||||||
Payables: | ||||||||
Dividends | 337,848 | 746,826 | ||||||
Investments purchased | 283,758 | — | ||||||
Shares redeemed | 491,400 | 1,056,223 | ||||||
Accrued expenses: | ||||||||
Management fees | 119,016 | 320,745 | ||||||
Trustees’ fees | 778 | 31,687 | ||||||
12b-1 distribution and service fees | 47,113 | 83,681 | ||||||
Other | 72,932 | 407,903 | ||||||
Total liabilities | 6,519,082 | 8,711,731 | ||||||
Net assets | $ | 228,862,843 | $ | 658,087,805 | ||||
Class A Shares | ||||||||
Net assets | $ | 111,545,467 | $ | 249,953,722 | ||||
Shares outstanding | 12,423,522 | 23,131,559 | ||||||
Net asset value per share | $ | 8.98 | $ | 10.81 | ||||
Offering price per share (net asset value per share plus | $ | 9.37 | $ | 11.28 | ||||
Class B Shares | ||||||||
Net assets | N/A | $ | 1,453,316 | |||||
Shares outstanding | N/A | 134,698 | ||||||
Net asset value and offering price per share | N/A | $ | 10.79 | |||||
Class C Shares | ||||||||
Net assets | $ | 46,767,098 | $ | 64,962,197 | ||||
Shares outstanding | 5,213,534 | 6,031,777 | ||||||
Net asset value and offering price per share | $ | 8.97 | $ | 10.77 | ||||
Class I Shares | ||||||||
Net assets | $ | 70,550,278 | $ | 341,718,570 | ||||
Shares outstanding | 7,867,316 | 31,660,868 | ||||||
Net asset value and offering price per share | $ | 8.97 | $ | 10.79 | ||||
Net assets consist of: | ||||||||
Capital paid-in | $ | 220,712,201 | $ | 616,623,435 | ||||
Undistributed (Over-distribution of ) net investment income | 865,150 | 1,321,492 | ||||||
Accumulated net realized gain (loss) | (9,355,892 | ) | (8,381,258 | ) | ||||
Net unrealized appreciation (depreciation) | 16,641,384 | 48,524,136 | ||||||
Net assets | $ | 228,862,843 | $ | 658,087,805 | ||||
Authorized shares | Unlimited | Unlimited | ||||||
Par value per share | $ | 0.01 | $ | 0.01 | ||||
| N/A | – Fund does not offer Class B Shares. |
See accompanying notes to financial statements.
| 46 | Nuveen Investments |
Statement of Operations (Unaudited)
Six Months Ended August 31, 2012
California High Yield | California | |||||||
Investment Income | $ | 6,096,059 | �� | $ | 14,374,819 | |||
Expenses | ||||||||
Management fees | 541,323 | 1,443,755 | ||||||
12b-1 service fees – Class A | 88,342 | 218,061 | ||||||
12b-1 distribution and service fees – Class B | N/A | 7,439 | ||||||
12b-1 distribution and service fees – Class C | 145,826 | 207,838 | ||||||
Shareholders’ servicing agent fees and expenses | 48,323 | 130,264 | ||||||
Interest expense | 2,213 | — | ||||||
Custodian’s fees and expenses | 22,353 | 56,904 | ||||||
Trustees’ fees and expenses | 2,495 | 7,496 | ||||||
Professional fees | 20,286 | 24,926 | ||||||
Shareholders’ reports – printing and mailing expenses | 9,879 | 32,629 | ||||||
Federal and state registration fees | 11,052 | 41,560 | ||||||
Reorganization expense | — | 39,000 | ||||||
Other expenses | 7,565 | 9,870 | ||||||
Total expenses before custodian fee credit and expense reimbursement | 899,657 | 2,219,742 | ||||||
Custodian fee credit | (2,125 | ) | (1,275 | ) | ||||
Expense reimbursement | (22,317 | ) | (35,078 | ) | ||||
Net expenses | 875,215 | 2,183,389 | ||||||
Net investment income (loss) | 5,220,844 | 12,191,430 | ||||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Investments | 473,484 | 1,147,235 | ||||||
Forward swaps | (2,180,247 | ) | — | |||||
Change in net unrealized appreciation (depreciation) of: | ||||||||
Investments | 9,962,890 | 15,908,661 | ||||||
Forward swaps | 1,678,700 | — | ||||||
Net realized and unrealized gain (loss) | 9,934,827 | 17,055,896 | ||||||
Net increase (decrease) in net assets from operations | $ | 15,155,671 | $ | 29,247,326 | ||||
| N/A | – Fund does not offer Class B Shares. |
See accompanying notes to financial statements.
| Nuveen Investments | 47 |
Statement of Changes in Net Assets (Unaudited)
| California High Yield | California | |||||||||||||||
Six Months Ended | Year Ended 2/29/12 | Six Months Ended | Year Ended 2/29/12 | |||||||||||||
Operations | ||||||||||||||||
Net investment income (loss) | $ | 5,220,844 | $ | 8,349,996 | $ | 12,191,430 | $ | 14,945,301 | ||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments | 473,484 | (220,767 | ) | 1,147,235 | (585,707 | ) | ||||||||||
Forward swaps | (2,180,247 | ) | (125,800 | ) | — | — | ||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments | 9,962,890 | 20,140,766 | 15,908,661 | 33,614,974 | ||||||||||||
Forward swaps | 1,678,700 | (1,618,139 | ) | — | — | |||||||||||
Net increase (decrease) in net assets from operations | 15,155,671 | 26,526,056 | 29,247,326 | 47,974,568 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income: | ||||||||||||||||
Class A | (2,525,143 | ) | (3,709,279 | ) | (4,720,599 | ) | (6,333,633 | ) | ||||||||
Class B | N/A | N/A | (28,346 | ) | (57,279 | ) | ||||||||||
Class C | (1,010,935 | ) | (1,404,921 | ) | (1,047,495 | ) | (1,337,867 | ) | ||||||||
Class I | (1,888,645 | ) | (2,865,593 | ) | (6,661,880 | ) | (6,916,880 | ) | ||||||||
Decrease in net assets from distributions to shareholders | (5,424,723 | ) | (7,979,793 | ) | (12,458,320 | ) | (14,645,659 | ) | ||||||||
Fund Share Transactions | ||||||||||||||||
Proceeds from Fund reorganization | — | — | 272,324,630 | — | ||||||||||||
Proceeds from sale of shares | 75,840,532 | 58,678,825 | 57,283,397 | 56,746,893 | ||||||||||||
Proceeds from shares issued to shareholders due to reinvestment of distributions | 3,467,117 | 5,188,983 | 7,485,834 | 7,638,135 | ||||||||||||
| 79,307,649 | 63,867,808 | 337,093,861 | 64,385,028 | |||||||||||||
Cost of shares redeemed | (16,483,742 | ) | (42,322,661 | ) | (38,444,082 | ) | (52,219,474 | ) | ||||||||
Net increase (decrease) in net assets from Fund share transactions | 62,823,907 | 21,545,147 | 298,649,779 | 12,165,554 | ||||||||||||
Net increase (decrease) in net assets | 72,554,855 | 40,091,410 | 315,438,785 | 45,494,463 | ||||||||||||
Net assets at the beginning of period | 156,307,988 | 116,216,578 | 342,649,020 | 297,154,557 | ||||||||||||
Net assets at the end of period | $ | 228,862,843 | $ | 156,307,988 | $ | 658,087,805 | $ | 342,649,020 | ||||||||
Undistributed (Over-distribution of) net investment income at | $ | 865,150 | $ | 1,069,029 | $ | 1,321,492 | $ | 1,588,382 | ||||||||
| N/A | – Fund does not offer Class B Shares. |
See accompanying notes to financial statements.
| 48 | Nuveen Investments |
[THIS PAGE INTENTIONALLY LEFT BLANK]
| Nuveen Investments | 49 |
Financial Highlights (Unaudited)
| Selected data for a share outstanding throughout each period: | ||||||||||||||||||||||||||||||||||||
| Class (Commencement Date) | ||||||||||||||||||||||||||||||||||||
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||||
| CALIFORNIA HIGH YIELD | ||||||||||||||||||||||||||||||||||||
| Year Ended February 28/29, | Beginning Net Asset Value | Net Invest- ment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | Net Invest- ment Income | Capital Gains(b) | Total | Ending Net Asset Value | Total Return(c) | |||||||||||||||||||||||||||
Class A (3/06) |
| |||||||||||||||||||||||||||||||||||
2013(g) | $ | 8.52 | $ | .24 | $ | .47 | $ | .71 | $ | (.25 | ) | $ | — | $ | (.25 | ) | $ | 8.98 | 8.48 | % | ||||||||||||||||
2012 | 7.36 | .53 | 1.14 | 1.67 | (.51 | ) | — | (.51 | ) | 8.52 | 23.45 | |||||||||||||||||||||||||
2011 | 7.87 | .52 | (.54 | ) | (.02 | ) | (.49 | ) | — | (.49 | ) | 7.36 | (.56 | ) | ||||||||||||||||||||||
2010 | 6.51 | .51 | 1.34 | 1.85 | (.49 | ) | — | (.49 | ) | 7.87 | 29.23 | |||||||||||||||||||||||||
2009 | 8.24 | .48 | (1.76 | ) | (1.28 | ) | (.45 | ) | — | (.45 | ) | 6.51 | (16.06 | ) | ||||||||||||||||||||||
2008 | 10.43 | .45 | (2.19 | ) | (1.74 | ) | (.45 | ) | — | * | (.45 | ) | 8.24 | (17.19 | ) | |||||||||||||||||||||
Class C (3/06) |
| |||||||||||||||||||||||||||||||||||
2013(g) | 8.52 | .22 | .46 | .68 | (.23 | ) | — | (.23 | ) | 8.97 | 8.08 | |||||||||||||||||||||||||
2012 | 7.36 | .49 | 1.14 | 1.63 | (.47 | ) | — | (.47 | ) | 8.52 | 22.84 | |||||||||||||||||||||||||
2011 | 7.87 | .48 | (.54 | ) | (.06 | ) | (.45 | ) | — | (.45 | ) | 7.36 | (1.07 | ) | ||||||||||||||||||||||
2010 | 6.51 | .47 | 1.34 | 1.81 | (.45 | ) | — | (.45 | ) | 7.87 | 28.56 | |||||||||||||||||||||||||
2009 | 8.24 | .44 | (1.76 | ) | (1.32 | ) | (.41 | ) | — | (.41 | ) | 6.51 | (16.55 | ) | ||||||||||||||||||||||
2008 | 10.42 | .40 | (2.19 | ) | (1.79 | ) | (.39 | ) | — | * | (.39 | ) | 8.24 | (17.61 | ) | |||||||||||||||||||||
Class I (3/06) |
| |||||||||||||||||||||||||||||||||||
2013(g) | 8.51 | .25 | .47 | .72 | (.26 | ) | — | (.26 | ) | 8.97 | 8.60 | |||||||||||||||||||||||||
2012 | 7.35 | .55 | 1.14 | 1.69 | (.53 | ) | — | (.53 | ) | 8.51 | 23.76 | |||||||||||||||||||||||||
2011 | 7.86 | .53 | (.53 | ) | — | (.51 | ) | — | (.51 | ) | 7.35 | (.34 | ) | |||||||||||||||||||||||
2010 | 6.50 | .52 | 1.34 | 1.86 | (.50 | ) | — | (.50 | ) | 7.86 | 29.54 | |||||||||||||||||||||||||
2009 | 8.24 | .50 | (1.77 | ) | (1.27 | ) | (.47 | ) | — | (.47 | ) | 6.50 | (16.01 | ) | ||||||||||||||||||||||
2008 | 10.43 | .47 | (2.19 | ) | (1.72 | ) | (.47 | ) | — | * | (.47 | ) | 8.24 | (17.04 | ) | |||||||||||||||||||||
| 50 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||||||
| Ratios to Average Net Assets Before Reimbursement(d) | Ratios to Average Net Assets After Reimbursement(d)(e) | |||||||||||||||||||||||||||||
| Ending Net Assets (000) | Expenses Including Interest(f) | Expenses Excluding Interest | Net Invest- ment Income (Loss) | Expenses Including Interest(f) | Expenses Excluding Interest | Net (Loss) | Portfolio Turnover Rate | |||||||||||||||||||||||
| $ | 111,545 | .90 | %** | .90 | %** | 5.48 | %** | .87 | %** | .87 | %** | 5.51 | %** | 3 | % | |||||||||||||||
| 70,416 | .89 | .89 | 6.77 | .88 | .88 | 6.77 | 19 | |||||||||||||||||||||||
| 60,178 | .90 | .90 | 6.53 | .90 | .90 | 6.53 | 17 | |||||||||||||||||||||||
| 40,864 | .94 | .94 | 6.91 | .94 | .94 | 6.91 | 23 | |||||||||||||||||||||||
| 32,290 | 1.01 | .92 | 6.13 | 1.01 | .92 | 6.13 | 55 | |||||||||||||||||||||||
| 42,252 | 1.43 | .99 | 4.58 | 1.37 | .93 | 4.64 | 25 | |||||||||||||||||||||||
| 46,767 | 1.44 | ** | 1.44 | ** | 4.94 | ** | 1.42 | ** | 1.42 | ** | 4.96 | ** | 3 | |||||||||||||||||
| 32,156 | 1.44 | 1.44 | 6.17 | 1.43 | 1.43 | 6.17 | 19 | |||||||||||||||||||||||
| 19,035 | 1.45 | 1.45 | 6.00 | 1.45 | 1.45 | 6.00 | 17 | |||||||||||||||||||||||
| 15,971 | 1.49 | 1.49 | 6.25 | 1.49 | 1.49 | 6.25 | 23 | |||||||||||||||||||||||
| 6,718 | 1.56 | 1.47 | 5.69 | 1.56 | 1.47 | 5.69 | 55 | |||||||||||||||||||||||
| 6,382 | 1.97 | 1.53 | 4.02 | 1.92 | 1.48 | 4.08 | 25 | |||||||||||||||||||||||
| 70,550 | .70 | ** | .70 | ** | 5.72 | ** | .67 | ** | .67 | ** | 5.74 | ** | 3 | |||||||||||||||||
| 53,736 | .69 | .69 | 6.97 | .68 | .68 | 6.97 | 19 | |||||||||||||||||||||||
| 37,004 | .70 | .70 | 6.74 | .70 | .70 | 6.74 | 17 | |||||||||||||||||||||||
| 32,212 | .74 | .74 | 7.09 | .74 | .74 | 7.09 | 23 | |||||||||||||||||||||||
| 16,146 | .81 | .72 | 6.80 | .81 | .72 | 6.80 | 55 | |||||||||||||||||||||||
| 4,889 | 1.21 | .77 | 4.89 | 1.17 | .73 | 4.92 | 25 | |||||||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Distributions from Capital Gains include short-term capital gains, if any. |
| (c) | Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. |
| (d) | Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. |
| (e) | After expense reimbursement from the Adviser, where applicable. |
| (f) | The expense ratios reflect, among other things, 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, where applicable, as described in Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities. |
| (g) | For the six months ended August 31, 2012. |
| * | Rounds to less than $.01 per share. |
| ** | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 51 |
Financial Highlights (Unaudited) (continued)
| Selected data for a share outstanding throughout each period: | ||||||||||||||||||||||||||||||||||||
| Class (Commencement Date) | ||||||||||||||||||||||||||||||||||||
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||
| Year Ended February 28/29, | Beginning Net Asset Value | Net Income | Net Realized/ Unrealized Gain (Loss) | Total | Net Invest- ment Income | Capital Gains(b) | Total | Ending Net Asset Value | Total Return(c) | |||||||||||||||||||||||||||
Class A (9/94) |
| |||||||||||||||||||||||||||||||||||
2013(g) | $ | 10.54 | $ | .23 | $ | .27 | $ | .50 | $ | (.23 | ) | $ | — | $ | (.23 | ) | $ | 10.81 | 4.82 | % | ||||||||||||||||
2012 | 9.46 | .48 | 1.07 | 1.55 | (.47 | ) | — | (.47 | ) | 10.54 | 16.79 | |||||||||||||||||||||||||
2011 | 9.80 | .47 | (.36 | ) | .11 | (.45 | ) | — | (.45 | ) | 9.46 | 1.05 | ||||||||||||||||||||||||
2010 | 8.96 | .46 | .82 | 1.28 | (.44 | ) | — | (.44 | ) | 9.80 | 14.56 | |||||||||||||||||||||||||
2009 | 9.50 | .44 | (.55 | ) | (.11 | ) | (.43 | ) | — | (.43 | ) | 8.96 | (1.25 | ) | ||||||||||||||||||||||
2008 | 10.50 | .43 | (1.00 | ) | (.57 | ) | (.43 | ) | — | (.43 | ) | 9.50 | (5.65 | ) | ||||||||||||||||||||||
Class B (3/97) |
| |||||||||||||||||||||||||||||||||||
2013(g) | 10.52 | .19 | .27 | .46 | (.19 | ) | — | (.19 | ) | 10.79 | 4.45 | |||||||||||||||||||||||||
2012 | 9.45 | .40 | 1.07 | 1.47 | (.40 | ) | — | (.40 | ) | 10.52 | 15.85 | |||||||||||||||||||||||||
2011 | 9.80 | .39 | (.36 | ) | .03 | (.38 | ) | — | (.38 | ) | 9.45 | .19 | ||||||||||||||||||||||||
2010 | 8.96 | .39 | .82 | 1.21 | (.37 | ) | — | (.37 | ) | 9.80 | 13.75 | |||||||||||||||||||||||||
2009 | 9.50 | .37 | (.55 | ) | (.18 | ) | (.36 | ) | — | (.36 | ) | 8.96 | (1.99 | ) | ||||||||||||||||||||||
2008 | 10.49 | .36 | (1.00 | ) | (.64 | ) | (.35 | ) | — | (.35 | ) | 9.50 | (6.28 | ) | ||||||||||||||||||||||
Class C (9/94) |
| |||||||||||||||||||||||||||||||||||
2013(g) | 10.50 | .20 | .27 | .47 | (.20 | ) | — | (.20 | ) | 10.77 | 4.55 | |||||||||||||||||||||||||
2012 | 9.43 | .42 | 1.07 | 1.49 | (.42 | ) | — | (.42 | ) | 10.50 | 16.10 | |||||||||||||||||||||||||
2011 | 9.78 | .41 | (.36 | ) | .05 | (.40 | ) | — | (.40 | ) | 9.43 | .39 | ||||||||||||||||||||||||
2010 | 8.94 | .41 | .82 | 1.23 | (.39 | ) | — | (.39 | ) | 9.78 | 14.00 | |||||||||||||||||||||||||
2009 | 9.48 | .39 | (.55 | ) | (.16 | ) | (.38 | ) | — | (.38 | ) | 8.94 | (1.80 | ) | ||||||||||||||||||||||
2008 | 10.47 | .38 | (1.00 | ) | (.62 | ) | (.37 | ) | — | (.37 | ) | 9.48 | (6.07 | ) | ||||||||||||||||||||||
Class I (7/86) |
| |||||||||||||||||||||||||||||||||||
2013(g) | 10.52 | .24 | .27 | .51 | (.24 | ) | — | (.24 | ) | 10.79 | 4.92 | |||||||||||||||||||||||||
2012 | 9.45 | .50 | 1.06 | 1.56 | (.49 | ) | — | (.49 | ) | 10.52 | 16.91 | |||||||||||||||||||||||||
2011 | 9.79 | .49 | (.36 | ) | .13 | (.47 | ) | — | (.47 | ) | 9.45 | 1.23 | ||||||||||||||||||||||||
2010 | 8.95 | .48 | .82 | 1.30 | (.46 | ) | — | (.46 | ) | 9.79 | 14.80 | |||||||||||||||||||||||||
2009 | 9.49 | .46 | (.55 | ) | (.09 | ) | (.45 | ) | — | (.45 | ) | 8.95 | (1.02 | ) | ||||||||||||||||||||||
2008 | 10.49 | .45 | (1.00 | ) | (.55 | ) | (.45 | ) | — | (.45 | ) | 9.49 | (5.43 | ) | ||||||||||||||||||||||
| 52 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||||||
| Ratios to Average Net Assets Before Reimbursement(d) | Ratios to Average Net Assets After Reimbursement(d)(e) | |||||||||||||||||||||||||||||
| Ending Net Assets (000) | Expenses Including Interest(f) | Expenses Excluding Interest | Net Invest- ment Income (Loss) | Expenses Including Interest(f) | Expenses Excluding Interest | Net Invest- ment Income (Loss) | Portfolio Turnover Rate | |||||||||||||||||||||||
| $ | 249,954 | .83 | %* | .83 | %* | 4.21 | %* | .82 | %* | .82 | %* | 4.22 | * | 9 | % | |||||||||||||||
| 142,844 | .82 | .82 | 4.82 | .82 | .82 | 4.82 | 20 | |||||||||||||||||||||||
| 136,513 | .81 | .81 | 4.77 | .81 | .81 | 4.77 | 18 | |||||||||||||||||||||||
| 128,672 | .86 | .85 | 4.86 | .86 | .85 | 4.86 | 14 | |||||||||||||||||||||||
| 106,117 | .90 | .85 | 4.66 | .90 | .85 | 4.66 | 40 | |||||||||||||||||||||||
| 107,241 | .97 | .82 | 4.23 | .97 | .82 | 4.23 | 50 | |||||||||||||||||||||||
| 1,453 | 1.57 | * | 1.57 | * | 3.48 | * | 1.55 | * | 1.55 | * | 3.50 | * | 9 | |||||||||||||||||
| 1,302 | 1.57 | 1.57 | 4.09 | 1.57 | 1.57 | 4.09 | 20 | |||||||||||||||||||||||
| 1,960 | 1.56 | 1.56 | 4.00 | 1.56 | 1.56 | 4.00 | 18 | |||||||||||||||||||||||
| 3,276 | 1.61 | 1.60 | 4.13 | 1.61 | 1.60 | 4.13 | 14 | |||||||||||||||||||||||
| 4,337 | 1.65 | 1.60 | 3.87 | 1.65 | 1.60 | 3.87 | 40 | |||||||||||||||||||||||
| 7,175 | 1.72 | 1.57 | 3.46 | 1.72 | 1.57 | 3.46 | 50 | |||||||||||||||||||||||
| 64,962 | 1.39 | * | 1.39 | * | 3.66 | * | 1.38 | * | 1.38 | * | 3.67 | * | 9 | |||||||||||||||||
| 40,317 | 1.37 | 1.37 | 4.25 | 1.37 | 1.37 | 4.25 | 20 | |||||||||||||||||||||||
| 26,338 | 1.36 | 1.36 | 4.21 | 1.36 | 1.36 | 4.21 | 18 | |||||||||||||||||||||||
| 25,552 | 1.41 | 1.40 | 4.31 | 1.41 | 1.40 | 4.31 | 14 | |||||||||||||||||||||||
| 20,484 | 1.45 | 1.40 | 4.10 | 1.45 | 1.40 | 4.10 | 40 | |||||||||||||||||||||||
| 25,306 | 1.52 | 1.37 | 3.68 | 1.52 | 1.37 | 3.68 | 50 | |||||||||||||||||||||||
| 341,719 | .62 | * | .62 | * | 4.41 | * | .61 | * | .61 | * | 4.42 | * | 9 | |||||||||||||||||
| 158,186 | .62 | .62 | 5.02 | .62 | .62 | 5.02 | 20 | |||||||||||||||||||||||
| 132,344 | .61 | .61 | 4.96 | .61 | .61 | 4.96 | 18 | |||||||||||||||||||||||
| 144,962 | .66 | .65 | 5.07 | .66 | .65 | 5.07 | 14 | |||||||||||||||||||||||
| 151,650 | .70 | .65 | 4.87 | .70 | .65 | 4.87 | 40 | |||||||||||||||||||||||
| 164,365 | .77 | .62 | 4.43 | .77 | .62 | 4.43 | 50 | |||||||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Distributions from Capital Gains include short-term capital gains, if any. |
| (c) | Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. |
| (d) | Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. |
| (e) | After expense reimbursement from the Adviser, where applicable. |
| (f) | The expense ratios reflect, among other things, 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, where applicable, as described in Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities. |
| (g) | For the six months ended August 31, 2012. |
| * | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 53 |
Notes to Financial Statements (Unaudited)
1. General Information and Significant Accounting Policies
General Information
The Nuveen Multistate Trust II (the “Trust”) is an open-end investment company registered under the Investment Company Act of 1940, as amended. The Trust is comprised of Nuveen California High Yield Municipal Bond Fund (“California High Yield”) and Nuveen California Municipal Bond Fund (“California”) (each a “Fund” and collectively the “Funds”), among others. The Trust was organized as a Massachusetts business trust on July 1, 1996. California was organized as a series of predecessor trusts or corporations prior to that date.
California High Yield’s investment objective is to provide high current income exempt from regular federal, California state and, in some cases, California local income taxes. Total return is a secondary objective when consistent with the Fund’s primary objective. Under normal market conditions, the Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in municipal bonds that pay interest that is exempt from regular federal and California personal income tax. The Fund may invest without limit in securities that generate income subject to the alternative minimum tax. The Fund is a long-term bond fund and, as such, will generally maintain, under normal market conditions, an investment portfolio with an overall weighted average maturity of greater than 10 years. The Fund invests significantly in lower-quality long-term municipal bonds and may employ effective leverage through investments in inverse floaters. These investment strategies should be considered high risk relative to strategies employed by investment grade municipal bond funds. Under normal market conditions, the Fund invests at least 65% of its net assets in low-to medium-quality bonds rated BBB/Baa or lower by at least one independent rating agency or, if unrated, judged by Nuveen Asset Management, LLC (the “Sub-Adviser”), a wholly owned subsidiary of Nuveen Fund Advisors, Inc., (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”), to be of comparable quality. Below investment grade municipal bonds (those rated BB/Ba or lower) are commonly referred to as “high yield” or “junk” bonds. The Fund may invest up to 10% of its net assets in defaulted municipal bonds (i.e., bonds on which the issuer has not paid principal or interest on time).
California’s investment objective is to provide as high a level of current interest income exempt from regular federal, California state and, in some cases, California local income taxes as is consistent with preservation of capital. Under normal market conditions, the Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in municipal bonds that pay interest that is exempt from regular federal and California personal income tax. The Fund may invest without limit in securities that generate income subject to the alternative minimum tax. The Fund is a long-term bond fund and, as such, will generally maintain, under normal market conditions, an investment portfolio with an overall weighted average maturity of greater than 10 years. Under normal market conditions, the Fund invests at least 80% of its net assets in investment grade municipal bonds rated BBB/Baa or higher at the time of purchase by at least one independent rating agency, or, if unrated, judged by the Fund’s Sub-Adviser to be of comparable quality. The Fund may invest up to 20% of its net assets in below investment grade municipal bonds, commonly referred to as “high yield” or “junk” bonds.
The Funds may invest up to 15% of their net assets in municipal securities whose interest payments vary inversely with changes in short-term tax-exempt interest rates (“inverse floaters”). California High Yield may invest in inverse floaters that create effective leverage of up to 30% of the Fund’s total investment exposure. The Funds may invest in all types of municipal bonds, including general obligation bonds, revenue bonds and participation interests in municipal leases. The Funds may invest in zero coupon bonds, which are issued at substantial discounts from their value at maturity and pay no cash income to their holders until they mature. The Funds may utilize futures contracts, swap contracts, options on futures contracts and options on swap contracts in an attempt to manage market risk, credit risk and yield curve risk, and to manage the effective maturity or duration of securities in each Fund’s portfolio.
The Funds’ most recent prospectus provides further descriptions of each Fund’s investment objective, principal investment strategies and principal risks.
Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
Investment Valuation
Prices of municipal bonds and forward swaps are provided by a pricing service approved by the Funds’ Board of Trustees. These securities are generally classified as Level 2 for fair value measurement purposes. The pricing service establishes 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, the pricing service may consider information about a security, its issuer, or market activity provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Funds’ Board of Trustees or its designee at fair value. These securities generally include, but are not limited to,
| 54 | Nuveen Investments |
restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be 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. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds’ Board of Trustees or its designee.
Refer to Footnote 2 – Fair Value Measurements for further details on the leveling of securities held by the Funds as of the end of the reporting period.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At August 31, 2012, there were no such outstanding purchase commitments in either of the Funds.
Investment Income
Investment income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also includes paydown gains and losses, if any.
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment, or to pursue other claims or legal actions on behalf of Fund shareholders.
Income Taxes
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 to 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. Furthermore, each Fund intends to satisfy conditions that will enable interest from municipal securities, which is exempt from regular federal and California 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.
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Dividends and Distributions to Shareholders
The Funds declare dividends from their net investment income daily and pay shareholders monthly. Fund shares begin to accrue dividends on the business day after the day when the monies used to purchase Fund shares are collected by the Funds’ transfer agent.
Net realized capital gains and/or market discount from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
Distributions to shareholders of net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Flexible Sales Charge Program
Class A Shares are generally sold with an up-front sales charge and incur a .20% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (“CDSC”) if redeemed within eighteen months of purchase. Class B Shares were sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .20% annual 12b-1 service fee. Class B Shares are subject to a CDSC of up to 5%
| Nuveen Investments | 55 |
Notes to Financial Statements (Unaudited) (continued)
depending upon the length of time the shares are held by the investor (CDSC is reduced to 0% at the end of six years). Class B Shares convert to Class A Shares eight years after purchase. Class C Shares are sold without an up-front sales charge but incur a .55% annual 12b-1 distribution fee and a .20% annual 12b-1 service fee. Class C Shares are subject to a CDSC of 1% if redeemed within twelve months of purchase. Class I Shares are not subject to any sales charge or 12b-1 distribution or service fees.
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, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. In turn, this trust (a) issues floating rate certificates, in face amounts equal to some fraction of the deposited bond’s par amount or market value, that typically pay short-term tax-exempt interest rates to third parties, and (b) issues to a long-term investor (such as one of the Funds) an inverse floating rate certificate (sometimes referred to as an “inverse floater”) that represents all remaining or residual interest in the trust. The income received by the inverse floater holder varies inversely with the short-term rate paid to the floating rate certificates’ holders, 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 price of an inverse floating rate security 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 floating rate certificates, and because the inverse floating rate security essentially bears the risk of loss of the greater face value of the underlying bond.
A Fund may purchase an inverse floating rate security in a secondary market transaction without first owning the underlying bond (referred to as an “externally-deposited inverse floater”), or instead by first selling a fixed-rate bond to a broker-dealer for deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a “self-deposited inverse floater”). The inverse floater held by a Fund gives the Fund the right (a) to cause the holders of the floating rate certificates to tender their notes at par, and (b) to have the broker transfer the fixed-rate bond held by the trust to the Fund, thereby collapsing the trust. An investment in an externally-deposited inverse floater is identified in the Portfolio of Investments as “(IF) – Inverse floating rate investment.” An investment in a self-deposited inverse floater is accounted for as a financing transaction. In such instances, a fixed-rate bond deposited into a special purpose trust is identified in the Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund accounting for the short-term floating rate certificates issued by the trust as “Floating rate obligations” on the Statement of Assets and Liabilities. In addition, the Fund reflects in “Investment Income” the entire earnings of the underlying bond and recognizes the related interest paid to the holders of the short-term floating rate certificates as a component of “Interest expense” on the Statement of Operations.
During the six months ended August 31, 2012, each Fund invested in externally-deposited inverse floaters and/or self-deposited inverse floaters.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse trust” or “credit recovery swap”) (such agreements referred to herein as “Recourse Trusts”) with a broker-dealer by which a Fund agrees to reimburse the broker-dealer, in certain circumstances, for the difference between the liquidation value of the fixed-rate bond held by the trust and the liquidation value of the floating rate certificates issued by the trust plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on inverse floaters may increase beyond the value of a Fund’s inverse floater investments as a Fund may potentially be liable to fulfill all amounts owed to holders of the floating rate certificates. At period end, any such shortfall is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
At August 31, 2012, the Funds’ maximum exposure to externally-deposited Recourse Trusts were as follows:
California High Yield | California | |||||||
Maximum exposure to Recourse Trusts | $ | 35,250,000 | $ | 8,340,000 | ||||
The average floating rate obligations outstanding and average annual interest rate and fees related to self-deposited inverse floaters for the following Fund during the six months ended August 31, 2012, was as follows:
| California High Yield | ||||
Average floating rate obligations outstanding | $ | 636,522 | ||
Average annual interest rate and fees | 0.69 | % | ||
Forward Swap Contracts
Each Fund is authorized to enter into forward interest rate swap contracts consistent with its investment objectives and policies to reduce, increase or otherwise alter its risk profile or to alter its portfolio characteristics (i.e. duration, yield curve positioning and credit quality).
Each Fund is subject to interest rate risk in the normal course of pursuing its investment objectives. Each Fund’s use of forward interest rate swap transactions is intended to help the Fund manage its overall interest rate sensitivity, either shorter or longer, generally to more closely align the Fund’s interest rate sensitivity with that of the broader market. Forward interest rate swap transactions involve a
| 56 | Nuveen Investments |
Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying a Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”). The amount of the payment obligation is based on the notional amount of the swap contract and the termination date of the swap (which is akin to a bond’s maturity). The value of a Fund’s swap commitment would increase or decrease based primarily on the extent to which long-term interest rates for bonds having a maturity of the swap’s termination date increases or decreases. Forward interest rate swap contracts are valued daily. The net amount recorded on these transactions for each counterparty is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on forward swaps (, net)” with the change during the fiscal period recognized on the Statement of Operations as a component of “Change in net unrealized appreciation (depreciation) of forward swaps.”
Each Fund may terminate a forward swap contract prior to the effective date, at which point a realized gain or loss is recognized. When a forward swap is terminated, it ordinarily does not involve the delivery of securities or other underlying assets or principal, but rather is settled in cash on a net basis. Net realized gains and losses during the fiscal period are recognized on the Statement of Operations as a component of “Net realized gain (loss) from forward swaps.” Each Fund intends, but is not obligated, to terminate its forward swaps before the effective date. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the credit risk associated with a counterparty failing to honor its commitment to pay any realized gain to a Fund upon termination.
During the six months ended August 31, 2012, California High Yield continued to invest in forward interest rate swap contracts to manage the duration of the Fund’s portfolio and to reduce sensitivity to movements in U.S. interest rates. During the six months ended August 31, 2012, forward interest rate swap contracts were utilized to shorten the duration of the Fund’s portfolio. The average notional amount of forward interest rate swap contracts outstanding during the six months ended August 31, 2012, was as follows:
| California High Yield | ||||
Average notional amount of forward interest rate swap contracts outstanding* | $ | 5,266,667 | ||
| * | The average notional amount is calculated based on the outstanding notional amount at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year. |
Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on forward interest rate swap contract activity.
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. Futures contracts, when applicable, expose a Fund to minimal counterparty credit risk as they are exchange traded and the exchange’s clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contracts against default.
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.
Zero Coupon Securities
Each Fund is authorized to invest in 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.
Multiclass Operations and Allocations
Income and expenses of the Funds that are not directly attributable to a specific class of shares are prorated among the classes based on the relative settled shares of each class. Expenses directly attributable to a class of shares, which presently only include 12b-1 distribution and service fees, are recorded to the specific class.
Realized and unrealized capital gains and losses of the Funds are prorated among the classes based on the relative net assets of each class.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.
| Nuveen Investments | 57 |
Notes to Financial Statements (Unaudited) (continued)
Indemnifications
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts that provide general indemnifications to other parties. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.
2. Fair Value Measurements
Fair value is defined as the price that the Funds would receive 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. A three-tier hierarchy 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 the reporting entity’s own 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, prepayment speeds, credit risk, etc.). | |
| Level 3 – | Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of the end of the reporting period:
| California High Yield | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 226,151,635 | $ | 11,865 | $ | 226,163,500 | ||||||||
Derivatives: | ||||||||||||||||
Forward Swaps* | — | (7,073 | ) | — | (7,073 | ) | ||||||||||
Total | $ | — | $ | 226,144,562 | $ | 11,865 | $ | 226,156,427 | ||||||||
| * | Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
| California | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 655,096,083 | $ | — | $ | 655,096,083 | ||||||||
The Nuveen funds’ Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds’ pricing policies, and reporting to the Board of Directors/Trustees. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
| 58 | Nuveen Investments |
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees.
3. Derivative Instruments and Hedging Activities
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. For additional information on the derivative instruments in which each Fund was invested during and at the end of the reporting period, refer to the Portfolio of Investments, Financial Statements and Footnote 1 – General Information and Significant Accounting Policies.
The following table presents the fair value of all derivative instruments held by the Funds as of August 31, 2012, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
| California High Yield |
| |||||||||||||
Location on the Statement of Assets and Liabilities | ||||||||||||||
Underlying Risk Exposure | Derivative Instrument | Asset Derivatives | Liability Derivatives | |||||||||||
| Location | Value | Location | Value | |||||||||||
Interest Rate | Forward Swaps | — | $ | — | Unrealized depreciation on forward swaps | $ | (7,073 | ) | ||||||
The following tables present the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended August 31, 2012, on derivative instruments, as well as the primary risk exposure associated with each.
| Net Realized Gain (Loss) from Forward Swaps | California High Yield | |||
Risk Exposure | ||||
Interest Rate | $ | (2,180,247 | ) | |
| Change in Net Unrealized Appreciation (Depreciation) of Forward Swaps | California High Yield | |||
Risk Exposure | ||||
Interest Rate | $ | 1,678,700 | ||
4. Fund Shares
Transactions in Fund shares were as follows:
| California High Yield | ||||||||||||||||
| Six Months Ended 8/31/12 | Year Ended 2/29/12 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Shares sold: | ||||||||||||||||
Class A | 5,013,120 | $ | 44,185,517 | 3,669,201 | $ | 29,304,307 | ||||||||||
Class C | 1,595,092 | 14,013,460 | 1,615,927 | 12,891,273 | ||||||||||||
Class I | 2,025,385 | 17,641,555 | 2,053,356 | 16,483,245 | ||||||||||||
Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 179,203 | 1,578,786 | 309,896 | 2,435,422 | ||||||||||||
Class C | 74,352 | 653,414 | 113,714 | 899,946 | ||||||||||||
Class I | 140,561 | 1,234,917 | 234,844 | 1,853,615 | ||||||||||||
| 9,027,713 | 79,307,649 | 7,996,938 | 63,867,808 | |||||||||||||
Shares redeemed: | ||||||||||||||||
Class A | (1,028,950 | ) | (9,108,328 | ) | (3,895,852 | ) | (30,041,348 | ) | ||||||||
Class C | (230,756 | ) | (2,030,098 | ) | (541,712 | ) | (4,231,349 | ) | ||||||||
Class I | (609,508 | ) | (5,345,316 | ) | (1,009,466 | ) | (8,049,964 | ) | ||||||||
| (1,869,214 | ) | (16,483,742 | ) | (5,447,030 | ) | (42,322,661 | ) | |||||||||
Net increase (decrease) | 7,158,499 | $ | 62,823,907 | 2,549,908 | $ | 21,545,147 | ||||||||||
| Nuveen Investments | 59 |
Notes to Financial Statements (Unaudited) (continued)
| California | ||||||||||||||||
| Six Months Ended 8/31/12 | Year Ended 2/29/12 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Shares issued from reorganization(1): | 8,288,342 | $ | 87,094,810 | — | $ | — | ||||||||||
Class A | 49,760 | 522,187 | — | — | ||||||||||||
Class B | 1,237,442 | 12,960,367 | — | — | ||||||||||||
Class C | 16,364,973 | 171,747,266 | — | — | ||||||||||||
Class I | ||||||||||||||||
Shares sold: | ||||||||||||||||
Class A | 2,658,171 | 28,363,321 | 1,900,030 | 19,128,914 | ||||||||||||
Class A – automatic conversion of Class B Shares | — | — | 12,960 | 128,935 | ||||||||||||
Class B | 179 | 1,896 | 477 | 4,726 | ||||||||||||
Class C | 1,094,926 | 11,640,559 | 1,390,108 | 13,886,600 | ||||||||||||
Class I | 1,622,001 | 17,277,621 | 2,344,517 | 23,597,718 | ||||||||||||
Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 271,256 | 2,905,207 | 208,274 | 2,080,140 | ||||||||||||
Class B | 1,440 | 15,357 | 2,838 | 28,005 | ||||||||||||
Class C | 56,523 | 601,770 | 70,514 | 702,701 | ||||||||||||
Class I | 371,473 | 3,963,500 | 485,311 | 4,827,289 | ||||||||||||
| 32,016,486 | 337,093,861 | 6,415,029 | 64,385,028 | |||||||||||||
Shares redeemed: | ||||||||||||||||
Class A | (1,643,225 | ) | (17,515,438 | ) | (2,995,016 | ) | (29,413,959 | ) | ||||||||
Class B | (40,406 | ) | (429,136 | ) | (74,026 | ) | (714,440 | ) | ||||||||
Class B – automatic conversion to Class A Shares | — | — | (12,974 | ) | (128,935 | ) | ||||||||||
Class C | (196,132 | ) | (2,083,213 | ) | (414,551 | ) | (4,111,493 | ) | ||||||||
Class I | (1,729,992 | ) | (18,416,295 | ) | (1,806,967 | ) | (17,850,647 | ) | ||||||||
| (3,609,755 | ) | (38,444,082 | ) | (5,303,534 | ) | (52,219,474 | ) | |||||||||
Net increase (decrease) | 28,406,731 | $ | 298,649,779 | 1,111,495 | $ | 12,165,554 | ||||||||||
| (1) | Refer to Footnote 8 – Fund Reorganization for further details. |
5. Investment Transactions
Purchases and sales (including maturities but excluding short-term investments and derivative transactions, where applicable) during the six months ended August 31, 2012, were as follows:
| California High Yield | California | |||||||
Purchases | $ | 68,948,220 | $ | 82,088,680 | ||||
Sales and maturities | 6,356,750 | 49,894,694 | ||||||
6. Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds.
At August 31, 2012, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives, where applicable), as determined on a federal income tax basis, were as follows:
| California High Yield | California | |||||||
Cost of investments | $ | 207,957,483 | $ | 606,323,674 | ||||
Gross unrealized: | ||||||||
Appreciation | $ | 22,332,374 | $ | 49,861,780 | ||||
Depreciation | (5,041,357 | ) | (1,089,371 | ) | ||||
Net unrealized appreciation (depreciation) of investments | $ | 17,291,017 | $ | 48,772,409 | ||||
| 60 | Nuveen Investments |
Permanent differences, primarily due to federal taxes paid, expiration of capital loss carryforwards and taxable market discount, resulted in reclassifications among the Funds’ components of net assets at February 29, 2012, the Funds’ last tax year end, as follows:
| California High Yield | California | |||||||
Capital paid-in | $ | 23,880 | $ | (4,991,231 | ) | |||
Undistributed (Over-distribution of) net investment income | (43,383 | ) | (19,751 | ) | ||||
Accumulated net realized gain (loss) | 19,503 | 5,010,982 | ||||||
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at February 29, 2012, the Funds’ last tax year end, were as follows:
| California High Yield | California | |||||||
Undistributed net tax-exempt income* | $ | 1,145,207 | $ | 2,548,898 | ||||
Undistributed net ordinary income** | 46,214 | 93,336 | ||||||
Undistributed net long-term capital gains | — | — | ||||||
| * | Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividends declared during the period February 1, 2012, through February 29, 2012, and paid on March 1, 2012. |
| ** | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
The tax character of distributions paid during the Funds’ last tax year ended February 29, 2012, was designated for purposes of the dividends paid deduction as follows:
| California High Yield | California | |||||||
Distributions from net tax-exempt income | $ | 7,880,279 | $ | 14,433,657 | ||||
Distributions from net ordinary income** | — | 149,695 | ||||||
Distributions from net long-term capital gains | — | — | ||||||
| ** | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
At February 29, 2012, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
| California High Yield | California | |||||||
Expiration: | ||||||||
February 28, 2013 | $ | — | $ | 84,061 | ||||
February 29, 2016 | 320,899 | — | ||||||
February 28, 2017 | 3,792,828 | 3,965,451 | ||||||
February 28, 2018 | 2,097,482 | 4,898,247 | ||||||
Total | $ | 6,211,209 | $ | 8,947,759 | ||||
At February 29, 2012, the Funds’ last tax year end, $5,007,429 of California’s capital loss carryforward expired.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”) capital losses incurred by the Funds after December 31, 2010 will not be subject to expiration. Capital losses incurred that will be carried forward under the provisions of the Act are as follows:
| California High Yield | California | |||||||
Post-enactment losses: | ||||||||
Short-term | $ | 1,066,105 | $ | — | ||||
Long-term | 221,806 | 594,405 | ||||||
7. Management Fees and Other Transactions with Affiliates
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 each Fund’s 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.
| Nuveen Investments | 61 |
Notes to Financial Statements (Unaudited) (continued)
The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedule:
| Average Daily Net Assets | California High Yield | California | ||||||
For the first $125 million | .4000 | % | .3500 | % | ||||
For the next $125 million | .3875 | .3375 | ||||||
For the next $250 million | .3750 | .3250 | ||||||
For the next $500 million | .3625 | .3125 | ||||||
For the next $1 billion | .3500 | .3000 | ||||||
For net assets over $2 billion | .3250 | .2750 | ||||||
For net assets over $5 billion | N/A | .2500 | ||||||
The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:
| Complex-Level Asset Breakpoint Level* | Effective Rate at Breakpoint Level | |||
$55 billion | .2000 | % | ||
$56 billion | .1996 | |||
$57 billion | .1989 | |||
$60 billion | .1961 | |||
$63 billion | .1931 | |||
$66 billion | .1900 | |||
$71 billion | .1851 | |||
$76 billion | .1806 | |||
$80 billion | .1773 | |||
$91 billion | .1691 | |||
$125 billion | .1599 | |||
$200 billion | .1505 | |||
$250 billion | .1469 | |||
$300 billion | .1445 | |||
| * | The complex-level fee is calculated based upon the aggregate daily “eligible assets” of all Nuveen Funds. Eligible assets do not include assets attributable to investments in other Nuveen Funds or assets in excess of $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. Eligible assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the closed-end 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 eligible assets in certain circumstances. As of August 31, 2012, the complex-level fee rate for California High Yield and California were .1702% and .1742%, respectively. |
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser is responsible for each Fund’s overall strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with the Sub-Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
The Adviser has agreed to waive fees and/or reimburse expenses (“Expense Cap”) of each Fund, so that total annual Fund operating expenses (excluding 12b-1 distribution and/or service fees, interest expenses, taxes, fees incurred in acquiring and disposing of portfolio securities, and extraordinary expenses) do not exceed the average daily net assets of any class of Fund shares in the amounts and for the time periods stated in the following table.
| Fund | Temporary Expense Cap | Temporary Expense Cap Expiration Date | Permanent Expense Cap | |||||||||
California High Yield | 0.700 | % | July 31, 2013 | 1.000 | % | |||||||
California | N/A | N/A | 0.750 | |||||||||
The Adviser may also voluntarily reimburse additional expenses from time to time in any of the Funds. Voluntary reimbursements may be terminated at any time at the Adviser’s discretion.
The Trust pays no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Trust from the Adviser or its affiliates. The Board of Trustees 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.
During the six months ended August 31, 2012, Nuveen Securities, LLC (the “Distributor”), a wholly-owned subsidiary of Nuveen, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to financial intermediaries as follows:
California High Yield | California | |||||||
Sales charges collected | $ | 518,669 | $ | 321,338 | ||||
Paid to financial intermediaries | 463,738 | 290,583 | ||||||
| 62 | Nuveen Investments |
The Distributor also received 12b-1 service fees on Class A Shares, substantially all of which were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.
During the six months ended August 31, 2012, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:
California High Yield | California | |||||||
Commission advances | $ | 304,896 | $ | 238,967 | ||||
To compensate for commissions advanced to financial intermediaries, all 12b-1 service fees collected on Class B Shares during the first year following a purchase, all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service and distribution fees collected on Class C Shares during the first year following a purchase are retained by the Distributor. During the six months ended August 31, 2012, the Distributor retained such 12b-1 fees as follows:
California High Yield | California | |||||||
12b-1 fees retained | $ | 56,024 | $ | 67,261 | ||||
The remaining 12b-1 fees charged to the Funds were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.
The Distributor also collected and retained CDSC on share redemptions during the six months ended August 31, 2012, as follows:
California High Yield | California | |||||||
CDSC retained | $ | 16,833 | $ | 1,900 | ||||
8. Fund Reorganization
During the current fiscal period, the Nuveen California Municipal Bond Fund 2 (“California 2”) and the Nuveen California Tax Free Fund (“California Tax Free”) (collectively, the “Acquired Funds”) were reorganized (the “Reorganization”) into California (the “Acquiring Fund.”)
The Adviser proposed the Reorganization of the Acquired Funds into the Acquiring Fund, as well as a number of other fund reorganizations between funds with similar investment objectives and policies, as part of an initiative to eliminate certain redundancies among the products it offers and in an effort to achieve certain operating efficiencies. The Acquired Funds’ Board of Directors/Trustees determined that the Reorganization was in the best interest of the Acquired Funds and that the interests of existing shareholders will not be diluted as a result of the Reorganization. The Board of Directors/Trustees unanimously approved the Reorganization on November 14, 2011.
A special meeting of the Acquiring Fund’s shareholders was held on March 30, 2012, for the purpose of voting on the Reorganization, at which time, the Reorganization was approved. The Reorganization was consummated at the close of business on April 13, 2012.
Upon consummation of the Reorganization, the Acquired Funds transferred all of their assets and liabilities to the Acquiring Fund in exchange for the Acquiring Fund’s shares of equal value. The Acquiring Fund’s shares were then distributed to the Acquired Funds’ shareholders and the Acquired Funds were terminated. As a result of the Reorganization, the Acquired Funds’ shareholders became shareholders of the Acquiring Fund and the Acquired Funds’ shareholders received the Acquiring Fund’s shares with a total value equal to the total value of their Acquired Funds’ shares immediately prior to the closing of its Reorganization.
The Reorganization was structured to qualify as tax-free reorganization under the Internal Revenue Code for federal income tax purposes, and the Acquired Funds’ shareholders will recognize no gain or loss for federal income tax purposes as a result of the Reorganization. Prior to the closing of the Reorganization, the Acquired Funds distributed all of their net investment income and capital gains, if any. Such a distribution may be taxable to the Acquired Funds’ shareholders for federal income tax purposes.
The cost, fair value and net unrealized appreciation (depreciation) of the investments of the Acquired Funds as of the date of the Reorganization was as follows:
| California 2 | California Tax Free | |||||||
Cost of investments | $ | 150,198,133 | $ | 107,366,610 | ||||
Fair value of investments | 154,411,212 | 115,950,618 | ||||||
Unrealized appreciation (depreciation) of investments | 4,213,079 | 8,584,008 | ||||||
For financial reporting purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Funds was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
| Nuveen Investments | 63 |
Notes to Financial Statements (Unaudited) (continued)
For accounting and performance reporting purposes, the Acquiring Fund is the survivor. The shares outstanding, net assets and NAV per share immediately before and after the Reorganization are as follows:
| Acquired Funds - Prior to Reorganization | Shares Outstanding | Net Assets | NAV per Share | |||||||||
California 2 | ||||||||||||
Class A Shares | 5,038,266 | $ | 53,154,321 | $ | 10.55 | |||||||
Class B Shares | 49,349 | 522,187 | 10.58 | |||||||||
Class C Shares | 1,234,519 | 12,960,367 | 10.50 | |||||||||
Class I Shares | 8,402,982 | 88,829,130 | 10.57 | |||||||||
California Tax Free | ||||||||||||
Class A Shares | 2,445,880 | $ | 28,244,756 | $ | 11.55 | |||||||
Class C1 Shares | 492,737 | 5,695,733 | 11.56 | |||||||||
Class I Shares | 7,183,930 | 82,918,136 | 11.54 | |||||||||
| Acquiring Fund - Prior to Reorganization | Shares Outstanding | Net Assets | NAV per Share | |||||||||
California | ||||||||||||
Class A Shares | 13,592,579 | $ | 142,831,503 | $ | 10.51 | |||||||
Class B Shares | 119,630 | 1,255,404 | 10.49 | |||||||||
Class C Shares | 4,028,327 | 42,190,767 | 10.47 | |||||||||
Class I Shares | 15,032,440 | 157,762,201 | 10.49 | |||||||||
| Acquiring Fund - Post Reorganization | Shares Outstanding | Net Assets | NAV per Share | |||||||||
California | ||||||||||||
Class A Shares | 21,880,921 | $ | 229,926,313 | $ | 10.51 | |||||||
Class B Shares | 169,391 | 1,777,591 | 10.49 | |||||||||
Class C Shares | 5,265,769 | 55,151,134 | 10.47 | |||||||||
Class I Shares | 31,397,412 | 329,509,467 | 10.49 | |||||||||
The beginning of the current fiscal period for the Acquired Funds’ was March 1, 2012.
Assuming the Reorganization had been completed on March 1, 2012, the beginning of the Acquiring Fund’s current fiscal period, the pro forma results of operations for the six months ended August 31, 2012, are as follows:
| California | ||||
Net investment income (loss) | $ | 12,938,947 | ||
Net realized and unrealized gains (losses) | 16,747,601 | |||
Change in net assets resulting from operations | 29,686,548 | |||
Because the combined investment portfolios for the Reorganization have been managed as a single integrated portfolio since the Reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Funds that have been included in the Statement of Operations since the Reorganization was consummated.
In connection with the Reorganization, the Acquiring Fund has established a reserve for certain associated costs and expenses. The amount of such reserve is included as a component of “Accrued other expenses” on the Statement of Assets and Liabilities and “Reorganization expense” on the Statement of Operations.
9. New Accounting Pronouncements
Financial Accounting Standards Board (“FASB”) Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities
In December 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-11 (“ASU No. 2011-11”) to enhance disclosures about financial instruments and derivative instruments that are subject to offsetting (“netting”) on the Statement of Assets and Liabilities. This information will enable users of the entity’s financial statements to evaluate the effect or potential effect of netting arrangements on the entity’s financial position. ASU No. 2011-11 is effective prospectively during interim or annual periods beginning on or after January 1, 2013. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statements amounts and footnote disclosures, if any.
| 64 | Nuveen Investments |
Annual Investment Management Agreement Approval Process
(Unaudited)
The Board of Trustees (each, a “Board” and each Trustee, a “Board Member”) of the Funds, including the Board Members who are not parties to the Funds’ advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), is responsible for approving the advisory agreements (each, an “Investment Management Agreement”) between each Fund and Nuveen Fund Advisors, Inc. (the “Advisor”) and the sub-advisory agreements (each a “Sub-Advisory Agreement”) between the Advisor and Nuveen Asset Management, LLC (the “Sub-Advisor”) (the Investment Management Agreements and the Sub-Advisory Agreements are referred to collectively as the “Advisory Agreements”) and their periodic continuation. Pursuant to the Investment Company Act of 1940, as amended (the “1940 Act”), the Board is required to consider the continuation of the Advisory Agreements on an annual basis. Accordingly, at an in-person meeting held on May 21-23, 2012 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the continuation of the Advisory Agreements for the Funds for an additional one-year period.
In preparation for its considerations at the May Meeting, the Board requested and received extensive materials prepared in connection with the review of the Advisory Agreements. The materials provided a broad range of information regarding the Funds, the Advisor and the Sub-Advisor (the Advisor and the Sub-Advisor are collectively, the “Fund Advisers” and each, a “Fund Adviser”). As described in more detail below, the information provided included, among other things, a review of Fund performance, including Fund investment performance assessments against peer groups and appropriate benchmarks, a comparison of Fund fees and expenses relative to peers, a description and assessment of shareholder service levels for the Funds, a summary of the performance of certain service providers, a review of product initiatives and shareholder communications and an analysis of the Advisor’s profitability with comparisons to comparable peers in the managed fund business. As part of its annual review, the Board also held a separate meeting on April 18-19, 2012, to review the Funds’ investment performance and consider an analysis provided by the Advisor of the Sub-Advisor which generally evaluated the Sub-Advisor’s investment team, investment mandate, organizational structure and history, investment philosophy and process, performance of the applicable Fund, and significant changes to the foregoing. As a result of its review of the materials and discussions, the Board presented the Advisor with questions and the Advisor responded.
The materials and information prepared in connection with the annual review of the Advisory Agreements supplement the information and analysis provided to the Board during the year. In this regard, throughout the year, the Board, acting directly or through its committees, regularly reviews the performance and various services provided by the Advisor and the Sub-Advisor. The Board meets at least quarterly as well as at other times as the need arises. At its quarterly meetings, the Board reviews reports by the Advisor which include, among other things, Fund performance, a review of the investment teams and reports on compliance, regulatory matters and risk management. The Board also meets with key investment personnel managing the Fund portfolios during the year. In October 2011, the Board also created two new standing committees (the Open-end Fund Committee and the Closed-end Fund Committee) to assist the full Board in monitoring and gaining a deeper insight into the distinctive issues and business practices of open-end and closed-end funds.
In addition, the Board continues its program of seeking to have the Board Members or a subset thereof visit each sub-advisor to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel. In this regard, the Board visited with the Sub-Advisor’s municipal team in Minneapolis in September 2011, and with the Sub-Advisor’s municipal team in Chicago in November 2011. Further, an ad hoc committee of the Board visited the then-current transfer agents of the Nuveen funds in 2011 and the audit committee of the Board visited the various pricing agents for the Nuveen funds in January 2012.
The Board considers factors and information that are relevant to its annual consideration of the renewal of the Advisory Agreements at the meetings held throughout the year. Accordingly, the Board considers the information provided and knowledge gained at these meetings when performing its annual review of the Advisory Agreements. The Independent Board Members are assisted throughout the process by independent legal counsel who provided materials describing applicable law and the duties of directors or trustees in reviewing advisory contracts and met with the Independent Board Members in executive sessions without management present. In addition, it is important to recognize that the management arrangements for the Nuveen funds are the result of many years of review and discussion between the Independent Board Members and fund management and that the Board Members’ conclusions may be based, in part, on their consideration of fee arrangements and other factors developed in previous years.
The Board considered all factors it believed relevant with respect to each Fund, including among other factors: (a) the nature, extent and quality of the services provided by the Fund Advisers, (b) the investment performance of the Fund and Fund Advisers, (c) the advisory fees and costs of the services to be provided to the Fund and the profitability of the Fund Advisers, (d) the extent of any economies of scale, (e) any benefits derived by the Fund Advisers from the relationship with the Fund and (f) other factors. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to a Fund’s Advisory Agreements. The Independent Board Members did not identify any single factor as all important or controlling. The Independent Board Members’ considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.
A. Nature, Extent and Quality of Services
In considering renewal of the Advisory Agreements, the Independent Board Members considered the nature, extent and quality of the Fund Adviser’s services, including advisory services and the resulting Fund performance and administrative services. The Independent Board Members further considered the overall reputation and capabilities of the Advisor and its affiliates, the commitment of the
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Annual Investment Management Agreement Approval Process
(Unaudited) (continued)
Advisor to provide high quality service to the Funds, their overall confidence in the Advisor’s integrity and the Advisor’s responsiveness to questions and concerns raised by them. The Independent Board Members reviewed materials outlining, among other things, the Fund Adviser’s organization and business; the types of services that the Fund Adviser or its affiliates provide to the Funds; the performance record of the applicable Fund (as described in further detail below); and any initiatives Nuveen had taken for the applicable fund product line.
In considering advisory services, the Board recognized that the Advisor provides various oversight, administrative, compliance and other services for the Funds and the Sub-Advisor generally provides the portfolio investment management services to the Funds. In reviewing the portfolio management services provided to each Fund, the Board reviewed the materials provided by the Nuveen Investment Services Oversight Team analyzing, among other things, the Sub-Advisor’s investment team and changes thereto, organization and history, assets under management, Fund objectives and mandate, the investment team’s philosophy and strategies in managing the Fund, developments affecting the Sub-Advisor or Fund and Fund performance. The Independent Board Members also reviewed portfolio manager compensation arrangements to evaluate each Fund Adviser’s ability to attract and retain high quality investment personnel, preserve stability, and reward performance but not provide an inappropriate incentive to take undue risks. In addition, the Board considered the Advisor’s execution of its oversight responsibilities over the Sub-Advisor. Given the importance of compliance, the Independent Board Members also considered Nuveen’s compliance program, including the report of the chief compliance officer regarding the Funds’ compliance policies and procedures; the resources dedicated to compliance; and the record of compliance with the policies and procedures.
In addition to advisory services, the Board considered the quality and extent of administrative and other non-investment advisory services the Advisor and its affiliates provide to the Funds, including product management, investment services (such as oversight of investment policies and procedures, risk management, and pricing), fund administration, oversight of service providers, shareholder services and communications, administration of Board relations, regulatory and portfolio compliance and legal support. The Board further recognized Nuveen’s additional investments in personnel, including in compliance and risk management. In reviewing the services provided, the Board also reviewed materials describing various notable initiatives and projects the Advisor performed in connection with the open-end fund product line. These initiatives included efforts to eliminate product overlap through mergers or liquidations; commencement of various new funds; elimination of insurance mandates for various funds; updates in investment policies or guidelines for several funds; and reductions in management fees and expense caps for certain funds.
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement were satisfactory.
B. The Investment Performance of the Funds and Fund Advisers
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund over various time periods. The Board reviewed, among other things, each Fund’s historic investment performance as well as information comparing the Fund’s performance information with that of other funds (the “Performance Peer Group”) based on data compiled by Nuveen that was provided by an independent provider of mutual fund data and with recognized and/or customized benchmarks (i.e., benchmarks derived from multiple recognized benchmarks).
The Board reviewed reports, including a comprehensive analysis of the Funds’ performance and the applicable investment team. In this regard, the Board reviewed each Fund’s total return information compared to its Performance Peer Group for the quarter, one-, three- and five-year periods ending December 31, 2011, as well as performance information reflecting the first quarter of 2012. In addition, the Board reviewed each Fund’s total return information compared to recognized and/or customized benchmarks for the quarter, one- and three-year periods ending December 31, 2011, as well as performance information reflecting the first quarter of 2012.
In reviewing performance comparison information, the Independent Board Members recognized that the usefulness of the comparisons of the performance of certain funds with the performance of their respective Performance Peer Group may be limited because the Performance Peer Group may not adequately represent the objectives and strategies of the applicable funds or may be limited in size or number. In this regard, the Independent Board Members noted that the Performance Peer Group of the Nuveen California High Yield Municipal Bond Fund (the “California High Yield Fund”) was classified as having significant differences from such Fund based on various considerations such as special fund objectives, potential investable universe and the composition of the peer set (e.g., the number and size of competing funds and number of competing managers). The Independent Board Members also noted that the investment experience of a particular shareholder in the Nuveen funds will vary depending on when such shareholder invests in the applicable fund, the class held (if multiple classes are offered in a fund) and the performance of the fund (or respective class) during that shareholder’s investment period. In addition, although the performance below reflects the performance results for the time periods ending as of the most recent calendar year end (unless otherwise indicated), the Board also recognized that selecting a different ending time period may derive different results. Furthermore, while the Board is cognizant of the relevant performance of a fund’s peer set and/or benchmark(s), the Board evaluated fund performance in light of the respective fund’s investment objectives, investment parameters and guidelines and recognized that the objectives, investment parameters and guidelines of peers and/or benchmarks may differ to some extent, thereby resulting in differences in performance results. Nevertheless, with respect to any Nuveen funds that the Board considers to have underperformed their peers and/or benchmarks from time to time, the Board monitors such funds closely and considers any steps necessary or appropriate to address such issues.
| 66 | Nuveen Investments |
In considering the results of the comparisons, the Independent Board Members observed, among other things, that the Nuveen California Municipal Bond Fund (the “California Fund”) had demonstrated generally favorable performance in comparison to its peers, for although such Fund was in the third quartile for the five-year period, such Fund performed in the first quartile in the one- and three-year periods. With respect to the California High Yield Fund which, as noted above, had significant differences from its Performance Peer Group, the Independent Board Members considered the performance of such Fund compared to its benchmark and noted that such Fund outperformed its benchmark in the one- and three-year periods.
Based on their review, the Independent Board Members determined that each Fund’s investment performance had been satisfactory.
C. Fees, Expenses and Profitability
1. Fees and Expenses
The Board evaluated the management fees and expenses of each Fund reviewing, among other things, such Fund’s gross management fees, net management fees and net expense ratios in absolute terms as well as compared to the fee and expenses of a comparable universe of funds provided by an independent fund data provider (the “Peer Universe”) and to a more focused subset of funds in the Peer Universe (the “Peer Group”) and any expense limitations.
The Independent Board Members further reviewed the methodology regarding the construction of the applicable Peer Universe and Peer Group. In reviewing the comparisons of fee and expense information, the Independent Board Members took into account that in certain instances various factors such as: the limited size and particular composition of the Peer Universe or Peer Group (including the inclusion of other Nuveen funds in the peer set); expense anomalies; changes in the funds comprising the Peer Universe or Peer Group from year to year; levels of reimbursement or fee waivers; the timing of information used; and differences in the states reflected in the Peer Universe or Peer Group may impact the comparative data, thereby limiting somewhat the ability to make a meaningful comparison with peers.
In reviewing the fee schedule for a Fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen. In reviewing fees and expenses, the Board considered the expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were approximately 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Group. In reviewing the reports, the Board noted that the overwhelming majority of the Nuveen funds were at, close to or below their Peer Group or Peer Universe (if no separate Peer Group) average based on the net total expense ratio. The Independent Board Members noted that the California High Yield Fund had net management fees higher than the peer average but a net expense ratio in line with the peer average, while the California Fund had net management fees in line with and a net expense ratio (including fee waivers and expense reimbursements) below its peer average.
Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund’s management fees were reasonable in light of the nature, extent and quality of services provided to the Fund.
2. Comparisons with the Fees of Other Clients
The Independent Board Members further reviewed information regarding the nature of services and range of fees offered by the Advisor to other clients, including municipal separately managed accounts and passively managed exchange traded funds (ETFs) sub-advised by the Advisor. In evaluating the comparisons of fees, the Independent Board Members noted that the fee rates charged to the Funds and other clients vary, among other things, because of the different services involved and the additional regulatory and compliance requirements associated with registered investment companies, such as the Funds. Accordingly, the Independent Board Members considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Independent Board Members noted, in particular, that the range of services provided to the Funds (as discussed above) is much more extensive than that provided to separately managed accounts. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members believe such facts justify the different levels of fees.
In considering the fees of the Sub-Advisor, the Independent Board Members also considered the pricing schedule or fees that the Sub-Advisor charges for similar investment management services for other Nuveen funds, funds of other sponsors (if any), and other clients (such as retail and/or institutional managed accounts).
3. Profitability of Fund Advisers
In conjunction with its review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen’s advisory activities for the last two calendar years, the allocation methodology used in preparing the profitability data and an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2011. The Independent Board Members noted this information supplemented the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense reimbursement commitments). In this
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Annual Investment Management Agreement Approval Process
(Unaudited) (continued)
regard, the Independent Board Members noted that they have an Independent Board Member serve as a point person to review and keep them apprised of changes to the profitability analysis and/or methodologies during the year. The Independent Board Members also considered Nuveen’s revenues for advisory activities, expenses, and profit margin compared to that of various unaffiliated management firms with comparable assets under management (based on asset size and asset composition).
In reviewing profitability, the Independent Board Members recognized the Advisor’s continued investment in its business to enhance its services, including capital improvements to investment technology, updated compliance systems, and additional personnel in compliance, risk management, and product development as well as its ability to allocate resources to various areas of the Advisor as the need arises. In addition, in evaluating profitability, the Independent Board Members also recognized the subjective nature of determining profitability which may be affected by numerous factors including the allocation of expenses. Further, the Independent Board Members recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser’s particular business mix, capital costs, types of funds managed and expense allocations. Notwithstanding the foregoing, the Independent Board Members reviewed Nuveen’s methodology and assumptions for allocating expenses across product lines to determine profitability. In reviewing profitability, the Independent Board Members recognized Nuveen’s investment in its fund business. Based on their review, the Independent Board Members concluded that the Advisor’s level of profitability for its advisory activities was reasonable in light of the services provided.
With respect to sub-advisers affiliated with Nuveen, including the Sub-Advisor, the Independent Board Members reviewed the sub-adviser’s revenues, expenses and profitability margins (pre- and post-tax) for its advisory activities and the methodology used for allocating expenses among the internal sub-advisers. Based on their review, the Independent Board Members were satisfied that the Sub-Advisor’s level of profitability was reasonable in light of the services provided.
In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as any indirect benefits (such as soft dollar arrangements, if any) the Fund Adviser and its affiliates receive, or are expected to receive, that are directly attributable to the management of the Funds, if any. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds. Based on their review of the overall fee arrangements of each Fund, the Independent Board Members determined that the advisory fees and expenses of the respective Fund were reasonable.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
With respect to economies of scale, the Independent Board Members have recognized the potential benefits resulting from the costs of a fund being spread over a larger asset base, although economies of scale are difficult to measure and predict with precision, particularly on a fund-by-fund basis. One method to help ensure the shareholders share in these benefits is to include breakpoints in the advisory fee schedule. Generally, management fees for funds in the Nuveen complex are comprised of a fund-level component and a complex-level component, subject to certain exceptions. Accordingly, the Independent Board Members reviewed and considered the applicable fund-level breakpoints in the advisory fee schedules that reduce advisory fees as asset levels increase.
In addition to fund-level advisory fee breakpoints, the Board also considered the Funds’ complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex are generally reduced as the assets in the fund complex reach certain levels. The complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflects the notion that some of Nuveen’s costs are attributable to services provided to all its funds in the complex and therefore all funds benefit if these costs are spread over a larger asset base. In addition, with the acquisition of the funds previously advised by FAF Advisors, Inc., the Board noted that a portion of such funds’ assets at the time of acquisition were deemed eligible to be included in the complex-wide fee calculation in order to deliver fee savings to shareholders in the combined complex and such funds were subject to differing complex-level fee rates.
Based on their review, the Independent Board Members concluded that the breakpoint schedules and complex-wide fee arrangement were acceptable and reflect economies of scale to be shared with shareholders when assets under management increase.
E. Indirect Benefits
In evaluating fees, the Independent Board Members received and considered information regarding potential “fall out” or ancillary benefits the respective Fund Adviser or its affiliates may receive as a result of its relationship with each Fund. In this regard, the Independent Board Members considered, among other things, any sales charges, distribution fees and shareholder services fees received and retained by the Funds’ principal underwriter, an affiliate of the Advisor, which includes fees received pursuant to any 12b-1 plan. The Independent Board Members, therefore, considered the 12b-1 fees retained by Nuveen during the last calendar year.
In addition to the above, the Independent Board Members considered whether the Fund Advisers received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Funds and other clients. The Independent Board Members recognized that each Fund Adviser has the authority to pay a higher commission in return for brokerage and research services if it determines in good
| 68 | Nuveen Investments |
faith that the commission paid is reasonable in relation to the value of the brokerage and research services provided and may benefit from such soft dollar arrangements. Similarly, the Board recognized that the research received pursuant to soft dollar arrangements by a Fund Adviser may also benefit a Fund and shareholders to the extent the research enhances the ability of the Fund Adviser to manage the Fund. The Independent Board Members noted that the Fund Advisers’ profitability may be somewhat lower if they did not receive the research services pursuant to the soft dollar arrangements and had to acquire such services directly.
Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.
F. Other Considerations
The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, unanimously concluded that the terms of each Advisory Agreement are fair and reasonable, that the respective Fund Adviser’s fees are reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.
| Nuveen Investments | 69 |
Glossary of Terms Used in this Report
Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
Average Effective Maturity: The market-value-weighted average of the effective maturity dates of the individual securities including cash. In the case of a bond that has been advance-refunded to a call date, the effective maturity is the date on which the bond is scheduled to be redeemed using the proceeds of an escrow account. In most other cases the effective maturity is the stated maturity date of the security.
Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s (or bond fund’s) value to changes when market interest rates change. Generally, the longer a bond or Fund’s duration, the more the price of the bond or Fund will change as interest rates change.
Effective Leverage (Effective Leverage Ratio): Effective leverage is investment exposure created either through borrowings or indirectly through inverse floaters, divided by the assets invested, including those assets that were purchased with the proceeds of the leverage, or referenced by the levered instrument.
Inverse Floaters: Inverse Floating Rate Securities: Inverse floating rate securities, also known as inverse floaters or tender option bonds (TOBs), are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond’s par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an “inverse floater”) to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond’s downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond’s value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis.
Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.
Lipper California Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper California Municipal Debt Funds Classification Average. Lipper returns account for the effects of management fees and assume reinvestment of distributions but do not reflect any applicable sales charges.
Net Asset Value (NAV): The net market value of all securities held in a portfolio.
Net Asset Value (NAV) Per Share: The market value of one share of a mutual fund or closed-end fund. For a Fund, the NAV is calculated daily by taking the Fund’s total assets (securities, cash, and accrued earnings), subtracting the Fund’s liabilities, and dividing by the number of shares outstanding.
Pre-Refundings: Pre-Refundings, also known as advance refundings or refinancings, occur when an issuer sells new bonds and uses the proceeds to fund principal and interest payments of older existing bonds. This process often results in lower borrowing costs for bond issuers.
S&P Municipal Bond California Index (formerly S&P California Municipal Bond Index): An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade California municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
S&P High Yield Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. high yield municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
S&P Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
S&P Municipal Yield Index: Comprises all of the bonds in the S&P Municipal Bond Index that are non-rated or rated BB+ by S&P and/or Ba1 or lower by Moody’s Investor Services, Inc. The index does not contain bonds that are pre-refunded or escrowed to maturity. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically.
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Fund Manager
Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606
Sub-Adviser
Nuveen Asset Management, LLC
333 West Wacker Drive
Chicago, IL 60606
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
Independent Registered
Public Accounting Firm
PricewaterhouseCoopers LLP
Chicago, IL
Custodian
State Street Bank & Trust Company
Boston, MA
Transfer Agent and Shareholder Services
Boston Financial
Data Services, Inc.
Nuveen Investor Services
P.O. Box 8530
Boston, MA 02266-8530
(800) 257-8787
Quarterly Portfolio of Investments and Proxy Voting Information: You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) 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 Investments at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.
The Financial Industry Regulatory Authority (FINRA) provides a Public Disclosure Program which supplies certain information regarding the disciplinary history of FINRA members and their associated persons in response to either telephone inquiries at (800) 289-9999 or written inquiries at www.finra.org. FINRA also provides an investor brochure that includes information describing the Public Disclosure Program.
| Nuveen Investments | 71 |
Nuveen Investments:
Serving Investors for Generations
Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.
Focused on meeting investor needs.
Nuveen Investments provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates-Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management, and Gresham Investment Management. In total, Nuveen Investments managed $212 billion as of June 30, 2012.
Find out how we can help you.
To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
Learn more about Nuveen Funds at: www.nuveen.com/mf
Distributed by Nuveen Securities, LLC 333 West Wacker Drive Chicago, IL 60606 www.nuveen.com |
MSA-CA-0812P
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this registrant.
Item 6. Schedule of Investments.
(a) See Portfolio of Investments in Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this item.
Item 11. Controls and Procedures.
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: See EX-99.CERT attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable to this registrant.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an Exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registration specifically incorporates it by reference: See EX-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Multistate Trust II
| By | (Signature and Title) | /s/ Kevin J. McCarthy | ||||
Kevin J. McCarthy Vice President and Secretary |
Date: November 8, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By | (Signature and Title) | /s/ Gifford R. Zimmerman | ||||
Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) |
Date: November 8, 2012
| By | (Signature and Title) | /s/ Stephen D. Foy | ||||
Stephen D. Foy Vice President and Controller (principal financial officer) |
Date: November 8, 2012